Merge pull request #200 from glonlas/fix_fees_calculation

Fix the fee calculation
2017-12-22 13:55:02 +02:00
parent ff186c7f65 d258118b0a
commit f300af0fe2
10 changed files with 382 additions and 92 deletions
--- a/freqtrade/tests/conftest.py
+++ b/freqtrade/tests/conftest.py
@@ -15,7 +15,7 @@ def default_conf():
    configuration = {
        "max_open_trades": 1,
        "stake_currency": "BTC",
-        "stake_amount": 0.05,
+        "stake_amount": 0.001,
        "dry_run": True,
        "minimal_roi": {
            "40":  0.0,
@@ -61,9 +61,27 @@ def update():
@pytest.fixture
 def ticker():
    return MagicMock(return_value={
-        'bid': 0.07256061,
-        'ask': 0.072661,
-        'last': 0.07256061,
+        'bid': 0.00001098,
+        'ask': 0.00001099,
+        'last': 0.00001098,
+    })
+
+
+@pytest.fixture
+def ticker_sell_up():
+    return MagicMock(return_value={
+        'bid': 0.00001172,
+        'ask': 0.00001173,
+        'last': 0.00001172,
+    })
+
+
+@pytest.fixture
+def ticker_sell_down():
+    return MagicMock(return_value={
+        'bid': 0.00001044,
+        'ask': 0.00001043,
+        'last': 0.00001044,
    })


@@ -104,8 +122,8 @@ def limit_buy_order():
        'type': 'LIMIT_BUY',
        'pair': 'mocked',
        'opened': datetime.utcnow(),
-        'rate': 0.07256061,
-        'amount': 206.43811673387373,
+        'rate': 0.00001099,
+        'amount': 90.99181073,
        'remaining': 0.0,
        'closed': datetime.utcnow(),
    }
@@ -118,8 +136,8 @@ def limit_sell_order():
        'type': 'LIMIT_SELL',
        'pair': 'mocked',
        'opened': datetime.utcnow(),
-        'rate': 0.0802134,
-        'amount': 206.43811673387373,
+        'rate': 0.00001173,
+        'amount': 90.99181073,
        'remaining': 0.0,
        'closed': datetime.utcnow(),
    }
--- a/freqtrade/tests/test_main.py
+++ b/freqtrade/tests/test_main.py
@@ -40,8 +40,8 @@ def test_process_trade_creation(default_conf, ticker, health, mocker):
    assert trade.is_open
    assert trade.open_date is not None
    assert trade.exchange == Exchanges.BITTREX.name
-    assert trade.open_rate == 0.072661
-    assert trade.amount == 0.6881270557795791
+    assert trade.open_rate == 0.00001099
+    assert trade.amount == 90.99181073703367


 def test_process_exchange_failures(default_conf, ticker, health, mocker):
@@ -115,11 +115,11 @@ def test_create_trade(default_conf, ticker, limit_buy_order, mocker):
    whitelist = copy.deepcopy(default_conf['exchange']['pair_whitelist'])

    init(default_conf, create_engine('sqlite://'))
-    create_trade(15.0)
+    create_trade(0.001)

    trade = Trade.query.first()
    assert trade is not None
-    assert trade.stake_amount == 15.0
+    assert trade.stake_amount == 0.001
    assert trade.is_open
    assert trade.open_date is not None
    assert trade.exchange == Exchanges.BITTREX.name
@@ -127,8 +127,8 @@ def test_create_trade(default_conf, ticker, limit_buy_order, mocker):
    # Simulate fulfilled LIMIT_BUY order for trade
    trade.update(limit_buy_order)

-    assert trade.open_rate == 0.07256061
-    assert trade.amount == 206.43811673387373
+    assert trade.open_rate == 0.00001099
+    assert trade.amount == 90.99181073

    assert whitelist == default_conf['exchange']['pair_whitelist']

@@ -186,14 +186,14 @@ def test_handle_trade(default_conf, limit_buy_order, limit_sell_order, mocker):
    mocker.patch.multiple('freqtrade.main.exchange',
                          validate_pairs=MagicMock(),
                          get_ticker=MagicMock(return_value={
-                              'bid': 0.17256061,
-                              'ask': 0.172661,
-                              'last': 0.17256061
+                              'bid': 0.00001172,
+                              'ask': 0.00001173,
+                              'last': 0.00001172
                          }),
                          buy=MagicMock(return_value='mocked_limit_buy'),
                          sell=MagicMock(return_value='mocked_limit_sell'))
    init(default_conf, create_engine('sqlite://'))
-    create_trade(15.0)
+    create_trade(0.001)

    trade = Trade.query.first()
    assert trade
@@ -207,8 +207,9 @@ def test_handle_trade(default_conf, limit_buy_order, limit_sell_order, mocker):
    # Simulate fulfilled LIMIT_SELL order for trade
    trade.update(limit_sell_order)

-    assert trade.close_rate == 0.0802134
-    assert trade.close_profit == 0.10046755
+    assert trade.close_rate == 0.00001173
+    assert trade.close_profit == 0.06201057
+    assert trade.calc_profit() == 0.00006217
    assert trade.close_date is not None


@@ -223,7 +224,7 @@ def test_close_trade(default_conf, ticker, limit_buy_order, limit_sell_order, mo

    # Create trade and sell it
    init(default_conf, create_engine('sqlite://'))
-    create_trade(15.0)
+    create_trade(0.001)

    trade = Trade.query.first()
    assert trade
--- a/freqtrade/tests/test_persistence.py
+++ b/freqtrade/tests/test_persistence.py
@@ -5,11 +5,38 @@ from freqtrade.exchange import Exchanges
 from freqtrade.persistence import Trade


-def test_update(limit_buy_order, limit_sell_order):
+def test_update_with_bittrex(limit_buy_order, limit_sell_order):
+    """
+    On this test we will buy and sell a crypto currency.
+
+    Buy
+    - Buy: 90.99181073 Crypto at 0.00001099 BTC
+        (90.99181073*0.00001099 = 0.0009999 BTC)
+    - Buying fee: 0.25%
+    - Total cost of buy trade: 0.001002500 BTC
+        ((90.99181073*0.00001099) + ((90.99181073*0.00001099)*0.0025))
+
+    Sell
+    - Sell: 90.99181073 Crypto at 0.00001173 BTC
+        (90.99181073*0.00001173 = 0,00106733394 BTC)
+    - Selling fee: 0.25%
+    - Total cost of sell trade: 0.001064666 BTC
+        ((90.99181073*0.00001173) - ((90.99181073*0.00001173)*0.0025))
+
+    Profit/Loss: +0.000062166 BTC
+        (Sell:0.001064666 - Buy:0.001002500)
+    Profit/Loss percentage: 0.0620
+        ((0.001064666/0.001002500)-1 = 6.20%)
+
+    :param limit_buy_order:
+    :param limit_sell_order:
+    :return:
+    """
+
    trade = Trade(
        pair='BTC_ETH',
-        stake_amount=1.00,
-        fee=0.1,
+        stake_amount=0.001,
+        fee=0.0025,
        exchange=Exchanges.BITTREX,
    )
    assert trade.open_order_id is None
@@ -20,18 +47,40 @@ def test_update(limit_buy_order, limit_sell_order):
    trade.open_order_id = 'something'
    trade.update(limit_buy_order)
    assert trade.open_order_id is None
-    assert trade.open_rate == 0.07256061
+    assert trade.open_rate == 0.00001099
    assert trade.close_profit is None
    assert trade.close_date is None

    trade.open_order_id = 'something'
    trade.update(limit_sell_order)
    assert trade.open_order_id is None
-    assert trade.open_rate == 0.07256061
-    assert trade.close_profit == 0.00546755
+    assert trade.close_rate == 0.00001173
+    assert trade.close_profit == 0.06201057
    assert trade.close_date is not None


+def test_calc_open_close_trade_price(limit_buy_order, limit_sell_order):
+    trade = Trade(
+        pair='BTC_ETH',
+        stake_amount=0.001,
+        fee=0.0025,
+        exchange=Exchanges.BITTREX,
+    )
+
+    trade.open_order_id = 'something'
+    trade.update(limit_buy_order)
+    assert trade.calc_open_trade_price() == 0.001002500
+
+    trade.update(limit_sell_order)
+    assert trade.calc_close_trade_price() == 0.0010646656
+
+    # Profit in BTC
+    assert trade.calc_profit() == 0.00006217
+
+    # Profit in percent
+    assert trade.calc_profit_percent() == 0.06201057
+
+
 def test_update_open_order(limit_buy_order):
    trade = Trade(
        pair='BTC_ETH',
@@ -64,3 +113,103 @@ def test_update_invalid_order(limit_buy_order):
    limit_buy_order['type'] = 'invalid'
    with pytest.raises(ValueError, match=r'Unknown order type'):
        trade.update(limit_buy_order)
+
+
+def test_calc_open_trade_price(limit_buy_order):
+    trade = Trade(
+        pair='BTC_ETH',
+        stake_amount=0.001,
+        fee=0.0025,
+        exchange=Exchanges.BITTREX,
+    )
+    trade.open_order_id = 'open_trade'
+    trade.update(limit_buy_order)  # Buy @ 0.00001099
+
+    # Get the open rate price with the standard fee rate
+    assert trade.calc_open_trade_price() == 0.001002500
+
+    # Get the open rate price with a custom fee rate
+    assert trade.calc_open_trade_price(fee=0.003) == 0.001003000
+
+
+def test_calc_close_trade_price(limit_buy_order, limit_sell_order):
+    trade = Trade(
+        pair='BTC_ETH',
+        stake_amount=0.001,
+        fee=0.0025,
+        exchange=Exchanges.BITTREX,
+    )
+    trade.open_order_id = 'close_trade'
+    trade.update(limit_buy_order)  # Buy @ 0.00001099
+
+    # Get the close rate price with a custom close rate and a regular fee rate
+    assert trade.calc_close_trade_price(rate=0.00001234) == 0.0011200318
+
+    # Get the close rate price with a custom close rate and a custom fee rate
+    assert trade.calc_close_trade_price(rate=0.00001234, fee=0.003) == 0.0011194704
+
+    # Test when we apply a Sell order, and ask price with a custom fee rate
+    trade.update(limit_sell_order)
+    assert trade.calc_close_trade_price(fee=0.005) == 0.0010619972
+
+
+def test_calc_profit(limit_buy_order, limit_sell_order):
+    trade = Trade(
+        pair='BTC_ETH',
+        stake_amount=0.001,
+        fee=0.0025,
+        exchange=Exchanges.BITTREX,
+    )
+    trade.open_order_id = 'profit_percent'
+    trade.update(limit_buy_order)  # Buy @ 0.00001099
+
+    # Custom closing rate and regular fee rate
+    # Higher than open rate
+    assert trade.calc_profit(rate=0.00001234) == 0.00011753
+    # Lower than open rate
+    assert trade.calc_profit(rate=0.00000123) == -0.00089086
+
+    # Custom closing rate and custom fee rate
+    # Higher than open rate
+    assert trade.calc_profit(rate=0.00001234, fee=0.003) == 0.00011697
+    # Lower than open rate
+    assert trade.calc_profit(rate=0.00000123, fee=0.003) == -0.00089092
+
+    # Only custom fee without sell order applied
+    with pytest.raises(TypeError):
+        trade.calc_profit(fee=0.003)
+
+    # Test when we apply a Sell order. Sell higher than open rate @ 0.00001173
+    trade.update(limit_sell_order)
+    assert trade.calc_profit() == 0.00006217
+
+    # Test with a custom fee rate on the close trade
+    assert trade.calc_profit(fee=0.003) == 0.00006163
+
+
+def test_calc_profit_percent(limit_buy_order, limit_sell_order):
+    trade = Trade(
+        pair='BTC_ETH',
+        stake_amount=0.001,
+        fee=0.0025,
+        exchange=Exchanges.BITTREX,
+    )
+    trade.open_order_id = 'profit_percent'
+    trade.update(limit_buy_order)  # Buy @ 0.00001099
+
+    # Get percent of profit with a custom rate (Higher than open rate)
+    assert trade.calc_profit_percent(rate=0.00001234) == 0.1172387
+
+    # Get percent of profit with a custom rate (Lower than open rate)
+    assert trade.calc_profit_percent(rate=0.00000123) == -0.88863827
+
+    # Only custom fee without sell order applied
+    with pytest.raises(TypeError):
+        trade.calc_profit_percent(fee=0.003)
+
+    # Test when we apply a Sell order. Sell higher than open rate @ 0.00001173
+    trade.update(limit_sell_order)
+    assert trade.calc_profit_percent() == 0.06201057
+
+    # Test with a custom fee rate on the close trade
+    assert trade.calc_profit_percent(fee=0.003) == 0.0614782
--- a/freqtrade/tests/test_rpc_telegram.py
+++ b/freqtrade/tests/test_rpc_telegram.py
@@ -1,6 +1,6 @@
 # pragma pylint: disable=missing-docstring, too-many-arguments, too-many-ancestors, C0103
 import re
-from datetime import datetime, date
+from datetime import datetime
 from random import randint
 from unittest.mock import MagicMock

@@ -102,7 +102,7 @@ def test_status_handle(default_conf, update, ticker, mocker):
    msg_mock.reset_mock()

    # Create some test data
-    create_trade(15.0)
+    create_trade(0.001)
    # Trigger status while we have a fulfilled order for the open trade
    _status(bot=MagicMock(), update=update)

@@ -151,7 +151,8 @@ def test_status_table_handle(default_conf, update, ticker, mocker):
    assert msg_mock.call_count == 1


-def test_profit_handle(default_conf, update, ticker, limit_buy_order, limit_sell_order, mocker):
+def test_profit_handle(
+        default_conf, update, ticker, ticker_sell_up, limit_buy_order, limit_sell_order, mocker):
    mocker.patch.dict('freqtrade.main._CONF', default_conf)
    mocker.patch('freqtrade.main.get_signal', side_effect=lambda s, t: True)
    msg_mock = MagicMock()
@@ -171,7 +172,7 @@ def test_profit_handle(default_conf, update, ticker, limit_buy_order, limit_sell
    msg_mock.reset_mock()

    # Create some test data
-    create_trade(15.0)
+    create_trade(0.001)
    trade = Trade.query.first()

    # Simulate fulfilled LIMIT_BUY order for trade
@@ -182,7 +183,10 @@ def test_profit_handle(default_conf, update, ticker, limit_buy_order, limit_sell
    assert 'no closed trade' in msg_mock.call_args_list[-1][0][0]
    msg_mock.reset_mock()

-    # Simulate fulfilled LIMIT_SELL order for trade
+    # Update the ticker with a market going up
+    mocker.patch.multiple('freqtrade.main.exchange',
+                          validate_pairs=MagicMock(),
+                          get_ticker=ticker_sell_up)
    trade.update(limit_sell_order)

    trade.close_date = datetime.utcnow()
@@ -190,11 +194,12 @@ def test_profit_handle(default_conf, update, ticker, limit_buy_order, limit_sell

    _profit(bot=MagicMock(), update=update)
    assert msg_mock.call_count == 1
-    assert '*ROI All trades:* `0.00765279 BTC (10.05%)`' in msg_mock.call_args_list[-1][0][0]
-    assert 'Best Performing:* `BTC_ETH: 10.05%`' in msg_mock.call_args_list[-1][0][0]
+    assert '*ROI Trade closed:* `0.00006217 BTC (6.20%)`' in msg_mock.call_args_list[-1][0][0]
+    assert '*ROI All trades:* `0.00006217 BTC (6.20%)`' in msg_mock.call_args_list[-1][0][0]
+    assert 'Best Performing:* `BTC_ETH: 6.20%`' in msg_mock.call_args_list[-1][0][0]


-def test_forcesell_handle(default_conf, update, ticker, mocker):
+def test_forcesell_handle(default_conf, update, ticker, ticker_sell_up, mocker):
    mocker.patch.dict('freqtrade.main._CONF', default_conf)
    mocker.patch('freqtrade.main.get_signal', side_effect=lambda s, t: True)
    rpc_mock = mocker.patch('freqtrade.main.rpc.send_msg', MagicMock())
@@ -208,7 +213,44 @@ def test_forcesell_handle(default_conf, update, ticker, mocker):
    init(default_conf, create_engine('sqlite://'))

    # Create some test data
-    create_trade(15.0)
+    create_trade(0.001)
+
+    trade = Trade.query.first()
+    assert trade
+
+    # Increase the price and sell it
+    mocker.patch.multiple('freqtrade.main.exchange',
+                          validate_pairs=MagicMock(),
+                          get_ticker=ticker_sell_up)
+
+    update.message.text = '/forcesell 1'
+    _forcesell(bot=MagicMock(), update=update)
+
+    assert rpc_mock.call_count == 2
+    assert 'Selling [BTC/ETH]' in rpc_mock.call_args_list[-1][0][0]
+    assert '0.00001172 (profit: ~6.11%, 0.00006126)' in rpc_mock.call_args_list[-1][0][0]
+
+
+def test_forcesell_down_handle(default_conf, update, ticker, ticker_sell_down, mocker):
+    mocker.patch.dict('freqtrade.main._CONF', default_conf)
+    mocker.patch('freqtrade.main.get_signal', side_effect=lambda s, t: True)
+    rpc_mock = mocker.patch('freqtrade.main.rpc.send_msg', MagicMock())
+    mocker.patch.multiple('freqtrade.rpc.telegram',
+                          _CONF=default_conf,
+                          init=MagicMock(),
+                          send_msg=MagicMock())
+    mocker.patch.multiple('freqtrade.main.exchange',
+                          validate_pairs=MagicMock(),
+                          get_ticker=ticker)
+    init(default_conf, create_engine('sqlite://'))
+
+    # Create some test data
+    create_trade(0.001)
+
+    # Decrease the price and sell it
+    mocker.patch.multiple('freqtrade.main.exchange',
+                          validate_pairs=MagicMock(),
+                          get_ticker=ticker_sell_down)

    trade = Trade.query.first()
    assert trade
@@ -218,7 +260,7 @@ def test_forcesell_handle(default_conf, update, ticker, mocker):

    assert rpc_mock.call_count == 2
    assert 'Selling [BTC/ETH]' in rpc_mock.call_args_list[-1][0][0]
-    assert '0.07256061 (profit: ~-0.64%)' in rpc_mock.call_args_list[-1][0][0]
+    assert '0.00001044 (profit: ~-5.48%, -0.00005492)' in rpc_mock.call_args_list[-1][0][0]


 def test_exec_forcesell_open_orders(default_conf, ticker, mocker):
@@ -260,7 +302,7 @@ def test_forcesell_all_handle(default_conf, update, ticker, mocker):

    # Create some test data
    for _ in range(4):
-        create_trade(15.0)
+        create_trade(0.001)
    rpc_mock.reset_mock()

    update.message.text = '/forcesell all'
@@ -268,7 +310,7 @@ def test_forcesell_all_handle(default_conf, update, ticker, mocker):

    assert rpc_mock.call_count == 4
    for args in rpc_mock.call_args_list:
-        assert '0.07256061 (profit: ~-0.64%)' in args[0][0]
+        assert '0.00001098 (profit: ~-0.59%, -0.00000591)' in args[0][0]


 def test_forcesell_handle_invalid(default_conf, update, mocker):
@@ -323,7 +365,7 @@ def test_performance_handle(
    init(default_conf, create_engine('sqlite://'))

    # Create some test data
-    create_trade(15.0)
+    create_trade(0.001)
    trade = Trade.query.first()
    assert trade

@@ -339,7 +381,7 @@ def test_performance_handle(
    _performance(bot=MagicMock(), update=update)
    assert msg_mock.call_count == 1
    assert 'Performance' in msg_mock.call_args_list[0][0][0]
-    assert '<code>BTC_ETH\t10.05%</code>' in msg_mock.call_args_list[0][0][0]
+    assert '<code>BTC_ETH\t6.20%</code>' in msg_mock.call_args_list[0][0][0]


 def test_daily_handle(
@@ -358,7 +400,7 @@ def test_daily_handle(
    init(default_conf, create_engine('sqlite://'))

    # Create some test data
-    create_trade(15.0)
+    create_trade(0.001)
    trade = Trade.query.first()
    assert trade

@@ -371,14 +413,14 @@ def test_daily_handle(
    trade.close_date = datetime.utcnow()
    trade.is_open = False

-    # try valid data
-    update.message.text = '/daily 7'
+    # Try valid data
+    update.message.text = '/daily 2'
    _daily(bot=MagicMock(), update=update)
    assert msg_mock.call_count == 1
    assert 'Daily' in msg_mock.call_args_list[0][0][0]
-    assert str(date.today()) + '  1.50701325 BTC' in msg_mock.call_args_list[0][0][0]
+    assert str(datetime.utcnow().date()) + '  0.00006217 BTC' in msg_mock.call_args_list[0][0][0]

-    # try invalid data
+    # Try invalid data
    msg_mock.reset_mock()
    update_state(State.RUNNING)
    update.message.text = '/daily -2'
@@ -409,7 +451,7 @@ def test_count_handle(default_conf, update, ticker, mocker):
    update_state(State.RUNNING)

    # Create some test data
-    create_trade(15.0)
+    create_trade(0.001)
    msg_mock.reset_mock()
    _count(bot=MagicMock(), update=update)