From d84534cd9643625f60b3035920a61dc2a30c1226 Mon Sep 17 00:00:00 2001 From: Sam Germain Date: Sun, 4 Jul 2021 19:09:20 -0600 Subject: [PATCH] Long tests passing --- freqtrade/persistence/models.py | 4 +- tests/conftest.py | 4 +- tests/test_persistence_long.py | 190 ++++++++++++++++---------------- 3 files changed, 101 insertions(+), 97 deletions(-) diff --git a/freqtrade/persistence/models.py b/freqtrade/persistence/models.py index fe2c7b35c..a4ea38655 100644 --- a/freqtrade/persistence/models.py +++ b/freqtrade/persistence/models.py @@ -587,7 +587,7 @@ class LocalTrade(): return zero open_date = self.open_date.replace(tzinfo=None) - now = datetime.utcnow() # TODO-mg: Update to self.close_date + now = (self.close_date or datetime.utcnow()).replace(tzinfo=None) sec_per_hour = Decimal(3600) total_seconds = Decimal((now - open_date).total_seconds()) hours = total_seconds/sec_per_hour or zero @@ -601,7 +601,7 @@ class LocalTrade(): 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, one)/twenty_four # TODO-mg: Is hours rounded? + return borrowed * rate * max(hours, one)/twenty_four elif self.exchange == 'kraken': # https://support.kraken.com/hc/en-us/articles/206161568-What-are-the-fees-for-margin-trading- opening_fee = borrowed * rate diff --git a/tests/conftest.py b/tests/conftest.py index d67780556..a347bdb57 100644 --- a/tests/conftest.py +++ b/tests/conftest.py @@ -2182,8 +2182,9 @@ def limit_leveraged_buy_order_open(): 'price': 0.00001099, 'amount': 272.97543219, 'filled': 0.0, - 'cost': 0.0029999999997681, + 'cost': 0.0009999999999226999, 'remaining': 272.97543219, + 'leverage': 3.0, 'status': 'open', 'exchange': 'binance' } @@ -2211,6 +2212,7 @@ def limit_leveraged_sell_order_open(): 'amount': 272.97543219, 'filled': 0.0, 'remaining': 272.97543219, + 'leverage': 3.0, 'status': 'open', 'exchange': 'binance' } diff --git a/tests/test_persistence_long.py b/tests/test_persistence_long.py index 8df318314..98b6735e0 100644 --- a/tests/test_persistence_long.py +++ b/tests/test_persistence_long.py @@ -52,10 +52,12 @@ def test_interest_kraken(market_leveraged_buy_order, fee): interest_rate=0.0005 ) + # The trades that last 10 minutes do not need to be rounded because they round up to 4 hours on kraken so we can predict the correct value assert float(trade.calculate_interest()) == 3.7707443218227e-06 trade.open_date = datetime.utcnow() - timedelta(hours=5, minutes=0) - assert float(round(trade.calculate_interest(interest_rate=0.00025), 8) - ) == round(2.3567152011391876e-06, 8) + # The trades that last for 5 hours have to be rounded because the length of time that the test takes will vary every time it runs, so we can't predict the exact value + assert float(round(trade.calculate_interest(interest_rate=0.00025), 11) + ) == round(2.3567152011391876e-06, 11) trade = Trade( pair='ETH/BTC', @@ -70,8 +72,8 @@ def test_interest_kraken(market_leveraged_buy_order, fee): interest_rate=0.0005 ) - assert float(round(trade.calculate_interest(), 8) - ) == round(9.42686080455675e-06, 8) + assert float(round(trade.calculate_interest(), 11) + ) == round(9.42686080455675e-06, 11) trade.open_date = datetime.utcnow() - timedelta(hours=0, minutes=10) assert float(trade.calculate_interest(interest_rate=0.00025)) == 3.7707443218227e-06 @@ -79,33 +81,33 @@ def test_interest_kraken(market_leveraged_buy_order, fee): @pytest.mark.usefixtures("init_persistence") def test_interest_binance(market_leveraged_buy_order, fee): """ - Market trade on Kraken at 3x and 8x leverage + Market trade on Kraken at 3x and 5x leverage Short trade interest_rate: 0.05%, 0.25% per 4 hrs - open_rate: 0.00004099 base - close_rate: 0.00004173 base - stake_amount: 0.0037707443218227 - borrowed: 0.0075414886436454 + open_rate: 0.00001099 base + close_rate: 0.00001173 base + stake_amount: 0.0009999999999226999 + borrowed: 0.0019999999998453998 amount: - 91.99181073 * leverage(3) = 275.97543219 crypto - 91.99181073 * leverage(5) = 459.95905365 crypto + 90.99181073 * leverage(3) = 272.97543219 crypto + 90.99181073 * leverage(5) = 454.95905365 crypto borrowed: - 0.0075414886436454 base - 0.0150829772872908 base - time-periods: 10 minutes(rounds up to 1 time-period of 4hrs) + 0.0019999999998453998 base + 0.0039999999996907995 base + time-periods: 10 minutes(rounds up to 1/24 time-period of 24hrs) 5 hours = 5/24 interest: borrowed * interest_rate * time-periods - = 0.0075414886436454 * 0.0005 * 1/24 = 1.571143467426125e-07 base - = 0.0075414886436454 * 0.00025 * 5/24 = 3.9278586685653125e-07 base - = 0.0150829772872908 * 0.0005 * 5/24 = 1.571143467426125e-06 base - = 0.0150829772872908 * 0.00025 * 1/24 = 1.571143467426125e-07 base + = 0.0019999999998453998 * 0.00050 * 1/24 = 4.166666666344583e-08 base + = 0.0019999999998453998 * 0.00025 * 5/24 = 1.0416666665861459e-07 base + = 0.0039999999996907995 * 0.00050 * 5/24 = 4.1666666663445834e-07 base + = 0.0039999999996907995 * 0.00025 * 1/24 = 4.166666666344583e-08 base """ trade = Trade( pair='ETH/BTC', - stake_amount=0.001, - amount=275.97543219, + stake_amount=0.0009999999999226999, + amount=272.97543219, open_rate=0.00001099, open_date=datetime.utcnow() - timedelta(hours=0, minutes=10), fee_open=fee.return_value, @@ -115,29 +117,30 @@ def test_interest_binance(market_leveraged_buy_order, fee): leverage=3.0, interest_rate=0.0005 ) - - assert float(trade.calculate_interest()) == 1.571143467426125e-07 + # The trades that last 10 minutes do not always need to be rounded because they round up to 4 hours on kraken so we can predict the correct value + assert round(float(trade.calculate_interest()), 22) == round(4.166666666344583e-08, 22) trade.open_date = datetime.utcnow() - timedelta(hours=5, minutes=0) - assert float(round(trade.calculate_interest(interest_rate=0.00025), 8) - ) == 3.9278586685653125e-07 + # The trades that last for 5 hours have to be rounded because the length of time that the test takes will vary every time it runs, so we can't predict the exact value + assert float(round(trade.calculate_interest(interest_rate=0.00025), 14) + ) == round(1.0416666665861459e-07, 14) trade = Trade( pair='ETH/BTC', - stake_amount=0.001, + stake_amount=0.0009999999999226999, amount=459.95905365, open_rate=0.00001099, open_date=datetime.utcnow() - timedelta(hours=5, minutes=0), fee_open=fee.return_value, fee_close=fee.return_value, exchange='binance', - - leverage=3.0, + leverage=5.0, interest_rate=0.0005 ) - assert float(round(trade.calculate_interest(), 8)) == 1.571143467426125e-06 + assert float(round(trade.calculate_interest(), 14)) == round(4.1666666663445834e-07, 14) trade.open_date = datetime.utcnow() - timedelta(hours=0, minutes=10) - assert float(trade.calculate_interest(interest_rate=0.00025)) == 1.571143467426125e-07 + assert float(round(trade.calculate_interest(interest_rate=0.00025), 22) + ) == round(4.166666666344583e-08, 22) @pytest.mark.usefixtures("init_persistence") @@ -221,12 +224,12 @@ def test_calc_open_close_trade_price(limit_leveraged_buy_order, limit_leveraged_ open_value: (amount * open_rate) + (amount * open_rate * fee) = (272.97543219 * 0.00001099) + (272.97543219 * 0.00001099 * 0.0025) = 0.0030074999997675204 - close_value: (amount_closed * close_rate) - (amount_closed * close_rate * fee) - = (272.97543219 * 0.00001173) - (272.97543219 * 0.00001173 * 0.0025) - = 0.003193996815039728 - total_profit = close_value - open_value - interest - = 0.003193996815039728 - 0.0030074999997675204 - 2.0833333331722917e-07 - = 0.00018628848193889054 + close_value: ((amount_closed * close_rate) - (amount_closed * close_rate * fee)) - interest + = (272.97543219 * 0.00001173) - (272.97543219 * 0.00001173 * 0.0025) - 2.0833333331722917e-07 + = 0.003193788481706411 + 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 @@ -244,15 +247,15 @@ def test_calc_open_close_trade_price(limit_leveraged_buy_order, limit_leveraged_ ) trade.open_order_id = 'something' trade.update(limit_leveraged_buy_order) - assert trade._calc_open_trade_value() == 0.0030074999997675204 + assert trade._calc_open_trade_value() == 0.00300749999976752 trade.update(limit_leveraged_sell_order) # Will be slightly different due to slight changes in compilation time, and the fact that interest depends on time - assert round(trade.calc_close_trade_value(), 11) == round(0.003193996815039728, 11) + assert round(trade.calc_close_trade_value(), 11) == round(0.003193788481706411, 11) # Profit in BTC - assert round(trade.calc_profit(), 8) == round(0.18628848195329067, 8) + assert round(trade.calc_profit(), 8) == round(0.00018628848193889054, 8) # Profit in percent - # assert round(trade.calc_profit_ratio(), 11) == round(0.05822425142973869, 11) + assert round(trade.calc_profit_ratio(), 8) == round(0.18628848195329067, 8) @pytest.mark.usefixtures("init_persistence") @@ -272,11 +275,11 @@ def test_trade_close(fee): open_value: (amount * open_rate) + (amount * open_rate * fee) = (15 * 0.1) + (15 * 0.1 * 0.0025) = 1.50375 - close_value: (amount_closed * close_rate) + (amount_closed * close_rate * fee) - = (15 * 0.2) - (15 * 0.2 * 0.0025) - = 2.9925 - total_profit = close_value - open_value - interest - = 2.9925 - 1.50375 - 0.000625 + close_value: (amount_closed * close_rate) + (amount_closed * close_rate * fee) - interest + = (15 * 0.2) - (15 * 0.2 * 0.0025) - 0.000625 + = 2.9918750000000003 + total_profit = close_value - open_value + = 2.9918750000000003 - 1.50375 = 1.4881250000000001 total_profit_percentage = total_profit / stake_amount = 1.4881250000000001 / 0.5 @@ -284,9 +287,9 @@ def test_trade_close(fee): """ trade = Trade( pair='ETH/BTC', - stake_amount=0.1, - open_rate=0.01, - amount=5, + stake_amount=0.5, + open_rate=0.1, + amount=15, is_open=True, fee_open=fee.return_value, fee_close=fee.return_value, @@ -298,7 +301,7 @@ def test_trade_close(fee): assert trade.close_profit is None assert trade.close_date is None assert trade.is_open is True - trade.close(0.02) + trade.close(0.2) assert trade.is_open is False assert trade.close_profit == round(2.9762500000000003, 8) assert trade.close_date is not None @@ -331,17 +334,17 @@ def test_calc_close_trade_price(market_leveraged_buy_order, market_leveraged_sel open_value: (amount * open_rate) + (amount * open_rate * fee) = (275.97543219 * 0.00004099) + (275.97543219 * 0.00004099 * 0.0025) = 0.01134051354788177 - close_value: (amount_closed * close_rate) - (amount_closed * close_rate * fee) - = (275.97543219 * 0.00001234) - (275.97543219 * 0.00001234 * 0.0025) = 0.0033970229911415386 - = (275.97543219 * 0.00001234) - (275.97543219 * 0.00001234 * 0.003) = 0.0033953202227249265 - = (275.97543219 * 0.00004173) - (275.97543219 * 0.00004173 * 0.005) = 0.011458872511362258 + close_value: (amount_closed * close_rate) - (amount_closed * close_rate * fee) - interest + = (275.97543219 * 0.00001234) - (275.97543219 * 0.00001234 * 0.0025) - 3.7707443218227e-06 = 0.003393252246819716 + = (275.97543219 * 0.00001234) - (275.97543219 * 0.00001234 * 0.003) - 3.7707443218227e-06 = 0.003391549478403104 + = (275.97543219 * 0.00004173) - (275.97543219 * 0.00004173 * 0.005) - 3.7707443218227e-06 = 0.011455101767040435 """ trade = Trade( pair='ETH/BTC', - stake_amount=0.001, + stake_amount=0.0037707443218227, amount=5, - open_rate=0.00001099, + open_rate=0.00004099, fee_open=fee.return_value, fee_close=fee.return_value, open_date=datetime.utcnow() - timedelta(hours=0, minutes=10), @@ -353,16 +356,16 @@ def test_calc_close_trade_price(market_leveraged_buy_order, market_leveraged_sel trade.open_order_id = 'close_trade' trade.update(market_leveraged_buy_order) # Buy @ 0.00001099 # Get the close rate price with a custom close rate and a regular fee rate - assert isclose(trade.calc_close_trade_value(rate=0.00001234), 0.0033970229911415386) + assert isclose(trade.calc_close_trade_value(rate=0.00001234), 0.003393252246819716) # Get the close rate price with a custom close rate and a custom fee rate - assert isclose(trade.calc_close_trade_value(rate=0.00001234, fee=0.003), 0.0033953202227249265) + assert isclose(trade.calc_close_trade_value(rate=0.00001234, fee=0.003), 0.003391549478403104) # Test when we apply a Sell order, and ask price with a custom fee rate trade.update(market_leveraged_sell_order) - assert isclose(trade.calc_close_trade_value(fee=0.005), 0.011458872511362258) + assert isclose(trade.calc_close_trade_value(fee=0.005), 0.011455101767040435) @pytest.mark.usefixtures("init_persistence") -def test_update_with_binance(limit_leveraged_buy_order, limit_leveraged_sell_order, fee, caplog): +def test_update_limit_order(limit_leveraged_buy_order, limit_leveraged_sell_order, fee, caplog): """ 10 minute leveraged limit trade on binance at 3x leverage @@ -401,14 +404,13 @@ def test_update_with_binance(limit_leveraged_buy_order, limit_leveraged_sell_ord open_date=datetime.utcnow() - timedelta(hours=0, minutes=10), fee_open=fee.return_value, fee_close=fee.return_value, - leveage=3.0, + leverage=3.0, interest_rate=0.0005, exchange='binance' ) # assert trade.open_order_id is None assert trade.close_profit is None assert trade.close_date is None - assert trade.borrowed is None # trade.open_order_id = 'something' trade.update(limit_leveraged_buy_order) @@ -425,7 +427,7 @@ def test_update_with_binance(limit_leveraged_buy_order, limit_leveraged_sell_ord trade.update(limit_leveraged_sell_order) # assert trade.open_order_id is None assert trade.close_rate == 0.00001173 - assert trade.close_profit == 0.18645514861995735 + assert trade.close_profit == round(0.18645514861995735, 8) assert trade.close_date is not None assert log_has_re(r"LIMIT_SELL has been fulfilled for Trade\(id=2, " r"pair=ETH/BTC, amount=272.97543219, open_rate=0.00001099, open_since=.*\).", @@ -433,7 +435,7 @@ def test_update_with_binance(limit_leveraged_buy_order, limit_leveraged_sell_ord @pytest.mark.usefixtures("init_persistence") -def test_update_market_order(limit_leveraged_buy_order, limit_leveraged_sell_order, fee, caplog): +def test_update_market_order(market_leveraged_buy_order, market_leveraged_sell_order, fee, caplog): """ 10 minute leveraged market trade on Kraken at 3x leverage Short trade @@ -465,7 +467,7 @@ def test_update_market_order(limit_leveraged_buy_order, limit_leveraged_sell_ord pair='ETH/BTC', stake_amount=0.0037707443218227, amount=5, - open_rate=0.01, + open_rate=0.00004099, is_open=True, leverage=3, fee_open=fee.return_value, @@ -475,7 +477,7 @@ def test_update_market_order(limit_leveraged_buy_order, limit_leveraged_sell_ord exchange='kraken' ) trade.open_order_id = 'something' - trade.update(limit_leveraged_buy_order) + trade.update(market_leveraged_buy_order) assert trade.leverage == 3.0 assert trade.open_order_id is None assert trade.open_rate == 0.00004099 @@ -490,10 +492,10 @@ def test_update_market_order(limit_leveraged_buy_order, limit_leveraged_sell_ord caplog.clear() trade.is_open = True trade.open_order_id = 'something' - trade.update(limit_leveraged_sell_order) + trade.update(market_leveraged_sell_order) assert trade.open_order_id is None assert trade.close_rate == 0.00004173 - assert trade.close_profit == 0.03802415223225211 + assert trade.close_profit == round(0.03802415223225211, 8) assert trade.close_date is not None # TODO: The amount should maybe be the opening amount + the interest # TODO: Uncomment the next assert and make it work. @@ -537,32 +539,32 @@ def test_calc_profit(market_leveraged_buy_order, market_leveraged_sell_order, fe 5 hours = 5/4 interest: borrowed * interest_rate * time-periods - = 0.0075414886436454 * 0.0005 * 1 = 3.7707443218227e-06 crypto + = 0.0075414886436454 * 0.0005 * 1 = 3.7707443218227e-06 crypto = 0.0075414886436454 * 0.00025 * 5/4 = 2.3567152011391876e-06 crypto - = 0.0075414886436454 * 0.0005 * 5/4 = 4.713430402278375e-06 crypto - = 0.0075414886436454 * 0.00025 * 1 = 1.88537216091135e-06 crypto + = 0.0075414886436454 * 0.0005 * 5/4 = 4.713430402278375e-06 crypto + = 0.0075414886436454 * 0.00025 * 1 = 1.88537216091135e-06 crypto open_value: (amount * open_rate) + (amount * open_rate * fee) = (275.97543219 * 0.00004099) + (275.97543219 * 0.00004099 * 0.0025) = 0.01134051354788177 - close_value: (amount_closed * close_rate) - (amount_closed * close_rate * fee) - (275.97543219 * 0.00005374) - (275.97543219 * 0.00005374 * 0.0025) = 0.014793842426575873 - (275.97543219 * 0.00000437) - (275.97543219 * 0.00000437 * 0.0025) = 0.0012029976070736241 - (275.97543219 * 0.00005374) - (275.97543219 * 0.00005374 * 0.003) = 0.014786426966712927 - (275.97543219 * 0.00000437) - (275.97543219 * 0.00000437 * 0.003) = 0.0012023946007542888 + close_value: (amount_closed * close_rate) - (amount_closed * close_rate * fee) - interest + (275.97543219 * 0.00005374) - (275.97543219 * 0.00005374 * 0.0025) - 3.7707443218227e-06 = 0.01479007168225405 + (275.97543219 * 0.00000437) - (275.97543219 * 0.00000437 * 0.0025) - 2.3567152011391876e-06 = 0.001200640891872485 + (275.97543219 * 0.00005374) - (275.97543219 * 0.00005374 * 0.003) - 4.713430402278375e-06 = 0.014781713536310649 + (275.97543219 * 0.00000437) - (275.97543219 * 0.00000437 * 0.003) - 1.88537216091135e-06 = 0.0012005092285933775 total_profit = close_value - open_value - = 0.014793842426575873 - 0.01134051354788177 = 0.003453328878694104 - = 0.0012029976070736241 - 0.01134051354788177 = -0.010137515940808145 - = 0.014786426966712927 - 0.01134051354788177 = 0.0034459134188311574 - = 0.0012023946007542888 - 0.01134051354788177 = -0.01013811894712748 + = 0.01479007168225405 - 0.01134051354788177 = 0.003449558134372281 + = 0.001200640891872485 - 0.01134051354788177 = -0.010139872656009285 + = 0.014781713536310649 - 0.01134051354788177 = 0.0034411999884288794 + = 0.0012005092285933775 - 0.01134051354788177 = -0.010140004319288392 total_profit_percentage = total_profit / stake_amount - 0.003453328878694104/0.0037707443218227 = 0.9158215418394733 - -0.010137515940808145/0.0037707443218227 = -2.6884654793852154 - 0.0034459134188311574/0.0037707443218227 = 0.9138549646255183 - -0.01013811894712748/0.0037707443218227 = -2.6886253964381557 + 0.003449558134372281/0.0037707443218227 = 0.9148215418394732 + -0.010139872656009285/0.0037707443218227 = -2.6890904793852157 + 0.0034411999884288794/0.0037707443218227 = 0.9126049646255184 + -0.010140004319288392/0.0037707443218227 = -2.6891253964381554 """ trade = Trade( pair='ETH/BTC', - stake_amount=0.0038388182617629, + stake_amount=0.0037707443218227, amount=5, open_rate=0.00004099, open_date=datetime.utcnow() - timedelta(hours=0, minutes=10), @@ -577,31 +579,31 @@ def test_calc_profit(market_leveraged_buy_order, market_leveraged_sell_order, fe # Custom closing rate and regular fee rate # Higher than open rate - assert trade.calc_profit(rate=0.00004374, interest_rate=0.0005) == round( - 0.003453328878694104, 8) + assert trade.calc_profit(rate=0.00005374, interest_rate=0.0005) == round( + 0.003449558134372281, 8) assert trade.calc_profit_ratio( - rate=0.00004374, interest_rate=0.0005) == round(0.9158215418394733, 8) + rate=0.00005374, interest_rate=0.0005) == round(0.9148215418394732, 8) # Lower than open rate trade.open_date = datetime.utcnow() - timedelta(hours=5, minutes=0) assert trade.calc_profit( - rate=0.00000437, interest_rate=0.00025) == round(-0.010137515940808145, 8) + rate=0.00000437, interest_rate=0.00025) == round(-0.010139872656009285, 8) assert trade.calc_profit_ratio( - rate=0.00000437, interest_rate=0.00025) == round(-2.6884654793852154, 8) + rate=0.00000437, interest_rate=0.00025) == round(-2.6890904793852157, 8) # Custom closing rate and custom fee rate # Higher than open rate - assert trade.calc_profit(rate=0.00004374, fee=0.003, - interest_rate=0.0005) == round(0.0034459134188311574, 8) - assert trade.calc_profit_ratio(rate=0.00004374, fee=0.003, - interest_rate=0.0005) == round(0.9138549646255183, 8) + assert trade.calc_profit(rate=0.00005374, fee=0.003, + interest_rate=0.0005) == round(0.0034411999884288794, 8) + assert trade.calc_profit_ratio(rate=0.00005374, fee=0.003, + interest_rate=0.0005) == round(0.9126049646255184, 8) # Lower than open rate trade.open_date = datetime.utcnow() - timedelta(hours=0, minutes=10) assert trade.calc_profit(rate=0.00000437, fee=0.003, - interest_rate=0.00025) == round(-0.01013811894712748, 8) + interest_rate=0.00025) == round(-0.010140004319288392, 8) assert trade.calc_profit_ratio(rate=0.00000437, fee=0.003, - interest_rate=0.00025) == round(-2.6886253964381557, 8) + interest_rate=0.00025) == round(-2.6891253964381554, 8) # Test when we apply a Sell order. Sell higher than open rate @ 0.00001173 trade.update(market_leveraged_sell_order)