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wrote freqtradebot.test_leverage_prep

This commit is contained in:
Sam Germain 2022-02-02 14:09:49 -06:00
parent 977f87659c
commit d5376c2c89
2 changed files with 120 additions and 4 deletions
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2
freqtrade/freqtradebot.py
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@ -601,7 +601,7 @@ class FreqtradeBot(LoggingMixin):
self,
pair: str,
open_rate: float,
amount: float,
amount: float, # quote currency, includes leverage
leverage: float,
is_short: bool
) -> Tuple[float, Optional[float]]:

122
tests/test_freqtradebot.py
View File

@ -4782,9 +4782,125 @@ def test_get_valid_price(mocker, default_conf_usdt) -> None:
assert valid_price_at_min_alwd < proposed_price
def test_leverage_prep():
# TODO-lev
return
@pytest.mark.parametrize(
"is_short,trading_mode,exchange_name,margin_mode,leverage,open_rate,amount,expected_liq", [
(False, 'spot', 'binance', '', 5.0, 10.0, 1.0, None),
(True, 'spot', 'binance', '', 5.0, 10.0, 1.0, None),
(False, 'spot', 'gateio', '', 5.0, 10.0, 1.0, None),
(True, 'spot', 'gateio', '', 5.0, 10.0, 1.0, None),
(False, 'spot', 'okex', '', 5.0, 10.0, 1.0, None),
(True, 'spot', 'okex', '', 5.0, 10.0, 1.0, None),
# Binance, short
(True, 'futures', 'binance', 'isolated', 5.0, 10.0, 1.0, 11.89108910891089),
(True, 'futures', 'binance', 'isolated', 3.0, 10.0, 1.0, 13.211221122079207),
(True, 'futures', 'binance', 'isolated', 5.0, 8.0, 1.0, 9.514851485148514),
(True, 'futures', 'binance', 'isolated', 5.0, 10.0, 0.6, 12.557755775577558),
# Binance, long
(False, 'futures', 'binance', 'isolated', 5, 10, 1.0, 8.070707070707071),
(False, 'futures', 'binance', 'isolated', 5, 8, 1.0, 6.454545454545454),
(False, 'futures', 'binance', 'isolated', 3, 10, 1.0, 6.717171717171718),
(False, 'futures', 'binance', 'isolated', 5, 10, 0.6, 7.39057239057239),
# Gateio/okex, short
(True, 'futures', 'gateio', 'isolated', 5, 10, 1.0, 11.87413417771621),
(True, 'futures', 'gateio', 'isolated', 5, 10, 2.0, 11.87413417771621),
(True, 'futures', 'gateio', 'isolated', 3, 10, 1.0, 13.476180850346978),
(True, 'futures', 'gateio', 'isolated', 5, 8, 1.0, 9.499307342172967),
# Gateio/okex, long
(False, 'futures', 'gateio', 'isolated', 5.0, 10.0, 1.0, 8.085708510208207),
(False, 'futures', 'gateio', 'isolated', 3.0, 10.0, 1.0, 6.738090425173506),
# (True, 'futures', 'okex', 'isolated', 11.87413417771621),
# (False, 'futures', 'okex', 'isolated', 8.085708510208207),
]
)
def test_leverage_prep(
mocker,
default_conf_usdt,
is_short,
trading_mode,
exchange_name,
margin_mode,
leverage,
open_rate,
amount,
expected_liq,
):
"""
position = 0.2 * 5
wb: wallet balance (stake_amount if isolated)
cum_b: maintenance amount
side_1: -1 if is_short else 1
ep1: entry price
mmr_b: maintenance margin ratio
Binance, Short
leverage = 5, open_rate = 10, amount = 1.0
((wb + cum_b) - (side_1 * position * ep1)) / ((position * mmr_b) - (side_1 * position))
((2 + 0.01) - ((-1) * 1 * 10)) / ((1 * 0.01) - ((-1) * 1)) = 11.89108910891089
leverage = 3, open_rate = 10, amount = 1.0
((3.3333333333 + 0.01) - ((-1) * 1.0 * 10)) / ((1.0 * 0.01) - ((-1) * 1.0)) = 13.2112211220
leverage = 5, open_rate = 8, amount = 1.0
((1.6 + 0.01) - ((-1) * 1 * 8)) / ((1 * 0.01) - ((-1) * 1)) = 9.514851485148514
leverage = 5, open_rate = 10, amount = 0.6
((1.6 + 0.01) - ((-1) * 0.6 * 10)) / ((0.6 * 0.01) - ((-1) * 0.6)) = 12.557755775577558
Binance, Long
leverage = 5, open_rate = 10, amount = 1.0
((wb + cum_b) - (side_1 * position * ep1)) / ((position * mmr_b) - (side_1 * position))
((2 + 0.01) - (1 * 1 * 10)) / ((1 * 0.01) - (1 * 1)) = 8.070707070707071
leverage = 5, open_rate = 8, amount = 1.0
((1.6 + 0.01) - (1 * 1 * 8)) / ((1 * 0.01) - (1 * 1)) = 6.454545454545454
leverage = 3, open_rate = 10, amount = 1.0
((2 + 0.01) - (1 * 0.6 * 10)) / ((0.6 * 0.01) - (1 * 0.6)) = 6.717171717171718
leverage = 5, open_rate = 10, amount = 0.6
((1.6 + 0.01) - (1 * 0.6 * 10)) / ((0.6 * 0.01) - (1 * 0.6)) = 7.39057239057239
Gateio/Okex, Short
leverage = 5, open_rate = 10, amount = 1.0
(open_rate + (wallet_balance / position)) / (1 + (mm_ratio + taker_fee_rate))
(10 + (2 / 1.0)) / (1 + (0.01 + 0.0006)) = 11.87413417771621
leverage = 5, open_rate = 10, amount = 2.0
(10 + (4 / 2.0)) / (1 + (0.01 + 0.0006)) = 11.87413417771621
leverage = 3, open_rate = 10, amount = 1.0
(10 + (3.3333333333333 / 1.0)) / (1 - (0.01 + 0.0006)) = 13.476180850346978
leverage = 5, open_rate = 8, amount = 1.0
(8 + (1.6 / 1.0)) / (1 + (0.01 + 0.0006)) = 9.499307342172967
Gateio/Okex, Long
leverage = 5, open_rate = 10, amount = 1.0
(open_rate - (wallet_balance / position)) / (1 - (mm_ratio + taker_fee_rate))
(10 - (2 / 1)) / (1 - (0.01 + 0.0006)) = 8.085708510208207
leverage = 5, open_rate = 10, amount = 2.0
(10 - (4 / 2.0)) / (1 + (0.01 + 0.0006)) = 7.916089451810806
leverage = 3, open_rate = 10, amount = 1.0
(10 - (3.333333333333333333 / 1.0)) / (1 - (0.01 + 0.0006)) = 6.738090425173506
leverage = 5, open_rate = 8, amount = 1.0
(8 - (1.6 / 1.0)) / (1 + (0.01 + 0.0006)) = 6.332871561448645
"""
default_conf_usdt['trading_mode'] = trading_mode
default_conf_usdt['exchange']['name'] = exchange_name
default_conf_usdt['margin_mode'] = margin_mode
mocker.patch('freqtrade.exchange.Gateio.validate_ordertypes')
patch_RPCManager(mocker)
patch_exchange(mocker, id=exchange_name)
freqtrade = FreqtradeBot(default_conf_usdt)
freqtrade.exchange.get_maintenance_ratio_and_amt = MagicMock(return_value=(0.01, 0.01))
freqtrade.exchange.name = exchange_name
# default_conf_usdt.update({
# "dry_run": False,
# })
(interest, liq) = freqtrade.leverage_prep(
pair='ETH/USDT:USDT',
open_rate=open_rate,
amount=amount,
leverage=leverage,
is_short=is_short,
)
assert interest == 0.0
if expected_liq is None:
assert liq is None
else:
isclose(expected_liq, liq)
@pytest.mark.parametrize('trading_mode,calls,t1,t2', [