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updated ratio_calc_profit function

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This commit is contained in:
Sam Germain 2021-07-08 05:37:54 -06:00
parent e7d6fac553
commit c753bd0ddc
3 changed files with 63 additions and 24 deletions
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32
freqtrade/persistence/models.py
View File

@ -609,12 +609,14 @@ class LocalTrade():
def update_order(self, order: Dict) -> None:
Order.update_orders(self.orders, order)
def _calc_open_trade_value(self) -> float:
def _calc_open_trade_value(self, amount: Optional[float] = None) -> float:
"""
Calculate the open_rate including open_fee.
:return: Price in of the open trade incl. Fees
"""
open_trade = Decimal(self.amount) * Decimal(self.open_rate)
if amount is None:
amount = self.amount
open_trade = Decimal(amount) * Decimal(self.open_rate)
fees = open_trade * Decimal(self.fee_open)
if self.is_short:
return float(open_trade - fees)
@ -651,6 +653,7 @@ class LocalTrade():
return self.interest_mode(borrowed=borrowed, rate=rate, hours=hours)
def calc_close_trade_value(self, rate: Optional[float] = None,
fee: Optional[float] = None,
interest_rate: Optional[float] = None) -> float:
"""
@ -718,23 +721,30 @@ class LocalTrade():
If interest_rate is not set self.interest_rate will be used
:return: profit ratio as float
"""
close_trade_value = self.calc_close_trade_value(
rate=(rate or self.close_rate),
fee=(fee or self.fee_close),
interest_rate=(interest_rate or self.interest_rate)
)
if ((self.is_short and close_trade_value == 0.0) or
(not self.is_short and self.open_trade_value == 0.0)):
if self.leverage is None:
leverage = 1.0
else:
leverage = self.leverage
stake_value = self._calc_open_trade_value(amount=(self.amount/leverage))
short_close_zero = (self.is_short and close_trade_value == 0.0)
long_close_zero = (not self.is_short and self.open_trade_value == 0.0)
if (short_close_zero or long_close_zero):
return 0.0
else:
if self.has_no_leverage:
# TODO-mg: Use one profit_ratio calculation
profit_ratio = (close_trade_value/self.open_trade_value) - 1
if self.is_short:
profit_ratio = ((self.open_trade_value - close_trade_value) / stake_value)
else:
if self.is_short:
profit_ratio = ((self.open_trade_value - close_trade_value) / self.stake_amount)
else:
profit_ratio = ((close_trade_value - self.open_trade_value) / self.stake_amount)
profit_ratio = ((close_trade_value - self.open_trade_value) / stake_value)
return float(f"{profit_ratio:.8f}")

47
tests/persistence/test_persistence.py
View File

@ -114,20 +114,49 @@ def test_update_with_binance(limit_buy_order, limit_sell_order, fee, caplog):
- Buy: 90.99181073 Crypto at 0.00001099 BTC
(90.99181073*0.00001099 = 0.0009999 BTC)
- Buying fee: 0.25%
- Total cost of buy trade: 0.001002500 BTC
((90.99181073*0.00001099) + ((90.99181073*0.00001099)*0.0025))
- open_trade_value: 0.0010024999999225066 BTC
(90.99181073*0.00001099) + ((90.99181073*0.00001099)*0.0025)
Sell
- Sell: 90.99181073 Crypto at 0.00001173 BTC
(90.99181073*0.00001173 = 0,00106733394 BTC)
(90.99181073*0.00001173 = 0.0010673339398629 BTC)
- Selling fee: 0.25%
- Total cost of sell trade: 0.001064666 BTC
((90.99181073*0.00001173) - ((90.99181073*0.00001173)*0.0025))
- close_trade_value: 0.0010646656050132426 BTC
(90.99181073*0.00001173) - ((90.99181073*0.00001173)*0.0025)
Profit/Loss: +0.000062166 BTC
(Sell:0.001064666 - Buy:0.001002500)
Profit/Loss: +6.216560509073607e-05 BTC
(Sell:0.0010646656050132426 - Buy:0.0010024999999225066)
Profit/Loss percentage: 0.0620
((0.001064666/0.001002500)-1 = 6.20%)
(0.0010646656050132426/0.0010024999999225066)-1 = 6.20%
= 0.062010578648919124
6.216560509073607e-05 / 0.0010024999999225066
= 0.062010578648919186
amount = 90.99181073 Crypto
stake_amount = 0.0009999999999226999
open_rate = 0.00001099
close_rate = 0.00001173
fee: 0.0025 (0.25%)
open_trade_value = (amount * open_rate) + (amount * open_rate * fee)
= (90.99181073*0.00001099) + ((90.99181073*0.00001099)*0.0025)
= 0.0010024999999225066
close_trade_value = (amount * close_rate) - (amount * close_rate * fee)
= (90.99181073*0.00001173) - ((90.99181073*0.00001173)*0.0025)
= 0.0010646656050132426
#? ORIGINAL PROFIT RATIO CALCULATION
#? (close_trade_value/open_trade_value)-1 = original_answer
#? (0.0010646656050132426/0.0010024999999225066)-1 = 0.062010578648919
#? NEW PROFIT RATIO CALCULATION 1
#? (close_trade_value - open_trade_value)/stake_amount = new_answer
#? (0.0010646656050132426 - 0.0010024999999225068)/0.0009999999999226999 = 0.06216560509554
#? NEW PROFIT RATIO CALCULATION 2
#? (close_trade_value - open_trade_value)/open_trade_value = original_answer
#? (0.0010646656050132426 - 0.0010024999999225066)/0.0010024999999225066 = 0.062010578648919
:param limit_buy_order:
:param limit_sell_order:
@ -137,7 +166,7 @@ def test_update_with_binance(limit_buy_order, limit_sell_order, fee, caplog):
trade = Trade(
id=2,
pair='ETH/BTC',
stake_amount=0.001,
stake_amount=0.0009999999999226999,
open_rate=0.01,
amount=5,
is_open=True,

8
tests/persistence/test_persistence_leverage.py
View File

@ -231,9 +231,9 @@ def test_calc_open_close_trade_price_lev(limit_lev_buy_order, limit_lev_sell_ord
total_profit = close_value - open_value
= 0.003193788481706411 - 0.0030074999997675204
= 0.00018628848193889044
total_profit_percentage = total_profit / stake_amount
= 0.00018628848193889054 / 0.0009999999999226999
= 0.18628848195329067
total_profit_percentage = total_profit / open_value
= 0.00018628848193889054 / 0.0030074999997675204
= 0.06194130738264028
"""
trade = Trade(
pair='ETH/BTC',
@ -257,7 +257,7 @@ def test_calc_open_close_trade_price_lev(limit_lev_buy_order, limit_lev_sell_ord
# Profit in BTC
assert round(trade.calc_profit(), 8) == round(0.00018628848193889054, 8)
# Profit in percent
assert round(trade.calc_profit_ratio(), 8) == round(0.18628848195329067, 8)
assert round(trade.calc_profit_ratio(), 8) == round(0.06194130738264028, 8)
@pytest.mark.usefixtures("init_persistence")