639 lines
27 KiB
Python
639 lines
27 KiB
Python
from datetime import datetime, timedelta
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from math import isclose
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import pytest
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from freqtrade.enums import InterestMode
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from freqtrade.persistence import Trade
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from tests.conftest import log_has_re
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@pytest.mark.usefixtures("init_persistence")
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def test_interest_kraken_lev(market_lev_buy_order, fee):
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"""
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Market trade on Kraken at 3x and 5x leverage
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Short trade
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interest_rate: 0.05%, 0.25% per 4 hrs
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open_rate: 0.00004099 base
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close_rate: 0.00004173 base
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stake_amount: 0.0037707443218227
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borrowed: 0.0075414886436454
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amount:
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275.97543219 crypto
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459.95905365 crypto
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borrowed:
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0.0075414886436454 base
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0.0150829772872908 base
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time-periods: 10 minutes(rounds up to 1 time-period of 4hrs)
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5 hours = 5/4
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interest: borrowed * interest_rate * ceil(1 + time-periods)
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= 0.0075414886436454 * 0.0005 * ceil(2) = 7.5414886436454e-06 base
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= 0.0075414886436454 * 0.00025 * ceil(9/4) = 5.65611648273405e-06 base
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= 0.0150829772872908 * 0.0005 * ceil(9/4) = 2.26244659309362e-05 base
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= 0.0150829772872908 * 0.00025 * ceil(2) = 7.5414886436454e-06 base
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"""
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trade = Trade(
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pair='ETH/BTC',
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stake_amount=0.0037707443218227,
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amount=275.97543219,
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open_rate=0.00001099,
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open_date=datetime.utcnow() - timedelta(hours=0, minutes=10),
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fee_open=fee.return_value,
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fee_close=fee.return_value,
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exchange='kraken',
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leverage=3.0,
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interest_rate=0.0005,
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interest_mode=InterestMode.HOURSPER4
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)
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assert float(trade.calculate_interest()) == 7.5414886436454e-06
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trade.open_date = datetime.utcnow() - timedelta(hours=4, minutes=55)
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assert float(round(trade.calculate_interest(interest_rate=0.00025), 11)
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) == round(5.65611648273405e-06, 11)
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trade = Trade(
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pair='ETH/BTC',
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stake_amount=0.0037707443218227,
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amount=459.95905365,
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open_rate=0.00001099,
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open_date=datetime.utcnow() - timedelta(hours=4, minutes=55),
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fee_open=fee.return_value,
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fee_close=fee.return_value,
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exchange='kraken',
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leverage=5.0,
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interest_rate=0.0005,
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interest_mode=InterestMode.HOURSPER4
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)
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assert float(round(trade.calculate_interest(), 11)
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) == round(2.26244659309362e-05, 11)
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trade.open_date = datetime.utcnow() - timedelta(hours=0, minutes=10)
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trade.interest_rate = 0.00025
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assert float(trade.calculate_interest(interest_rate=0.00025)) == 7.5414886436454e-06
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@pytest.mark.usefixtures("init_persistence")
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def test_interest_binance_lev(market_lev_buy_order, fee):
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"""
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Market trade on Kraken at 3x and 5x leverage
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Short trade
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interest_rate: 0.05%, 0.25% per 4 hrs
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open_rate: 0.00001099 base
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close_rate: 0.00001173 base
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stake_amount: 0.0009999999999226999
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borrowed: 0.0019999999998453998
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amount:
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90.99181073 * leverage(3) = 272.97543219 crypto
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90.99181073 * leverage(5) = 454.95905365 crypto
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borrowed:
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0.0019999999998453998 base
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0.0039999999996907995 base
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time-periods: 10 minutes(rounds up to 1/24 time-period of 24hrs)
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5 hours = 5/24
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interest: borrowed * interest_rate * time-periods
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= 0.0019999999998453998 * 0.00050 * 1/24 = 4.166666666344583e-08 base
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= 0.0019999999998453998 * 0.00025 * 5/24 = 1.0416666665861459e-07 base
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= 0.0039999999996907995 * 0.00050 * 5/24 = 4.1666666663445834e-07 base
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= 0.0039999999996907995 * 0.00025 * 1/24 = 4.166666666344583e-08 base
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"""
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trade = Trade(
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pair='ETH/BTC',
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stake_amount=0.0009999999999226999,
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amount=272.97543219,
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open_rate=0.00001099,
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open_date=datetime.utcnow() - timedelta(hours=0, minutes=10),
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fee_open=fee.return_value,
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fee_close=fee.return_value,
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exchange='binance',
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leverage=3.0,
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interest_rate=0.0005,
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interest_mode=InterestMode.HOURSPERDAY
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)
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# 10 minutes round up to 4 hours evenly on kraken so we can predict the them more accurately
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assert round(float(trade.calculate_interest()), 22) == round(4.166666666344583e-08, 22)
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trade.open_date = datetime.utcnow() - timedelta(hours=4, minutes=55)
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# All trade > 5 hours will vary slightly due to execution time and interest calculated
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assert float(round(trade.calculate_interest(interest_rate=0.00025), 14)
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) == round(1.0416666665861459e-07, 14)
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trade = Trade(
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pair='ETH/BTC',
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stake_amount=0.0009999999999226999,
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amount=459.95905365,
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open_rate=0.00001099,
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open_date=datetime.utcnow() - timedelta(hours=4, minutes=55),
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fee_open=fee.return_value,
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fee_close=fee.return_value,
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exchange='binance',
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leverage=5.0,
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interest_rate=0.0005,
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interest_mode=InterestMode.HOURSPERDAY
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)
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assert float(round(trade.calculate_interest(), 14)) == round(4.1666666663445834e-07, 14)
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trade.open_date = datetime.utcnow() - timedelta(hours=0, minutes=10)
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assert float(round(trade.calculate_interest(interest_rate=0.00025), 22)
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) == round(4.166666666344583e-08, 22)
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@pytest.mark.usefixtures("init_persistence")
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def test_update_open_order_lev(limit_lev_buy_order):
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trade = Trade(
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pair='ETH/BTC',
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stake_amount=1.00,
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open_rate=0.01,
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amount=5,
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fee_open=0.1,
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fee_close=0.1,
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interest_rate=0.0005,
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exchange='binance',
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interest_mode=InterestMode.HOURSPERDAY
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)
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assert trade.open_order_id is None
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assert trade.close_profit is None
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assert trade.close_date is None
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limit_lev_buy_order['status'] = 'open'
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trade.update(limit_lev_buy_order)
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assert trade.open_order_id is None
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assert trade.close_profit is None
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assert trade.close_date is None
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@pytest.mark.usefixtures("init_persistence")
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def test_calc_open_trade_value_lev(market_lev_buy_order, fee):
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"""
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10 minute leveraged market trade on Kraken at 3x leverage
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Short trade
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fee: 0.25% base
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interest_rate: 0.05% per 4 hrs
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open_rate: 0.00004099 base
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close_rate: 0.00004173 base
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amount: 91.99181073 * leverage(3) = 275.97543219 crypto
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stake_amount: 0.0037707443218227
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borrowed: 0.0075414886436454 base
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time-periods: 10 minutes(rounds up to 1 time-period of 4hrs)
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interest: borrowed * interest_rate * time-periods
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= 0.0075414886436454 * 0.0005 * 1 = 7.5414886436454e-06 crypto
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open_value: (amount * open_rate) + (amount * open_rate * fee)
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= (275.97543219 * 0.00004099) + (275.97543219 * 0.00004099 * 0.0025)
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= 0.01134051354788177
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"""
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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=5,
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open_rate=0.00004099,
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open_date=datetime.utcnow() - timedelta(hours=0, minutes=10),
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fee_open=fee.return_value,
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fee_close=fee.return_value,
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interest_rate=0.0005,
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exchange='kraken',
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leverage=3,
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interest_mode=InterestMode.HOURSPER4
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)
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trade.open_order_id = 'open_trade'
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trade.update(market_lev_buy_order) # Buy @ 0.00001099
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# Get the open rate price with the standard fee rate
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assert trade._calc_open_trade_value() == 0.01134051354788177
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trade.fee_open = 0.003
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# Get the open rate price with a custom fee rate
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assert trade._calc_open_trade_value() == 0.011346169664364504
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@pytest.mark.usefixtures("init_persistence")
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def test_calc_open_close_trade_price_lev(limit_lev_buy_order, limit_lev_sell_order, fee):
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"""
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5 hour leveraged trade on Binance
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fee: 0.25% base
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interest_rate: 0.05% per day
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open_rate: 0.00001099 base
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close_rate: 0.00001173 base
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amount: 272.97543219 crypto
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stake_amount: 0.0009999999999226999 base
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borrowed: 0.0019999999998453998 base
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time-periods: 5 hours(rounds up to 5/24 time-period of 1 day)
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interest: borrowed * interest_rate * time-periods
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= 0.0019999999998453998 * 0.0005 * 5/24 = 2.0833333331722917e-07 base
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open_value: (amount * open_rate) + (amount * open_rate * fee)
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= (272.97543219 * 0.00001099) + (272.97543219 * 0.00001099 * 0.0025)
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= 0.0030074999997675204
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close_value: ((amount_closed * close_rate) - (amount_closed * close_rate * fee)) - interest
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= (272.97543219 * 0.00001173)
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- (272.97543219 * 0.00001173 * 0.0025)
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- 2.0833333331722917e-07
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= 0.003193788481706411
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stake_value: (amount/lev * open_rate) + (amount/lev * open_rate * fee)
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= (272.97543219/3 * 0.00001099) + (272.97543219/3 * 0.00001099 * 0.0025)
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= 0.0010024999999225066
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total_profit = close_value - open_value
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= 0.003193788481706411 - 0.0030074999997675204
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= 0.00018628848193889044
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total_profit_percentage = total_profit / stake_value
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= 0.00018628848193889054 / 0.0010024999999225066
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= 0.18582392214792087
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"""
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trade = Trade(
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pair='ETH/BTC',
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stake_amount=0.0009999999999226999,
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open_rate=0.01,
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amount=5,
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open_date=datetime.utcnow() - timedelta(hours=4, minutes=55),
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fee_open=fee.return_value,
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fee_close=fee.return_value,
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exchange='binance',
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interest_rate=0.0005,
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interest_mode=InterestMode.HOURSPERDAY
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)
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trade.open_order_id = 'something'
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trade.update(limit_lev_buy_order)
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assert trade._calc_open_trade_value() == 0.00300749999976752
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trade.update(limit_lev_sell_order)
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# Is slightly different due to compilation time changes. Interest depends on time
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assert round(trade.calc_close_trade_value(), 11) == round(0.003193788481706411, 11)
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# Profit in BTC
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assert round(trade.calc_profit(), 8) == round(0.00018628848193889054, 8)
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# Profit in percent
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assert round(trade.calc_profit_ratio(), 8) == round(0.18582392214792087, 8)
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@pytest.mark.usefixtures("init_persistence")
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def test_trade_close_lev(fee):
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"""
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5 hour leveraged market trade on Kraken at 3x leverage
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fee: 0.25% base
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interest_rate: 0.05% per 4 hrs
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open_rate: 0.1 base
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close_rate: 0.2 base
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amount: 5 * leverage(3) = 15 crypto
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stake_amount: 0.5
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borrowed: 1 base
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time-periods: 5/4 periods of 4hrs
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interest: borrowed * interest_rate * ceil(1 + time-periods)
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= 1 * 0.0005 * ceil(9/4) = 0.0015 crypto
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open_value: (amount * open_rate) + (amount * open_rate * fee)
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= (15 * 0.1) + (15 * 0.1 * 0.0025)
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= 1.50375
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close_value: (amount * close_rate) + (amount * close_rate * fee) - interest
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= (15 * 0.2) - (15 * 0.2 * 0.0025) - 0.0015
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= 2.991
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total_profit = close_value - open_value
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= 2.991 - 1.50375
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= 1.4872500000000002
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total_profit_ratio = ((close_value/open_value) - 1) * leverage
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= ((2.991/1.50375) - 1) * 3
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= 2.96708229426434
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"""
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trade = Trade(
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pair='ETH/BTC',
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stake_amount=0.5,
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open_rate=0.1,
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amount=15,
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is_open=True,
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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.utcnow() - timedelta(hours=4, minutes=55),
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exchange='kraken',
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leverage=3.0,
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interest_rate=0.0005,
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interest_mode=InterestMode.HOURSPER4
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)
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assert trade.close_profit is None
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assert trade.close_date is None
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assert trade.is_open is True
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trade.close(0.2)
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assert trade.is_open is False
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assert trade.close_profit == round(2.96708229426434, 8)
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assert trade.close_date is not None
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# TODO-mg: Remove these comments probably
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# new_date = arrow.Arrow(2020, 2, 2, 15, 6, 1).datetime,
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# assert trade.close_date != new_date
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# # Close should NOT update close_date if the trade has been closed already
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# assert trade.is_open is False
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# trade.close_date = new_date
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# trade.close(0.02)
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# assert trade.close_date == new_date
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@pytest.mark.usefixtures("init_persistence")
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def test_calc_close_trade_price_lev(market_lev_buy_order, market_lev_sell_order, fee):
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"""
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10 minute leveraged market trade on Kraken at 3x leverage
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Short trade
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fee: 0.25% base
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interest_rate: 0.05% per 4 hrs
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open_rate: 0.00004099 base
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close_rate: 0.00004173 base
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amount: 91.99181073 * leverage(3) = 275.97543219 crypto
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stake_amount: 0.0037707443218227
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borrowed: 0.0075414886436454 base
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time-periods: 10 minutes = 2
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interest: borrowed * interest_rate * time-periods
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= 0.0075414886436454 * 0.0005 * 2 = 7.5414886436454e-06 crypto
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open_value: (amount * open_rate) + (amount * open_rate * fee)
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= (275.97543219 * 0.00004099) + (275.97543219 * 0.00004099 * 0.0025)
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= 0.01134051354788177
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close_value: (amount_closed * close_rate) - (amount_closed * close_rate * fee) - interest
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= (275.97543219 * 0.00001234) - (275.97543219 * 0.00001234 * 0.0025) - 7.5414886436454e-06
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= 0.0033894815024978933
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= (275.97543219 * 0.00001234) - (275.97543219 * 0.00001234 * 0.003) - 7.5414886436454e-06
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= 0.003387778734081281
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= (275.97543219 * 0.00004173) - (275.97543219 * 0.00004173 * 0.005) - 7.5414886436454e-06
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= 0.011451331022718612
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"""
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trade = Trade(
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pair='ETH/BTC',
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stake_amount=0.0037707443218227,
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amount=5,
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open_rate=0.00004099,
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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.utcnow() - timedelta(hours=0, minutes=10),
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interest_rate=0.0005,
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leverage=3.0,
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exchange='kraken',
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interest_mode=InterestMode.HOURSPER4
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)
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trade.open_order_id = 'close_trade'
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trade.update(market_lev_buy_order) # Buy @ 0.00001099
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# Get the close rate price with a custom close rate and a regular fee rate
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assert isclose(trade.calc_close_trade_value(rate=0.00001234), 0.0033894815024978933)
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# Get the close rate price with a custom close rate and a custom fee rate
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assert isclose(trade.calc_close_trade_value(rate=0.00001234, fee=0.003), 0.003387778734081281)
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# Test when we apply a Sell order, and ask price with a custom fee rate
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trade.update(market_lev_sell_order)
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assert isclose(trade.calc_close_trade_value(fee=0.005), 0.011451331022718612)
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@pytest.mark.usefixtures("init_persistence")
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def test_update_limit_order_lev(limit_lev_buy_order, limit_lev_sell_order, fee, caplog):
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"""
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10 minute leveraged limit trade on binance at 3x leverage
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Leveraged 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: 0.00001099 base
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close_rate: 0.00001173 base
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amount: 272.97543219 crypto
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stake_amount: 0.0009999999999226999 base
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borrowed: 0.0019999999998453998 base
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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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= 0.0019999999998453998 * 0.0005 * 1/24 = 4.166666666344583e-08 base
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open_value: (amount * open_rate) + (amount * open_rate * fee)
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= (272.97543219 * 0.00001099) + (272.97543219 * 0.00001099 * 0.0025)
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= 0.0030074999997675204
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stake_value = (amount/lev * open_rate) + (amount/lev * open_rate * fee)
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= (272.97543219 * 0.00001099) + (272.97543219 * 0.00001099 * 0.0025)
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= 0.0010024999999225066
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close_value: (amount_closed * close_rate) - (amount_closed * close_rate * fee)
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= (272.97543219 * 0.00001173) - (272.97543219 * 0.00001173 * 0.0025)
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= 0.003193996815039728
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stake_value: (amount/lev * open_rate) + (amount/lev * open_rate * fee)
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= (272.97543219/3 * 0.00001099) + (272.97543219/3 * 0.00001099 * 0.0025)
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= 0.0010024999999225066
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total_profit = close_value - open_value - interest
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= 0.003193996815039728 - 0.0030074999997675204 - 4.166666666344583e-08
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= 0.00018645514860554435
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total_profit_percentage = total_profit / stake_value
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= 0.00018645514860554435 / 0.0010024999999225066
|
|
= 0.1859901731869899
|
|
|
|
"""
|
|
trade = Trade(
|
|
id=2,
|
|
pair='ETH/BTC',
|
|
stake_amount=0.0009999999999226999,
|
|
open_rate=0.01,
|
|
amount=5,
|
|
is_open=True,
|
|
open_date=datetime.utcnow() - timedelta(hours=0, minutes=10),
|
|
fee_open=fee.return_value,
|
|
fee_close=fee.return_value,
|
|
interest_rate=0.0005,
|
|
exchange='binance',
|
|
interest_mode=InterestMode.HOURSPERDAY
|
|
)
|
|
# 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_lev_buy_order)
|
|
# assert trade.open_order_id is None
|
|
assert trade.open_rate == 0.00001099
|
|
assert trade.close_profit is None
|
|
assert trade.close_date is None
|
|
assert trade.borrowed == 0.0019999999998453998
|
|
assert log_has_re(r"LIMIT_BUY has been fulfilled for Trade\(id=2, "
|
|
r"pair=ETH/BTC, amount=272.97543219, open_rate=0.00001099, open_since=.*\).",
|
|
caplog)
|
|
caplog.clear()
|
|
# trade.open_order_id = 'something'
|
|
trade.update(limit_lev_sell_order)
|
|
# assert trade.open_order_id is None
|
|
assert trade.close_rate == 0.00001173
|
|
assert trade.close_profit == round(0.1859901731869899, 8)
|
|
assert trade.close_date is not None
|
|
assert log_has_re(r"LIMIT_SELL has been fulfilled for Trade\(id=2, "
|
|
r"pair=ETH/BTC, amount=272.97543219, open_rate=0.00001099, open_since=.*\).",
|
|
caplog)
|
|
|
|
|
|
@pytest.mark.usefixtures("init_persistence")
|
|
def test_update_market_order_lev(market_lev_buy_order, market_lev_sell_order, fee, caplog):
|
|
"""
|
|
10 minute leveraged market trade on Kraken at 3x leverage
|
|
Short trade
|
|
fee: 0.25% base
|
|
interest_rate: 0.05% per 4 hrs
|
|
open_rate: 0.00004099 base
|
|
close_rate: 0.00004173 base
|
|
amount: = 275.97543219 crypto
|
|
stake_amount: 0.0037707443218227
|
|
borrowed: 0.0075414886436454 base
|
|
interest: borrowed * interest_rate * 1+ceil(hours)
|
|
= 0.0075414886436454 * 0.0005 * (1+ceil(1)) = 7.5414886436454e-06 crypto
|
|
open_value: (amount * open_rate) + (amount * open_rate * fee)
|
|
= (275.97543219 * 0.00004099) + (275.97543219 * 0.00004099 * 0.0025)
|
|
= 0.01134051354788177
|
|
close_value: (amount_closed * close_rate) - (amount_closed * close_rate * fee) - interest
|
|
= (275.97543219 * 0.00004173) - (275.97543219 * 0.00004173 * 0.0025) - 7.5414886436454e-06
|
|
= 0.011480122159681833
|
|
stake_value: (amount/lev * open_rate) + (amount/lev * open_rate * fee)
|
|
= (275.97543219/3 * 0.00004099) + (275.97543219/3 * 0.00004099 * 0.0025)
|
|
= 0.0037801711826272568
|
|
total_profit = close_value - open_value
|
|
= 0.011480122159681833 - 0.01134051354788177
|
|
= 0.00013960861180006392
|
|
total_profit_percentage = ((close_value/open_value) - 1) * leverage
|
|
= ((0.011480122159681833 / 0.01134051354788177)-1) * 3
|
|
= 0.036931822675563275
|
|
"""
|
|
trade = Trade(
|
|
id=1,
|
|
pair='ETH/BTC',
|
|
stake_amount=0.0037707443218227,
|
|
amount=5,
|
|
open_rate=0.00004099,
|
|
is_open=True,
|
|
fee_open=fee.return_value,
|
|
fee_close=fee.return_value,
|
|
open_date=datetime.utcnow() - timedelta(hours=0, minutes=10),
|
|
interest_rate=0.0005,
|
|
exchange='kraken',
|
|
interest_mode=InterestMode.HOURSPER4
|
|
)
|
|
trade.open_order_id = 'something'
|
|
trade.update(market_lev_buy_order)
|
|
assert trade.leverage == 3.0
|
|
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 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_BUY has been fulfilled for Trade\(id=1, "
|
|
r"pair=ETH/BTC, amount=275.97543219, open_rate=0.00004099, open_since=.*\).",
|
|
caplog)
|
|
caplog.clear()
|
|
trade.is_open = True
|
|
trade.open_order_id = 'something'
|
|
trade.update(market_lev_sell_order)
|
|
assert trade.open_order_id is None
|
|
assert trade.close_rate == 0.00004173
|
|
assert trade.close_profit == round(0.036931822675563275, 8)
|
|
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)
|
|
|
|
|
|
@pytest.mark.usefixtures("init_persistence")
|
|
def test_calc_close_trade_price_exception_lev(limit_lev_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',
|
|
interest_rate=0.0005,
|
|
leverage=3.0,
|
|
interest_mode=InterestMode.HOURSPERDAY
|
|
)
|
|
trade.open_order_id = 'something'
|
|
trade.update(limit_lev_buy_order)
|
|
assert trade.calc_close_trade_value() == 0.0
|
|
|
|
|
|
@pytest.mark.usefixtures("init_persistence")
|
|
def test_calc_profit_lev(market_lev_buy_order, market_lev_sell_order, fee):
|
|
"""
|
|
Leveraged trade on Kraken at 3x leverage
|
|
fee: 0.25% base or 0.3%
|
|
interest_rate: 0.05%, 0.25% per 4 hrs
|
|
open_rate: 0.00004099 base
|
|
close_rate: 0.00004173 base
|
|
stake_amount: 0.0037707443218227
|
|
amount: 91.99181073 * leverage(3) = 275.97543219 crypto
|
|
borrowed: 0.0075414886436454 base
|
|
hours: 1/6, 5 hours
|
|
|
|
interest: borrowed * interest_rate * ceil(1+hours/4)
|
|
= 0.0075414886436454 * 0.0005 * ceil(1+((1/6)/4)) = 7.5414886436454e-06 crypto
|
|
= 0.0075414886436454 * 0.00025 * ceil(1+(5/4)) = 5.65611648273405e-06 crypto
|
|
= 0.0075414886436454 * 0.0005 * ceil(1+(5/4)) = 1.13122329654681e-05 crypto
|
|
= 0.0075414886436454 * 0.00025 * ceil(1+((1/6)/4)) = 3.7707443218227e-06 crypto
|
|
open_value: (amount * open_rate) + (amount * open_rate * fee)
|
|
= (275.97543219 * 0.00004099) + (275.97543219 * 0.00004099 * 0.0025)
|
|
= 0.01134051354788177
|
|
close_value: (amount_closed * close_rate) - (amount_closed * close_rate * fee) - interest
|
|
(275.97543219 * 0.00005374) - (275.97543219 * 0.00005374 * 0.0025) - 7.5414886436454e-06
|
|
= 0.014786300937932227
|
|
(275.97543219 * 0.00000437) - (275.97543219 * 0.00000437 * 0.0025) - 5.65611648273405e-06
|
|
= 0.0011973414905908902
|
|
(275.97543219 * 0.00005374) - (275.97543219 * 0.00005374 * 0.003) - 1.13122329654681e-05
|
|
= 0.01477511473374746
|
|
(275.97543219 * 0.00000437) - (275.97543219 * 0.00000437 * 0.003) - 3.7707443218227e-06
|
|
= 0.0011986238564324662
|
|
stake_value: (amount/lev * open_rate) + (amount/lev * open_rate * fee)
|
|
= (275.97543219/3 * 0.00004099) + (275.97543219/3 * 0.00004099 * 0.0025)
|
|
= 0.0037801711826272568
|
|
total_profit = close_value - open_value
|
|
= 0.014786300937932227 - 0.01134051354788177 = 0.0034457873900504577
|
|
= 0.0011973414905908902 - 0.01134051354788177 = -0.01014317205729088
|
|
= 0.01477511473374746 - 0.01134051354788177 = 0.00343460118586569
|
|
= 0.0011986238564324662 - 0.01134051354788177 = -0.010141889691449303
|
|
total_profit_percentage = ((close_value/open_value) - 1) * leverage
|
|
((0.014786300937932227/0.01134051354788177) - 1) * 3 = 0.9115426851266561
|
|
((0.0011973414905908902/0.01134051354788177) - 1) * 3 = -2.683257336045103
|
|
((0.01477511473374746/0.01134051354788177) - 1) * 3 = 0.908583505860866
|
|
((0.0011986238564324662/0.01134051354788177) - 1) * 3 = -2.6829181011851926
|
|
|
|
"""
|
|
trade = Trade(
|
|
pair='ETH/BTC',
|
|
stake_amount=0.0037707443218227,
|
|
amount=5,
|
|
open_rate=0.00004099,
|
|
open_date=datetime.utcnow() - timedelta(hours=0, minutes=10),
|
|
fee_open=fee.return_value,
|
|
fee_close=fee.return_value,
|
|
exchange='kraken',
|
|
leverage=3.0,
|
|
interest_rate=0.0005,
|
|
interest_mode=InterestMode.HOURSPER4
|
|
)
|
|
trade.open_order_id = 'something'
|
|
trade.update(market_lev_buy_order) # Buy @ 0.00001099
|
|
# Custom closing rate and regular fee rate
|
|
|
|
# Higher than open rate
|
|
assert trade.calc_profit(rate=0.00005374, interest_rate=0.0005) == round(
|
|
0.0034457873900504577, 8)
|
|
assert trade.calc_profit_ratio(
|
|
rate=0.00005374, interest_rate=0.0005) == round(0.9115426851266561, 8)
|
|
|
|
# Lower than open rate
|
|
trade.open_date = datetime.utcnow() - timedelta(hours=4, minutes=55)
|
|
assert trade.calc_profit(
|
|
rate=0.00000437, interest_rate=0.00025) == round(-0.01014317205729088, 8)
|
|
assert trade.calc_profit_ratio(
|
|
rate=0.00000437, interest_rate=0.00025) == round(-2.683257336045103, 8)
|
|
|
|
# Custom closing rate and custom fee rate
|
|
# Higher than open rate
|
|
assert trade.calc_profit(rate=0.00005374, fee=0.003,
|
|
interest_rate=0.0005) == round(0.00343460118586569, 8)
|
|
assert trade.calc_profit_ratio(rate=0.00005374, fee=0.003,
|
|
interest_rate=0.0005) == round(0.908583505860866, 8)
|
|
|
|
# Lower than open rate
|
|
trade.open_date = datetime.utcnow() - timedelta(hours=0, minutes=10)
|
|
assert trade.calc_profit(rate=0.00000437, fee=0.003,
|
|
interest_rate=0.00025) == round(-0.010141889691449303, 8)
|
|
assert trade.calc_profit_ratio(rate=0.00000437, fee=0.003,
|
|
interest_rate=0.00025) == round(-2.6829181011851926, 8)
|
|
|
|
# Test when we apply a Sell order. Sell higher than open rate @ 0.00001173
|
|
trade.update(market_lev_sell_order)
|
|
assert trade.calc_profit() == round(0.00013960861180006392, 8)
|
|
assert trade.calc_profit_ratio() == round(0.036931822675563275, 8)
|
|
|
|
# Test with a custom fee rate on the close trade
|
|
# assert trade.calc_profit(fee=0.003) == 0.00006163
|
|
# assert trade.calc_profit_ratio(fee=0.003) == 0.06147824
|