diff --git a/freqtrade/enums/interestmode.py b/freqtrade/enums/interestmode.py index f28193d9b..4128fc7a0 100644 --- a/freqtrade/enums/interestmode.py +++ b/freqtrade/enums/interestmode.py @@ -1,5 +1,6 @@ from decimal import Decimal from enum import Enum +from math import ceil from freqtrade.exceptions import OperationalException @@ -21,8 +22,9 @@ class InterestMode(Enum): borrowed, rate, hours = kwargs["borrowed"], kwargs["rate"], kwargs["hours"] if self.name == "HOURSPERDAY": - return borrowed * rate * max(hours, one)/twenty_four + return borrowed * rate * ceil(hours)/twenty_four elif self.name == "HOURSPER4": - return borrowed * rate * (1 + max(0, (hours-four)/four)) + # Probably rounded based on https://kraken-fees-calculator.github.io/ + return borrowed * rate * (1+ceil(hours/four)) else: raise OperationalException("Leverage not available on this exchange with freqtrade") diff --git a/freqtrade/persistence/models.py b/freqtrade/persistence/models.py index a2ca7badb..2428c7d24 100644 --- a/freqtrade/persistence/models.py +++ b/freqtrade/persistence/models.py @@ -609,14 +609,12 @@ class LocalTrade(): def update_order(self, order: Dict) -> None: Order.update_orders(self.orders, order) - def _calc_open_trade_value(self, amount: Optional[float] = None) -> float: + def _calc_open_trade_value(self) -> float: """ Calculate the open_rate including open_fee. :return: Price in of the open trade incl. Fees """ - if amount is None: - amount = self.amount - open_trade = Decimal(amount) * Decimal(self.open_rate) + open_trade = Decimal(self.amount) * Decimal(self.open_rate) fees = open_trade * Decimal(self.fee_open) if self.is_short: return float(open_trade - fees) @@ -653,7 +651,6 @@ class LocalTrade(): return self.interest_mode(borrowed=borrowed, rate=rate, hours=hours) def calc_close_trade_value(self, rate: Optional[float] = None, - fee: Optional[float] = None, interest_rate: Optional[float] = None) -> float: """ @@ -721,30 +718,23 @@ class LocalTrade(): If interest_rate is not set self.interest_rate will be used :return: profit ratio as float """ - close_trade_value = self.calc_close_trade_value( rate=(rate or self.close_rate), fee=(fee or self.fee_close), interest_rate=(interest_rate or self.interest_rate) ) - if self.leverage is None: - leverage = 1.0 - else: - leverage = self.leverage - - stake_value = self._calc_open_trade_value(amount=(self.amount/leverage)) - short_close_zero = (self.is_short and close_trade_value == 0.0) long_close_zero = (not self.is_short and self.open_trade_value == 0.0) + leverage = self.leverage or 1.0 if (short_close_zero or long_close_zero): return 0.0 else: if self.is_short: - profit_ratio = ((self.open_trade_value - close_trade_value) / stake_value) + profit_ratio = (1 - (close_trade_value/self.open_trade_value)) * leverage else: - profit_ratio = ((close_trade_value - self.open_trade_value) / stake_value) + profit_ratio = ((close_trade_value/self.open_trade_value) - 1) * leverage return float(f"{profit_ratio:.8f}") diff --git a/tests/conftest_trades.py b/tests/conftest_trades.py index e4290231c..00ffd3fe4 100644 --- a/tests/conftest_trades.py +++ b/tests/conftest_trades.py @@ -434,22 +434,22 @@ def leverage_trade(fee): stake_amount: 15.129 base borrowed: 60.516 base leverage: 5 - time-periods: 5 hrs( 5/4 time-period of 4 hours) - interest: borrowed * interest_rate * time-periods - = 60.516 * 0.0005 * 5/4 = 0.0378225 base + hours: 5 + interest: borrowed * interest_rate * ceil(1 + hours/4) + = 60.516 * 0.0005 * ceil(1 + 5/4) = 0.090774 base open_value: (amount * open_rate) + (amount * open_rate * fee) = (615.0 * 0.123) + (615.0 * 0.123 * 0.0025) = 75.83411249999999 close_value: (amount_closed * close_rate) - (amount_closed * close_rate * fee) - interest - = (615.0 * 0.128) - (615.0 * 0.128 * 0.0025) - 0.0378225 - = 78.4853775 + = (615.0 * 0.128) - (615.0 * 0.128 * 0.0025) - 0.090774 + = 78.432426 total_profit = close_value - open_value - = 78.4853775 - 75.83411249999999 - = 2.6512650000000093 - total_profit_percentage = total_profit / stake_amount - = 2.6512650000000093 / 15.129 - = 0.17524390243902502 + = 78.432426 - 75.83411249999999 + = 2.5983135000000175 + total_profit_percentage = ((close_value/open_value)-1) * leverage + = ((78.432426/75.83411249999999)-1) * 5 + = 0.1713156134055116 """ trade = Trade( pair='DOGE/BTC', @@ -461,8 +461,8 @@ def leverage_trade(fee): fee_close=fee.return_value, open_rate=0.123, close_rate=0.128, - close_profit=0.17524390243902502, - close_profit_abs=2.6512650000000093, + close_profit=0.1713156134055116, + close_profit_abs=2.5983135000000175, exchange='kraken', is_open=False, open_order_id='dry_run_leverage_sell_12345', diff --git a/tests/persistence/test_persistence.py b/tests/persistence/test_persistence.py index 9adb80b2a..4fc979568 100644 --- a/tests/persistence/test_persistence.py +++ b/tests/persistence/test_persistence.py @@ -238,7 +238,6 @@ 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, diff --git a/tests/persistence/test_persistence_leverage.py b/tests/persistence/test_persistence_leverage.py index d2345163d..a5b5178d1 100644 --- a/tests/persistence/test_persistence_leverage.py +++ b/tests/persistence/test_persistence_leverage.py @@ -27,11 +27,11 @@ def test_interest_kraken_lev(market_lev_buy_order, fee): time-periods: 10 minutes(rounds up to 1 time-period of 4hrs) 5 hours = 5/4 - interest: borrowed * interest_rate * time-periods - = 0.0075414886436454 * 0.0005 * 1 = 3.7707443218227e-06 base - = 0.0075414886436454 * 0.00025 * 5/4 = 2.3567152011391876e-06 base - = 0.0150829772872908 * 0.0005 * 5/4 = 9.42686080455675e-06 base - = 0.0150829772872908 * 0.00025 * 1 = 3.7707443218227e-06 base + interest: borrowed * interest_rate * ceil(1 + time-periods) + = 0.0075414886436454 * 0.0005 * ceil(2) = 7.5414886436454e-06 base + = 0.0075414886436454 * 0.00025 * ceil(9/4) = 5.65611648273405e-06 base + = 0.0150829772872908 * 0.0005 * ceil(9/4) = 2.26244659309362e-05 base + = 0.0150829772872908 * 0.00025 * ceil(2) = 7.5414886436454e-06 base """ trade = Trade( @@ -48,19 +48,17 @@ def test_interest_kraken_lev(market_lev_buy_order, fee): interest_mode=InterestMode.HOURSPER4 ) - # 10 minutes round up to 4 hours evenly on kraken so we can predict the exact value - assert float(trade.calculate_interest()) == 3.7707443218227e-06 - trade.open_date = datetime.utcnow() - timedelta(hours=5, minutes=0) - # All trade > 5 hours will vary slightly due to execution time and interest calculated + assert float(trade.calculate_interest()) == 7.5414886436454e-06 + trade.open_date = datetime.utcnow() - timedelta(hours=4, minutes=55) assert float(round(trade.calculate_interest(interest_rate=0.00025), 11) - ) == round(2.3567152011391876e-06, 11) + ) == round(5.65611648273405e-06, 11) trade = Trade( pair='ETH/BTC', stake_amount=0.0037707443218227, amount=459.95905365, open_rate=0.00001099, - open_date=datetime.utcnow() - timedelta(hours=5, minutes=0), + open_date=datetime.utcnow() - timedelta(hours=4, minutes=55), fee_open=fee.return_value, fee_close=fee.return_value, exchange='kraken', @@ -70,9 +68,10 @@ def test_interest_kraken_lev(market_lev_buy_order, fee): ) assert float(round(trade.calculate_interest(), 11) - ) == round(9.42686080455675e-06, 11) + ) == round(2.26244659309362e-05, 11) trade.open_date = datetime.utcnow() - timedelta(hours=0, minutes=10) - assert float(trade.calculate_interest(interest_rate=0.00025)) == 3.7707443218227e-06 + trade.interest_rate = 0.00025 + assert float(trade.calculate_interest(interest_rate=0.00025)) == 7.5414886436454e-06 @pytest.mark.usefixtures("init_persistence") @@ -116,7 +115,7 @@ def test_interest_binance_lev(market_lev_buy_order, fee): ) # 10 minutes round up to 4 hours evenly on kraken so we can predict the them more accurately assert round(float(trade.calculate_interest()), 22) == round(4.166666666344583e-08, 22) - trade.open_date = datetime.utcnow() - timedelta(hours=5, minutes=0) + trade.open_date = datetime.utcnow() - timedelta(hours=4, minutes=55) # All trade > 5 hours will vary slightly due to execution time and interest calculated assert float(round(trade.calculate_interest(interest_rate=0.00025), 14) ) == round(1.0416666665861459e-07, 14) @@ -126,7 +125,7 @@ def test_interest_binance_lev(market_lev_buy_order, fee): stake_amount=0.0009999999999226999, amount=459.95905365, open_rate=0.00001099, - open_date=datetime.utcnow() - timedelta(hours=5, minutes=0), + open_date=datetime.utcnow() - timedelta(hours=4, minutes=55), fee_open=fee.return_value, fee_close=fee.return_value, exchange='binance', @@ -178,7 +177,7 @@ def test_calc_open_trade_value_lev(market_lev_buy_order, fee): borrowed: 0.0075414886436454 base time-periods: 10 minutes(rounds up to 1 time-period of 4hrs) interest: borrowed * interest_rate * time-periods - = 0.0075414886436454 * 0.0005 * 1 = 3.7707443218227e-06 crypto + = 0.0075414886436454 * 0.0005 * 1 = 7.5414886436454e-06 crypto open_value: (amount * open_rate) + (amount * open_rate * fee) = (275.97543219 * 0.00004099) + (275.97543219 * 0.00004099 * 0.0025) = 0.01134051354788177 @@ -243,7 +242,7 @@ def test_calc_open_close_trade_price_lev(limit_lev_buy_order, limit_lev_sell_ord stake_amount=0.0009999999999226999, open_rate=0.01, amount=5, - open_date=datetime.utcnow() - timedelta(hours=5, minutes=0), + open_date=datetime.utcnow() - timedelta(hours=4, minutes=55), fee_open=fee.return_value, fee_close=fee.return_value, exchange='binance', @@ -275,23 +274,20 @@ def test_trade_close_lev(fee): stake_amount: 0.5 borrowed: 1 base time-periods: 5/4 periods of 4hrs - interest: borrowed * interest_rate * time-periods - = 1 * 0.0005 * 5/4 = 0.000625 crypto + interest: borrowed * interest_rate * ceil(1 + time-periods) + = 1 * 0.0005 * ceil(9/4) = 0.0015 crypto open_value: (amount * open_rate) + (amount * open_rate * fee) = (15 * 0.1) + (15 * 0.1 * 0.0025) = 1.50375 close_value: (amount * close_rate) + (amount * close_rate * fee) - interest - = (15 * 0.2) - (15 * 0.2 * 0.0025) - 0.000625 - = 2.9918750000000003 - stake_value: (amount/lev * open_rate) + (amount/lev * open_rate * fee) - = ((15/3) * 0.1) + ((15/3) * 0.1 * 0.0025) - = 0.50125 + = (15 * 0.2) - (15 * 0.2 * 0.0025) - 0.0015 + = 2.991 total_profit = close_value - open_value - = 2.9918750000000003 - 1.50375 - = 1.4881250000000001 - total_profit_ratio = total_profit / stake_value - = 1.4881250000000001 / 0.50125 - = 2.968827930174564 + = 2.991 - 1.50375 + = 1.4872500000000002 + total_profit_ratio = ((close_value/open_value) - 1) * leverage + = ((2.991/1.50375) - 1) * 3 + = 2.96708229426434 """ trade = Trade( pair='ETH/BTC', @@ -301,7 +297,7 @@ def test_trade_close_lev(fee): is_open=True, fee_open=fee.return_value, fee_close=fee.return_value, - open_date=datetime.utcnow() - timedelta(hours=5, minutes=0), + open_date=datetime.utcnow() - timedelta(hours=4, minutes=55), exchange='kraken', leverage=3.0, interest_rate=0.0005, @@ -312,7 +308,7 @@ def test_trade_close_lev(fee): assert trade.is_open is True trade.close(0.2) assert trade.is_open is False - assert trade.close_profit == round(2.968827930174564, 8) + assert trade.close_profit == round(2.96708229426434, 8) assert trade.close_date is not None # TODO-mg: Remove these comments probably @@ -337,19 +333,19 @@ def test_calc_close_trade_price_lev(market_lev_buy_order, market_lev_sell_order, amount: 91.99181073 * leverage(3) = 275.97543219 crypto stake_amount: 0.0037707443218227 borrowed: 0.0075414886436454 base - time-periods: 10 minutes(rounds up to 1 time-period of 4hrs) + time-periods: 10 minutes = 2 interest: borrowed * interest_rate * time-periods - = 0.0075414886436454 * 0.0005 * 1 = 3.7707443218227e-06 crypto + = 0.0075414886436454 * 0.0005 * 2 = 7.5414886436454e-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) - 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 + = (275.97543219 * 0.00001234) - (275.97543219 * 0.00001234 * 0.0025) - 7.5414886436454e-06 + = 0.0033894815024978933 + = (275.97543219 * 0.00001234) - (275.97543219 * 0.00001234 * 0.003) - 7.5414886436454e-06 + = 0.003387778734081281 + = (275.97543219 * 0.00004173) - (275.97543219 * 0.00004173 * 0.005) - 7.5414886436454e-06 + = 0.011451331022718612 """ trade = Trade( pair='ETH/BTC', @@ -367,12 +363,12 @@ def test_calc_close_trade_price_lev(market_lev_buy_order, market_lev_sell_order, trade.open_order_id = 'close_trade' trade.update(market_lev_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), 0.003393252246819716) + assert isclose(trade.calc_close_trade_value(rate=0.00001234), 0.0033894815024978933) # 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), 0.003391549478403104) + assert isclose(trade.calc_close_trade_value(rate=0.00001234, fee=0.003), 0.003387778734081281) # Test when we apply a Sell order, and ask price with a custom fee rate trade.update(market_lev_sell_order) - assert isclose(trade.calc_close_trade_value(fee=0.005), 0.011455101767040435) + assert isclose(trade.calc_close_trade_value(fee=0.005), 0.011451331022718612) @pytest.mark.usefixtures("init_persistence") @@ -394,6 +390,9 @@ def test_update_limit_order_lev(limit_lev_buy_order, limit_lev_sell_order, fee, open_value: (amount * open_rate) + (amount * open_rate * fee) = (272.97543219 * 0.00001099) + (272.97543219 * 0.00001099 * 0.0025) = 0.0030074999997675204 + stake_value = (amount/lev * open_rate) + (amount/lev * open_rate * fee) + = (272.97543219 * 0.00001099) + (272.97543219 * 0.00001099 * 0.0025) + = 0.0010024999999225066 close_value: (amount_closed * close_rate) - (amount_closed * close_rate * fee) = (272.97543219 * 0.00001173) - (272.97543219 * 0.00001173 * 0.0025) = 0.003193996815039728 @@ -460,24 +459,23 @@ def test_update_market_order_lev(market_lev_buy_order, market_lev_sell_order, fe amount: = 275.97543219 crypto stake_amount: 0.0037707443218227 borrowed: 0.0075414886436454 base - time-periods: 10 minutes(rounds up to 1 time-period of 4hrs) - interest: borrowed * interest_rate * time-periods - = 0.0075414886436454 * 0.0005 * 1 = 3.7707443218227e-06 crypto + interest: borrowed * interest_rate * 1+ceil(hours) + = 0.0075414886436454 * 0.0005 * (1+ceil(1)) = 7.5414886436454e-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 * 0.00004173) - (275.97543219 * 0.00004173 * 0.0025) - = 0.011487663648325479 + close_value: (amount_closed * close_rate) - (amount_closed * close_rate * fee) - interest + = (275.97543219 * 0.00004173) - (275.97543219 * 0.00004173 * 0.0025) - 7.5414886436454e-06 + = 0.011480122159681833 stake_value: (amount/lev * open_rate) + (amount/lev * open_rate * fee) = (275.97543219/3 * 0.00004099) + (275.97543219/3 * 0.00004099 * 0.0025) = 0.0037801711826272568 - total_profit = close_value - open_value - interest - = 0.011487663648325479 - 0.01134051354788177 - 3.7707443218227e-06 - = 0.0001433793561218866 - total_profit_percentage = total_profit / stake_value - = 0.0001433793561218866 / 0.0037801711826272568 - = 0.03792932890997717 + total_profit = close_value - open_value + = 0.011480122159681833 - 0.01134051354788177 + = 0.00013960861180006392 + total_profit_percentage = ((close_value/open_value) - 1) * leverage + = ((0.011480122159681833 / 0.01134051354788177)-1) * 3 + = 0.036931822675563275 """ trade = Trade( id=1, @@ -512,7 +510,7 @@ def test_update_market_order_lev(market_lev_buy_order, market_lev_sell_order, fe trade.update(market_lev_sell_order) assert trade.open_order_id is None assert trade.close_rate == 0.00004173 - assert trade.close_profit == round(0.03792932890997717, 8) + assert trade.close_profit == round(0.036931822675563275, 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. @@ -552,39 +550,38 @@ def test_calc_profit_lev(market_lev_buy_order, market_lev_sell_order, fee): stake_amount: 0.0037707443218227 amount: 91.99181073 * leverage(3) = 275.97543219 crypto borrowed: 0.0075414886436454 base - time-periods: 10 minutes(rounds up to 1 time-period of 4hrs) - 5 hours = 5/4 + hours: 1/6, 5 hours - interest: borrowed * interest_rate * time-periods - = 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 + interest: borrowed * interest_rate * ceil(1+hours/4) + = 0.0075414886436454 * 0.0005 * ceil(1+((1/6)/4)) = 7.5414886436454e-06 crypto + = 0.0075414886436454 * 0.00025 * ceil(1+(5/4)) = 5.65611648273405e-06 crypto + = 0.0075414886436454 * 0.0005 * ceil(1+(5/4)) = 1.13122329654681e-05 crypto + = 0.0075414886436454 * 0.00025 * ceil(1+((1/6)/4)) = 3.7707443218227e-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) - 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 + (275.97543219 * 0.00005374) - (275.97543219 * 0.00005374 * 0.0025) - 7.5414886436454e-06 + = 0.014786300937932227 + (275.97543219 * 0.00000437) - (275.97543219 * 0.00000437 * 0.0025) - 5.65611648273405e-06 + = 0.0011973414905908902 + (275.97543219 * 0.00005374) - (275.97543219 * 0.00005374 * 0.003) - 1.13122329654681e-05 + = 0.01477511473374746 + (275.97543219 * 0.00000437) - (275.97543219 * 0.00000437 * 0.003) - 3.7707443218227e-06 + = 0.0011986238564324662 stake_value: (amount/lev * open_rate) + (amount/lev * open_rate * fee) = (275.97543219/3 * 0.00004099) + (275.97543219/3 * 0.00004099 * 0.0025) = 0.0037801711826272568 total_profit = close_value - open_value - = 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_value - 0.003449558134372281/0.0037801711826272568 = 0.9125401913610705 - -0.010139872656009285/0.0037801711826272568 = -2.682384518089991 - 0.0034411999884288794/0.0037801711826272568 = 0.9103291417710906 - -0.010140004319288392/0.0037801711826272568 = -2.6824193480679854 + = 0.014786300937932227 - 0.01134051354788177 = 0.0034457873900504577 + = 0.0011973414905908902 - 0.01134051354788177 = -0.01014317205729088 + = 0.01477511473374746 - 0.01134051354788177 = 0.00343460118586569 + = 0.0011986238564324662 - 0.01134051354788177 = -0.010141889691449303 + total_profit_percentage = ((close_value/open_value) - 1) * leverage + ((0.014786300937932227/0.01134051354788177) - 1) * 3 = 0.9115426851266561 + ((0.0011973414905908902/0.01134051354788177) - 1) * 3 = -2.683257336045103 + ((0.01477511473374746/0.01134051354788177) - 1) * 3 = 0.908583505860866 + ((0.0011986238564324662/0.01134051354788177) - 1) * 3 = -2.6829181011851926 """ trade = Trade( @@ -606,35 +603,35 @@ def test_calc_profit_lev(market_lev_buy_order, market_lev_sell_order, fee): # Higher than open rate assert trade.calc_profit(rate=0.00005374, interest_rate=0.0005) == round( - 0.003449558134372281, 8) + 0.0034457873900504577, 8) assert trade.calc_profit_ratio( - rate=0.00005374, interest_rate=0.0005) == round(0.9125401913610705, 8) + rate=0.00005374, interest_rate=0.0005) == round(0.9115426851266561, 8) # Lower than open rate - trade.open_date = datetime.utcnow() - timedelta(hours=5, minutes=0) + trade.open_date = datetime.utcnow() - timedelta(hours=4, minutes=55) assert trade.calc_profit( - rate=0.00000437, interest_rate=0.00025) == round(-0.010139872656009285, 8) + rate=0.00000437, interest_rate=0.00025) == round(-0.01014317205729088, 8) assert trade.calc_profit_ratio( - rate=0.00000437, interest_rate=0.00025) == round(-2.682384518089991, 8) + rate=0.00000437, interest_rate=0.00025) == round(-2.683257336045103, 8) # Custom closing rate and custom fee rate # Higher than open rate assert trade.calc_profit(rate=0.00005374, fee=0.003, - interest_rate=0.0005) == round(0.0034411999884288794, 8) + interest_rate=0.0005) == round(0.00343460118586569, 8) assert trade.calc_profit_ratio(rate=0.00005374, fee=0.003, - interest_rate=0.0005) == round(0.9103291417710906, 8) + interest_rate=0.0005) == round(0.908583505860866, 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(-0.010140004319288392, 8) + interest_rate=0.00025) == round(-0.010141889691449303, 8) assert trade.calc_profit_ratio(rate=0.00000437, fee=0.003, - interest_rate=0.00025) == round(-2.6824193480679854, 8) + interest_rate=0.00025) == round(-2.6829181011851926, 8) # Test when we apply a Sell order. Sell higher than open rate @ 0.00001173 trade.update(market_lev_sell_order) - assert trade.calc_profit() == round(0.0001433793561218866, 8) - assert trade.calc_profit_ratio() == round(0.03792932890997717, 8) + assert trade.calc_profit() == round(0.00013960861180006392, 8) + assert trade.calc_profit_ratio() == round(0.036931822675563275, 8) # Test with a custom fee rate on the close trade # assert trade.calc_profit(fee=0.003) == 0.00006163 diff --git a/tests/persistence/test_persistence_short.py b/tests/persistence/test_persistence_short.py index ba08e1632..2a1e46615 100644 --- a/tests/persistence/test_persistence_short.py +++ b/tests/persistence/test_persistence_short.py @@ -26,11 +26,11 @@ def test_interest_kraken_short(market_short_order, fee): time-periods: 10 minutes(rounds up to 1 time-period of 4hrs) 5 hours = 5/4 - interest: borrowed * interest_rate * time-periods - = 275.97543219 * 0.0005 * 1 = 0.137987716095 crypto - = 275.97543219 * 0.00025 * 5/4 = 0.086242322559375 crypto - = 459.95905365 * 0.0005 * 5/4 = 0.28747440853125 crypto - = 459.95905365 * 0.00025 * 1 = 0.1149897634125 crypto + interest: borrowed * interest_rate * ceil(1 + time-periods) + = 275.97543219 * 0.0005 * ceil(1+1) = 0.27597543219 crypto + = 275.97543219 * 0.00025 * ceil(9/4) = 0.20698157414249999 crypto + = 459.95905365 * 0.0005 * ceil(9/4) = 0.689938580475 crypto + = 459.95905365 * 0.00025 * ceil(1+1) = 0.229979526825 crypto """ trade = Trade( @@ -48,17 +48,17 @@ def test_interest_kraken_short(market_short_order, fee): interest_mode=InterestMode.HOURSPER4 ) - assert float(round(trade.calculate_interest(), 8)) == round(0.137987716095, 8) - trade.open_date = datetime.utcnow() - timedelta(hours=5, minutes=0) + assert float(round(trade.calculate_interest(), 8)) == round(0.27597543219, 8) + trade.open_date = datetime.utcnow() - timedelta(hours=4, minutes=55) assert float(round(trade.calculate_interest(interest_rate=0.00025), 8) - ) == round(0.086242322559375, 8) + ) == round(0.20698157414249999, 8) trade = Trade( pair='ETH/BTC', stake_amount=0.001, amount=459.95905365, open_rate=0.00001099, - open_date=datetime.utcnow() - timedelta(hours=5, minutes=0), + open_date=datetime.utcnow() - timedelta(hours=4, minutes=55), fee_open=fee.return_value, fee_close=fee.return_value, exchange='kraken', @@ -68,10 +68,10 @@ def test_interest_kraken_short(market_short_order, fee): interest_mode=InterestMode.HOURSPER4 ) - assert float(round(trade.calculate_interest(), 8)) == round(0.28747440853125, 8) + assert float(round(trade.calculate_interest(), 8)) == round(0.689938580475, 8) trade.open_date = datetime.utcnow() - timedelta(hours=0, minutes=10) assert float(round(trade.calculate_interest(interest_rate=0.00025), 8) - ) == round(0.1149897634125, 8) + ) == round(0.229979526825, 8) @ pytest.mark.usefixtures("init_persistence") @@ -114,7 +114,7 @@ def test_interest_binance_short(market_short_order, fee): ) assert float(round(trade.calculate_interest(), 8)) == 0.00574949 - trade.open_date = datetime.utcnow() - timedelta(hours=5, minutes=0) + trade.open_date = datetime.utcnow() - timedelta(hours=4, minutes=55) assert float(round(trade.calculate_interest(interest_rate=0.00025), 8)) == 0.01437372 trade = Trade( @@ -122,7 +122,7 @@ def test_interest_binance_short(market_short_order, fee): stake_amount=0.001, amount=459.95905365, open_rate=0.00001099, - open_date=datetime.utcnow() - timedelta(hours=5, minutes=0), + open_date=datetime.utcnow() - timedelta(hours=4, minutes=55), fee_open=fee.return_value, fee_close=fee.return_value, exchange='binance', @@ -218,13 +218,13 @@ def test_calc_close_trade_price_short(market_short_order, market_exit_short_orde close_rate: 0.00001234 base amount: = 275.97543219 crypto borrowed: 275.97543219 crypto - time-periods: 10 minutes(rounds up to 1 time-period of 4hrs) - interest: borrowed * interest_rate * time-periods - = 275.97543219 * 0.0005 * 1 = 0.137987716095 crypto - amount_closed: amount + interest = 275.97543219 + 0.137987716095 = 276.113419906095 + hours: 10 minutes = 1/6 + interest: borrowed * interest_rate * ceil(1 + hours/4) + = 275.97543219 * 0.0005 * ceil(1 + ((1/6)/4)) = 0.27597543219 crypto + amount_closed: amount + interest = 275.97543219 + 0.27597543219 = 276.25140762219 close_value: (amount_closed * close_rate) + (amount_closed * close_rate * fee) - = (276.113419906095 * 0.00001234) + (276.113419906095 * 0.00001234 * 0.0025) - = 0.01134618380465571 + = (276.25140762219 * 0.00004099) + (276.25140762219 * 0.00004099 * 0.005) + = 0.011380162924425737 """ trade = Trade( pair='ETH/BTC', @@ -243,12 +243,12 @@ def test_calc_close_trade_price_short(market_short_order, market_exit_short_orde trade.open_order_id = 'close_trade' trade.update(market_short_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), 0.003415757700645315) + assert isclose(trade.calc_close_trade_value(rate=0.00001234), 0.0034174647259) # 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), 0.0034174613204461354) + assert isclose(trade.calc_close_trade_value(rate=0.00001234, fee=0.003), 0.0034191691971679986) # Test when we apply a Sell order, and ask price with a custom fee rate trade.update(market_exit_short_order) - assert isclose(trade.calc_close_trade_value(fee=0.005), 0.011374478527360586) + assert isclose(trade.calc_close_trade_value(fee=0.005), 0.011380162924425737) @ pytest.mark.usefixtures("init_persistence") @@ -273,19 +273,21 @@ def test_calc_open_close_trade_price_short(limit_short_order, limit_exit_short_o close_value: (amount_closed * close_rate) + (amount_closed * close_rate * fee) = (91.0012890436177 * 0.00001099) + (91.0012890436177 * 0.00001099 * 0.0025) = 0.001002604427005832 + stake_value = (amount/lev * open_rate) - (amount/lev * open_rate * fee) + = 0.0010646656050132426 total_profit = open_value - close_value = 0.0010646656050132426 - 0.001002604427005832 = 0.00006206117800741065 - total_profit_percentage = (close_value - open_value) / stake_amount - = (0.0010646656050132426 - 0.0010025208853391716)/0.0010673339398629 - = 0.05822425142973869 + total_profit_percentage = (close_value - open_value) / stake_value + = (0.0010646656050132426 - 0.001002604427005832)/0.0010646656050132426 + = 0.05829170935473088 """ trade = Trade( pair='ETH/BTC', stake_amount=0.0010673339398629, open_rate=0.01, amount=5, - open_date=datetime.utcnow() - timedelta(hours=5, minutes=0), + open_date=datetime.utcnow() - timedelta(hours=4, minutes=55), fee_open=fee.return_value, fee_close=fee.return_value, exchange='binance', @@ -302,8 +304,7 @@ def test_calc_open_close_trade_price_short(limit_short_order, limit_exit_short_o # Profit in BTC assert round(trade.calc_profit(), 8) == round(0.00006206117800741065, 8) # Profit in percent - # TODO-mg get this working - # assert round(trade.calc_profit_ratio(), 11) == round(0.05822425142973869, 11) + assert round(trade.calc_profit_ratio(), 8) == round(0.05829170935473088, 8) @ pytest.mark.usefixtures("init_persistence") @@ -322,20 +323,20 @@ def test_trade_close_short(fee): time-periods: 5 hours = 5/4 interest: borrowed * interest_rate * time-periods - = 15 * 0.0005 * 5/4 = 0.009375 crypto + = 15 * 0.0005 * ceil(1 + 5/4) = 0.0225 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 + amount_closed: amount + interest = 15 + 0.009375 = 15.0225 close_value: (amount_closed * close_rate) + (amount_closed * close_rate * fee) - = (15.009375 * 0.01) + (15.009375 * 0.01 * 0.0025) - = 0.150468984375 + = (15.0225 * 0.01) + (15.0225 * 0.01 * 0.0025) + = 0.15060056250000003 total_profit = open_value - close_value - = 0.29925 - 0.150468984375 - = 0.148781015625 - total_profit_percentage = total_profit / stake_amount - = 0.148781015625 / 0.1 - = 1.4878101562500001 + = 0.29925 - 0.15060056250000003 + = 0.14864943749999998 + total_profit_percentage = (1-(close_value/open_value)) * leverage + = (1 - (0.15060056250000003/0.29925)) * 3 + = 1.4902199248120298 """ trade = Trade( pair='ETH/BTC', @@ -345,7 +346,7 @@ def test_trade_close_short(fee): is_open=True, fee_open=fee.return_value, fee_close=fee.return_value, - open_date=datetime.utcnow() - timedelta(hours=5, minutes=0), + open_date=datetime.utcnow() - timedelta(hours=4, minutes=55), exchange='kraken', is_short=True, leverage=3.0, @@ -357,7 +358,7 @@ def test_trade_close_short(fee): assert trade.is_open is True trade.close(0.01) assert trade.is_open is False - assert trade.close_profit == round(1.4878101562500001, 8) + assert trade.close_profit == round(1.4902199248120298, 8) assert trade.close_date is not None # TODO-mg: Remove these comments probably @@ -396,9 +397,9 @@ def test_update_with_binance_short(limit_short_order, limit_exit_short_order, fe total_profit = open_value - close_value = 0.0010646656050132426 - 0.0010025208853391716 = 0.00006214471967407108 - total_profit_percentage = (close_value - open_value) / stake_amount - = 0.00006214471967407108 / 0.0010673339398629 - = 0.05822425142973869 + total_profit_percentage = (1 - (close_value/open_value)) * leverage + = (1 - (0.0010025208853391716/0.0010646656050132426)) * 1 + = 0.05837017687191848 """ trade = Trade( @@ -437,7 +438,7 @@ def test_update_with_binance_short(limit_short_order, limit_exit_short_order, fe trade.update(limit_exit_short_order) # assert trade.open_order_id is None assert trade.close_rate == 0.00001099 - assert trade.close_profit == 0.05822425 + assert trade.close_profit == round(0.05837017687191848, 8) assert trade.close_date is not None assert log_has_re(r"LIMIT_BUY has been fulfilled for Trade\(id=2, " r"pair=ETH/BTC, amount=90.99181073, open_rate=0.00001173, open_since=.*\).", @@ -463,20 +464,21 @@ def test_update_market_order_short( borrowed: 275.97543219 crypto time-periods: 10 minutes(rounds up to 1 time-period of 4hrs) interest: borrowed * interest_rate * time-periods - = 275.97543219 * 0.0005 * 1 = 0.137987716095 crypto + = 275.97543219 * 0.0005 * 2 = 0.27597543219 crypto open_value: (amount * open_rate) - (amount * open_rate * fee) = 275.97543219 * 0.00004173 - 275.97543219 * 0.00004173 * 0.0025 = 0.011487663648325479 - amount_closed: amount + interest = 275.97543219 + 0.137987716095 = 276.113419906095 + amount_closed: amount + interest = 275.97543219 + 0.27597543219 = 276.25140762219 close_value: (amount_closed * close_rate) + (amount_closed * close_rate * fee) - = (276.113419906095 * 0.00004099) + (276.113419906095 * 0.00004099 * 0.0025) - = 0.01134618380465571 + = (276.25140762219 * 0.00004099) + (276.25140762219 * 0.00004099 * 0.0025) + = 0.0034174647259 total_profit = open_value - close_value - = 0.011487663648325479 - 0.01134618380465571 - = 0.00014147984366976937 + = 0.011487663648325479 - 0.0034174647259 + = 0.00013580958689582596 total_profit_percentage = total_profit / stake_amount - = 0.00014147984366976937 / 0.0038388182617629 - = 0.036855051222142936 + = (1 - (close_value/open_value)) * leverage + = (1 - (0.0034174647259/0.011487663648325479)) * 3 + = 0.03546663387440563 """ trade = Trade( id=1, @@ -511,7 +513,7 @@ def test_update_market_order_short( trade.update(market_exit_short_order) assert trade.open_order_id is None assert trade.close_rate == 0.00004099 - assert trade.close_profit == 0.03685505 + assert trade.close_profit == round(0.03546663387440563, 8) assert trade.close_date is not None # TODO-mg: The amount should maybe be the opening amount + the interest # TODO-mg: Uncomment the next assert and make it work. @@ -527,7 +529,7 @@ def test_calc_profit_short(market_short_order, market_exit_short_order, fee): Market trade on Kraken at 3x leverage Short trade fee: 0.25% base or 0.3% - interest_rate: 0.05%, 0.25% per 4 hrs + interest_rate: 0.05%, 0.025% per 4 hrs open_rate: 0.00004173 base close_rate: 0.00004099 base stake_amount: 0.0038388182617629 @@ -537,38 +539,42 @@ def test_calc_profit_short(market_short_order, market_exit_short_order, fee): 5 hours = 5/4 interest: borrowed * interest_rate * time-periods - = 275.97543219 * 0.0005 * 1 = 0.137987716095 crypto - = 275.97543219 * 0.00025 * 5/4 = 0.086242322559375 crypto - = 275.97543219 * 0.0005 * 5/4 = 0.17248464511875 crypto - = 275.97543219 * 0.00025 * 1 = 0.0689938580475 crypto + = 275.97543219 * 0.0005 * ceil(1+1) = 0.27597543219 crypto + = 275.97543219 * 0.00025 * ceil(1+5/4) = 0.20698157414249999 crypto + = 275.97543219 * 0.0005 * ceil(1+5/4) = 0.41396314828499997 crypto + = 275.97543219 * 0.00025 * ceil(1+1) = 0.27597543219 crypto + = 275.97543219 * 0.00025 * ceil(1+1) = 0.27597543219 crypto open_value: (amount * open_rate) - (amount * open_rate * fee) = (275.97543219 * 0.00004173) - (275.97543219 * 0.00004173 * 0.0025) = 0.011487663648325479 amount_closed: amount + interest - = 275.97543219 + 0.137987716095 = 276.113419906095 - = 275.97543219 + 0.086242322559375 = 276.06167451255936 - = 275.97543219 + 0.17248464511875 = 276.14791683511874 - = 275.97543219 + 0.0689938580475 = 276.0444260480475 + = 275.97543219 + 0.27597543219 = 276.25140762219 + = 275.97543219 + 0.20698157414249999 = 276.1824137641425 + = 275.97543219 + 0.41396314828499997 = 276.389395338285 + = 275.97543219 + 0.27597543219 = 276.25140762219 close_value: (amount_closed * close_rate) + (amount_closed * close_rate * fee) - (276.113419906095 * 0.00004374) + (276.113419906095 * 0.00004374 * 0.0025) - = 0.012107393989159325 - (276.06167451255936 * 0.00000437) + (276.06167451255936 * 0.00000437 * 0.0025) - = 0.0012094054914139338 - (276.14791683511874 * 0.00004374) + (276.14791683511874 * 0.00004374 * 0.003) - = 0.012114946012015198 - (276.0444260480475 * 0.00000437) + (276.0444260480475 * 0.00000437 * 0.003) - = 0.0012099330842554573 + (276.25140762219 * 0.00004374) + (276.25140762219 * 0.00004374 * 0.0025) + = 0.012113444660818078 + (276.1824137641425 * 0.00000437) + (276.1824137641425 * 0.00000437 * 0.0025) + = 0.0012099344410196758 + (276.389395338285 * 0.00004374) + (276.389395338285 * 0.00004374 * 0.003) + = 0.012125539968552874 + (276.25140762219 * 0.00000437) + (276.25140762219 * 0.00000437 * 0.003) + = 0.0012102354919246037 + (276.25140762219 * 0.00004099) + (276.25140762219 * 0.00004099 * 0.0025) + = 0.011351854061429653 total_profit = open_value - close_value - = print(0.011487663648325479 - 0.012107393989159325) = -0.0006197303408338461 - = print(0.011487663648325479 - 0.0012094054914139338) = 0.010278258156911545 - = print(0.011487663648325479 - 0.012114946012015198) = -0.0006272823636897188 - = print(0.011487663648325479 - 0.0012099330842554573) = 0.010277730564070022 - total_profit_percentage = (close_value - open_value) / stake_amount - (0.011487663648325479 - 0.012107393989159325)/0.0038388182617629 = -0.16143779115744006 - (0.011487663648325479 - 0.0012094054914139338)/0.0038388182617629 = 2.677453699564163 - (0.011487663648325479 - 0.012114946012015198)/0.0038388182617629 = -0.16340506919482353 - (0.011487663648325479 - 0.0012099330842554573)/0.0038388182617629 = 2.677316263299785 - + = 0.011487663648325479 - 0.012113444660818078 = -0.0006257810124925996 + = 0.011487663648325479 - 0.0012099344410196758 = 0.010277729207305804 + = 0.011487663648325479 - 0.012125539968552874 = -0.0006378763202273957 + = 0.011487663648325479 - 0.0012102354919246037 = 0.010277428156400875 + = 0.011487663648325479 - 0.011351854061429653 = 0.00013580958689582596 + total_profit_percentage = (1-(close_value/open_value)) * leverage + (1-(0.012113444660818078 /0.011487663648325479))*3 = -0.16342252828332549 + (1-(0.0012099344410196758/0.011487663648325479))*3 = 2.6840259748040123 + (1-(0.012125539968552874 /0.011487663648325479))*3 = -0.16658121435868578 + (1-(0.0012102354919246037/0.011487663648325479))*3 = 2.68394735544829 + (1-(0.011351854061429653/0.011487663648325479))*3 = 0.03546663387440563 """ trade = Trade( pair='ETH/BTC', @@ -588,34 +594,36 @@ def test_calc_profit_short(market_short_order, market_exit_short_order, fee): # Custom closing rate and regular fee rate # Higher than open rate - assert trade.calc_profit(rate=0.00004374, interest_rate=0.0005) == round(-0.00061973, 8) + assert trade.calc_profit( + rate=0.00004374, interest_rate=0.0005) == round(-0.0006257810124925996, 8) assert trade.calc_profit_ratio( - rate=0.00004374, interest_rate=0.0005) == round(-0.16143779115744006, 8) + rate=0.00004374, interest_rate=0.0005) == round(-0.16342252828332549, 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(0.01027826, 8) + trade.open_date = datetime.utcnow() - timedelta(hours=4, minutes=55) + assert trade.calc_profit(rate=0.00000437, interest_rate=0.00025) == round( + 0.010277729207305804, 8) assert trade.calc_profit_ratio( - rate=0.00000437, interest_rate=0.00025) == round(2.677453699564163, 8) + rate=0.00000437, interest_rate=0.00025) == round(2.6840259748040123, 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(-0.00062728, 8) + interest_rate=0.0005) == round(-0.0006378763202273957, 8) assert trade.calc_profit_ratio(rate=0.00004374, fee=0.003, - interest_rate=0.0005) == round(-0.16340506919482353, 8) + interest_rate=0.0005) == round(-0.16658121435868578, 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(0.01027773, 8) + interest_rate=0.00025) == round(0.010277428156400875, 8) assert trade.calc_profit_ratio(rate=0.00000437, fee=0.003, - interest_rate=0.00025) == round(2.677316263299785, 8) + interest_rate=0.00025) == round(2.68394735544829, 8) - # Test when we apply a Sell order. Sell higher than open rate @ 0.00001173 + # Test when we apply a exit short order. trade.update(market_exit_short_order) - assert trade.calc_profit() == round(0.00014148, 8) - assert trade.calc_profit_ratio() == round(0.03685505, 8) + assert trade.calc_profit(rate=0.00004099) == round(0.00013580958689582596, 8) + assert trade.calc_profit_ratio() == round(0.03546663387440563, 8) # Test with a custom fee rate on the close trade # assert trade.calc_profit(fee=0.003) == 0.00006163 @@ -769,4 +777,4 @@ def test_get_best_pair_short(fee): res = Trade.get_best_pair() assert len(res) == 2 assert res[0] == 'DOGE/BTC' - assert res[1] == 0.17524390243902502 + assert res[1] == 0.1713156134055116