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margin test_trade_close

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This commit is contained in:
Sam Germain 2021-06-27 23:46:22 -06:00
parent 9a53aeec10
commit c98b9ab768
4 changed files with 95 additions and 54 deletions
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56
freqtrade/persistence/models.py
View File

@ -610,33 +610,39 @@ class LocalTrade():
def calculate_interest(self) -> float:
# TODO-mg: Need to set other conditions because sometimes self.open_date is not defined, but why would it ever not be set
zero = Decimal(0.0)
if not self.interest_rate or not (self.borrowed):
return 0.0
return zero
open_date = self.open_date.replace(tzinfo=None)
now = datetime.utcnow()
secPerDay = 86400
days = ((now - open_date).total_seconds())/secPerDay or 0.0
hours = days * 24
# sec_per_day = Decimal(86400)
sec_per_hour = Decimal(3600)
total_seconds = Decimal((now - open_date).total_seconds())
#days = total_seconds/sec_per_day or zero
hours = total_seconds/sec_per_hour or zero
rate = self.interest_rate
borrowed = self.borrowed
rate = Decimal(self.interest_rate)
borrowed = Decimal(self.borrowed)
one = Decimal(1.0)
twenty_four = Decimal(24.0)
four = Decimal(4.0)
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 * max(hours, 1)/24 # TODO-mg: Is hours rounded?
return borrowed * rate * max(hours, one)/twenty_four # 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
roll_over_fee = borrowed * rate * max(0, (hours-4)/4)
roll_over_fee = borrowed * rate * max(0, (hours-four)/four)
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)
return borrowed * (rate/twenty_four) * 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)
return borrowed * (rate/twenty_four) * max(hours, one)
else:
# TODO-mg: make sure this breaks and can't be squelched
raise OperationalException("Leverage not available on this exchange")
@ -731,7 +737,7 @@ class LocalTrade():
else:
return None
@ staticmethod
@staticmethod
def get_trades_proxy(*, pair: str = None, is_open: bool = None,
open_date: datetime = None, close_date: datetime = None,
) -> List['LocalTrade']:
@ -765,27 +771,27 @@ class LocalTrade():
return sel_trades
@ staticmethod
@staticmethod
def close_bt_trade(trade):
LocalTrade.trades_open.remove(trade)
LocalTrade.trades.append(trade)
LocalTrade.total_profit += trade.close_profit_abs
@ staticmethod
@staticmethod
def add_bt_trade(trade):
if trade.is_open:
LocalTrade.trades_open.append(trade)
else:
LocalTrade.trades.append(trade)
@ staticmethod
@staticmethod
def get_open_trades() -> List[Any]:
"""
Query trades from persistence layer
"""
return Trade.get_trades_proxy(is_open=True)
@ staticmethod
@staticmethod
def stoploss_reinitialization(desired_stoploss):
"""
Adjust initial Stoploss to desired stoploss for all open trades.
@ -887,11 +893,11 @@ class Trade(_DECL_BASE, LocalTrade):
Trade.query.session.delete(self)
Trade.commit()
@ staticmethod
@staticmethod
def commit():
Trade.query.session.commit()
@ staticmethod
@staticmethod
def get_trades_proxy(*, pair: str = None, is_open: bool = None,
open_date: datetime = None, close_date: datetime = None,
) -> List['LocalTrade']:
@ -921,7 +927,7 @@ class Trade(_DECL_BASE, LocalTrade):
close_date=close_date
)
@ staticmethod
@staticmethod
def get_trades(trade_filter=None) -> Query:
"""
Helper function to query Trades using filters.
@ -941,7 +947,7 @@ class Trade(_DECL_BASE, LocalTrade):
else:
return Trade.query
@ staticmethod
@staticmethod
def get_open_order_trades():
"""
Returns all open trades
@ -949,7 +955,7 @@ class Trade(_DECL_BASE, LocalTrade):
"""
return Trade.get_trades(Trade.open_order_id.isnot(None)).all()
@ staticmethod
@staticmethod
def get_open_trades_without_assigned_fees():
"""
Returns all open trades which don't have open fees set correctly
@ -960,7 +966,7 @@ class Trade(_DECL_BASE, LocalTrade):
Trade.is_open.is_(True),
]).all()
@ staticmethod
@staticmethod
def get_closed_trades_without_assigned_fees():
"""
Returns all closed trades which don't have fees set correctly
@ -971,7 +977,7 @@ class Trade(_DECL_BASE, LocalTrade):
Trade.is_open.is_(False),
]).all()
@ staticmethod
@staticmethod
def total_open_trades_stakes() -> float:
"""
Calculates total invested amount in open trades
@ -985,7 +991,7 @@ class Trade(_DECL_BASE, LocalTrade):
t.stake_amount for t in LocalTrade.get_trades_proxy(is_open=True))
return total_open_stake_amount or 0
@ staticmethod
@staticmethod
def get_overall_performance() -> List[Dict[str, Any]]:
"""
Returns List of dicts containing all Trades, including profit and trade count
@ -1010,7 +1016,7 @@ class Trade(_DECL_BASE, LocalTrade):
for pair, profit, profit_abs, count in pair_rates
]
@ staticmethod
@staticmethod
def get_best_pair():
"""
Get best pair with closed trade.
@ -1048,7 +1054,7 @@ class PairLock(_DECL_BASE):
return (f'PairLock(id={self.id}, pair={self.pair}, lock_time={lock_time}, '
f'lock_end_time={lock_end_time})')
@ staticmethod
@staticmethod
def query_pair_locks(pair: Optional[str], now: datetime) -> Query:
"""
Get all currently active locks for this pair

4
tests/conftest.py
View File

@ -57,9 +57,9 @@ def log_has_re(line, logs):
def get_args(args):
return Arguments(args).get_parsed_arg()
# Source: https://stackoverflow.com/questions/29881236/how-to-mock-asyncio-coroutines
def get_mock_coro(return_value):
async def mock_coro(*args, **kwargs):
return return_value

1
tests/test_persistence.py
View File

@ -196,6 +196,7 @@ def test_calc_open_close_trade_price(limit_buy_order, limit_sell_order, fee):
@pytest.mark.usefixtures("init_persistence")
def test_trade_close(limit_buy_order, limit_sell_order, fee):
#TODO: limit_buy_order and limit_sell_order aren't used, remove them probably
trade = Trade(
pair='ETH/BTC',
stake_amount=0.001,

88
tests/test_persistence_margin.py
View File

@ -211,33 +211,67 @@ def test_calc_open_close_trade_price(limit_short_order, limit_exit_short_order,
assert isclose(trade.calc_profit_ratio(), 0.06189996)
# @pytest.mark.usefixtures("init_persistence")
# def test_trade_close(limit_buy_order, limit_sell_order, fee):
# trade = Trade(
# pair='ETH/BTC',
# stake_amount=0.001,
# open_rate=0.01,
# amount=5,
# is_open=True,
# fee_open=fee.return_value,
# fee_close=fee.return_value,
# open_date=arrow.Arrow(2020, 2, 1, 15, 5, 1).datetime,
# exchange='binance',
# )
# assert trade.close_profit is None
# assert trade.close_date is None
# assert trade.is_open is True
# trade.close(0.02)
# assert trade.is_open is False
# assert trade.close_profit == 0.99002494
# assert trade.close_date is not None
# new_date = arrow.Arrow(2020, 2, 2, 15, 6, 1).datetime,
# assert trade.close_date != new_date
# # Close should NOT update close_date if the trade has been closed already
# assert trade.is_open is False
# trade.close_date = new_date
# trade.close(0.02)
# assert trade.close_date == new_date
@pytest.mark.usefixtures("init_persistence")
def test_trade_close(fee, five_hours_ago):
"""
This trade lasts for five hours, but the one above lasted for 10 minutes
Short trade
Exchange: Kraken
fee: 0.25% base
interest_rate: 0.05% per 4 hours
open_rate: 0.02 base
close_rate: 0.01 base
leverage: 3.0
amount: 5 * 3 = 15 crypto
borrowed: 15 crypto
time-periods: 5 hours = 5/4
interest: borrowed * interest_rate * time-periods
= 15 * 0.0005 * 5/4 = 0.009375 crypto
open_value: (amount * open_rate) - (amount * open_rate * fee)
= (15 * 0.02) - (15 * 0.02 * 0.0025)
= 0.29925
amount_closed: amount + interest = 15 + 0.009375 = 15.009375
close_value: (amount_closed * close_rate) + (amount_closed * close_rate * fee)
= (15.009375 * 0.01) + (15.009375 * 0.01 * 0.0025)
= 0.150468984375
total_profit = open_value - close_value
= 0.29925 - 0.150468984375
= 0.148781015625
total_profit_percentage = (open_value/close_value) - 1
= (0.29925/0.150468984375)-1
= 0.9887819489377738
"""
trade = Trade(
pair='ETH/BTC',
stake_amount=0.001,
open_rate=0.02,
amount=5,
is_open=True,
fee_open=fee.return_value,
fee_close=fee.return_value,
open_date=five_hours_ago,
exchange='kraken',
is_short=True,
leverage=3.0,
interest_rate=0.0005
)
assert trade.close_profit is None
assert trade.close_date is None
assert trade.is_open is True
trade.close(0.01)
assert trade.is_open is False
assert trade.close_profit == 0.98878195
assert trade.close_date is not None
# TODO-mg: Remove these comments probably
#new_date = arrow.Arrow(2020, 2, 2, 15, 6, 1).datetime,
# assert trade.close_date != new_date
# # Close should NOT update close_date if the trade has been closed already
# assert trade.is_open is False
# trade.close_date = new_date
# trade.close(0.02)
# assert trade.close_date == new_date
# @pytest.mark.usefixtures("init_persistence")