import logging from datetime import datetime, timedelta, timezone from pathlib import Path from types import FunctionType from unittest.mock import MagicMock import arrow import pytest from math import isclose from sqlalchemy import create_engine, inspect, text from freqtrade import constants 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, log_has, log_has_re @pytest.mark.usefixtures("init_persistence") def test_update_with_binance(limit_short_order, limit_exit_short_order, fee, ten_minutes_ago, caplog): """ 10 minute short limit trade on binance Short trade fee: 0.25% base interest_rate: 0.05% per day open_rate: 0.00001173 base close_rate: 0.00001099 base amount: 90.99181073 crypto borrowed: 90.99181073 crypto time-periods: 10 minutes(rounds up to 1/24 time-period of 1 day) interest: borrowed * interest_rate * time-periods = 90.99181073 * 0.0005 * 1/24 = 0.0018956627235416667 crypto open_value: (amount * open_rate) - (amount * open_rate * fee) = 90.99181073 * 0.00001173 - 90.99181073 * 0.00001173 * 0.0025 = 0.0010646656050132426 amount_closed: amount + interest = 90.99181073 + 0.0018956627235416667 = 90.99370639272354 close_value: (amount_closed * close_rate) + (amount_closed * close_rate * fee) = (90.99370639272354 * 0.00001099) + (90.99370639272354 * 0.00001099 * 0.0025) = 0.0010025208853391716 total_profit = open_value - close_value = 0.0010646656050132426 - 0.0010025208853391716 = 0.00006214471967407108 total_profit_percentage = (open_value/close_value) - 1 = (0.0010646656050132426/0.0010025208853391716)-1 = 0.06198845388946328 """ trade = Trade( id=2, pair='ETH/BTC', stake_amount=0.001, open_rate=0.01, amount=5, is_open=True, open_date=ten_minutes_ago, fee_open=fee.return_value, fee_close=fee.return_value, # borrowed=90.99181073, exchange='binance' ) #assert trade.open_order_id is None assert trade.close_profit is None assert trade.close_date is None assert trade.borrowed is None assert trade.is_short is None #trade.open_order_id = 'something' trade.update(limit_short_order) #assert trade.open_order_id is None assert trade.open_rate == 0.00001173 assert trade.close_profit is None assert trade.close_date is None assert trade.borrowed == 90.99181073 assert trade.is_short is True assert log_has_re(r"LIMIT_SELL has been fulfilled for Trade\(id=2, " r"pair=ETH/BTC, amount=90.99181073, open_rate=0.00001173, open_since=.*\).", caplog) caplog.clear() #trade.open_order_id = 'something' trade.update(limit_exit_short_order) #assert trade.open_order_id is None assert trade.close_rate == 0.00001099 assert trade.close_profit == 0.06198845 assert trade.close_date is not None assert log_has_re(r"LIMIT_BUY has been fulfilled for Trade\(id=2, " r"pair=ETH/BTC, amount=90.99181073, open_rate=0.00001173, open_since=.*\).", caplog) @pytest.mark.usefixtures("init_persistence") def test_update_market_order( market_short_order, market_exit_short_order, fee, ten_minutes_ago, caplog ): """ 10 minute short market trade on Kraken at 3x leverage Short trade fee: 0.25% base interest_rate: 0.05% per 4 hrs open_rate: 0.00004173 base close_rate: 0.00004099 base amount: 91.99181073 * leverage(3) = 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 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 close_value: (amount_closed * close_rate) + (amount_closed * close_rate * fee) = (276.113419906095 * 0.00004099) + (276.113419906095 * 0.00004099 * 0.0025) = 0.01134618380465571 total_profit = open_value - close_value = 0.011487663648325479 - 0.01134618380465571 = 0.00014147984366976937 total_profit_percentage = (open_value/close_value) - 1 = (0.011487663648325479/0.01134618380465571)-1 = 0.012469377026284034 """ trade = Trade( id=1, pair='ETH/BTC', stake_amount=0.001, amount=5, open_rate=0.01, is_open=True, fee_open=fee.return_value, fee_close=fee.return_value, open_date=ten_minutes_ago, exchange='kraken' ) trade.open_order_id = 'something' trade.update(market_short_order) assert trade.leverage == 3.0 assert trade.is_short == True assert trade.open_order_id is None assert trade.open_rate == 0.00004173 assert trade.close_profit is None assert trade.close_date is None assert trade.interest_rate == 0.0005 # TODO: Uncomment the next assert and make it work. # The logger also has the exact same but there's some spacing in there # assert log_has_re(r"MARKET_SELL has been fulfilled for Trade\(id=1, " # r"pair=ETH/BTC, amount=275.97543219, open_rate=0.00004173, open_since=.*\).", # caplog) caplog.clear() trade.is_open = True trade.open_order_id = 'something' trade.update(market_exit_short_order) assert trade.open_order_id is None assert trade.close_rate == 0.00004099 assert trade.close_profit == 0.01246938 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. # The logger also has the exact same but there's some spacing in there # assert log_has_re(r"MARKET_SELL has been fulfilled for Trade\(id=1, " # r"pair=ETH/BTC, amount=275.97543219, open_rate=0.00004099, open_since=.*\).", # caplog) # TODO-mg: create a leveraged long order @pytest.mark.usefixtures("init_persistence") def test_calc_open_close_trade_price(limit_short_order, limit_exit_short_order, five_hours_ago, fee): """ 5 hour short trade on Binance Short trade fee: 0.25% base interest_rate: 0.05% per day open_rate: 0.00001173 base close_rate: 0.00001099 base amount: 90.99181073 crypto borrowed: 90.99181073 crypto time-periods: 5 hours = 5/24 interest: borrowed * interest_rate * time-periods = 90.99181073 * 0.0005 * 5/24 = 0.009478313617708333 crypto open_value: (amount * open_rate) - (amount * open_rate * fee) = 90.99181073 * 0.00001173 - 90.99181073 * 0.00001173 * 0.0025 = 0.0010646656050132426 amount_closed: amount + interest = 90.99181073 + 0.009478313617708333 = 91.0012890436177 close_value: (amount_closed * close_rate) + (amount_closed * close_rate * fee) = (91.0012890436177 * 0.00001099) + (91.0012890436177 * 0.00001099 * 0.0025) = 0.001002604427005832 total_profit = open_value - close_value = 0.0010646656050132426 - 0.001002604427005832 = 0.00006206117800741065 total_profit_percentage = (open_value/close_value) - 1 = (0.0010646656050132426/0.0010025208853391716)-1 = 0.06189996406932852 """ trade = Trade( pair='ETH/BTC', stake_amount=0.001, open_rate=0.01, amount=5, open_date=five_hours_ago, fee_open=fee.return_value, fee_close=fee.return_value, exchange='binance' ) trade.open_order_id = 'something' trade.update(limit_short_order) assert trade._calc_open_trade_value() == 0.0010646656050132426 trade.update(limit_exit_short_order) assert isclose(trade.calc_close_trade_value(), 0.001002604427005832) # Profit in BTC assert isclose(trade.calc_profit(), 0.00006206) #Profit in percent assert isclose(trade.calc_profit_ratio(), 0.06189996) @pytest.mark.usefixtures("init_persistence") def test_trade_close(fee, five_hours_ago): """ Five hour short trade on Kraken at 3x leverage Short trade Exchange: Kraken fee: 0.25% base interest_rate: 0.05% per 4 hours open_rate: 0.02 base close_rate: 0.01 base leverage: 3.0 amount: 5 * 3 = 15 crypto borrowed: 15 crypto time-periods: 5 hours = 5/4 interest: borrowed * interest_rate * time-periods = 15 * 0.0005 * 5/4 = 0.009375 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 close_value: (amount_closed * close_rate) + (amount_closed * close_rate * fee) = (15.009375 * 0.01) + (15.009375 * 0.01 * 0.0025) = 0.150468984375 total_profit = open_value - close_value = 0.29925 - 0.150468984375 = 0.148781015625 total_profit_percentage = (open_value/close_value) - 1 = (0.29925/0.150468984375)-1 = 0.9887819489377738 """ trade = Trade( pair='ETH/BTC', stake_amount=0.001, open_rate=0.02, amount=5, is_open=True, fee_open=fee.return_value, fee_close=fee.return_value, open_date=five_hours_ago, exchange='kraken', is_short=True, leverage=3.0, interest_rate=0.0005 ) assert trade.close_profit is None assert trade.close_date is None assert trade.is_open is True trade.close(0.01) assert trade.is_open is False assert trade.close_profit == 0.98878195 assert trade.close_date is not None # TODO-mg: Remove these comments probably #new_date = arrow.Arrow(2020, 2, 2, 15, 6, 1).datetime, # assert trade.close_date != new_date # # Close should NOT update close_date if the trade has been closed already # assert trade.is_open is False # trade.close_date = new_date # trade.close(0.02) # assert trade.close_date == new_date @pytest.mark.usefixtures("init_persistence") def test_calc_close_trade_price_exception(limit_short_order, fee): trade = Trade( pair='ETH/BTC', stake_amount=0.001, open_rate=0.1, amount=5, fee_open=fee.return_value, fee_close=fee.return_value, exchange='binance', ) trade.open_order_id = 'something' trade.update(limit_short_order) assert trade.calc_close_trade_value() == 0.0 # @pytest.mark.usefixtures("init_persistence") # def test_update_open_order(limit_buy_order): # trade = Trade( # pair='ETH/BTC', # stake_amount=1.00, # open_rate=0.01, # amount=5, # fee_open=0.1, # fee_close=0.1, # exchange='binance', # ) # assert trade.open_order_id is None # assert trade.close_profit is None # assert trade.close_date is None # limit_buy_order['status'] = 'open' # trade.update(limit_buy_order) # assert trade.open_order_id is None # assert trade.close_profit is None # assert trade.close_date is None # @pytest.mark.usefixtures("init_persistence") # def test_calc_open_trade_value(limit_buy_order, fee): # trade = Trade( # pair='ETH/BTC', # stake_amount=0.001, # amount=5, # open_rate=0.00001099, # fee_open=fee.return_value, # fee_close=fee.return_value, # exchange='binance', # ) # 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_value() == 0.0010024999999225068 # trade.fee_open = 0.003 # # Get the open rate price with a custom fee rate # assert trade._calc_open_trade_value() == 0.001002999999922468 # @pytest.mark.usefixtures("init_persistence") # def test_calc_close_trade_price(limit_buy_order, limit_sell_order, fee): # trade = Trade( # pair='ETH/BTC', # stake_amount=0.001, # amount=5, # open_rate=0.00001099, # fee_open=fee.return_value, # fee_close=fee.return_value, # exchange='binance', # ) # 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_value(rate=0.00001234) == 0.0011200318470471794 # # Get the close rate price with a custom close rate and a custom fee rate # assert trade.calc_close_trade_value(rate=0.00001234, fee=0.003) == 0.0011194704275749754 # # 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_value(fee=0.005) == 0.0010619972701635854 # @pytest.mark.usefixtures("init_persistence") # def test_calc_profit(limit_buy_order, limit_sell_order, fee): # trade = Trade( # pair='ETH/BTC', # stake_amount=0.001, # amount=5, # open_rate=0.00001099, # fee_open=fee.return_value, # fee_close=fee.return_value, # exchange='binance', # ) # trade.open_order_id = 'something' # 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 # # 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 # @pytest.mark.usefixtures("init_persistence") # def test_calc_profit_ratio(limit_buy_order, limit_sell_order, fee): # trade = Trade( # pair='ETH/BTC', # stake_amount=0.001, # amount=5, # open_rate=0.00001099, # fee_open=fee.return_value, # fee_close=fee.return_value, # exchange='binance', # ) # trade.open_order_id = 'something' # trade.update(limit_buy_order) # Buy @ 0.00001099 # # Get percent of profit with a custom rate (Higher than open rate) # assert trade.calc_profit_ratio(rate=0.00001234) == 0.11723875 # # Get percent of profit with a custom rate (Lower than open rate) # assert trade.calc_profit_ratio(rate=0.00000123) == -0.88863828 # # Test when we apply a Sell order. Sell higher than open rate @ 0.00001173 # trade.update(limit_sell_order) # assert trade.calc_profit_ratio() == 0.06201058 # # Test with a custom fee rate on the close trade # assert trade.calc_profit_ratio(fee=0.003) == 0.06147824 # trade.open_trade_value = 0.0 # assert trade.calc_profit_ratio(fee=0.003) == 0.0 # def test_adjust_stop_loss(fee): # trade = Trade( # pair='ETH/BTC', # stake_amount=0.001, # amount=5, # fee_open=fee.return_value, # fee_close=fee.return_value, # exchange='binance', # open_rate=1, # max_rate=1, # ) # trade.adjust_stop_loss(trade.open_rate, 0.05, True) # assert trade.stop_loss == 0.95 # assert trade.stop_loss_pct == -0.05 # assert trade.initial_stop_loss == 0.95 # assert trade.initial_stop_loss_pct == -0.05 # # Get percent of profit with a lower rate # trade.adjust_stop_loss(0.96, 0.05) # assert trade.stop_loss == 0.95 # assert trade.stop_loss_pct == -0.05 # assert trade.initial_stop_loss == 0.95 # assert trade.initial_stop_loss_pct == -0.05 # # Get percent of profit with a custom rate (Higher than open rate) # trade.adjust_stop_loss(1.3, -0.1) # assert round(trade.stop_loss, 8) == 1.17 # assert trade.stop_loss_pct == -0.1 # assert trade.initial_stop_loss == 0.95 # assert trade.initial_stop_loss_pct == -0.05 # # current rate lower again ... should not change # trade.adjust_stop_loss(1.2, 0.1) # assert round(trade.stop_loss, 8) == 1.17 # assert trade.initial_stop_loss == 0.95 # assert trade.initial_stop_loss_pct == -0.05 # # current rate higher... should raise stoploss # trade.adjust_stop_loss(1.4, 0.1) # assert round(trade.stop_loss, 8) == 1.26 # assert trade.initial_stop_loss == 0.95 # assert trade.initial_stop_loss_pct == -0.05 # # Initial is true but stop_loss set - so doesn't do anything # trade.adjust_stop_loss(1.7, 0.1, True) # assert round(trade.stop_loss, 8) == 1.26 # assert trade.initial_stop_loss == 0.95 # assert trade.initial_stop_loss_pct == -0.05 # assert trade.stop_loss_pct == -0.1 # def test_adjust_min_max_rates(fee): # trade = Trade( # pair='ETH/BTC', # stake_amount=0.001, # amount=5, # fee_open=fee.return_value, # fee_close=fee.return_value, # exchange='binance', # open_rate=1, # ) # trade.adjust_min_max_rates(trade.open_rate) # assert trade.max_rate == 1 # assert trade.min_rate == 1 # # check min adjusted, max remained # trade.adjust_min_max_rates(0.96) # assert trade.max_rate == 1 # assert trade.min_rate == 0.96 # # check max adjusted, min remains # trade.adjust_min_max_rates(1.05) # assert trade.max_rate == 1.05 # assert trade.min_rate == 0.96 # # current rate "in the middle" - no adjustment # trade.adjust_min_max_rates(1.03) # assert trade.max_rate == 1.05 # assert trade.min_rate == 0.96 # @pytest.mark.usefixtures("init_persistence") # @pytest.mark.parametrize('use_db', [True, False]) # def test_get_open(fee, use_db): # Trade.use_db = use_db # Trade.reset_trades() # create_mock_trades(fee, use_db) # assert len(Trade.get_open_trades()) == 4 # Trade.use_db = True # def test_stoploss_reinitialization(default_conf, fee): # init_db(default_conf['db_url']) # trade = Trade( # pair='ETH/BTC', # stake_amount=0.001, # fee_open=fee.return_value, # open_date=arrow.utcnow().shift(hours=-2).datetime, # amount=10, # fee_close=fee.return_value, # exchange='binance', # open_rate=1, # max_rate=1, # ) # trade.adjust_stop_loss(trade.open_rate, 0.05, True) # assert trade.stop_loss == 0.95 # assert trade.stop_loss_pct == -0.05 # assert trade.initial_stop_loss == 0.95 # assert trade.initial_stop_loss_pct == -0.05 # Trade.query.session.add(trade) # # Lower stoploss # Trade.stoploss_reinitialization(0.06) # trades = Trade.get_open_trades() # assert len(trades) == 1 # trade_adj = trades[0] # assert trade_adj.stop_loss == 0.94 # assert trade_adj.stop_loss_pct == -0.06 # assert trade_adj.initial_stop_loss == 0.94 # assert trade_adj.initial_stop_loss_pct == -0.06 # # Raise stoploss # Trade.stoploss_reinitialization(0.04) # trades = Trade.get_open_trades() # assert len(trades) == 1 # trade_adj = trades[0] # assert trade_adj.stop_loss == 0.96 # assert trade_adj.stop_loss_pct == -0.04 # assert trade_adj.initial_stop_loss == 0.96 # assert trade_adj.initial_stop_loss_pct == -0.04 # # Trailing stoploss (move stoplos up a bit) # trade.adjust_stop_loss(1.02, 0.04) # assert trade_adj.stop_loss == 0.9792 # assert trade_adj.initial_stop_loss == 0.96 # Trade.stoploss_reinitialization(0.04) # trades = Trade.get_open_trades() # assert len(trades) == 1 # trade_adj = trades[0] # # Stoploss should not change in this case. # assert trade_adj.stop_loss == 0.9792 # assert trade_adj.stop_loss_pct == -0.04 # assert trade_adj.initial_stop_loss == 0.96 # assert trade_adj.initial_stop_loss_pct == -0.04 # def test_update_fee(fee): # trade = Trade( # pair='ETH/BTC', # stake_amount=0.001, # fee_open=fee.return_value, # open_date=arrow.utcnow().shift(hours=-2).datetime, # amount=10, # fee_close=fee.return_value, # exchange='binance', # open_rate=1, # max_rate=1, # ) # fee_cost = 0.15 # fee_currency = 'BTC' # fee_rate = 0.0075 # assert trade.fee_open_currency is None # assert not trade.fee_updated('buy') # assert not trade.fee_updated('sell') # trade.update_fee(fee_cost, fee_currency, fee_rate, 'buy') # assert trade.fee_updated('buy') # assert not trade.fee_updated('sell') # assert trade.fee_open_currency == fee_currency # assert trade.fee_open_cost == fee_cost # assert trade.fee_open == fee_rate # # Setting buy rate should "guess" close rate # assert trade.fee_close == fee_rate # assert trade.fee_close_currency is None # assert trade.fee_close_cost is None # fee_rate = 0.0076 # trade.update_fee(fee_cost, fee_currency, fee_rate, 'sell') # assert trade.fee_updated('buy') # assert trade.fee_updated('sell') # assert trade.fee_close == 0.0076 # assert trade.fee_close_cost == fee_cost # assert trade.fee_close == fee_rate # def test_fee_updated(fee): # trade = Trade( # pair='ETH/BTC', # stake_amount=0.001, # fee_open=fee.return_value, # open_date=arrow.utcnow().shift(hours=-2).datetime, # amount=10, # fee_close=fee.return_value, # exchange='binance', # open_rate=1, # max_rate=1, # ) # assert trade.fee_open_currency is None # assert not trade.fee_updated('buy') # assert not trade.fee_updated('sell') # assert not trade.fee_updated('asdf') # trade.update_fee(0.15, 'BTC', 0.0075, 'buy') # assert trade.fee_updated('buy') # assert not trade.fee_updated('sell') # assert trade.fee_open_currency is not None # assert trade.fee_close_currency is None # trade.update_fee(0.15, 'ABC', 0.0075, 'sell') # assert trade.fee_updated('buy') # assert trade.fee_updated('sell') # assert not trade.fee_updated('asfd') # @pytest.mark.usefixtures("init_persistence") # @pytest.mark.parametrize('use_db', [True, False]) # def test_total_open_trades_stakes(fee, use_db): # Trade.use_db = use_db # Trade.reset_trades() # res = Trade.total_open_trades_stakes() # assert res == 0 # create_mock_trades(fee, use_db) # res = Trade.total_open_trades_stakes() # assert res == 0.004 # Trade.use_db = True # @pytest.mark.usefixtures("init_persistence") # def test_get_overall_performance(fee): # create_mock_trades(fee) # res = Trade.get_overall_performance() # assert len(res) == 2 # assert 'pair' in res[0] # assert 'profit' in res[0] # assert 'count' in res[0] # @pytest.mark.usefixtures("init_persistence") # def test_get_best_pair(fee): # res = Trade.get_best_pair() # assert res is None # create_mock_trades(fee) # res = Trade.get_best_pair() # assert len(res) == 2 # assert res[0] == 'XRP/BTC' # assert res[1] == 0.01 # @pytest.mark.usefixtures("init_persistence") # def test_update_order_from_ccxt(caplog): # # Most basic order return (only has orderid) # o = Order.parse_from_ccxt_object({'id': '1234'}, 'ETH/BTC', 'buy') # assert isinstance(o, Order) # assert o.ft_pair == 'ETH/BTC' # assert o.ft_order_side == 'buy' # assert o.order_id == '1234' # assert o.ft_is_open # ccxt_order = { # 'id': '1234', # 'side': 'buy', # 'symbol': 'ETH/BTC', # 'type': 'limit', # 'price': 1234.5, # 'amount': 20.0, # 'filled': 9, # 'remaining': 11, # 'status': 'open', # 'timestamp': 1599394315123 # } # o = Order.parse_from_ccxt_object(ccxt_order, 'ETH/BTC', 'buy') # assert isinstance(o, Order) # assert o.ft_pair == 'ETH/BTC' # assert o.ft_order_side == 'buy' # assert o.order_id == '1234' # assert o.order_type == 'limit' # assert o.price == 1234.5 # assert o.filled == 9 # assert o.remaining == 11 # assert o.order_date is not None # assert o.ft_is_open # assert o.order_filled_date is None # # Order has been closed # ccxt_order.update({'filled': 20.0, 'remaining': 0.0, 'status': 'closed'}) # o.update_from_ccxt_object(ccxt_order) # assert o.filled == 20.0 # assert o.remaining == 0.0 # assert not o.ft_is_open # assert o.order_filled_date is not None # ccxt_order.update({'id': 'somethingelse'}) # with pytest.raises(DependencyException, match=r"Order-id's don't match"): # o.update_from_ccxt_object(ccxt_order) # message = "aaaa is not a valid response object." # assert not log_has(message, caplog) # Order.update_orders([o], 'aaaa') # assert log_has(message, caplog) # # Call regular update - shouldn't fail. # Order.update_orders([o], {'id': '1234'})