From b0476ebd3eaa8acc6dbeab53855697d50cc94b1b Mon Sep 17 00:00:00 2001 From: Sam Germain Date: Wed, 7 Jul 2021 21:14:08 -0600 Subject: [PATCH] All persistence margin tests pass Flake8 compliant, passed mypy, ran isort . --- freqtrade/enums/interestmode.py | 8 +- freqtrade/persistence/models.py | 44 ++++--- tests/conftest.py | 20 +-- tests/conftest_trades.py | 2 +- tests/persistence/test_persistence.py | 16 +-- .../persistence/test_persistence_leverage.py | 120 +++++++++--------- tests/persistence/test_persistence_short.py | 40 +++--- 7 files changed, 135 insertions(+), 115 deletions(-) diff --git a/freqtrade/enums/interestmode.py b/freqtrade/enums/interestmode.py index f35573f1f..f28193d9b 100644 --- a/freqtrade/enums/interestmode.py +++ b/freqtrade/enums/interestmode.py @@ -1,16 +1,20 @@ -from enum import Enum, auto from decimal import Decimal +from enum import Enum + from freqtrade.exceptions import OperationalException + one = Decimal(1.0) four = Decimal(4.0) twenty_four = Decimal(24.0) class InterestMode(Enum): + """Equations to calculate interest""" HOURSPERDAY = "HOURSPERDAY" HOURSPER4 = "HOURSPER4" # Hours per 4 hour segment + NONE = "NONE" def __call__(self, *args, **kwargs): @@ -21,4 +25,4 @@ class InterestMode(Enum): elif self.name == "HOURSPER4": return borrowed * rate * (1 + max(0, (hours-four)/four)) else: - raise OperationalException(f"Leverage not available on this exchange with freqtrade") + raise OperationalException("Leverage not available on this exchange with freqtrade") diff --git a/freqtrade/persistence/models.py b/freqtrade/persistence/models.py index 9aa340fdc..050ae2c10 100644 --- a/freqtrade/persistence/models.py +++ b/freqtrade/persistence/models.py @@ -6,7 +6,7 @@ from datetime import datetime, timezone from decimal import Decimal from typing import Any, Dict, List, Optional -from sqlalchemy import (Boolean, Column, DateTime, Float, ForeignKey, Integer, String, +from sqlalchemy import (Boolean, Column, DateTime, Enum, Float, ForeignKey, Integer, String, create_engine, desc, func, inspect) from sqlalchemy.exc import NoSuchModuleError from sqlalchemy.orm import Query, declarative_base, relationship, scoped_session, sessionmaker @@ -159,7 +159,7 @@ class Order(_DECL_BASE): self.remaining = order.get('remaining', self.remaining) self.cost = order.get('cost', self.cost) self.leverage = order.get('leverage', self.leverage) - # TODO-mg: liquidation price? is_short? + # TODO-mg: is_short? if 'timestamp' in order and order['timestamp'] is not None: self.order_date = datetime.fromtimestamp(order['timestamp'] / 1000, tz=timezone.utc) @@ -269,7 +269,7 @@ class LocalTrade(): liquidation_price: Optional[float] = None is_short: bool = False leverage: float = 1.0 - interest_mode: Optional[InterestMode] = None + interest_mode: InterestMode = InterestMode.NONE @property def has_no_leverage(self) -> bool: @@ -299,8 +299,9 @@ class LocalTrade(): self.recalc_open_trade_value() def set_stop_loss_helper(self, stop_loss: Optional[float], liquidation_price: Optional[float]): - # Stoploss would be better as a computed variable, but that messes up the database so it might not be possible - # TODO-mg: What should be done about initial_stop_loss + # Stoploss would be better as a computed variable, + # but that messes up the database so it might not be possible + if liquidation_price is not None: if stop_loss is not None: if self.is_short: @@ -312,6 +313,8 @@ class LocalTrade(): self.initial_stop_loss = liquidation_price self.liquidation_price = liquidation_price else: + # programmming error check: 1 of liqudication_price or stop_loss must be set + assert stop_loss is not None if not self.stop_loss: self.initial_stop_loss = stop_loss self.stop_loss = stop_loss @@ -438,11 +441,13 @@ class LocalTrade(): if self.is_short: new_loss = float(current_price * (1 + abs(stoploss))) - if self.liquidation_price: # If trading on margin, don't set the stoploss below the liquidation price + # If trading on margin, don't set the stoploss below the liquidation price + if self.liquidation_price: new_loss = min(self.liquidation_price, new_loss) else: new_loss = float(current_price * (1 - abs(stoploss))) - if self.liquidation_price: # If trading on margin, don't set the stoploss below the liquidation price + # If trading on margin, don't set the stoploss below the liquidation price + if self.liquidation_price: new_loss = max(self.liquidation_price, new_loss) # no stop loss assigned yet @@ -457,8 +462,14 @@ class LocalTrade(): # evaluate if the stop loss needs to be updated else: - # stop losses only walk up, never down!, #But adding more to a margin account would create a lower liquidation price, decreasing the minimum stoploss - if (new_loss > self.stop_loss and not self.is_short) or (new_loss < self.stop_loss and self.is_short): + + higherStop = new_loss > self.stop_loss + lowerStop = new_loss < self.stop_loss + + # stop losses only walk up, never down!, + # ? But adding more to a margin account would create a lower liquidation price, + # ? decreasing the minimum stoploss + if (higherStop and not self.is_short) or (lowerStop and self.is_short): logger.debug(f"{self.pair} - Adjusting stoploss...") self._set_new_stoploss(new_loss, stoploss) else: @@ -518,10 +529,10 @@ class LocalTrade(): elif order_type in ('market', 'limit') and self.is_closing_trade(order['side']): if self.is_open: payment = "BUY" if self.is_short else "SELL" - # TODO-mg: On Shorts technically your buying a little bit more than the amount because it's the ammount plus the interest - # But this wll only print the original + # TODO-mg: On shorts, you buy a little bit more than the amount (amount + interest) + # This wll only print the original amount logger.info(f'{order_type.upper()}_{payment} has been fulfilled for {self}.') - self.close(safe_value_fallback(order, 'average', 'price')) # TODO: Double check this + self.close(safe_value_fallback(order, 'average', 'price')) # TODO-mg: Double check this elif order_type in ('stop_loss_limit', 'stop-loss', 'stop-loss-limit', 'stop'): self.stoploss_order_id = None self.close_rate_requested = self.stop_loss @@ -644,7 +655,7 @@ class LocalTrade(): if self.is_short: amount = Decimal(self.amount) + Decimal(interest) else: - # The interest does not need to be purchased on longs because the user already owns that currency in your wallet + # Currency already owned for longs, no need to purchase amount = Decimal(self.amount) close_trade = Decimal(amount) * Decimal(rate or self.close_rate) # type: ignore @@ -697,11 +708,12 @@ class LocalTrade(): fee=(fee or self.fee_close), interest_rate=(interest_rate or self.interest_rate) ) - if (self.is_short and close_trade_value == 0.0) or (not self.is_short and self.open_trade_value == 0.0): + if ((self.is_short and close_trade_value == 0.0) or + (not self.is_short and self.open_trade_value == 0.0)): return 0.0 else: if self.has_no_leverage: - # TODO: This is only needed so that previous tests that included dummy stake_amounts don't fail. Undate those tests and get rid of this else + # TODO-mg: Use one profit_ratio calculation profit_ratio = (close_trade_value/self.open_trade_value) - 1 else: if self.is_short: @@ -864,7 +876,7 @@ class Trade(_DECL_BASE, LocalTrade): interest_rate = Column(Float, nullable=False, default=0.0) liquidation_price = Column(Float, nullable=True) is_short = Column(Boolean, nullable=False, default=False) - interest_mode = Column(String(100), nullable=True) + interest_mode = Column(Enum(InterestMode), nullable=True) # End of margin trading properties def __init__(self, **kwargs): diff --git a/tests/conftest.py b/tests/conftest.py index f4877c46f..eb0c14a45 100644 --- a/tests/conftest.py +++ b/tests/conftest.py @@ -23,8 +23,8 @@ from freqtrade.freqtradebot import FreqtradeBot from freqtrade.persistence import LocalTrade, Trade, init_db from freqtrade.resolvers import ExchangeResolver from freqtrade.worker import Worker -from tests.conftest_trades import (mock_trade_1, mock_trade_2, mock_trade_3, mock_trade_4, - mock_trade_5, mock_trade_6, short_trade, leverage_trade) +from tests.conftest_trades import (leverage_trade, mock_trade_1, mock_trade_2, mock_trade_3, + mock_trade_4, mock_trade_5, mock_trade_6, short_trade) logging.getLogger('').setLevel(logging.INFO) @@ -2209,7 +2209,7 @@ def market_exit_short_order(): # leverage 3x @pytest.fixture(scope='function') -def limit_leveraged_buy_order_open(): +def limit_lev_buy_order_open(): return { 'id': 'mocked_limit_buy', 'type': 'limit', @@ -2229,8 +2229,8 @@ def limit_leveraged_buy_order_open(): @pytest.fixture(scope='function') -def limit_leveraged_buy_order(limit_leveraged_buy_order_open): - order = deepcopy(limit_leveraged_buy_order_open) +def limit_lev_buy_order(limit_lev_buy_order_open): + order = deepcopy(limit_lev_buy_order_open) order['status'] = 'closed' order['filled'] = order['amount'] order['remaining'] = 0.0 @@ -2238,7 +2238,7 @@ def limit_leveraged_buy_order(limit_leveraged_buy_order_open): @pytest.fixture -def limit_leveraged_sell_order_open(): +def limit_lev_sell_order_open(): return { 'id': 'mocked_limit_sell', 'type': 'limit', @@ -2257,8 +2257,8 @@ def limit_leveraged_sell_order_open(): @pytest.fixture -def limit_leveraged_sell_order(limit_leveraged_sell_order_open): - order = deepcopy(limit_leveraged_sell_order_open) +def limit_lev_sell_order(limit_lev_sell_order_open): + order = deepcopy(limit_lev_sell_order_open) order['remaining'] = 0.0 order['filled'] = order['amount'] order['status'] = 'closed' @@ -2266,7 +2266,7 @@ def limit_leveraged_sell_order(limit_leveraged_sell_order_open): @pytest.fixture(scope='function') -def market_leveraged_buy_order(): +def market_lev_buy_order(): return { 'id': 'mocked_market_buy', 'type': 'market', @@ -2284,7 +2284,7 @@ def market_leveraged_buy_order(): @pytest.fixture -def market_leveraged_sell_order(): +def market_lev_sell_order(): return { 'id': 'mocked_limit_sell', 'type': 'market', diff --git a/tests/conftest_trades.py b/tests/conftest_trades.py index eeaa32792..e4290231c 100644 --- a/tests/conftest_trades.py +++ b/tests/conftest_trades.py @@ -444,7 +444,7 @@ def leverage_trade(fee): close_value: (amount_closed * close_rate) - (amount_closed * close_rate * fee) - interest = (615.0 * 0.128) - (615.0 * 0.128 * 0.0025) - 0.0378225 = 78.4853775 - total_profit = close_value - open_value + total_profit = close_value - open_value = 78.4853775 - 75.83411249999999 = 2.6512650000000093 total_profit_percentage = total_profit / stake_amount diff --git a/tests/persistence/test_persistence.py b/tests/persistence/test_persistence.py index 68ebca3b1..9adb80b2a 100644 --- a/tests/persistence/test_persistence.py +++ b/tests/persistence/test_persistence.py @@ -79,10 +79,10 @@ def test_is_opening_closing_trade(fee): is_short=False, leverage=2.0 ) - assert trade.is_opening_trade('buy') == True - assert trade.is_opening_trade('sell') == False - assert trade.is_closing_trade('buy') == False - assert trade.is_closing_trade('sell') == True + assert trade.is_opening_trade('buy') is True + assert trade.is_opening_trade('sell') is False + assert trade.is_closing_trade('buy') is False + assert trade.is_closing_trade('sell') is True trade = Trade( id=2, @@ -99,10 +99,10 @@ def test_is_opening_closing_trade(fee): leverage=2.0 ) - assert trade.is_opening_trade('buy') == False - assert trade.is_opening_trade('sell') == True - assert trade.is_closing_trade('buy') == True - assert trade.is_closing_trade('sell') == False + assert trade.is_opening_trade('buy') is False + assert trade.is_opening_trade('sell') is True + assert trade.is_closing_trade('buy') is True + assert trade.is_closing_trade('sell') is False @pytest.mark.usefixtures("init_persistence") diff --git a/tests/persistence/test_persistence_leverage.py b/tests/persistence/test_persistence_leverage.py index 286936ec4..2326f92af 100644 --- a/tests/persistence/test_persistence_leverage.py +++ b/tests/persistence/test_persistence_leverage.py @@ -1,21 +1,15 @@ -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 datetime import datetime, timedelta from math import isclose -from sqlalchemy import create_engine, inspect, text -from freqtrade import constants + +import pytest + from freqtrade.enums import InterestMode -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_with_leverage, log_has, log_has_re +from freqtrade.persistence import Trade +from tests.conftest import log_has_re @pytest.mark.usefixtures("init_persistence") -def test_interest_kraken_lev(market_leveraged_buy_order, fee): +def test_interest_kraken_lev(market_lev_buy_order, fee): """ Market trade on Kraken at 3x and 5x leverage Short trade @@ -54,10 +48,10 @@ def test_interest_kraken_lev(market_leveraged_buy_order, fee): interest_mode=InterestMode.HOURSPER4 ) - # The trades that last 10 minutes do not need to be rounded because they round up to 4 hours on kraken so we can predict the correct value + # 10 minutes round up to 4 hours evenly on kraken so we can predict the exact value assert float(trade.calculate_interest()) == 3.7707443218227e-06 trade.open_date = datetime.utcnow() - timedelta(hours=5, minutes=0) - # The trades that last for 5 hours have to be rounded because the length of time that the test takes will vary every time it runs, so we can't predict the exact value + # All trade > 5 hours will vary slightly due to execution time and interest calculated assert float(round(trade.calculate_interest(interest_rate=0.00025), 11) ) == round(2.3567152011391876e-06, 11) @@ -82,7 +76,7 @@ def test_interest_kraken_lev(market_leveraged_buy_order, fee): @pytest.mark.usefixtures("init_persistence") -def test_interest_binance_lev(market_leveraged_buy_order, fee): +def test_interest_binance_lev(market_lev_buy_order, fee): """ Market trade on Kraken at 3x and 5x leverage Short trade @@ -120,10 +114,10 @@ def test_interest_binance_lev(market_leveraged_buy_order, fee): interest_rate=0.0005, interest_mode=InterestMode.HOURSPERDAY ) - # The trades that last 10 minutes do not always need to be rounded because they round up to 4 hours on kraken so we can predict the correct value + # 10 minutes round up to 4 hours evenly on kraken so we can predict the them more accurately assert round(float(trade.calculate_interest()), 22) == round(4.166666666344583e-08, 22) trade.open_date = datetime.utcnow() - timedelta(hours=5, minutes=0) - # The trades that last for 5 hours have to be rounded because the length of time that the test takes will vary every time it runs, so we can't predict the exact value + # All trade > 5 hours will vary slightly due to execution time and interest calculated assert float(round(trade.calculate_interest(interest_rate=0.00025), 14) ) == round(1.0416666665861459e-07, 14) @@ -148,7 +142,7 @@ def test_interest_binance_lev(market_leveraged_buy_order, fee): @pytest.mark.usefixtures("init_persistence") -def test_update_open_order_lev(limit_leveraged_buy_order): +def test_update_open_order_lev(limit_lev_buy_order): trade = Trade( pair='ETH/BTC', stake_amount=1.00, @@ -163,15 +157,15 @@ def test_update_open_order_lev(limit_leveraged_buy_order): assert trade.open_order_id is None assert trade.close_profit is None assert trade.close_date is None - limit_leveraged_buy_order['status'] = 'open' - trade.update(limit_leveraged_buy_order) + limit_lev_buy_order['status'] = 'open' + trade.update(limit_lev_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_lev(market_leveraged_buy_order, fee): +def test_calc_open_trade_value_lev(market_lev_buy_order, fee): """ 10 minute leveraged market trade on Kraken at 3x leverage Short trade @@ -203,7 +197,7 @@ def test_calc_open_trade_value_lev(market_leveraged_buy_order, fee): interest_mode=InterestMode.HOURSPER4 ) trade.open_order_id = 'open_trade' - trade.update(market_leveraged_buy_order) # Buy @ 0.00001099 + trade.update(market_lev_buy_order) # Buy @ 0.00001099 # Get the open rate price with the standard fee rate assert trade._calc_open_trade_value() == 0.01134051354788177 trade.fee_open = 0.003 @@ -212,7 +206,7 @@ def test_calc_open_trade_value_lev(market_leveraged_buy_order, fee): @pytest.mark.usefixtures("init_persistence") -def test_calc_open_close_trade_price_lev(limit_leveraged_buy_order, limit_leveraged_sell_order, fee): +def test_calc_open_close_trade_price_lev(limit_lev_buy_order, limit_lev_sell_order, fee): """ 5 hour leveraged trade on Binance @@ -230,7 +224,9 @@ def test_calc_open_close_trade_price_lev(limit_leveraged_buy_order, limit_levera = (272.97543219 * 0.00001099) + (272.97543219 * 0.00001099 * 0.0025) = 0.0030074999997675204 close_value: ((amount_closed * close_rate) - (amount_closed * close_rate * fee)) - interest - = (272.97543219 * 0.00001173) - (272.97543219 * 0.00001173 * 0.0025) - 2.0833333331722917e-07 + = (272.97543219 * 0.00001173) + - (272.97543219 * 0.00001173 * 0.0025) + - 2.0833333331722917e-07 = 0.003193788481706411 total_profit = close_value - open_value = 0.003193788481706411 - 0.0030074999997675204 @@ -252,11 +248,11 @@ def test_calc_open_close_trade_price_lev(limit_leveraged_buy_order, limit_levera interest_mode=InterestMode.HOURSPERDAY ) trade.open_order_id = 'something' - trade.update(limit_leveraged_buy_order) + trade.update(limit_lev_buy_order) assert trade._calc_open_trade_value() == 0.00300749999976752 - trade.update(limit_leveraged_sell_order) + trade.update(limit_lev_sell_order) - # Will be slightly different due to slight changes in compilation time, and the fact that interest depends on time + # Is slightly different due to compilation time changes. Interest depends on time assert round(trade.calc_close_trade_value(), 11) == round(0.003193788481706411, 11) # Profit in BTC assert round(trade.calc_profit(), 8) == round(0.00018628848193889054, 8) @@ -281,11 +277,11 @@ def test_trade_close_lev(fee): open_value: (amount * open_rate) + (amount * open_rate * fee) = (15 * 0.1) + (15 * 0.1 * 0.0025) = 1.50375 - close_value: (amount_closed * close_rate) + (amount_closed * close_rate * fee) - interest + close_value: (amount * close_rate) + (amount * close_rate * fee) - interest = (15 * 0.2) - (15 * 0.2 * 0.0025) - 0.000625 = 2.9918750000000003 total_profit = close_value - open_value - = 2.9918750000000003 - 1.50375 + = 2.9918750000000003 - 1.50375 = 1.4881250000000001 total_profit_percentage = total_profit / stake_amount = 1.4881250000000001 / 0.5 @@ -324,7 +320,7 @@ def test_trade_close_lev(fee): @pytest.mark.usefixtures("init_persistence") -def test_calc_close_trade_price_lev(market_leveraged_buy_order, market_leveraged_sell_order, fee): +def test_calc_close_trade_price_lev(market_lev_buy_order, market_lev_sell_order, fee): """ 10 minute leveraged market trade on Kraken at 3x leverage Short trade @@ -337,15 +333,17 @@ def test_calc_close_trade_price_lev(market_leveraged_buy_order, market_leveraged borrowed: 0.0075414886436454 base time-periods: 10 minutes(rounds up to 1 time-period of 4hrs) interest: borrowed * interest_rate * time-periods - = 0.0075414886436454 * 0.0005 * 1 = 3.7707443218227e-06 crypto + = 0.0075414886436454 * 0.0005 * 1 = 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 * 0.00001234) - (275.97543219 * 0.00001234 * 0.0025) - 3.7707443218227e-06 = 0.003393252246819716 - = (275.97543219 * 0.00001234) - (275.97543219 * 0.00001234 * 0.003) - 3.7707443218227e-06 = 0.003391549478403104 - = (275.97543219 * 0.00004173) - (275.97543219 * 0.00004173 * 0.005) - 3.7707443218227e-06 = 0.011455101767040435 - + = (275.97543219 * 0.00001234) - (275.97543219 * 0.00001234 * 0.0025) - 3.7707443218227e-06 + = 0.003393252246819716 + = (275.97543219 * 0.00001234) - (275.97543219 * 0.00001234 * 0.003) - 3.7707443218227e-06 + = 0.003391549478403104 + = (275.97543219 * 0.00004173) - (275.97543219 * 0.00004173 * 0.005) - 3.7707443218227e-06 + = 0.011455101767040435 """ trade = Trade( pair='ETH/BTC', @@ -361,18 +359,18 @@ def test_calc_close_trade_price_lev(market_leveraged_buy_order, market_leveraged interest_mode=InterestMode.HOURSPER4 ) trade.open_order_id = 'close_trade' - trade.update(market_leveraged_buy_order) # Buy @ 0.00001099 + trade.update(market_lev_buy_order) # Buy @ 0.00001099 # Get the close rate price with a custom close rate and a regular fee rate assert isclose(trade.calc_close_trade_value(rate=0.00001234), 0.003393252246819716) # Get the close rate price with a custom close rate and a custom fee rate assert isclose(trade.calc_close_trade_value(rate=0.00001234, fee=0.003), 0.003391549478403104) # Test when we apply a Sell order, and ask price with a custom fee rate - trade.update(market_leveraged_sell_order) + trade.update(market_lev_sell_order) assert isclose(trade.calc_close_trade_value(fee=0.005), 0.011455101767040435) @pytest.mark.usefixtures("init_persistence") -def test_update_limit_order_lev(limit_leveraged_buy_order, limit_leveraged_sell_order, fee, caplog): +def test_update_limit_order_lev(limit_lev_buy_order, limit_lev_sell_order, fee, caplog): """ 10 minute leveraged limit trade on binance at 3x leverage @@ -420,7 +418,7 @@ def test_update_limit_order_lev(limit_leveraged_buy_order, limit_leveraged_sell_ assert trade.close_date is None # trade.open_order_id = 'something' - trade.update(limit_leveraged_buy_order) + 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 @@ -431,7 +429,7 @@ def test_update_limit_order_lev(limit_leveraged_buy_order, limit_leveraged_sell_ caplog) caplog.clear() # trade.open_order_id = 'something' - trade.update(limit_leveraged_sell_order) + trade.update(limit_lev_sell_order) # assert trade.open_order_id is None assert trade.close_rate == 0.00001173 assert trade.close_profit == round(0.18645514861995735, 8) @@ -442,7 +440,7 @@ def test_update_limit_order_lev(limit_leveraged_buy_order, limit_leveraged_sell_ @pytest.mark.usefixtures("init_persistence") -def test_update_market_order_lev(market_leveraged_buy_order, market_leveraged_sell_order, fee, caplog): +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 @@ -484,7 +482,7 @@ def test_update_market_order_lev(market_leveraged_buy_order, market_leveraged_se interest_mode=InterestMode.HOURSPER4 ) trade.open_order_id = 'something' - trade.update(market_leveraged_buy_order) + trade.update(market_lev_buy_order) assert trade.leverage == 3.0 assert trade.open_order_id is None assert trade.open_rate == 0.00004099 @@ -499,7 +497,7 @@ def test_update_market_order_lev(market_leveraged_buy_order, market_leveraged_se caplog.clear() trade.is_open = True trade.open_order_id = 'something' - trade.update(market_leveraged_sell_order) + trade.update(market_lev_sell_order) assert trade.open_order_id is None assert trade.close_rate == 0.00004173 assert trade.close_profit == round(0.03802415223225211, 8) @@ -513,7 +511,7 @@ def test_update_market_order_lev(market_leveraged_buy_order, market_leveraged_se @pytest.mark.usefixtures("init_persistence") -def test_calc_close_trade_price_exception_lev(limit_leveraged_buy_order, fee): +def test_calc_close_trade_price_exception_lev(limit_lev_buy_order, fee): trade = Trade( pair='ETH/BTC', stake_amount=0.001, @@ -527,14 +525,13 @@ def test_calc_close_trade_price_exception_lev(limit_leveraged_buy_order, fee): interest_mode=InterestMode.HOURSPERDAY ) trade.open_order_id = 'something' - trade.update(limit_leveraged_buy_order) + 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_leveraged_buy_order, market_leveraged_sell_order, fee): +def test_calc_profit_lev(market_lev_buy_order, market_lev_sell_order, fee): """ - # TODO: Update this one Leveraged trade on Kraken at 3x leverage fee: 0.25% base or 0.3% interest_rate: 0.05%, 0.25% per 4 hrs @@ -547,17 +544,22 @@ def test_calc_profit_lev(market_leveraged_buy_order, market_leveraged_sell_order 5 hours = 5/4 interest: borrowed * interest_rate * time-periods - = 0.0075414886436454 * 0.0005 * 1 = 3.7707443218227e-06 crypto - = 0.0075414886436454 * 0.00025 * 5/4 = 2.3567152011391876e-06 crypto - = 0.0075414886436454 * 0.0005 * 5/4 = 4.713430402278375e-06 crypto - = 0.0075414886436454 * 0.00025 * 1 = 1.88537216091135e-06 crypto + = 0.0075414886436454 * 0.0005 * 1 = 3.7707443218227e-06 crypto + = 0.0075414886436454 * 0.00025 * 5/4 = 2.3567152011391876e-06 crypto + = 0.0075414886436454 * 0.0005 * 5/4 = 4.713430402278375e-06 crypto + = 0.0075414886436454 * 0.00025 * 1 = 1.88537216091135e-06 crypto open_value: (amount * open_rate) + (amount * open_rate * fee) - = (275.97543219 * 0.00004099) + (275.97543219 * 0.00004099 * 0.0025) = 0.01134051354788177 + = (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) - 3.7707443218227e-06 = 0.01479007168225405 - (275.97543219 * 0.00000437) - (275.97543219 * 0.00000437 * 0.0025) - 2.3567152011391876e-06 = 0.001200640891872485 - (275.97543219 * 0.00005374) - (275.97543219 * 0.00005374 * 0.003) - 4.713430402278375e-06 = 0.014781713536310649 - (275.97543219 * 0.00000437) - (275.97543219 * 0.00000437 * 0.003) - 1.88537216091135e-06 = 0.0012005092285933775 + (275.97543219 * 0.00005374) - (275.97543219 * 0.00005374 * 0.0025) - 3.7707443218227e-06 + = 0.01479007168225405 + (275.97543219 * 0.00000437) - (275.97543219 * 0.00000437 * 0.0025) - 2.3567152011391876e-06 + = 0.001200640891872485 + (275.97543219 * 0.00005374) - (275.97543219 * 0.00005374 * 0.003) - 4.713430402278375e-06 + = 0.014781713536310649 + (275.97543219 * 0.00000437) - (275.97543219 * 0.00000437 * 0.003) - 1.88537216091135e-06 + = 0.0012005092285933775 total_profit = close_value - open_value = 0.01479007168225405 - 0.01134051354788177 = 0.003449558134372281 = 0.001200640891872485 - 0.01134051354788177 = -0.010139872656009285 @@ -584,7 +586,7 @@ def test_calc_profit_lev(market_leveraged_buy_order, market_leveraged_sell_order interest_mode=InterestMode.HOURSPER4 ) trade.open_order_id = 'something' - trade.update(market_leveraged_buy_order) # Buy @ 0.00001099 + trade.update(market_lev_buy_order) # Buy @ 0.00001099 # Custom closing rate and regular fee rate # Higher than open rate @@ -615,7 +617,7 @@ def test_calc_profit_lev(market_leveraged_buy_order, market_leveraged_sell_order interest_rate=0.00025) == round(-2.6891253964381554, 8) # Test when we apply a Sell order. Sell higher than open rate @ 0.00001173 - trade.update(market_leveraged_sell_order) + trade.update(market_lev_sell_order) assert trade.calc_profit() == round(0.0001433793561218866, 8) assert trade.calc_profit_ratio() == round(0.03802415223225211, 8) diff --git a/tests/persistence/test_persistence_short.py b/tests/persistence/test_persistence_short.py index 3a9934c90..ba08e1632 100644 --- a/tests/persistence/test_persistence_short.py +++ b/tests/persistence/test_persistence_short.py @@ -1,17 +1,12 @@ -import logging -from datetime import datetime, timedelta, timezone -from pathlib import Path -from types import FunctionType -from unittest.mock import MagicMock +from datetime import datetime, timedelta +from math import isclose + import arrow import pytest -from math import isclose -from sqlalchemy import create_engine, inspect, text -from freqtrade import constants + from freqtrade.enums import InterestMode -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_with_leverage, log_has, log_has_re +from freqtrade.persistence import Trade, init_db +from tests.conftest import create_mock_trades_with_leverage, log_has_re @pytest.mark.usefixtures("init_persistence") @@ -302,11 +297,12 @@ def test_calc_open_close_trade_price_short(limit_short_order, limit_exit_short_o assert trade._calc_open_trade_value() == 0.0010646656050132426 trade.update(limit_exit_short_order) - # Will be slightly different due to slight changes in compilation time, and the fact that interest depends on time + # Is slightly different due to compilation time. Interest depends on time assert round(trade.calc_close_trade_value(), 11) == round(0.001002604427005832, 11) # Profit in BTC assert round(trade.calc_profit(), 8) == round(0.00006206117800741065, 8) # Profit in percent + # TODO-mg get this working # assert round(trade.calc_profit_ratio(), 11) == round(0.05822425142973869, 11) @@ -499,7 +495,7 @@ def test_update_market_order_short( trade.open_order_id = 'something' trade.update(market_short_order) assert trade.leverage == 3.0 - assert trade.is_short == True + 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 @@ -546,17 +542,22 @@ def test_calc_profit_short(market_short_order, market_exit_short_order, fee): = 275.97543219 * 0.0005 * 5/4 = 0.17248464511875 crypto = 275.97543219 * 0.00025 * 1 = 0.0689938580475 crypto open_value: (amount * open_rate) - (amount * open_rate * fee) - = (275.97543219 * 0.00004173) - (275.97543219 * 0.00004173 * 0.0025) = 0.011487663648325479 + = (275.97543219 * 0.00004173) - (275.97543219 * 0.00004173 * 0.0025) + = 0.011487663648325479 amount_closed: amount + interest = 275.97543219 + 0.137987716095 = 276.113419906095 = 275.97543219 + 0.086242322559375 = 276.06167451255936 = 275.97543219 + 0.17248464511875 = 276.14791683511874 = 275.97543219 + 0.0689938580475 = 276.0444260480475 close_value: (amount_closed * close_rate) + (amount_closed * close_rate * fee) - (276.113419906095 * 0.00004374) + (276.113419906095 * 0.00004374 * 0.0025) = 0.012107393989159325 - (276.06167451255936 * 0.00000437) + (276.06167451255936 * 0.00000437 * 0.0025) = 0.0012094054914139338 - (276.14791683511874 * 0.00004374) + (276.14791683511874 * 0.00004374 * 0.003) = 0.012114946012015198 - (276.0444260480475 * 0.00000437) + (276.0444260480475 * 0.00000437 * 0.003) = 0.0012099330842554573 + (276.113419906095 * 0.00004374) + (276.113419906095 * 0.00004374 * 0.0025) + = 0.012107393989159325 + (276.06167451255936 * 0.00000437) + (276.06167451255936 * 0.00000437 * 0.0025) + = 0.0012094054914139338 + (276.14791683511874 * 0.00004374) + (276.14791683511874 * 0.00004374 * 0.003) + = 0.012114946012015198 + (276.0444260480475 * 0.00000437) + (276.0444260480475 * 0.00000437 * 0.003) + = 0.0012099330842554573 total_profit = open_value - close_value = print(0.011487663648325479 - 0.012107393989159325) = -0.0006197303408338461 = print(0.011487663648325479 - 0.0012094054914139338) = 0.010278258156911545 @@ -647,7 +648,8 @@ def test_adjust_stop_loss_short(fee): assert trade.initial_stop_loss_pct == 0.05 # Get percent of profit with a custom rate (Higher than open rate) trade.adjust_stop_loss(0.7, 0.1) - # If the price goes down to 0.7, with a trailing stop of 0.1, the new stoploss at 0.1 above 0.7 would be 0.7*0.1 higher + # If the price goes down to 0.7, with a trailing stop of 0.1, + # the new stoploss at 0.1 above 0.7 would be 0.7*0.1 higher assert round(trade.stop_loss, 8) == 0.77 assert trade.stop_loss_pct == 0.1 assert trade.initial_stop_loss == 1.05