124 lines
4.7 KiB
Python
124 lines
4.7 KiB
Python
from decimal import Decimal
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from math import isclose
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import pytest
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from freqtrade.enums import Collateral, TradingMode
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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_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
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assert liquidation_price(ftx, trading_mode=spot, 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(ftx, trading_mode=margin, collateral=cross) == 1.0
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# assert liquidation_price(ftx, trading_mode=margin, collateral=isolated) == 1.0
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# liquidation_price(ftx, 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(ftx, trading_mode=futures, collateral=isolated)
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# assert exception thrown #TODO-lev: Check that exception is thrown
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ten_mins = Decimal(1/6)
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five_hours = Decimal(5.0)
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twentyfive_hours = Decimal(25.0)
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@pytest.mark.parametrize('exchange,interest_rate,hours,expected', [
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('binance', 0.0005, ten_mins, 0.00125),
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('binance', 0.00025, ten_mins, 0.000625),
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('binance', 0.00025, five_hours, 0.003125),
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('binance', 0.00025, twentyfive_hours, 0.015625),
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# Kraken
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('kraken', 0.0005, ten_mins, 0.06),
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('kraken', 0.00025, ten_mins, 0.03),
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('kraken', 0.00025, five_hours, 0.045),
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('kraken', 0.00025, twentyfive_hours, 0.12),
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# FTX
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# TODO-lev: - implement FTX tests
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# ('ftx', Decimal(0.0005), ten_mins, 0.06),
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# ('ftx', Decimal(0.0005), five_hours, 0.045),
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])
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def test_interest(exchange, interest_rate, hours, expected):
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borrowed = Decimal(60.0)
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assert isclose(interest(
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exchange_name=exchange,
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borrowed=borrowed,
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rate=Decimal(interest_rate),
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hours=hours
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), expected)
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