stable/tests/test_persistence_margin.py

617 lines
22 KiB
Python

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'
)
#assert trade.open_order_id is None
assert trade.close_profit is None
assert trade.close_date is None
assert trade.borrowed is None
assert trade.is_short 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 trade.borrowed == 90.99181073
assert trade.is_short is True
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,
# interest_rate,
# ten_minutes_ago,
# caplog
# ):
# """Test Kraken and leverage arguments as well as update market order
# fee: 0.25%
# interest_rate: 0.05% per 4 hrs
# open_rate: 0.00004173
# close_rate: 0.00004099
# amount: 91.99181073 * leverage(3) = 275.97543219
# borrowed: 183.98362146
# time: 10 minutes(rounds to min of 4hrs)
# interest
# """
# 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=ten_minutes_ago,
# exchange='kraken'
# )
# trade.open_order_id = 'something'
# trade.update(market_buy_order)
# assert trade.leverage is 3
# assert trade.is_short is True
# assert trade.open_order_id is None
# assert trade.open_rate == 0.00004173
# assert trade.close_profit is None
# assert trade.close_date is None
# assert log_has_re(r"MARKET_BUY has been fulfilled for Trade\(id=1, "
# r"pair=ETH/BTC, amount=275.97543219, open_rate=0.00004173, open_since=.*\).",
# 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 == 0.00004099
# 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)
# @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'})