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Started some pytests for short and leverage

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1 short test passes
This commit is contained in:
Sam Germain
2021-06-22 22:26:10 -06:00
parent b80f8ca0af
commit c24ec89dc4
5 changed files with 809 additions and 138 deletions
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31
freqtrade/persistence/models.py
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@@ -133,6 +133,7 @@ class Order(_DECL_BASE):
order_update_date = Column(DateTime, nullable=True)
leverage = Column(Float, nullable=True, default=1.0)
is_short = Column(Boolean, nullable=False, default=False)
def __repr__(self):
return (f'Order(id={self.id}, order_id={self.order_id}, trade_id={self.ft_trade_id}, '
@@ -447,14 +448,16 @@ class LocalTrade():
Determines if the trade is an opening (long buy or short sell) trade
:param side (string): the side (buy/sell) that order happens on
"""
return (side == 'buy' and not self.is_short) or (side == 'sell' and self.is_short)
is_short = self.is_short
return (side == 'buy' and not is_short) or (side == 'sell' and is_short)
def is_closing_trade(self, side) -> bool:
"""
Determines if the trade is an closing (long sell or short buy) trade
:param side (string): the side (buy/sell) that order happens on
"""
return (side == 'sell' and not self.is_short) or (side == 'buy' and self.is_short)
is_short = self.is_short
return (side == 'sell' and not is_short) or (side == 'buy' and is_short)
def update(self, order: Dict) -> None:
"""
@@ -463,6 +466,9 @@ class LocalTrade():
:return: None
"""
order_type = order['type']
# TODO: I don't like this, but it might be the only way
if 'is_short' in order and order['side'] == 'sell':
self.is_short = order['is_short']
# Ignore open and cancelled orders
if order['status'] == 'open' or safe_value_fallback(order, 'average', 'price') is None:
return
@@ -579,11 +585,13 @@ class LocalTrade():
rate = Decimal(self.interest_rate)
borrowed = Decimal(self.borrowed)
twenty4 = Decimal(24.0)
one = Decimal(1.0)
if self.exchange == 'binance':
# Rate is per day but accrued hourly or something
# binance: https://www.binance.com/en-AU/support/faq/360030157812
return borrowed * (rate/24) * max(hours, 1.0) # TODO-mg: Is hours rounded?
return borrowed * (rate/twenty4) * max(hours, one) # TODO-mg: Is hours rounded?
elif self.exchange == 'kraken':
# https://support.kraken.com/hc/en-us/articles/206161568-What-are-the-fees-for-margin-trading-
opening_fee = borrowed * rate
@@ -591,10 +599,10 @@ class LocalTrade():
return opening_fee + roll_over_fee
elif self.exchange == 'binance_usdm_futures':
# ! TODO-mg: This is incorrect, I didn't look it up
return borrowed * (rate/24) * max(hours, 1.0)
return borrowed * (rate/twenty4) * max(hours, one)
elif self.exchange == 'binance_coinm_futures':
# ! TODO-mg: This is incorrect, I didn't look it up
return borrowed * (rate/24) * max(hours, 1.0)
return borrowed * (rate/twenty4) * max(hours, one)
else:
# TODO-mg: make sure this breaks and can't be squelched
raise OperationalException("Leverage not available on this exchange")
@@ -612,14 +620,19 @@ class LocalTrade():
if rate is None and not self.close_rate:
return 0.0
close_trade = Decimal(self.amount) * Decimal(rate or self.close_rate) # type: ignore
fees = close_trade * Decimal(fee or self.fee_close)
interest = self.calculate_interest()
if self.is_short:
amount = Decimal(self.amount) + interest
else:
amount = Decimal(self.amount) - interest
close_trade = Decimal(amount) * Decimal(rate or self.close_rate) # type: ignore
fees = close_trade * Decimal(fee or self.fee_close)
if (self.is_short):
return float(close_trade + fees + interest)
return float(close_trade + fees)
else:
return float(close_trade - fees - interest)
return float(close_trade - fees)
def calc_profit(self, rate: Optional[float] = None,
fee: Optional[float] = None) -> float: