519 lines
14 KiB
Python
519 lines
14 KiB
Python
from datetime import datetime, timedelta, timezone
|
|
|
|
from freqtrade.persistence.models import Order, Trade
|
|
|
|
|
|
MOCK_TRADE_COUNT = 6
|
|
|
|
|
|
def entry_side(is_short: bool):
|
|
return "sell" if is_short else "buy"
|
|
|
|
|
|
def exit_side(is_short: bool):
|
|
return "buy" if is_short else "sell"
|
|
|
|
|
|
def direc(is_short: bool):
|
|
return "short" if is_short else "long"
|
|
|
|
|
|
def mock_order_1(is_short: bool):
|
|
return {
|
|
'id': f'1234_{direc(is_short)}',
|
|
'symbol': 'ETH/BTC',
|
|
'status': 'closed',
|
|
'side': entry_side(is_short),
|
|
'type': 'limit',
|
|
'price': 0.123,
|
|
'average': 0.123,
|
|
'amount': 123.0,
|
|
'filled': 123.0,
|
|
'cost': 15.129,
|
|
'remaining': 0.0,
|
|
}
|
|
|
|
|
|
def mock_trade_1(fee, is_short: bool):
|
|
trade = Trade(
|
|
pair='ETH/BTC',
|
|
stake_amount=0.001,
|
|
amount=123.0,
|
|
amount_requested=123.0,
|
|
fee_open=fee.return_value,
|
|
fee_close=fee.return_value,
|
|
is_open=True,
|
|
open_date=datetime.now(tz=timezone.utc) - timedelta(minutes=17),
|
|
open_rate=0.123,
|
|
exchange='binance',
|
|
open_order_id=f'dry_run_buy_{direc(is_short)}_12345',
|
|
strategy='StrategyTestV3',
|
|
timeframe=5,
|
|
is_short=is_short
|
|
)
|
|
o = Order.parse_from_ccxt_object(mock_order_1(is_short), 'ETH/BTC', entry_side(is_short))
|
|
trade.orders.append(o)
|
|
return trade
|
|
|
|
|
|
def mock_order_2(is_short: bool):
|
|
return {
|
|
'id': f'1235_{direc(is_short)}',
|
|
'symbol': 'ETC/BTC',
|
|
'status': 'closed',
|
|
'side': entry_side(is_short),
|
|
'type': 'limit',
|
|
'price': 0.123,
|
|
'amount': 123.0,
|
|
'filled': 123.0,
|
|
'cost': 15.129,
|
|
'remaining': 0.0,
|
|
}
|
|
|
|
|
|
def mock_order_2_sell(is_short: bool):
|
|
return {
|
|
'id': f'12366_{direc(is_short)}',
|
|
'symbol': 'ETC/BTC',
|
|
'status': 'closed',
|
|
'side': exit_side(is_short),
|
|
'type': 'limit',
|
|
'price': 0.128,
|
|
'amount': 123.0,
|
|
'filled': 123.0,
|
|
'cost': 15.129,
|
|
'remaining': 0.0,
|
|
}
|
|
|
|
|
|
def mock_trade_2(fee, is_short: bool):
|
|
"""
|
|
Closed trade...
|
|
"""
|
|
trade = Trade(
|
|
pair='ETC/BTC',
|
|
stake_amount=0.001,
|
|
amount=123.0,
|
|
amount_requested=123.0,
|
|
fee_open=fee.return_value,
|
|
fee_close=fee.return_value,
|
|
open_rate=0.123,
|
|
close_rate=0.128,
|
|
close_profit=-0.005 if is_short else 0.005,
|
|
close_profit_abs=-0.005584127 if is_short else 0.000584127,
|
|
exchange='binance',
|
|
is_open=False,
|
|
open_order_id=f'dry_run_sell_{direc(is_short)}_12345',
|
|
strategy='StrategyTestV3',
|
|
timeframe=5,
|
|
enter_tag='TEST1',
|
|
exit_reason='sell_signal',
|
|
open_date=datetime.now(tz=timezone.utc) - timedelta(minutes=20),
|
|
close_date=datetime.now(tz=timezone.utc) - timedelta(minutes=2),
|
|
is_short=is_short
|
|
)
|
|
o = Order.parse_from_ccxt_object(mock_order_2(is_short), 'ETC/BTC', entry_side(is_short))
|
|
trade.orders.append(o)
|
|
o = Order.parse_from_ccxt_object(mock_order_2_sell(is_short), 'ETC/BTC', exit_side(is_short))
|
|
trade.orders.append(o)
|
|
return trade
|
|
|
|
|
|
def mock_order_3(is_short: bool):
|
|
return {
|
|
'id': f'41231a12a_{direc(is_short)}',
|
|
'symbol': 'XRP/BTC',
|
|
'status': 'closed',
|
|
'side': entry_side(is_short),
|
|
'type': 'limit',
|
|
'price': 0.05,
|
|
'amount': 123.0,
|
|
'filled': 123.0,
|
|
'cost': 15.129,
|
|
'remaining': 0.0,
|
|
}
|
|
|
|
|
|
def mock_order_3_sell(is_short: bool):
|
|
return {
|
|
'id': f'41231a666a_{direc(is_short)}',
|
|
'symbol': 'XRP/BTC',
|
|
'status': 'closed',
|
|
'side': exit_side(is_short),
|
|
'type': 'stop_loss_limit',
|
|
'price': 0.06,
|
|
'average': 0.06,
|
|
'amount': 123.0,
|
|
'filled': 123.0,
|
|
'cost': 15.129,
|
|
'remaining': 0.0,
|
|
}
|
|
|
|
|
|
def mock_trade_3(fee, is_short: bool):
|
|
"""
|
|
Closed trade
|
|
"""
|
|
trade = Trade(
|
|
pair='XRP/BTC',
|
|
stake_amount=0.001,
|
|
amount=123.0,
|
|
amount_requested=123.0,
|
|
fee_open=fee.return_value,
|
|
fee_close=fee.return_value,
|
|
open_rate=0.05,
|
|
close_rate=0.06,
|
|
close_profit=-0.01 if is_short else 0.01,
|
|
close_profit_abs=-0.001155 if is_short else 0.000155,
|
|
exchange='binance',
|
|
is_open=False,
|
|
strategy='StrategyTestV3',
|
|
timeframe=5,
|
|
exit_reason='roi',
|
|
open_date=datetime.now(tz=timezone.utc) - timedelta(minutes=20),
|
|
close_date=datetime.now(tz=timezone.utc),
|
|
is_short=is_short
|
|
)
|
|
o = Order.parse_from_ccxt_object(mock_order_3(is_short), 'XRP/BTC', entry_side(is_short))
|
|
trade.orders.append(o)
|
|
o = Order.parse_from_ccxt_object(mock_order_3_sell(is_short), 'XRP/BTC', exit_side(is_short))
|
|
trade.orders.append(o)
|
|
return trade
|
|
|
|
|
|
def mock_order_4(is_short: bool):
|
|
return {
|
|
'id': f'prod_buy_{direc(is_short)}_12345',
|
|
'symbol': 'ETC/BTC',
|
|
'status': 'open',
|
|
'side': entry_side(is_short),
|
|
'type': 'limit',
|
|
'price': 0.123,
|
|
'amount': 123.0,
|
|
'filled': 0.0,
|
|
'cost': 15.129,
|
|
'remaining': 123.0,
|
|
}
|
|
|
|
|
|
def mock_trade_4(fee, is_short: bool):
|
|
"""
|
|
Simulate prod entry
|
|
"""
|
|
trade = Trade(
|
|
pair='ETC/BTC',
|
|
stake_amount=0.001,
|
|
amount=123.0,
|
|
amount_requested=124.0,
|
|
fee_open=fee.return_value,
|
|
fee_close=fee.return_value,
|
|
open_date=datetime.now(tz=timezone.utc) - timedelta(minutes=14),
|
|
is_open=True,
|
|
open_rate=0.123,
|
|
exchange='binance',
|
|
open_order_id=f'prod_buy_{direc(is_short)}_12345',
|
|
strategy='StrategyTestV3',
|
|
timeframe=5,
|
|
is_short=is_short,
|
|
stop_loss_pct=0.10
|
|
)
|
|
o = Order.parse_from_ccxt_object(mock_order_4(is_short), 'ETC/BTC', entry_side(is_short))
|
|
trade.orders.append(o)
|
|
return trade
|
|
|
|
|
|
def mock_order_5(is_short: bool):
|
|
return {
|
|
'id': f'prod_buy_{direc(is_short)}_3455',
|
|
'symbol': 'XRP/BTC',
|
|
'status': 'closed',
|
|
'side': entry_side(is_short),
|
|
'type': 'limit',
|
|
'price': 0.123,
|
|
'amount': 123.0,
|
|
'filled': 123.0,
|
|
'cost': 15.129,
|
|
'remaining': 0.0,
|
|
}
|
|
|
|
|
|
def mock_order_5_stoploss(is_short: bool):
|
|
return {
|
|
'id': f'prod_stoploss_{direc(is_short)}_3455',
|
|
'symbol': 'XRP/BTC',
|
|
'status': 'open',
|
|
'side': exit_side(is_short),
|
|
'type': 'stop_loss_limit',
|
|
'price': 0.123,
|
|
'amount': 123.0,
|
|
'filled': 0.0,
|
|
'cost': 0.0,
|
|
'remaining': 123.0,
|
|
}
|
|
|
|
|
|
def mock_trade_5(fee, is_short: bool):
|
|
"""
|
|
Simulate prod entry with stoploss
|
|
"""
|
|
trade = Trade(
|
|
pair='XRP/BTC',
|
|
stake_amount=0.001,
|
|
amount=123.0,
|
|
amount_requested=124.0,
|
|
fee_open=fee.return_value,
|
|
fee_close=fee.return_value,
|
|
open_date=datetime.now(tz=timezone.utc) - timedelta(minutes=12),
|
|
is_open=True,
|
|
open_rate=0.123,
|
|
exchange='binance',
|
|
strategy='SampleStrategy',
|
|
enter_tag='TEST1',
|
|
stoploss_order_id=f'prod_stoploss_{direc(is_short)}_3455',
|
|
timeframe=5,
|
|
is_short=is_short,
|
|
stop_loss_pct=0.10,
|
|
)
|
|
o = Order.parse_from_ccxt_object(mock_order_5(is_short), 'XRP/BTC', entry_side(is_short))
|
|
trade.orders.append(o)
|
|
o = Order.parse_from_ccxt_object(mock_order_5_stoploss(is_short), 'XRP/BTC', 'stoploss')
|
|
trade.orders.append(o)
|
|
return trade
|
|
|
|
|
|
def mock_order_6(is_short: bool):
|
|
return {
|
|
'id': f'prod_buy_{direc(is_short)}_6',
|
|
'symbol': 'LTC/BTC',
|
|
'status': 'closed',
|
|
'side': entry_side(is_short),
|
|
'type': 'limit',
|
|
'price': 0.15,
|
|
'amount': 2.0,
|
|
'filled': 2.0,
|
|
'cost': 0.3,
|
|
'remaining': 0.0,
|
|
}
|
|
|
|
|
|
def mock_order_6_sell(is_short: bool):
|
|
return {
|
|
'id': f'prod_sell_{direc(is_short)}_6',
|
|
'symbol': 'LTC/BTC',
|
|
'status': 'open',
|
|
'side': exit_side(is_short),
|
|
'type': 'limit',
|
|
'price': 0.15 if is_short else 0.20,
|
|
'amount': 2.0,
|
|
'filled': 0.0,
|
|
'cost': 0.0,
|
|
'remaining': 2.0,
|
|
}
|
|
|
|
|
|
def mock_trade_6(fee, is_short: bool):
|
|
"""
|
|
Simulate prod entry with open exit order
|
|
"""
|
|
trade = Trade(
|
|
pair='LTC/BTC',
|
|
stake_amount=0.001,
|
|
amount=2.0,
|
|
amount_requested=2.0,
|
|
open_date=datetime.now(tz=timezone.utc) - timedelta(minutes=5),
|
|
fee_open=fee.return_value,
|
|
fee_close=fee.return_value,
|
|
is_open=True,
|
|
open_rate=0.15,
|
|
exchange='binance',
|
|
strategy='SampleStrategy',
|
|
enter_tag='TEST2',
|
|
open_order_id=f"prod_sell_{direc(is_short)}_6",
|
|
timeframe=5,
|
|
is_short=is_short
|
|
)
|
|
o = Order.parse_from_ccxt_object(mock_order_6(is_short), 'LTC/BTC', entry_side(is_short))
|
|
trade.orders.append(o)
|
|
o = Order.parse_from_ccxt_object(mock_order_6_sell(is_short), 'LTC/BTC', exit_side(is_short))
|
|
trade.orders.append(o)
|
|
return trade
|
|
|
|
|
|
def short_order():
|
|
return {
|
|
'id': '1236',
|
|
'symbol': 'ETC/BTC',
|
|
'status': 'closed',
|
|
'side': 'sell',
|
|
'type': 'limit',
|
|
'price': 0.123,
|
|
'amount': 123.0,
|
|
'filled': 123.0,
|
|
'cost': 15.129,
|
|
'remaining': 0.0,
|
|
}
|
|
|
|
|
|
def exit_short_order():
|
|
return {
|
|
'id': '12367',
|
|
'symbol': 'ETC/BTC',
|
|
'status': 'closed',
|
|
'side': 'buy',
|
|
'type': 'limit',
|
|
'price': 0.128,
|
|
'amount': 123.0,
|
|
'filled': 123.0,
|
|
'cost': 15.744,
|
|
'remaining': 0.0,
|
|
}
|
|
|
|
|
|
def short_trade(fee):
|
|
"""
|
|
10 minute short limit trade on binance
|
|
|
|
Short trade
|
|
fee: 0.25% base
|
|
interest_rate: 0.05% per day
|
|
open_rate: 0.123 base
|
|
close_rate: 0.128 base
|
|
amount: 123.0 crypto
|
|
stake_amount: 15.129 base
|
|
borrowed: 123.0 crypto
|
|
time-periods: 10 minutes(rounds up to 1/24 time-period of 1 day)
|
|
interest: borrowed * interest_rate * time-periods
|
|
= 123.0 * 0.0005 * 1/24 = 0.0025625 crypto
|
|
open_value: (amount * open_rate) - (amount * open_rate * fee)
|
|
= (123 * 0.123) - (123 * 0.123 * 0.0025)
|
|
= 15.091177499999999
|
|
amount_closed: amount + interest = 123 + 0.0025625 = 123.0025625
|
|
close_value: (amount_closed * close_rate) + (amount_closed * close_rate * fee)
|
|
= (123.0025625 * 0.128) + (123.0025625 * 0.128 * 0.0025)
|
|
= 15.78368882
|
|
total_profit = open_value - close_value
|
|
= 15.091177499999999 - 15.78368882
|
|
= -0.6925113200000013
|
|
total_profit_percentage = total_profit / stake_amount
|
|
= -0.6925113200000013 / 15.129
|
|
= -0.04577376693766946
|
|
|
|
"""
|
|
trade = Trade(
|
|
pair='ETC/BTC',
|
|
stake_amount=15.129,
|
|
amount=123.0,
|
|
amount_requested=123.0,
|
|
fee_open=fee.return_value,
|
|
fee_close=fee.return_value,
|
|
open_rate=0.123,
|
|
# close_rate=0.128,
|
|
# close_profit=-0.04577376693766946,
|
|
# close_profit_abs=-0.6925113200000013,
|
|
exchange='binance',
|
|
is_open=True,
|
|
open_order_id='dry_run_exit_short_12345',
|
|
strategy='DefaultStrategy',
|
|
timeframe=5,
|
|
exit_reason='sell_signal',
|
|
open_date=datetime.now(tz=timezone.utc) - timedelta(minutes=20),
|
|
# close_date=datetime.now(tz=timezone.utc) - timedelta(minutes=2),
|
|
is_short=True
|
|
)
|
|
o = Order.parse_from_ccxt_object(short_order(), 'ETC/BTC', 'sell')
|
|
trade.orders.append(o)
|
|
o = Order.parse_from_ccxt_object(exit_short_order(), 'ETC/BTC', 'sell')
|
|
trade.orders.append(o)
|
|
return trade
|
|
|
|
|
|
def leverage_order():
|
|
return {
|
|
'id': '1237',
|
|
'symbol': 'DOGE/BTC',
|
|
'status': 'closed',
|
|
'side': 'buy',
|
|
'type': 'limit',
|
|
'price': 0.123,
|
|
'amount': 123.0,
|
|
'filled': 123.0,
|
|
'remaining': 0.0,
|
|
'cost': 15.129,
|
|
'leverage': 5.0
|
|
}
|
|
|
|
|
|
def leverage_order_sell():
|
|
return {
|
|
'id': '12368',
|
|
'symbol': 'DOGE/BTC',
|
|
'status': 'closed',
|
|
'side': 'sell',
|
|
'type': 'limit',
|
|
'price': 0.128,
|
|
'amount': 123.0,
|
|
'filled': 123.0,
|
|
'remaining': 0.0,
|
|
'cost': 15.744,
|
|
'leverage': 5.0
|
|
}
|
|
|
|
|
|
def leverage_trade(fee):
|
|
"""
|
|
5 hour short limit trade on kraken
|
|
|
|
Short trade
|
|
fee: 0.25% base
|
|
interest_rate: 0.05% per day
|
|
open_rate: 0.123 base
|
|
close_rate: 0.128 base
|
|
amount: 615 crypto
|
|
stake_amount: 15.129 base
|
|
borrowed: 60.516 base
|
|
leverage: 5
|
|
hours: 5
|
|
interest: borrowed * interest_rate * ceil(1 + hours/4)
|
|
= 60.516 * 0.0005 * ceil(1 + 5/4) = 0.090774 base
|
|
open_value: (amount * open_rate) + (amount * open_rate * fee)
|
|
= (615.0 * 0.123) + (615.0 * 0.123 * 0.0025)
|
|
= 75.83411249999999
|
|
|
|
close_value: (amount_closed * close_rate) - (amount_closed * close_rate * fee) - interest
|
|
= (615.0 * 0.128) - (615.0 * 0.128 * 0.0025) - 0.090774
|
|
= 78.432426
|
|
total_profit = close_value - open_value
|
|
= 78.432426 - 75.83411249999999
|
|
= 2.5983135000000175
|
|
total_profit_percentage = ((close_value/open_value)-1) * leverage
|
|
= ((78.432426/75.83411249999999)-1) * 5
|
|
= 0.1713156134055116
|
|
"""
|
|
trade = Trade(
|
|
pair='DOGE/BTC',
|
|
stake_amount=15.129,
|
|
amount=615.0,
|
|
leverage=5.0,
|
|
amount_requested=615.0,
|
|
fee_open=fee.return_value,
|
|
fee_close=fee.return_value,
|
|
open_rate=0.123,
|
|
close_rate=0.128,
|
|
close_profit=0.1713156134055116,
|
|
close_profit_abs=2.5983135000000175,
|
|
exchange='kraken',
|
|
is_open=False,
|
|
open_order_id='dry_run_leverage_buy_12368',
|
|
strategy='DefaultStrategy',
|
|
timeframe=5,
|
|
exit_reason='sell_signal',
|
|
open_date=datetime.now(tz=timezone.utc) - timedelta(minutes=300),
|
|
close_date=datetime.now(tz=timezone.utc),
|
|
interest_rate=0.0005
|
|
)
|
|
o = Order.parse_from_ccxt_object(leverage_order(), 'DOGE/BTC', 'sell')
|
|
trade.orders.append(o)
|
|
o = Order.parse_from_ccxt_object(leverage_order_sell(), 'DOGE/BTC', 'sell')
|
|
trade.orders.append(o)
|
|
return trade
|