Added liquidation_price and interest functions
This commit is contained in:
Sam Germain
parent
ecdecb02fa
commit
fe2efe0ccd
@ -1,7 +1,6 @@
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# flake8: noqa: F401
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from freqtrade.enums.backteststate import BacktestState
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from freqtrade.enums.collateral import Collateral
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from freqtrade.enums.interestmode import InterestMode
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from freqtrade.enums.rpcmessagetype import RPCMessageType
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from freqtrade.enums.runmode import NON_UTIL_MODES, OPTIMIZE_MODES, TRADING_MODES, RunMode
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from freqtrade.enums.selltype import SellType
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@ -1,28 +0,0 @@
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from decimal import Decimal
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from enum import Enum
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from math import ceil
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from freqtrade.exceptions import OperationalException
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one = Decimal(1.0)
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four = Decimal(4.0)
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twenty_four = Decimal(24.0)
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class InterestMode(Enum):
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"""Equations to calculate interest"""
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HOURSPERDAY = "HOURSPERDAY"
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HOURSPER4 = "HOURSPER4" # Hours per 4 hour segment
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NONE = "NONE"
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def __call__(self, borrowed: Decimal, rate: Decimal, hours: Decimal):
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if self.name == "HOURSPERDAY":
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return borrowed * rate * ceil(hours)/twenty_four
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elif self.name == "HOURSPER4":
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# Rounded based on https://kraken-fees-calculator.github.io/
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return borrowed * rate * (1+ceil(hours/four))
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else:
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raise OperationalException("Leverage not available on this exchange with freqtrade")
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@ -1 +1,3 @@
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# flake8: noqa: F401
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from freqtrade.leverage.interest import interest
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from freqtrade.leverage.liquidation_price import liquidation_price
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43
freqtrade/leverage/interest.py
Normal file
43
freqtrade/leverage/interest.py
Normal file
@ -0,0 +1,43 @@
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from decimal import Decimal
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from math import ceil
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from freqtrade.exceptions import OperationalException
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one = Decimal(1.0)
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four = Decimal(4.0)
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twenty_four = Decimal(24.0)
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def interest(
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exchange_name: str,
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borrowed: Decimal,
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rate: Decimal,
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hours: Decimal
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) -> Decimal:
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"""Equation to calculate interest on margin trades
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:param exchange_name: The exchanged being trading on
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:param borrowed: The amount of currency being borrowed
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:param rate: The rate of interest
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:param hours: The time in hours that the currency has been borrowed for
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Raises:
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OperationalException: Raised if freqtrade does
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not support margin trading for this exchange
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Returns: The amount of interest owed (currency matches borrowed)
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"""
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exchange_name = exchange_name.lower()
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if exchange_name == "binance":
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return borrowed * rate * ceil(hours)/twenty_four
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elif exchange_name == "kraken":
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# Rounded based on https://kraken-fees-calculator.github.io/
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return borrowed * rate * (one+ceil(hours/four))
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elif exchange_name == "ftx":
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# TODO-lev: Add FTX interest formula
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raise OperationalException(f"Leverage not available on {exchange_name} with freqtrade")
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else:
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raise OperationalException(f"Leverage not available on {exchange_name} with freqtrade")
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106
freqtrade/leverage/liquidation_price.py
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106
freqtrade/leverage/liquidation_price.py
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@ -0,0 +1,106 @@
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from freqtrade.enums import Collateral, TradingMode
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from freqtrade.exceptions import OperationalException
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def liquidation_price(
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exchange_name: str,
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trading_mode: TradingMode,
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** k
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):
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leverage_exchanges = [
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'binance',
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'kraken',
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'ftx'
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]
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if trading_mode == TradingMode.SPOT or exchange_name.lower() not in leverage_exchanges:
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return None
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collateral: Collateral = k['collateral']
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if exchange_name.lower() == "binance":
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# TODO-lev: Get more variables from **k and pass them to binance
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return binance(trading_mode, collateral)
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elif exchange_name.lower() == "kraken":
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# TODO-lev: Get more variables from **k and pass them to kraken
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return kraken(trading_mode, collateral)
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elif exchange_name.lower() == "ftx":
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return ftx(trading_mode, collateral)
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return
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def exception(
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exchange_name: str,
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trading_mode: TradingMode,
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collateral: Collateral
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):
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"""
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Raises an exception if exchange used doesn't support desired leverage mode
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:param name: Name of the exchange
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:param trading_mode: spot, margin, futures
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:param collateral: cross, isolated
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"""
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raise OperationalException(
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f"{exchange_name} does not support {collateral.value} {trading_mode.value} trading")
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def binance(trading_mode: TradingMode, collateral: Collateral):
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"""
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Calculates the liquidation price on Binance
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:param name: Name of the exchange
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:param trading_mode: spot, margin, futures
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:param collateral: cross, isolated
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"""
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# TODO-lev: Additional arguments, fill in formulas
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if trading_mode == TradingMode.MARGIN and collateral == Collateral.CROSS:
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# TODO-lev: perform a calculation based on this formula
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# https://www.binance.com/en/support/faq/f6b010588e55413aa58b7d63ee0125ed
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exception("binance", trading_mode, collateral)
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elif trading_mode == TradingMode.FUTURES and collateral == Collateral.CROSS:
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# TODO-lev: perform a calculation based on this formula
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# https://www.binance.com/en/support/faq/b3c689c1f50a44cabb3a84e663b81d93
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exception("binance", trading_mode, collateral)
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elif trading_mode == TradingMode.FUTURES and collateral == Collateral.ISOLATED:
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# TODO-lev: perform a calculation based on this formula
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# https://www.binance.com/en/support/faq/b3c689c1f50a44cabb3a84e663b81d93
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exception("binance", trading_mode, collateral)
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# If nothing was returned
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exception("binance", trading_mode, collateral)
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def kraken(trading_mode: TradingMode, collateral: Collateral):
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"""
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Calculates the liquidation price on Kraken
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:param name: Name of the exchange
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:param trading_mode: spot, margin, futures
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:param collateral: cross, isolated
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"""
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# TODO-lev: Additional arguments, fill in formulas
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if collateral == Collateral.CROSS:
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if trading_mode == TradingMode.MARGIN:
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exception("kraken", trading_mode, collateral)
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# TODO-lev: perform a calculation based on this formula
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# https://support.kraken.com/hc/en-us/articles/203325763-Margin-Call-Level-and-Margin-Liquidation-Level
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elif trading_mode == TradingMode.FUTURES:
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exception("kraken", trading_mode, collateral)
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# If nothing was returned
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exception("kraken", trading_mode, collateral)
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def ftx(trading_mode: TradingMode, collateral: Collateral):
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"""
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Calculates the liquidation price on FTX
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:param name: Name of the exchange
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:param trading_mode: spot, margin, futures
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:param collateral: cross, isolated
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"""
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if collateral == Collateral.CROSS:
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# TODO-lev: Additional arguments, fill in formulas
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exception("ftx", trading_mode, collateral)
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# If nothing was returned
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exception("ftx", trading_mode, collateral)
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@ -54,7 +54,6 @@ def migrate_trades_table(decl_base, inspector, engine, table_back_name: str, col
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isolated_liq = get_column_def(cols, 'isolated_liq', 'null')
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# sqlite does not support literals for booleans
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is_short = get_column_def(cols, 'is_short', '0')
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interest_mode = get_column_def(cols, 'interest_mode', 'null')
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# If ticker-interval existed use that, else null.
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if has_column(cols, 'ticker_interval'):
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timeframe = get_column_def(cols, 'timeframe', 'ticker_interval')
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@ -92,7 +91,7 @@ def migrate_trades_table(decl_base, inspector, engine, table_back_name: str, col
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stoploss_order_id, stoploss_last_update,
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max_rate, min_rate, sell_reason, sell_order_status, strategy, buy_tag,
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timeframe, open_trade_value, close_profit_abs,
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leverage, interest_rate, isolated_liq, is_short, interest_mode
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leverage, interest_rate, isolated_liq, is_short
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)
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select id, lower(exchange), pair,
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is_open, {fee_open} fee_open, {fee_open_cost} fee_open_cost,
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@ -110,8 +109,7 @@ def migrate_trades_table(decl_base, inspector, engine, table_back_name: str, col
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{strategy} strategy, {buy_tag} buy_tag, {timeframe} timeframe,
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{open_trade_value} open_trade_value, {close_profit_abs} close_profit_abs,
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{leverage} leverage, {interest_rate} interest_rate,
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{isolated_liq} isolated_liq, {is_short} is_short,
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{interest_mode} interest_mode
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{isolated_liq} isolated_liq, {is_short} is_short
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from {table_back_name}
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"""))
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@ -14,8 +14,9 @@ from sqlalchemy.pool import StaticPool
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from sqlalchemy.sql.schema import UniqueConstraint
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from freqtrade.constants import DATETIME_PRINT_FORMAT
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from freqtrade.enums import InterestMode, SellType
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from freqtrade.enums import SellType, TradingMode
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from freqtrade.exceptions import DependencyException, OperationalException
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from freqtrade.leverage import interest, liquidation_price
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from freqtrade.misc import safe_value_fallback
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from freqtrade.persistence.migrations import check_migrate
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@ -236,7 +237,7 @@ class LocalTrade():
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close_rate_requested: Optional[float] = None
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close_profit: Optional[float] = None
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close_profit_abs: Optional[float] = None
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stake_amount: float = 0.0 # TODO: This should probably be computed
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stake_amount: float = 0.0
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amount: float = 0.0
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amount_requested: Optional[float] = None
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open_date: datetime
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@ -269,7 +270,7 @@ class LocalTrade():
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isolated_liq: Optional[float] = None
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is_short: bool = False
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leverage: float = 1.0
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interest_mode: InterestMode = InterestMode.NONE
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trading_mode: TradingMode = TradingMode.SPOT
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@property
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def has_no_leverage(self) -> bool:
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@ -316,7 +317,7 @@ class LocalTrade():
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for key in kwargs:
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setattr(self, key, kwargs[key])
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if self.isolated_liq:
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self.set_isolated_liq(self.isolated_liq)
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self.set_isolated_liq(isolated_liq=self.isolated_liq)
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self.recalc_open_trade_value()
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def _set_stop_loss(self, stop_loss: float, percent: float):
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@ -342,11 +343,19 @@ class LocalTrade():
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self.stop_loss_pct = -1 * abs(percent)
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self.stoploss_last_update = datetime.utcnow()
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def set_isolated_liq(self, isolated_liq: float):
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def set_isolated_liq(self, **k):
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"""
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Method you should use to set self.liquidation price.
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Assures stop_loss is not passed the liquidation price
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"""
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if k['isolated_liq']:
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isolated_liq: float = k['isolated_liq']
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else:
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isolated_liq: float = liquidation_price(
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exchange=self.exchange_name,
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**k
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)
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if self.stop_loss is not None:
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if self.is_short:
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self.stop_loss = min(self.stop_loss, isolated_liq)
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@ -650,7 +659,7 @@ class LocalTrade():
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rate = Decimal(interest_rate or self.interest_rate)
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borrowed = Decimal(self.borrowed)
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return self.interest_mode(borrowed=borrowed, rate=rate, hours=hours)
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return interest(exchange_name=self.exchange, borrowed=borrowed, rate=rate, hours=hours)
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def calc_close_trade_value(self, rate: Optional[float] = None,
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fee: Optional[float] = None,
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@ -894,7 +903,7 @@ class Trade(_DECL_BASE, LocalTrade):
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interest_rate = Column(Float, nullable=False, default=0.0)
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isolated_liq = Column(Float, nullable=True)
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is_short = Column(Boolean, nullable=False, default=False)
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interest_mode = Column(Enum(InterestMode), nullable=True)
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trading_mode = Column(Enum(TradingMode), default=TradingMode.SPOT)
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# End of margin trading properties
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def __init__(self, **kwargs):
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@ -1,6 +1,5 @@
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from datetime import datetime, timedelta, timezone
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from freqtrade.enums import InterestMode
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from freqtrade.persistence.models import Order, Trade
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@ -383,8 +382,7 @@ def short_trade(fee):
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sell_reason='sell_signal', # TODO-mg: Update to exit/close reason
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open_date=datetime.now(tz=timezone.utc) - timedelta(minutes=20),
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# close_date=datetime.now(tz=timezone.utc) - timedelta(minutes=2),
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is_short=True,
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interest_mode=InterestMode.HOURSPERDAY
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is_short=True
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)
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o = Order.parse_from_ccxt_object(short_order(), 'ETC/BTC', 'sell')
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trade.orders.append(o)
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@ -473,8 +471,7 @@ def leverage_trade(fee):
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sell_reason='sell_signal', # TODO-mg: Update to exit/close reason
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open_date=datetime.now(tz=timezone.utc) - timedelta(minutes=300),
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close_date=datetime.now(tz=timezone.utc),
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interest_rate=0.0005,
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interest_mode=InterestMode.HOURSPER4
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interest_rate=0.0005
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)
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o = Order.parse_from_ccxt_object(leverage_order(), 'DOGE/BTC', 'sell')
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trade.orders.append(o)
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108
tests/leverage/test_leverage.py
Normal file
108
tests/leverage/test_leverage.py
Normal file
@ -0,0 +1,108 @@
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# from decimal import Decimal
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from freqtrade.enums import Collateral, TradingMode
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from freqtrade.leverage import liquidation_price
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# from freqtrade.leverage import interest, liquidation_price
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# from freqtrade.exceptions import OperationalException
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binance = "binance"
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kraken = "kraken"
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ftx = "ftx"
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other = "bittrex"
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def test_interest():
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return
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# Binance
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# assert interest(binance, borrowed=60, rate=0.0005,
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# hours = 1/6) == round(0.0008333333333333334, 8)
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# TODO-lev: The below tests
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# assert interest(binance, borrowed=60, rate=0.00025, hours=5.0) == 1.0
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# # Kraken
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# assert interest(kraken, borrowed=60, rate=0.0005, hours=1.0) == 1.0
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# assert interest(kraken, borrowed=60, rate=0.00025, hours=5.0) == 1.0
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# # FTX
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# assert interest(ftx, borrowed=60, rate=0.0005, hours=1.0) == 1.0
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# assert interest(ftx, borrowed=60, rate=0.00025, hours=5.0) == 1.0
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def test_liquidation_price():
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spot = TradingMode.SPOT
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margin = TradingMode.MARGIN
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futures = TradingMode.FUTURES
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cross = Collateral.CROSS
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isolated = Collateral.ISOLATED
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# NONE
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assert liquidation_price(exchange_name=other, trading_mode=spot) is None
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assert liquidation_price(exchange_name=other, trading_mode=margin,
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collateral=cross) is None
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assert liquidation_price(exchange_name=other, trading_mode=margin,
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collateral=isolated) is None
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assert liquidation_price(
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exchange_name=other, trading_mode=futures, collateral=cross) is None
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assert liquidation_price(exchange_name=other, trading_mode=futures,
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collateral=isolated) is None
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# Binance
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assert liquidation_price(exchange_name=binance, trading_mode=spot) is None
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assert liquidation_price(exchange_name=binance, trading_mode=spot,
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collateral=cross) is None
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assert liquidation_price(exchange_name=binance, trading_mode=spot,
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collateral=isolated) is None
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# TODO-lev: Uncomment these assertions and make them real calculation tests
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# TODO-lev: Replace 1.0 with real value
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# assert liquidation_price(
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# exchange_name=binance,
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# trading_mode=margin,
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# collateral=cross
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# ) == 1.0
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# assert liquidation_price(
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# exchange_name=binance,
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# trading_mode=margin,
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# collateral=isolated
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# ) == 1.0
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# assert liquidation_price(
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# exchange_name=binance,
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# trading_mode=futures,
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# collateral=cross
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# ) == 1.0
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# Binance supports isolated margin, but freqtrade likely won't for a while on Binance
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# liquidation_price(exchange_name=binance, trading_mode=margin, collateral=isolated)
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# assert exception thrown #TODO-lev: Check that exception is thrown
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# Kraken
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assert liquidation_price(exchange_name=kraken, trading_mode=spot) is None
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assert liquidation_price(exchange_name=kraken, trading_mode=spot, collateral=cross) is None
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assert liquidation_price(exchange_name=kraken, trading_mode=spot,
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collateral=isolated) is None
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# TODO-lev: Uncomment these assertions and make them real calculation tests
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# assert liquidation_price(kraken, trading_mode=margin, collateral=cross) == 1.0
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# assert liquidation_price(kraken, trading_mode=margin, collateral=isolated) == 1.0
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# liquidation_price(kraken, trading_mode=futures, collateral=cross)
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# assert exception thrown #TODO-lev: Check that exception is thrown
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# liquidation_price(kraken, trading_mode=futures, collateral=isolated)
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# assert exception thrown #TODO-lev: Check that exception is thrown
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# FTX
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assert liquidation_price(ftx, trading_mode=spot) is None
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assert liquidation_price(ftx, trading_mode=spot, collateral=cross) is None
|
||||
assert liquidation_price(ftx, trading_mode=spot, collateral=isolated) is None
|
||||
# TODO-lev: Uncomment these assertions and make them real calculation tests
|
||||
# assert liquidation_price(ftx, trading_mode=margin, collateral=cross) == 1.0
|
||||
# assert liquidation_price(ftx, trading_mode=margin, collateral=isolated) == 1.0
|
||||
|
||||
# liquidation_price(ftx, trading_mode=futures, collateral=cross)
|
||||
# assert exception thrown #TODO-lev: Check that exception is thrown
|
||||
|
||||
# liquidation_price(ftx, trading_mode=futures, collateral=isolated)
|
||||
# assert exception thrown #TODO-lev: Check that exception is thrown
|
||||
@ -11,7 +11,7 @@ import pytest
|
||||
from sqlalchemy import create_engine, inspect, text
|
||||
|
||||
from freqtrade import constants
|
||||
from freqtrade.enums import InterestMode
|
||||
from freqtrade.enums import TradingMode
|
||||
from freqtrade.exceptions import DependencyException, OperationalException
|
||||
from freqtrade.persistence import LocalTrade, Order, Trade, clean_dry_run_db, init_db
|
||||
from tests.conftest import create_mock_trades, create_mock_trades_with_leverage, log_has, log_has_re
|
||||
@ -91,7 +91,7 @@ def test_enter_exit_side(fee):
|
||||
|
||||
|
||||
@pytest.mark.usefixtures("init_persistence")
|
||||
def test__set_stop_loss_isolated_liq(fee):
|
||||
def test_set_stop_loss_isolated_liq(fee):
|
||||
trade = Trade(
|
||||
id=2,
|
||||
pair='ADA/USDT',
|
||||
@ -106,7 +106,7 @@ def test__set_stop_loss_isolated_liq(fee):
|
||||
is_short=False,
|
||||
leverage=2.0
|
||||
)
|
||||
trade.set_isolated_liq(0.09)
|
||||
trade.set_isolated_liq(isolated_liq=0.09)
|
||||
assert trade.isolated_liq == 0.09
|
||||
assert trade.stop_loss == 0.09
|
||||
assert trade.initial_stop_loss == 0.09
|
||||
@ -116,12 +116,12 @@ def test__set_stop_loss_isolated_liq(fee):
|
||||
assert trade.stop_loss == 0.1
|
||||
assert trade.initial_stop_loss == 0.09
|
||||
|
||||
trade.set_isolated_liq(0.08)
|
||||
trade.set_isolated_liq(isolated_liq=0.08)
|
||||
assert trade.isolated_liq == 0.08
|
||||
assert trade.stop_loss == 0.1
|
||||
assert trade.initial_stop_loss == 0.09
|
||||
|
||||
trade.set_isolated_liq(0.11)
|
||||
trade.set_isolated_liq(isolated_liq=0.11)
|
||||
assert trade.isolated_liq == 0.11
|
||||
assert trade.stop_loss == 0.11
|
||||
assert trade.initial_stop_loss == 0.09
|
||||
@ -145,7 +145,7 @@ def test__set_stop_loss_isolated_liq(fee):
|
||||
trade.stop_loss = None
|
||||
trade.initial_stop_loss = None
|
||||
|
||||
trade.set_isolated_liq(0.09)
|
||||
trade.set_isolated_liq(isolated_liq=0.09)
|
||||
assert trade.isolated_liq == 0.09
|
||||
assert trade.stop_loss == 0.09
|
||||
assert trade.initial_stop_loss == 0.09
|
||||
@ -155,12 +155,12 @@ def test__set_stop_loss_isolated_liq(fee):
|
||||
assert trade.stop_loss == 0.08
|
||||
assert trade.initial_stop_loss == 0.09
|
||||
|
||||
trade.set_isolated_liq(0.1)
|
||||
trade.set_isolated_liq(isolated_liq=0.1)
|
||||
assert trade.isolated_liq == 0.1
|
||||
assert trade.stop_loss == 0.08
|
||||
assert trade.initial_stop_loss == 0.09
|
||||
|
||||
trade.set_isolated_liq(0.07)
|
||||
trade.set_isolated_liq(isolated_liq=0.07)
|
||||
assert trade.isolated_liq == 0.07
|
||||
assert trade.stop_loss == 0.07
|
||||
assert trade.initial_stop_loss == 0.09
|
||||
@ -234,26 +234,26 @@ def test_interest(market_buy_order_usdt, fee):
|
||||
open_date=datetime.utcnow() - timedelta(hours=0, minutes=10),
|
||||
fee_open=fee.return_value,
|
||||
fee_close=fee.return_value,
|
||||
exchange='kraken',
|
||||
exchange='binance',
|
||||
leverage=3.0,
|
||||
interest_rate=0.0005,
|
||||
interest_mode=InterestMode.HOURSPERDAY
|
||||
trading_mode=TradingMode.MARGIN
|
||||
)
|
||||
|
||||
# 10min, 3x leverage
|
||||
# binance
|
||||
assert round(float(trade.calculate_interest()), 8) == round(0.0008333333333333334, 8)
|
||||
# kraken
|
||||
trade.interest_mode = InterestMode.HOURSPER4
|
||||
trade.exchange = "kraken"
|
||||
assert float(trade.calculate_interest()) == 0.040
|
||||
# Short
|
||||
trade.is_short = True
|
||||
trade.recalc_open_trade_value()
|
||||
# binace
|
||||
trade.interest_mode = InterestMode.HOURSPERDAY
|
||||
trade.exchange = "binance"
|
||||
assert float(trade.calculate_interest()) == 0.000625
|
||||
# kraken
|
||||
trade.interest_mode = InterestMode.HOURSPER4
|
||||
trade.exchange = "kraken"
|
||||
assert isclose(float(trade.calculate_interest()), 0.030)
|
||||
|
||||
# 5hr, long
|
||||
@ -261,40 +261,40 @@ def test_interest(market_buy_order_usdt, fee):
|
||||
trade.is_short = False
|
||||
trade.recalc_open_trade_value()
|
||||
# binance
|
||||
trade.interest_mode = InterestMode.HOURSPERDAY
|
||||
trade.exchange = "binance"
|
||||
assert round(float(trade.calculate_interest()), 8) == round(0.004166666666666667, 8)
|
||||
# kraken
|
||||
trade.interest_mode = InterestMode.HOURSPER4
|
||||
trade.exchange = "kraken"
|
||||
assert float(trade.calculate_interest()) == 0.06
|
||||
# short
|
||||
trade.is_short = True
|
||||
trade.recalc_open_trade_value()
|
||||
# binace
|
||||
trade.interest_mode = InterestMode.HOURSPERDAY
|
||||
trade.exchange = "binance"
|
||||
assert round(float(trade.calculate_interest()), 8) == round(0.0031249999999999997, 8)
|
||||
# kraken
|
||||
trade.interest_mode = InterestMode.HOURSPER4
|
||||
trade.exchange = "kraken"
|
||||
assert float(trade.calculate_interest()) == 0.045
|
||||
|
||||
# 0.00025 interest, 5hr, long
|
||||
trade.is_short = False
|
||||
trade.recalc_open_trade_value()
|
||||
# binance
|
||||
trade.interest_mode = InterestMode.HOURSPERDAY
|
||||
trade.exchange = "binance"
|
||||
assert round(float(trade.calculate_interest(interest_rate=0.00025)),
|
||||
8) == round(0.0020833333333333333, 8)
|
||||
# kraken
|
||||
trade.interest_mode = InterestMode.HOURSPER4
|
||||
trade.exchange = "kraken"
|
||||
assert isclose(float(trade.calculate_interest(interest_rate=0.00025)), 0.03)
|
||||
# short
|
||||
trade.is_short = True
|
||||
trade.recalc_open_trade_value()
|
||||
# binace
|
||||
trade.interest_mode = InterestMode.HOURSPERDAY
|
||||
trade.exchange = "binance"
|
||||
assert round(float(trade.calculate_interest(interest_rate=0.00025)),
|
||||
8) == round(0.0015624999999999999, 8)
|
||||
# kraken
|
||||
trade.interest_mode = InterestMode.HOURSPER4
|
||||
trade.exchange = "kraken"
|
||||
assert float(trade.calculate_interest(interest_rate=0.00025)) == 0.0225
|
||||
|
||||
# 5x leverage, 0.0005 interest, 5hr, long
|
||||
@ -302,19 +302,19 @@ def test_interest(market_buy_order_usdt, fee):
|
||||
trade.recalc_open_trade_value()
|
||||
trade.leverage = 5.0
|
||||
# binance
|
||||
trade.interest_mode = InterestMode.HOURSPERDAY
|
||||
trade.exchange = "binance"
|
||||
assert round(float(trade.calculate_interest()), 8) == 0.005
|
||||
# kraken
|
||||
trade.interest_mode = InterestMode.HOURSPER4
|
||||
trade.exchange = "kraken"
|
||||
assert float(trade.calculate_interest()) == round(0.07200000000000001, 8)
|
||||
# short
|
||||
trade.is_short = True
|
||||
trade.recalc_open_trade_value()
|
||||
# binace
|
||||
trade.interest_mode = InterestMode.HOURSPERDAY
|
||||
trade.exchange = "binance"
|
||||
assert round(float(trade.calculate_interest()), 8) == round(0.0031249999999999997, 8)
|
||||
# kraken
|
||||
trade.interest_mode = InterestMode.HOURSPER4
|
||||
trade.exchange = "kraken"
|
||||
assert float(trade.calculate_interest()) == 0.045
|
||||
|
||||
# 1x leverage, 0.0005 interest, 5hr
|
||||
@ -322,19 +322,19 @@ def test_interest(market_buy_order_usdt, fee):
|
||||
trade.recalc_open_trade_value()
|
||||
trade.leverage = 1.0
|
||||
# binance
|
||||
trade.interest_mode = InterestMode.HOURSPERDAY
|
||||
trade.exchange = "binance"
|
||||
assert float(trade.calculate_interest()) == 0.0
|
||||
# kraken
|
||||
trade.interest_mode = InterestMode.HOURSPER4
|
||||
trade.exchange = "kraken"
|
||||
assert float(trade.calculate_interest()) == 0.0
|
||||
# short
|
||||
trade.is_short = True
|
||||
trade.recalc_open_trade_value()
|
||||
# binace
|
||||
trade.interest_mode = InterestMode.HOURSPERDAY
|
||||
trade.exchange = "binance"
|
||||
assert float(trade.calculate_interest()) == 0.003125
|
||||
# kraken
|
||||
trade.interest_mode = InterestMode.HOURSPER4
|
||||
trade.exchange = "kraken"
|
||||
assert float(trade.calculate_interest()) == 0.045
|
||||
|
||||
|
||||
@ -506,7 +506,7 @@ def test_update_limit_order(limit_buy_order_usdt, limit_sell_order_usdt, fee, ca
|
||||
open_date=arrow.utcnow().datetime,
|
||||
fee_open=fee.return_value,
|
||||
fee_close=fee.return_value,
|
||||
exchange='binance',
|
||||
exchange='binance'
|
||||
)
|
||||
assert trade.open_order_id is None
|
||||
assert trade.close_profit is None
|
||||
@ -550,7 +550,7 @@ def test_update_limit_order(limit_buy_order_usdt, limit_sell_order_usdt, fee, ca
|
||||
is_short=True,
|
||||
leverage=3.0,
|
||||
interest_rate=0.0005,
|
||||
interest_mode=InterestMode.HOURSPERDAY
|
||||
trading_mode=TradingMode.MARGIN
|
||||
)
|
||||
trade.open_order_id = 'something'
|
||||
trade.update(limit_sell_order_usdt)
|
||||
@ -628,7 +628,6 @@ def test_calc_open_close_trade_price(limit_buy_order_usdt, limit_sell_order_usdt
|
||||
amount=30.0,
|
||||
open_date=datetime.now(tz=timezone.utc) - timedelta(minutes=10),
|
||||
interest_rate=0.0005,
|
||||
interest_mode=InterestMode.HOURSPERDAY,
|
||||
fee_open=fee.return_value,
|
||||
fee_close=fee.return_value,
|
||||
exchange='binance',
|
||||
@ -644,12 +643,12 @@ def test_calc_open_close_trade_price(limit_buy_order_usdt, limit_sell_order_usdt
|
||||
assert trade.calc_profit_ratio() == round(0.0945137157107232, 8)
|
||||
# 3x leverage, binance
|
||||
trade.leverage = 3
|
||||
trade.interest_mode = InterestMode.HOURSPERDAY
|
||||
trade.exchange = "binance"
|
||||
assert trade._calc_open_trade_value() == 60.15
|
||||
assert round(trade.calc_close_trade_value(), 8) == 65.83416667
|
||||
assert trade.calc_profit() == round(5.684166670000003, 8)
|
||||
assert trade.calc_profit_ratio() == round(0.2834995845386534, 8)
|
||||
trade.interest_mode = InterestMode.HOURSPER4
|
||||
trade.exchange = "kraken"
|
||||
# 3x leverage, kraken
|
||||
assert trade._calc_open_trade_value() == 60.15
|
||||
assert trade.calc_close_trade_value() == 65.795
|
||||
@ -662,7 +661,7 @@ def test_calc_open_close_trade_price(limit_buy_order_usdt, limit_sell_order_usdt
|
||||
assert trade.calc_close_trade_value() == 66.231165
|
||||
assert trade.calc_profit() == round(-6.381165000000003, 8)
|
||||
assert trade.calc_profit_ratio() == round(-0.319857894736842, 8)
|
||||
trade.interest_mode = InterestMode.HOURSPERDAY
|
||||
trade.exchange = "binance"
|
||||
# 3x leverage, short, binance
|
||||
assert trade._calc_open_trade_value() == 59.85
|
||||
assert trade.calc_close_trade_value() == 66.1663784375
|
||||
@ -675,7 +674,7 @@ def test_calc_open_close_trade_price(limit_buy_order_usdt, limit_sell_order_usdt
|
||||
assert trade.calc_profit() == round(-6.316378437500013, 8)
|
||||
assert trade.calc_profit_ratio() == round(-0.1055368159983292, 8)
|
||||
# 1x leverage, short, kraken
|
||||
trade.interest_mode = InterestMode.HOURSPER4
|
||||
trade.exchange = "kraken"
|
||||
assert trade._calc_open_trade_value() == 59.850
|
||||
assert trade.calc_close_trade_value() == 66.231165
|
||||
assert trade.calc_profit() == -6.381165
|
||||
@ -694,7 +693,6 @@ def test_trade_close(limit_buy_order_usdt, limit_sell_order_usdt, fee):
|
||||
fee_close=fee.return_value,
|
||||
open_date=datetime.now(tz=timezone.utc) - timedelta(minutes=10),
|
||||
interest_rate=0.0005,
|
||||
interest_mode=InterestMode.HOURSPERDAY,
|
||||
exchange='binance',
|
||||
)
|
||||
assert trade.close_profit is None
|
||||
@ -804,9 +802,13 @@ def test_calc_open_trade_value(limit_buy_order_usdt, fee):
|
||||
trade.is_short = True
|
||||
trade.recalc_open_trade_value()
|
||||
assert trade._calc_open_trade_value() == 59.85
|
||||
|
||||
# 3x short margin leverage
|
||||
trade.leverage = 3
|
||||
trade.interest_mode = InterestMode.HOURSPERDAY
|
||||
trade.exchange = "binance"
|
||||
assert trade._calc_open_trade_value() == 59.85
|
||||
|
||||
# 3x long margin leverage
|
||||
trade.is_short = False
|
||||
trade.recalc_open_trade_value()
|
||||
assert trade._calc_open_trade_value() == 60.15
|
||||
@ -831,8 +833,7 @@ def test_calc_close_trade_price(limit_buy_order_usdt, limit_sell_order_usdt, fee
|
||||
fee_open=fee.return_value,
|
||||
fee_close=fee.return_value,
|
||||
exchange='binance',
|
||||
interest_rate=0.0005,
|
||||
interest_mode=InterestMode.HOURSPERDAY
|
||||
interest_rate=0.0005
|
||||
)
|
||||
trade.open_order_id = 'close_trade'
|
||||
trade.update(limit_buy_order_usdt)
|
||||
@ -849,7 +850,7 @@ def test_calc_close_trade_price(limit_buy_order_usdt, limit_sell_order_usdt, fee
|
||||
assert round(trade.calc_close_trade_value(rate=2.5, fee=0.003), 8) == 74.77416667
|
||||
|
||||
# 3x leverage kraken
|
||||
trade.interest_mode = InterestMode.HOURSPER4
|
||||
trade.exchange = "kraken"
|
||||
assert trade.calc_close_trade_value(rate=2.5) == 74.7725
|
||||
assert trade.calc_close_trade_value(rate=2.5, fee=0.003) == 74.735
|
||||
|
||||
@ -860,7 +861,7 @@ def test_calc_close_trade_price(limit_buy_order_usdt, limit_sell_order_usdt, fee
|
||||
assert trade.calc_close_trade_value(rate=2.5, fee=0.003) == 75.300225
|
||||
|
||||
# 3x leverage binance, short
|
||||
trade.interest_mode = InterestMode.HOURSPERDAY
|
||||
trade.exchange = "binance"
|
||||
assert round(trade.calc_close_trade_value(rate=2.5), 8) == 75.18906641
|
||||
assert round(trade.calc_close_trade_value(rate=2.5, fee=0.003), 8) == 75.22656719
|
||||
|
||||
@ -870,7 +871,7 @@ def test_calc_close_trade_price(limit_buy_order_usdt, limit_sell_order_usdt, fee
|
||||
assert round(trade.calc_close_trade_value(rate=2.5, fee=0.003), 8) == 75.22656719
|
||||
|
||||
# 1x leverage kraken, short
|
||||
trade.interest_mode = InterestMode.HOURSPER4
|
||||
trade.exchange = "kraken"
|
||||
assert round(trade.calc_close_trade_value(rate=2.5), 8) == 75.2626875
|
||||
assert trade.calc_close_trade_value(rate=2.5, fee=0.003) == 75.300225
|
||||
|
||||
@ -1013,7 +1014,6 @@ def test_calc_profit(limit_buy_order_usdt, limit_sell_order_usdt, fee):
|
||||
open_rate=2.0,
|
||||
open_date=datetime.now(tz=timezone.utc) - timedelta(minutes=10),
|
||||
interest_rate=0.0005,
|
||||
interest_mode=InterestMode.HOURSPERDAY,
|
||||
fee_open=fee.return_value,
|
||||
fee_close=fee.return_value,
|
||||
exchange='binance'
|
||||
@ -1047,62 +1047,62 @@ def test_calc_profit(limit_buy_order_usdt, limit_sell_order_usdt, fee):
|
||||
# 3x leverage, long ###################################################
|
||||
trade.leverage = 3.0
|
||||
# Higher than open rate - 2.1 quote
|
||||
trade.interest_mode = InterestMode.HOURSPERDAY # binance
|
||||
trade.exchange = "binance" # binance
|
||||
assert trade.calc_profit(rate=2.1, fee=0.0025) == 2.69166667
|
||||
trade.interest_mode = InterestMode.HOURSPER4 # kraken
|
||||
trade.exchange = "kraken"
|
||||
assert trade.calc_profit(rate=2.1, fee=0.0025) == 2.6525
|
||||
|
||||
# 1.9 quote
|
||||
trade.interest_mode = InterestMode.HOURSPERDAY # binance
|
||||
trade.exchange = "binance" # binance
|
||||
assert trade.calc_profit(rate=1.9, fee=0.0025) == -3.29333333
|
||||
trade.interest_mode = InterestMode.HOURSPER4 # kraken
|
||||
trade.exchange = "kraken"
|
||||
assert trade.calc_profit(rate=1.9, fee=0.0025) == -3.3325
|
||||
|
||||
# 2.2 quote
|
||||
trade.interest_mode = InterestMode.HOURSPERDAY # binance
|
||||
trade.exchange = "binance" # binance
|
||||
assert trade.calc_profit(fee=0.0025) == 5.68416667
|
||||
trade.interest_mode = InterestMode.HOURSPER4 # kraken
|
||||
trade.exchange = "kraken"
|
||||
assert trade.calc_profit(fee=0.0025) == 5.645
|
||||
|
||||
# 3x leverage, short ###################################################
|
||||
trade.is_short = True
|
||||
trade.recalc_open_trade_value()
|
||||
# 2.1 quote - Higher than open rate
|
||||
trade.interest_mode = InterestMode.HOURSPERDAY # binance
|
||||
trade.exchange = "binance" # binance
|
||||
assert trade.calc_profit(rate=2.1, fee=0.0025) == round(-3.308815781249997, 8)
|
||||
trade.interest_mode = InterestMode.HOURSPER4 # kraken
|
||||
trade.exchange = "kraken"
|
||||
assert trade.calc_profit(rate=2.1, fee=0.0025) == -3.3706575
|
||||
|
||||
# 1.9 quote - Lower than open rate
|
||||
trade.interest_mode = InterestMode.HOURSPERDAY # binance
|
||||
trade.exchange = "binance" # binance
|
||||
assert trade.calc_profit(rate=1.9, fee=0.0025) == round(2.7063095312499996, 8)
|
||||
trade.interest_mode = InterestMode.HOURSPER4 # kraken
|
||||
trade.exchange = "kraken"
|
||||
assert trade.calc_profit(rate=1.9, fee=0.0025) == 2.6503575
|
||||
|
||||
# Test when we apply a Sell order. Uses sell order used above
|
||||
trade.interest_mode = InterestMode.HOURSPERDAY # binance
|
||||
trade.exchange = "binance" # binance
|
||||
assert trade.calc_profit(fee=0.0025) == round(-6.316378437499999, 8)
|
||||
trade.interest_mode = InterestMode.HOURSPER4 # kraken
|
||||
trade.exchange = "kraken"
|
||||
assert trade.calc_profit(fee=0.0025) == -6.381165
|
||||
|
||||
# 1x leverage, short ###################################################
|
||||
trade.leverage = 1.0
|
||||
# 2.1 quote - Higher than open rate
|
||||
trade.interest_mode = InterestMode.HOURSPERDAY # binance
|
||||
trade.exchange = "binance" # binance
|
||||
assert trade.calc_profit(rate=2.1, fee=0.0025) == round(-3.308815781249997, 8)
|
||||
trade.interest_mode = InterestMode.HOURSPER4 # kraken
|
||||
trade.exchange = "kraken"
|
||||
assert trade.calc_profit(rate=2.1, fee=0.0025) == -3.3706575
|
||||
|
||||
# 1.9 quote - Lower than open rate
|
||||
trade.interest_mode = InterestMode.HOURSPERDAY # binance
|
||||
trade.exchange = "binance" # binance
|
||||
assert trade.calc_profit(rate=1.9, fee=0.0025) == round(2.7063095312499996, 8)
|
||||
trade.interest_mode = InterestMode.HOURSPER4 # kraken
|
||||
trade.exchange = "kraken"
|
||||
assert trade.calc_profit(rate=1.9, fee=0.0025) == 2.6503575
|
||||
|
||||
# Test when we apply a Sell order. Uses sell order used above
|
||||
trade.interest_mode = InterestMode.HOURSPERDAY # binance
|
||||
trade.exchange = "binance" # binance
|
||||
assert trade.calc_profit(fee=0.0025) == round(-6.316378437499999, 8)
|
||||
trade.interest_mode = InterestMode.HOURSPER4 # kraken
|
||||
trade.exchange = "kraken"
|
||||
assert trade.calc_profit(fee=0.0025) == -6.381165
|
||||
|
||||
|
||||
@ -1115,7 +1115,6 @@ def test_calc_profit_ratio(limit_buy_order_usdt, limit_sell_order_usdt, fee):
|
||||
open_rate=2.0,
|
||||
open_date=datetime.now(tz=timezone.utc) - timedelta(minutes=10),
|
||||
interest_rate=0.0005,
|
||||
interest_mode=InterestMode.HOURSPERDAY,
|
||||
fee_open=fee.return_value,
|
||||
fee_close=fee.return_value,
|
||||
exchange='binance'
|
||||
@ -1150,62 +1149,62 @@ def test_calc_profit_ratio(limit_buy_order_usdt, limit_sell_order_usdt, fee):
|
||||
# 3x leverage, long ###################################################
|
||||
trade.leverage = 3.0
|
||||
# 2.1 quote - Higher than open rate
|
||||
trade.interest_mode = InterestMode.HOURSPERDAY # binance
|
||||
trade.exchange = "binance" # binance
|
||||
assert trade.calc_profit_ratio(rate=2.1) == round(0.13424771421446402, 8)
|
||||
trade.interest_mode = InterestMode.HOURSPER4 # kraken
|
||||
trade.exchange = "kraken"
|
||||
assert trade.calc_profit_ratio(rate=2.1) == round(0.13229426433915248, 8)
|
||||
|
||||
# 1.9 quote - Lower than open rate
|
||||
trade.interest_mode = InterestMode.HOURSPERDAY # binance
|
||||
trade.exchange = "binance" # binance
|
||||
assert trade.calc_profit_ratio(rate=1.9) == round(-0.16425602643391513, 8)
|
||||
trade.interest_mode = InterestMode.HOURSPER4 # kraken
|
||||
trade.exchange = "kraken"
|
||||
assert trade.calc_profit_ratio(rate=1.9) == round(-0.16620947630922667, 8)
|
||||
|
||||
# Test when we apply a Sell order. Uses sell order used above
|
||||
trade.interest_mode = InterestMode.HOURSPERDAY # binance
|
||||
trade.exchange = "binance" # binance
|
||||
assert trade.calc_profit_ratio() == round(0.2834995845386534, 8)
|
||||
trade.interest_mode = InterestMode.HOURSPER4 # kraken
|
||||
trade.exchange = "kraken"
|
||||
assert trade.calc_profit_ratio() == round(0.2815461346633419, 8)
|
||||
|
||||
# 3x leverage, short ###################################################
|
||||
trade.is_short = True
|
||||
trade.recalc_open_trade_value()
|
||||
# 2.1 quote - Higher than open rate
|
||||
trade.interest_mode = InterestMode.HOURSPERDAY # binance
|
||||
trade.exchange = "binance" # binance
|
||||
assert trade.calc_profit_ratio(rate=2.1) == round(-0.1658554276315789, 8)
|
||||
trade.interest_mode = InterestMode.HOURSPER4 # kraken
|
||||
trade.exchange = "kraken"
|
||||
assert trade.calc_profit_ratio(rate=2.1) == round(-0.16895526315789455, 8)
|
||||
|
||||
# 1.9 quote - Lower than open rate
|
||||
trade.interest_mode = InterestMode.HOURSPERDAY # binance
|
||||
trade.exchange = "binance" # binance
|
||||
assert trade.calc_profit_ratio(rate=1.9) == round(0.13565461309523819, 8)
|
||||
trade.interest_mode = InterestMode.HOURSPER4 # kraken
|
||||
trade.exchange = "kraken"
|
||||
assert trade.calc_profit_ratio(rate=1.9) == round(0.13285000000000002, 8)
|
||||
|
||||
# Test when we apply a Sell order. Uses sell order used above
|
||||
trade.interest_mode = InterestMode.HOURSPERDAY # binance
|
||||
trade.exchange = "binance" # binance
|
||||
assert trade.calc_profit_ratio() == round(-0.3166104479949876, 8)
|
||||
trade.interest_mode = InterestMode.HOURSPER4 # kraken
|
||||
trade.exchange = "kraken"
|
||||
assert trade.calc_profit_ratio() == round(-0.319857894736842, 8)
|
||||
|
||||
# 1x leverage, short ###################################################
|
||||
trade.leverage = 1.0
|
||||
# 2.1 quote - Higher than open rate
|
||||
trade.interest_mode = InterestMode.HOURSPERDAY # binance
|
||||
trade.exchange = "binance" # binance
|
||||
assert trade.calc_profit_ratio(rate=2.1) == round(-0.05528514254385963, 8)
|
||||
trade.interest_mode = InterestMode.HOURSPER4 # kraken
|
||||
trade.exchange = "kraken"
|
||||
assert trade.calc_profit_ratio(rate=2.1) == round(-0.05631842105263152, 8)
|
||||
|
||||
# 1.9 quote - Lower than open rate
|
||||
trade.interest_mode = InterestMode.HOURSPERDAY # binance
|
||||
trade.exchange = "binance"
|
||||
assert trade.calc_profit_ratio(rate=1.9) == round(0.045218204365079395, 8)
|
||||
trade.interest_mode = InterestMode.HOURSPER4 # kraken
|
||||
trade.exchange = "kraken"
|
||||
assert trade.calc_profit_ratio(rate=1.9) == round(0.04428333333333334, 8)
|
||||
|
||||
# Test when we apply a Sell order. Uses sell order used above
|
||||
trade.interest_mode = InterestMode.HOURSPERDAY # binance
|
||||
trade.exchange = "binance"
|
||||
assert trade.calc_profit_ratio() == round(-0.1055368159983292, 8)
|
||||
trade.interest_mode = InterestMode.HOURSPER4 # kraken
|
||||
trade.exchange = "kraken"
|
||||
assert trade.calc_profit_ratio() == round(-0.106619298245614, 8)
|
||||
|
||||
|
||||
@ -1541,8 +1540,7 @@ def test_adjust_stop_loss_short(fee):
|
||||
exchange='binance',
|
||||
open_rate=1,
|
||||
max_rate=1,
|
||||
is_short=True,
|
||||
interest_mode=InterestMode.HOURSPERDAY
|
||||
is_short=True
|
||||
)
|
||||
trade.adjust_stop_loss(trade.open_rate, 0.05, True)
|
||||
assert trade.stop_loss == 1.05
|
||||
@ -1575,11 +1573,11 @@ def test_adjust_stop_loss_short(fee):
|
||||
assert trade.initial_stop_loss_pct == 0.05
|
||||
# Initial is true but stop_loss set - so doesn't do anything
|
||||
trade.adjust_stop_loss(0.3, -0.1, True)
|
||||
assert round(trade.stop_loss, 8) == 0.66 # TODO-mg: What is this test?
|
||||
assert round(trade.stop_loss, 8) == 0.66
|
||||
assert trade.initial_stop_loss == 1.05
|
||||
assert trade.initial_stop_loss_pct == 0.05
|
||||
assert trade.stop_loss_pct == 0.1
|
||||
trade.set_isolated_liq(0.63)
|
||||
trade.set_isolated_liq(isolated_liq=0.63)
|
||||
trade.adjust_stop_loss(0.59, -0.1)
|
||||
assert trade.stop_loss == 0.63
|
||||
assert trade.isolated_liq == 0.63
|
||||
@ -1858,8 +1856,7 @@ def test_stoploss_reinitialization_short(default_conf, fee):
|
||||
open_rate=1,
|
||||
max_rate=1,
|
||||
is_short=True,
|
||||
leverage=3.0,
|
||||
interest_mode=InterestMode.HOURSPERDAY
|
||||
leverage=3.0
|
||||
)
|
||||
trade.adjust_stop_loss(trade.open_rate, -0.05, True)
|
||||
assert trade.stop_loss == 1.05
|
||||
@ -1899,7 +1896,7 @@ def test_stoploss_reinitialization_short(default_conf, fee):
|
||||
assert trade_adj.initial_stop_loss == 1.04
|
||||
assert trade_adj.initial_stop_loss_pct == 0.04
|
||||
# Stoploss can't go above liquidation price
|
||||
trade_adj.set_isolated_liq(1.0)
|
||||
trade_adj.set_isolated_liq(isolated_liq=1.0)
|
||||
trade.adjust_stop_loss(0.97, -0.04)
|
||||
assert trade_adj.stop_loss == 1.0
|
||||
assert trade_adj.stop_loss == 1.0
|
||||
|
||||
Loading…
Reference in New Issue
Block a user