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