margin test_trade_close

freqtrade/persistence/models.py

@@ -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
+        # sec_per_day = Decimal(86400)
-        days = ((now - open_date).total_seconds())/secPerDay or 0.0
+        sec_per_hour = Decimal(3600)
-        hours = days * 24
+        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
+        rate = Decimal(self.interest_rate)
-        borrowed = self.borrowed
+        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

tests/conftest.py

@@ -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

tests/test_persistence.py

@@ -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,

tests/test_persistence_margin.py

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