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Long tests passing

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This commit is contained in:
Sam Germain 2021-07-04 19:09:20 -06:00
parent 356ec4e44a
commit d9084accf9
3 changed files with 101 additions and 97 deletions
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4
freqtrade/persistence/models.py
View File

@ -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

4
tests/conftest.py
View File

@ -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'
}

190
tests/test_persistence_long.py
View File

@ -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)