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692c55088a
stable/tests/test_persistence_margin.py
Sam Germain 692c55088a Started some pytests for short and leverage 
1 short test passes
2021-07-26 23:09:46 -06:00

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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 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
# * Margin tests
@pytest.mark.usefixtures("init_persistence")
def test_update_with_binance(limit_short_order, limit_exit_short_order, fee, interest_rate, ten_minutes_ago, caplog):
"""
On this test we will short and buy back(exit short) a crypto currency at 1x leverage
#*The actual program uses more precise numbers
Short
- Sell: 90.99181073 Crypto at 0.00001173 BTC
- Selling fee: 0.25%
- Total value of sell trade: 0.001064666 BTC
((90.99181073*0.00001173) - ((90.99181073*0.00001173)*0.0025))
Exit Short
- Buy: 90.99181073 Crypto at 0.00001099 BTC
- Buying fee: 0.25%
- Interest fee: 0.05%
- Total interest
(90.99181073 * 0.0005)/24 = 0.00189566272
- Total cost of buy trade: 0.00100252088
(90.99181073 + 0.00189566272) * 0.00001099 = 0.00100002083 :(borrowed + interest * cost)
+ ((90.99181073 + 0.00189566272)*0.00001099)*0.0025 = 0.00000250005
= 0.00100252088
Profit/Loss: +0.00006214512 BTC
Sell:0.001064666 - Buy:0.00100252088
Profit/Loss percentage: 0.06198885353
(0.001064666/0.00100252088)-1 = 0.06198885353
#* ~0.061988453889463014104555743 With more precise numbers used
:param limit_short_order:
:param limit_exit_short_order:
:param fee
:param interest_rate
:param caplog
:return:
"""
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,
interest_rate=interest_rate.return_value,
borrowed=90.99181073,
exchange='binance',
is_short=True
)
#assert trade.open_order_id is None
assert trade.close_profit is None
assert trade.close_date 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 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)
# TODO-mg: create a leveraged long order
# @pytest.mark.usefixtures("init_persistence")
# def test_update_market_order(market_buy_order, market_sell_order, fee, caplog):
# 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=arrow.utcnow().datetime,
# exchange='binance',
# )
# trade.open_order_id = 'something'
# trade.update(market_buy_order)
# assert trade.open_order_id is None
# assert trade.open_rate == 0.00004099
# assert trade.close_profit is None
# assert trade.close_date is None
# assert log_has_re(r"MARKET_BUY has been fulfilled for Trade\(id=1, "
# r"pair=ETH/BTC, amount=91.99181073, open_rate=0.00004099, open_since=.*\).",
# caplog)
# caplog.clear()
# trade.is_open = True
# trade.open_order_id = 'something'
# trade.update(market_sell_order)
# assert trade.open_order_id is None
# assert trade.close_rate == 0.00004173
# assert trade.close_profit == 0.01297561
# assert trade.close_date is not None
# assert log_has_re(r"MARKET_SELL has been fulfilled for Trade\(id=1, "
# r"pair=ETH/BTC, amount=91.99181073, open_rate=0.00004099, open_since=.*\).",
# caplog)
# # TODO-mg: market short
# # TODO-mg: market leveraged long
# @pytest.mark.usefixtures("init_persistence")
# def test_calc_open_close_trade_price(limit_buy_order, limit_sell_order, fee):
# trade = Trade(
# pair='ETH/BTC',
# stake_amount=0.001,
# open_rate=0.01,
# amount=5,
# fee_open=fee.return_value,
# fee_close=fee.return_value,
# exchange='binance',
# )
# trade.open_order_id = 'something'
# trade.update(limit_buy_order)
# assert trade._calc_open_trade_value() == 0.0010024999999225068
# trade.update(limit_sell_order)
# assert trade.calc_close_trade_value() == 0.0010646656050132426
# # Profit in BTC
# assert trade.calc_profit() == 0.00006217
# # Profit in percent
# assert trade.calc_profit_ratio() == 0.06201058
# @pytest.mark.usefixtures("init_persistence")
# def test_trade_close(limit_buy_order, limit_sell_order, fee):
# trade = Trade(
# pair='ETH/BTC',
# stake_amount=0.001,
# open_rate=0.01,
# amount=5,
# is_open=True,
# fee_open=fee.return_value,
# fee_close=fee.return_value,
# open_date=arrow.Arrow(2020, 2, 1, 15, 5, 1).datetime,
# exchange='binance',
# )
# assert trade.close_profit is None
# assert trade.close_date is None
# assert trade.is_open is True
# trade.close(0.02)
# assert trade.is_open is False
# assert trade.close_profit == 0.99002494
# assert trade.close_date is not None
# 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_buy_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_buy_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'})
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