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test_get_liquidation_price/test_get_maintenance_ratio_and_amt_binance/fill_leverage_brackets/test_validate_trading_mode_and_collateral TODO comments
This commit is contained in:
Sam Germain
parent
c2f9201512
commit
1f1ac8ce9d
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@ -156,7 +156,7 @@ class Binance(Exchange):
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for [notional_floor, mm_ratio] in brkts:
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amt = (
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(
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(float(notional_floor) * (float(mm_ratio)) - float(old_ratio))
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(float(notional_floor) * (float(mm_ratio) - float(old_ratio)))
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) + amt
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) if old_ratio else 0.0
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old_ratio = mm_ratio
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@ -397,9 +397,9 @@ def test__ccxt_config(default_conf, mocker, trading_mode, collateral, config):
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("BNB/BUSD", 0.0, 0.025, 0),
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("BNB/USDT", 100.0, 0.0065, 0),
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("BTC/USDT", 170.30, 0.004, 0),
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("BNB/BUSD", 999999.9, 0.1, 0),
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("BNB/USDT", 5000000.0, 0.5, 0),
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("BTC/USDT", 300000000.1, 0.5, 0),
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("BNB/BUSD", 999999.9, 0.1, 27500.0),
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("BNB/USDT", 5000000.0, 0.15, 233034.99999999994),
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("BTC/USDT", 300000000.1, 0.5, 99891300.0),
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])
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def test_get_maintenance_ratio_and_amt_binance(
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default_conf,
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@ -411,29 +411,30 @@ def test_get_maintenance_ratio_and_amt_binance(
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):
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exchange = get_patched_exchange(mocker, default_conf, id="binance")
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exchange._leverage_brackets = {
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'BNB/BUSD': [[0.0, 0.025],
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[100000.0, 0.05],
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[500000.0, 0.1],
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[1000000.0, 0.15],
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[2000000.0, 0.25],
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[5000000.0, 0.5]],
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'BNB/USDT': [[0.0, 0.0065],
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[10000.0, 0.01],
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[50000.0, 0.02],
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[250000.0, 0.05],
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[1000000.0, 0.1],
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[2000000.0, 0.125],
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[5000000.0, 0.15],
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[10000000.0, 0.25]],
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'BTC/USDT': [[0.0, 0.004],
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[50000.0, 0.005],
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[250000.0, 0.01],
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[1000000.0, 0.025],
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[5000000.0, 0.05],
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[20000000.0, 0.1],
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[50000000.0, 0.125],
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[100000000.0, 0.15],
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[200000000.0, 0.25],
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[300000000.0, 0.5]],
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'BNB/BUSD': [[0.0, 0.025, 0.0],
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[100000.0, 0.05, 2500.0],
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[500000.0, 0.1, 27500.0],
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[1000000.0, 0.15, 77499.99999999999],
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[2000000.0, 0.25, 277500.0],
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[5000000.0, 0.5, 1527500.0]],
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'BNB/USDT': [[0.0, 0.0065, 0.0],
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[10000.0, 0.01, 35.00000000000001],
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[50000.0, 0.02, 535.0],
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[250000.0, 0.05, 8035.000000000001],
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[1000000.0, 0.1, 58035.0],
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[2000000.0, 0.125, 108034.99999999999],
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[5000000.0, 0.15, 233034.99999999994],
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[10000000.0, 0.25, 1233035.0]],
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'BTC/USDT': [[0.0, 0.004, 0.0],
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[50000.0, 0.005, 50.0],
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[250000.0, 0.01, 1300.0],
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[1000000.0, 0.025, 16300.000000000002],
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[5000000.0, 0.05, 141300.0],
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[20000000.0, 0.1, 1141300.0],
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[50000000.0, 0.125, 2391300.0],
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[100000000.0, 0.15, 4891300.0],
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[200000000.0, 0.25, 24891300.0],
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[300000000.0, 0.5, 99891300.0]
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]
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}
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assert exchange.get_maintenance_ratio_and_amt(pair, nominal_value) == (mm_ratio, amt)
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@ -3438,8 +3438,18 @@ def test_set_margin_mode(mocker, default_conf, collateral):
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("bittrex", TradingMode.FUTURES, Collateral.CROSS, True),
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("bittrex", TradingMode.FUTURES, Collateral.ISOLATED, True),
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("gateio", TradingMode.MARGIN, Collateral.ISOLATED, True),
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("okex", TradingMode.SPOT, None, False),
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("okex", TradingMode.MARGIN, Collateral.CROSS, True),
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("okex", TradingMode.MARGIN, Collateral.ISOLATED, True),
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("okex", TradingMode.FUTURES, Collateral.CROSS, True),
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# TODO-lev: Remove once implemented
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("binance", TradingMode.FUTURES, Collateral.ISOLATED, False),
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("gateio", TradingMode.FUTURES, Collateral.ISOLATED, False),
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# ("okex", TradingMode.FUTURES, Collateral.ISOLATED, False), # TODO-lev: uncomment once impleme
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("okex", TradingMode.FUTURES, Collateral.ISOLATED, True), # TODO-lev: remove once implemented
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# * Remove once implemented
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("binance", TradingMode.MARGIN, Collateral.CROSS, True),
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("binance", TradingMode.FUTURES, Collateral.CROSS, True),
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("kraken", TradingMode.MARGIN, Collateral.CROSS, True),
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@ -3449,17 +3459,15 @@ def test_set_margin_mode(mocker, default_conf, collateral):
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("gateio", TradingMode.MARGIN, Collateral.CROSS, True),
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("gateio", TradingMode.FUTURES, Collateral.CROSS, True),
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# TODO-lev: Uncomment once implemented
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# * Uncomment once implemented
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# ("binance", TradingMode.MARGIN, Collateral.CROSS, False),
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# ("binance", TradingMode.FUTURES, Collateral.CROSS, False),
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("binance", TradingMode.FUTURES, Collateral.ISOLATED, False),
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# ("kraken", TradingMode.MARGIN, Collateral.CROSS, False),
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# ("kraken", TradingMode.FUTURES, Collateral.CROSS, False),
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# ("ftx", TradingMode.MARGIN, Collateral.CROSS, False),
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# ("ftx", TradingMode.FUTURES, Collateral.CROSS, False),
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# ("gateio", TradingMode.MARGIN, Collateral.CROSS, False),
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# ("gateio", TradingMode.FUTURES, Collateral.CROSS, False),
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("gateio", TradingMode.FUTURES, Collateral.ISOLATED, False),
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])
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def test_validate_trading_mode_and_collateral(
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default_conf,
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@ -3583,36 +3591,39 @@ def test_calculate_funding_fees(
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def test_get_liquidation_price(mocker, default_conf):
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api_mock = MagicMock()
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api_mock.fetch_positions = MagicMock(return_value=[{
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'info': {},
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'symbol': 'NEAR/USDT:USDT',
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'timestamp': 1642164737148,
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'datetime': '2022-01-14T12:52:17.148Z',
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'initialMargin': 1.51072,
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'initialMarginPercentage': 0.1,
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'maintenanceMargin': 0.38916147,
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'maintenanceMarginPercentage': 0.025,
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'entryPrice': 18.884,
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'notional': 15.1072,
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'leverage': 9.97,
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'unrealizedPnl': 0.0048,
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'contracts': 8,
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'contractSize': 0.1,
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'marginRatio': None,
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'liquidationPrice': 17.47,
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'markPrice': 18.89,
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'collateral': 1.52549075,
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'marginType': 'isolated',
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'side': 'buy',
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'percentage': 0.003177292946409658
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}])
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positions = [
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{
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'info': {},
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'symbol': 'NEAR/USDT:USDT',
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'timestamp': 1642164737148,
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'datetime': '2022-01-14T12:52:17.148Z',
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'initialMargin': 1.51072,
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'initialMarginPercentage': 0.1,
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'maintenanceMargin': 0.38916147,
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'maintenanceMarginPercentage': 0.025,
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'entryPrice': 18.884,
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'notional': 15.1072,
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'leverage': 9.97,
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'unrealizedPnl': 0.0048,
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'contracts': 8,
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'contractSize': 0.1,
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'marginRatio': None,
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'liquidationPrice': 17.47,
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'markPrice': 18.89,
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'collateral': 1.52549075,
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'marginType': 'isolated',
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'side': 'buy',
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'percentage': 0.003177292946409658
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}
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]
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api_mock.fetch_positions = MagicMock(return_value=positions)
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mocker.patch.multiple(
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'freqtrade.exchange.Exchange',
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exchange_has=MagicMock(return_value=True),
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)
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default_conf['dry_run'] = False
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exchange = get_patched_exchange(mocker, default_conf)
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exchange = get_patched_exchange(mocker, default_conf, api_mock)
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liq_price = exchange.get_liquidation_price('NEAR/USDT:USDT')
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assert liq_price == 17.47
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@ -708,10 +708,10 @@ def test_process_informative_pairs_added(default_conf_usdt, ticker_usdt, mocker)
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@pytest.mark.parametrize("is_short,trading_mode,exchange_name,margin_mode,liq_price", [
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(False, 'spot', 'binance', '', None),
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(True, 'spot', 'binance', '', None),
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(False, 'spot', 'gateio', '', None),
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(True, 'spot', 'gateio', '', None),
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(False, 'spot', 'binance', None, None),
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(True, 'spot', 'binance', None, None),
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(False, 'spot', 'gateio', None, None),
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(True, 'spot', 'gateio', None, None),
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(True, 'futures', 'binance', 'isolated', 13.217821782178218),
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(False, 'futures', 'binance', 'isolated', 6.717171717171718),
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(True, 'futures', 'gateio', 'isolated', 13.198706526760379),
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@ -745,7 +745,8 @@ def test_execute_entry(mocker, default_conf_usdt, fee, limit_order,
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order = limit_order[enter_side(is_short)]
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default_conf_usdt['trading_mode'] = trading_mode
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leverage = 1.0 if trading_mode == 'spot' else 5.0
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default_conf_usdt['collateral'] = margin_mode
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if margin_mode:
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default_conf_usdt['collateral'] = margin_mode
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patch_RPCManager(mocker)
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patch_exchange(mocker)
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freqtrade = FreqtradeBot(default_conf_usdt)
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@ -4832,16 +4833,16 @@ def test_update_funding_fees(
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nominal_value = mark_price * size
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funding_fee = nominal_value * funding_rate
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size = 123
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"LTC/BTC"
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"LTC/USDT"
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time: 0, mark: 3.3, fundRate: 0.00032583, nominal_value: 405.9, fundFee: 0.132254397
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time: 8, mark: 3.2, fundRate: 0.00024472, nominal_value: 393.6, fundFee: 0.096321792
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"ETH/BTC"
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"ETH/USDT"
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time: 0, mark: 2.4, fundRate: 0.0001, nominal_value: 295.2, fundFee: 0.02952
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time: 8, mark: 2.5, fundRate: 0.0001, nominal_value: 307.5, fundFee: 0.03075
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"ETC/BTC"
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"ETC/USDT"
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time: 0, mark: 4.3, fundRate: 0.00031077, nominal_value: 528.9, fundFee: 0.164366253
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time: 8, mark: 4.1, fundRate: 0.00022655, nominal_value: 504.3, fundFee: 0.114249165
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"XRP/BTC"
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"XRP/USDT"
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time: 0, mark: 1.2, fundRate: 0.00049426, nominal_value: 147.6, fundFee: 0.072952776
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time: 8, mark: 1.2, fundRate: 0.00032715, nominal_value: 147.6, fundFee: 0.04828734
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"""
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@ -4865,19 +4866,19 @@ def test_update_funding_fees(
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# 16:00 entry is actually never used
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# But should be kept in the test to ensure we're filtering correctly.
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funding_rates = {
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"LTC/BTC":
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"LTC/USDT":
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DataFrame([
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[date_midnight, 0.00032583, 0, 0, 0, 0],
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[date_eight, 0.00024472, 0, 0, 0, 0],
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[date_sixteen, 0.00024472, 0, 0, 0, 0],
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], columns=columns),
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"ETH/BTC":
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"ETH/USDT":
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DataFrame([
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[date_midnight, 0.0001, 0, 0, 0, 0],
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[date_eight, 0.0001, 0, 0, 0, 0],
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[date_sixteen, 0.0001, 0, 0, 0, 0],
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], columns=columns),
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"XRP/BTC":
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"XRP/USDT":
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DataFrame([
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[date_midnight, 0.00049426, 0, 0, 0, 0],
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[date_eight, 0.00032715, 0, 0, 0, 0],
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@ -4886,19 +4887,19 @@ def test_update_funding_fees(
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}
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mark_prices = {
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"LTC/BTC":
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"LTC/USDT":
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DataFrame([
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[date_midnight, 3.3, 0, 0, 0, 0],
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[date_eight, 3.2, 0, 0, 0, 0],
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[date_sixteen, 3.2, 0, 0, 0, 0],
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], columns=columns),
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"ETH/BTC":
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"ETH/USDT":
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DataFrame([
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[date_midnight, 2.4, 0, 0, 0, 0],
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[date_eight, 2.5, 0, 0, 0, 0],
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[date_sixteen, 2.5, 0, 0, 0, 0],
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], columns=columns),
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"XRP/BTC":
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"XRP/USDT":
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DataFrame([
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[date_midnight, 1.2, 0, 0, 0, 0],
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[date_eight, 1.2, 0, 0, 0, 0],
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@ -4935,9 +4936,9 @@ def test_update_funding_fees(
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freqtrade = get_patched_freqtradebot(mocker, default_conf)
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# initial funding fees,
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freqtrade.execute_entry('ETH/BTC', 123, is_short=is_short)
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freqtrade.execute_entry('LTC/BTC', 2.0, is_short=is_short)
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freqtrade.execute_entry('XRP/BTC', 123, is_short=is_short)
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freqtrade.execute_entry('ETH/USDT', 123, is_short=is_short)
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freqtrade.execute_entry('LTC/USDT', 2.0, is_short=is_short)
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freqtrade.execute_entry('XRP/USDT', 123, is_short=is_short)
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multipl = 1 if is_short else -1
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trades = Trade.get_open_trades()
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assert len(trades) == 3
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