mirror of
https://github.com/freqtrade/freqtrade.git
synced 2024-11-10 10:21:59 +00:00
Started some pytests for short and leverage
1 short test passes
This commit is contained in:
Sam Germain
parent
b80f8ca0af
commit
c24ec89dc4
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@ -133,6 +133,7 @@ class Order(_DECL_BASE):
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order_update_date = Column(DateTime, nullable=True)
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leverage = Column(Float, nullable=True, default=1.0)
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is_short = Column(Boolean, nullable=False, default=False)
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def __repr__(self):
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return (f'Order(id={self.id}, order_id={self.order_id}, trade_id={self.ft_trade_id}, '
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@ -447,14 +448,16 @@ class LocalTrade():
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Determines if the trade is an opening (long buy or short sell) trade
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:param side (string): the side (buy/sell) that order happens on
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"""
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return (side == 'buy' and not self.is_short) or (side == 'sell' and self.is_short)
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is_short = self.is_short
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return (side == 'buy' and not is_short) or (side == 'sell' and is_short)
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def is_closing_trade(self, side) -> bool:
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"""
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Determines if the trade is an closing (long sell or short buy) trade
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:param side (string): the side (buy/sell) that order happens on
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"""
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return (side == 'sell' and not self.is_short) or (side == 'buy' and self.is_short)
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is_short = self.is_short
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return (side == 'sell' and not is_short) or (side == 'buy' and is_short)
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def update(self, order: Dict) -> None:
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"""
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@ -463,6 +466,9 @@ class LocalTrade():
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:return: None
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"""
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order_type = order['type']
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# TODO: I don't like this, but it might be the only way
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if 'is_short' in order and order['side'] == 'sell':
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self.is_short = order['is_short']
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# Ignore open and cancelled orders
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if order['status'] == 'open' or safe_value_fallback(order, 'average', 'price') is None:
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return
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@ -579,11 +585,13 @@ class LocalTrade():
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rate = Decimal(self.interest_rate)
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borrowed = Decimal(self.borrowed)
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twenty4 = Decimal(24.0)
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one = Decimal(1.0)
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if self.exchange == 'binance':
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# Rate is per day but accrued hourly or something
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# binance: https://www.binance.com/en-AU/support/faq/360030157812
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return borrowed * (rate/24) * max(hours, 1.0) # TODO-mg: Is hours rounded?
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return borrowed * (rate/twenty4) * max(hours, one) # TODO-mg: Is hours rounded?
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elif self.exchange == 'kraken':
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# https://support.kraken.com/hc/en-us/articles/206161568-What-are-the-fees-for-margin-trading-
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opening_fee = borrowed * rate
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@ -591,10 +599,10 @@ class LocalTrade():
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return opening_fee + roll_over_fee
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elif self.exchange == 'binance_usdm_futures':
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# ! TODO-mg: This is incorrect, I didn't look it up
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return borrowed * (rate/24) * max(hours, 1.0)
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return borrowed * (rate/twenty4) * max(hours, one)
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elif self.exchange == 'binance_coinm_futures':
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# ! TODO-mg: This is incorrect, I didn't look it up
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return borrowed * (rate/24) * max(hours, 1.0)
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return borrowed * (rate/twenty4) * max(hours, one)
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else:
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# TODO-mg: make sure this breaks and can't be squelched
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raise OperationalException("Leverage not available on this exchange")
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@ -612,14 +620,19 @@ class LocalTrade():
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if rate is None and not self.close_rate:
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return 0.0
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close_trade = Decimal(self.amount) * Decimal(rate or self.close_rate) # type: ignore
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fees = close_trade * Decimal(fee or self.fee_close)
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interest = self.calculate_interest()
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if self.is_short:
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amount = Decimal(self.amount) + interest
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else:
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amount = Decimal(self.amount) - interest
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close_trade = Decimal(amount) * Decimal(rate or self.close_rate) # type: ignore
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fees = close_trade * Decimal(fee or self.fee_close)
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if (self.is_short):
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return float(close_trade + fees + interest)
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return float(close_trade + fees)
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else:
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return float(close_trade - fees - interest)
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return float(close_trade - fees)
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def calc_profit(self, rate: Optional[float] = None,
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fee: Optional[float] = None) -> float:
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@ -7,12 +7,10 @@ from datetime import datetime, timedelta
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from functools import reduce
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from pathlib import Path
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from unittest.mock import MagicMock, Mock, PropertyMock
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import arrow
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import numpy as np
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import pytest
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from telegram import Chat, Message, Update
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from freqtrade import constants
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from freqtrade.commands import Arguments
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from freqtrade.data.converter import ohlcv_to_dataframe
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@ -24,12 +22,8 @@ from freqtrade.persistence import LocalTrade, Trade, init_db
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from freqtrade.resolvers import ExchangeResolver
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from freqtrade.worker import Worker
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from tests.conftest_trades import (mock_trade_1, mock_trade_2, mock_trade_3, mock_trade_4,
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mock_trade_5, mock_trade_6)
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mock_trade_5, mock_trade_6, short_trade, leverage_trade)
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logging.getLogger('').setLevel(logging.INFO)
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# Do not mask numpy errors as warnings that no one read, raise the exсeption
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np.seterr(all='raise')
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@ -63,13 +57,12 @@ def log_has_re(line, logs):
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def get_args(args):
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return Arguments(args).get_parsed_arg()
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# Source: https://stackoverflow.com/questions/29881236/how-to-mock-asyncio-coroutines
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def get_mock_coro(return_value):
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async def mock_coro(*args, **kwargs):
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return return_value
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return Mock(wraps=mock_coro)
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@ -92,7 +85,6 @@ def patch_exchange(mocker, api_mock=None, id='binance', mock_markets=True) -> No
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if mock_markets:
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mocker.patch('freqtrade.exchange.Exchange.markets',
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PropertyMock(return_value=get_markets()))
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if api_mock:
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mocker.patch('freqtrade.exchange.Exchange._init_ccxt', MagicMock(return_value=api_mock))
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else:
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@ -126,7 +118,6 @@ def patch_edge(mocker) -> None:
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# "LTC/BTC",
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# "XRP/BTC",
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# "NEO/BTC"
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mocker.patch('freqtrade.edge.Edge._cached_pairs', mocker.PropertyMock(
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return_value={
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'NEO/BTC': PairInfo(-0.20, 0.66, 3.71, 0.50, 1.71, 10, 25),
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@ -140,7 +131,6 @@ def get_patched_edge(mocker, config) -> Edge:
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patch_edge(mocker)
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edge = Edge(config)
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return edge
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# Functions for recurrent object patching
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@ -201,28 +191,24 @@ def create_mock_trades(fee, use_db: bool = True):
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Trade.query.session.add(trade)
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else:
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LocalTrade.add_bt_trade(trade)
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# Simulate dry_run entries
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trade = mock_trade_1(fee)
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add_trade(trade)
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trade = mock_trade_2(fee)
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add_trade(trade)
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trade = mock_trade_3(fee)
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add_trade(trade)
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trade = mock_trade_4(fee)
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add_trade(trade)
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trade = mock_trade_5(fee)
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add_trade(trade)
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trade = mock_trade_6(fee)
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add_trade(trade)
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# TODO-mg: Add margin trades
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# TODO: margin trades
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# trade = short_trade(fee)
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# add_trade(trade)
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# trade = leverage_trade(fee)
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# add_trade(trade)
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if use_db:
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Trade.query.session.flush()
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@ -234,7 +220,6 @@ def patch_coingekko(mocker) -> None:
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:param mocker: mocker to patch coingekko class
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:return: None
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"""
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tickermock = MagicMock(return_value={'bitcoin': {'usd': 12345.0}, 'ethereum': {'usd': 12345.0}})
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listmock = MagicMock(return_value=[{'id': 'bitcoin', 'name': 'Bitcoin', 'symbol': 'btc',
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'website_slug': 'bitcoin'},
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@ -245,14 +230,13 @@ def patch_coingekko(mocker) -> None:
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'freqtrade.rpc.fiat_convert.CoinGeckoAPI',
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get_price=tickermock,
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get_coins_list=listmock,
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)
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@pytest.fixture(scope='function')
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def init_persistence(default_conf):
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init_db(default_conf['db_url'], default_conf['dry_run'])
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# TODO-mg: margin with leverage and/or borrowed?
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# TODO-mg: trade with leverage and/or borrowed?
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@pytest.fixture(scope="function")
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@ -943,7 +927,6 @@ def limit_buy_order_canceled_empty(request):
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# Indirect fixture
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# Documentation:
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# https://docs.pytest.org/en/latest/example/parametrize.html#apply-indirect-on-particular-arguments
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exchange_name = request.param
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if exchange_name == 'ftx':
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return {
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@ -1733,7 +1716,6 @@ def edge_conf(default_conf):
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"max_trade_duration_minute": 1440,
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"remove_pumps": False
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}
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return conf
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@ -1791,12 +1773,9 @@ def import_fails() -> None:
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if name in ["filelock", 'systemd.journal', 'uvloop']:
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raise ImportError(f"No module named '{name}'")
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return realimport(name, *args, **kwargs)
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builtins.__import__ = mockedimport
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# Run test - then cleanup
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yield
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# restore previous importfunction
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builtins.__import__ = realimport
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@ -2081,101 +2060,79 @@ def saved_hyperopt_results():
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'is_best': False
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}
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]
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for res in hyperopt_res:
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res['results_metrics']['holding_avg_s'] = res['results_metrics']['holding_avg'
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].total_seconds()
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return hyperopt_res
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# * Margin Tests
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@pytest.fixture
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def leveraged_fee():
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return
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def ten_minutes_ago():
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return datetime.utcnow() - timedelta(hours=0, minutes=10)
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@pytest.fixture
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def short_fee():
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return
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@pytest.fixture
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def ticker_short():
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return
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@pytest.fixture
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def ticker_exit_short_up():
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return
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@pytest.fixture
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def ticker_exit_short_down():
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return
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@pytest.fixture
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def leveraged_markets():
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return
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def five_hours_ago():
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return datetime.utcnow() - timedelta(hours=1, minutes=0)
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@pytest.fixture(scope='function')
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def limit_short_order_open():
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return
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@pytest.fixture(scope='function')
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def limit_short_order(limit_short_order_open):
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return
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@pytest.fixture(scope='function')
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def market_short_order():
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return
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@pytest.fixture
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def market_short_exit_order():
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return
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@pytest.fixture
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def limit_short_order_old():
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return
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@pytest.fixture
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def limit_exit_short_order_old():
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return
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@pytest.fixture
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def limit_short_order_old_partial():
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return
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@pytest.fixture
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def limit_short_order_old_partial_canceled(limit_short_order_old_partial):
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return
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@pytest.fixture(scope='function')
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def limit_short_order_canceled_empty(request):
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return
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return {
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'id': 'mocked_limit_short',
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'type': 'limit',
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'side': 'sell',
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'symbol': 'mocked',
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'datetime': arrow.utcnow().isoformat(),
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'timestamp': arrow.utcnow().int_timestamp,
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'price': 0.00001173,
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'amount': 90.99181073,
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'borrowed': 90.99181073,
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'filled': 0.0,
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'cost': 0.00106733393,
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'remaining': 90.99181073,
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'status': 'open',
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'is_short': True
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}
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@pytest.fixture
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def limit_exit_short_order_open():
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return
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return {
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'id': 'mocked_limit_exit_short',
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'type': 'limit',
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'side': 'buy',
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'pair': 'mocked',
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'datetime': arrow.utcnow().isoformat(),
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'timestamp': arrow.utcnow().int_timestamp,
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'price': 0.00001099,
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'amount': 90.99181073,
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'filled': 0.0,
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'remaining': 90.99181073,
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'status': 'open'
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}
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@pytest.fixture(scope='function')
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def limit_short_order(limit_short_order_open):
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order = deepcopy(limit_short_order_open)
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order['status'] = 'closed'
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order['filled'] = order['amount']
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order['remaining'] = 0.0
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return order
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@pytest.fixture
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def limit_exit_short_order(limit_sell_order_open):
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return
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def limit_exit_short_order(limit_exit_short_order_open):
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order = deepcopy(limit_exit_short_order_open)
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order['remaining'] = 0.0
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order['filled'] = order['amount']
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order['status'] = 'closed'
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return order
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@pytest.fixture
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def short_order_fee():
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return
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def interest_rate():
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return MagicMock(return_value=0.0005)
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@ -304,4 +304,133 @@ def mock_trade_6(fee):
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trade.orders.append(o)
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return trade
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# TODO-mg: Mock orders for leveraged and short trades
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#! TODO Currently the following short_trade test and leverage_trade test will fail
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def short_order():
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return {
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'id': '1235',
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'symbol': 'ETC/BTC',
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'status': 'closed',
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'side': 'sell',
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'type': 'limit',
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'price': 0.123,
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'amount': 123.0,
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'filled': 123.0,
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'remaining': 0.0,
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'leverage': 5.0,
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'isShort': True
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}
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def exit_short_order():
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return {
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'id': '12366',
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'symbol': 'ETC/BTC',
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'status': 'closed',
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'side': 'buy',
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'type': 'limit',
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'price': 0.128,
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'amount': 123.0,
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'filled': 123.0,
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'remaining': 0.0,
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'leverage': 5.0,
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'isShort': True
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}
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def short_trade(fee):
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"""
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Closed trade...
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"""
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trade = Trade(
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pair='ETC/BTC',
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stake_amount=0.001,
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amount=123.0, # TODO-mg: In BTC?
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amount_requested=123.0,
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fee_open=fee.return_value,
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fee_close=fee.return_value,
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open_rate=0.123,
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close_rate=0.128,
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close_profit=0.005, # TODO-mg: Would this be -0.005 or -0.025
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close_profit_abs=0.000584127,
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exchange='binance',
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is_open=False,
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open_order_id='dry_run_exit_short_12345',
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strategy='DefaultStrategy',
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timeframe=5,
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sell_reason='sell_signal', # TODO-mg: Update to exit/close reason
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open_date=datetime.now(tz=timezone.utc) - timedelta(minutes=20),
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close_date=datetime.now(tz=timezone.utc) - timedelta(minutes=2),
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# borrowed=
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isShort=True
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)
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o = Order.parse_from_ccxt_object(short_order(), 'ETC/BTC', 'sell')
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trade.orders.append(o)
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o = Order.parse_from_ccxt_object(exit_short_order(), 'ETC/BTC', 'sell')
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trade.orders.append(o)
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return trade
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def leverage_order():
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return {
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'id': '1235',
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'symbol': 'ETC/BTC',
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'status': 'closed',
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'side': 'buy',
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'type': 'limit',
|
||||
'price': 0.123,
|
||||
'amount': 123.0,
|
||||
'filled': 123.0,
|
||||
'remaining': 0.0,
|
||||
'leverage': 5.0
|
||||
}
|
||||
|
||||
|
||||
def leverage_order_sell():
|
||||
return {
|
||||
'id': '12366',
|
||||
'symbol': 'ETC/BTC',
|
||||
'status': 'closed',
|
||||
'side': 'sell',
|
||||
'type': 'limit',
|
||||
'price': 0.128,
|
||||
'amount': 123.0,
|
||||
'filled': 123.0,
|
||||
'remaining': 0.0,
|
||||
'leverage': 5.0,
|
||||
'isShort': True
|
||||
}
|
||||
|
||||
|
||||
def leverage_trade(fee):
|
||||
"""
|
||||
Closed trade...
|
||||
"""
|
||||
trade = Trade(
|
||||
pair='ETC/BTC',
|
||||
stake_amount=0.001,
|
||||
amount=615.0,
|
||||
amount_requested=615.0,
|
||||
fee_open=fee.return_value,
|
||||
fee_close=fee.return_value,
|
||||
open_rate=0.123,
|
||||
close_rate=0.128,
|
||||
close_profit=0.005, # TODO-mg: Would this be -0.005 or -0.025
|
||||
close_profit_abs=0.000584127,
|
||||
exchange='binance',
|
||||
is_open=False,
|
||||
open_order_id='dry_run_leverage_sell_12345',
|
||||
strategy='DefaultStrategy',
|
||||
timeframe=5,
|
||||
sell_reason='sell_signal', # TODO-mg: Update to exit/close reason
|
||||
open_date=datetime.now(tz=timezone.utc) - timedelta(minutes=20),
|
||||
close_date=datetime.now(tz=timezone.utc) - timedelta(minutes=2),
|
||||
# borrowed=
|
||||
)
|
||||
o = Order.parse_from_ccxt_object(leverage_order(), 'ETC/BTC', 'sell')
|
||||
trade.orders.append(o)
|
||||
o = Order.parse_from_ccxt_object(leverage_order_sell(), 'ETC/BTC', 'sell')
|
||||
trade.orders.append(o)
|
||||
return trade
|
||||
|
|
|
|||
|
|
@ -129,9 +129,6 @@ def test_update_with_binance(limit_buy_order, limit_sell_order, fee, caplog):
|
|||
r"pair=ETH/BTC, amount=90.99181073, open_rate=0.00001099, open_since=.*\).",
|
||||
caplog)
|
||||
|
||||
# TODO-mg: create a short order
|
||||
# TODO-mg: create a leveraged long order
|
||||
|
||||
|
||||
@pytest.mark.usefixtures("init_persistence")
|
||||
def test_update_market_order(market_buy_order, market_sell_order, fee, caplog):
|
||||
|
|
@ -170,9 +167,6 @@ def test_update_market_order(market_buy_order, market_sell_order, fee, caplog):
|
|||
r"pair=ETH/BTC, amount=91.99181073, open_rate=0.00004099, open_since=.*\).",
|
||||
caplog)
|
||||
|
||||
# TODO-mg: market short
|
||||
# TODO-mg: market leveraged long
|
||||
|
||||
|
||||
@pytest.mark.usefixtures("init_persistence")
|
||||
def test_calc_open_close_trade_price(limit_buy_order, limit_sell_order, fee):
|
||||
|
|
@ -665,13 +659,11 @@ def test_migrate_new(mocker, default_conf, fee, caplog):
|
|||
order_date DATETIME,
|
||||
order_filled_date DATETIME,
|
||||
order_update_date DATETIME,
|
||||
leverage FLOAT,
|
||||
PRIMARY KEY (id),
|
||||
CONSTRAINT _order_pair_order_id UNIQUE (ft_pair, order_id),
|
||||
FOREIGN KEY(ft_trade_id) REFERENCES trades (id)
|
||||
)
|
||||
"""))
|
||||
# TODO-mg: Had to add field leverage to this table, check that this is correct
|
||||
|
||||
connection.execute(text("""
|
||||
insert into orders ( id, ft_trade_id, ft_order_side, ft_pair, ft_is_open, order_id, status,
|
||||
|
|
@ -920,14 +912,6 @@ def test_to_json(default_conf, fee):
|
|||
'strategy': None,
|
||||
'timeframe': None,
|
||||
'exchange': 'binance',
|
||||
|
||||
'leverage': None,
|
||||
'borrowed': None,
|
||||
'borrowed_currency': None,
|
||||
'collateral_currency': None,
|
||||
'interest_rate': None,
|
||||
'liquidation_price': None,
|
||||
'is_short': None,
|
||||
}
|
||||
|
||||
# Simulate dry_run entries
|
||||
|
|
@ -993,14 +977,6 @@ def test_to_json(default_conf, fee):
|
|||
'strategy': None,
|
||||
'timeframe': None,
|
||||
'exchange': 'binance',
|
||||
|
||||
'leverage': None,
|
||||
'borrowed': None,
|
||||
'borrowed_currency': None,
|
||||
'collateral_currency': None,
|
||||
'interest_rate': None,
|
||||
'liquidation_price': None,
|
||||
'is_short': None,
|
||||
}
|
||||
|
||||
|
||||
|
|
@ -1339,7 +1315,7 @@ def test_Trade_object_idem():
|
|||
'get_overall_performance',
|
||||
'get_total_closed_profit',
|
||||
'total_open_trades_stakes',
|
||||
'get_closed_trades_without_assigned_fees',
|
||||
'get_sold_trades_without_assigned_fees',
|
||||
'get_open_trades_without_assigned_fees',
|
||||
'get_open_order_trades',
|
||||
'get_trades',
|
||||
|
|
|
|||
596
tests/test_persistence_margin.py
Normal file
596
tests/test_persistence_margin.py
Normal file
|
|
@ -0,0 +1,596 @@
|
|||
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',
|
||||
is_short=True
|
||||
)
|
||||
#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_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 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, caplog):
|
||||
# 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=arrow.utcnow().datetime,
|
||||
# exchange='binance',
|
||||
# )
|
||||
# trade.open_order_id = 'something'
|
||||
# trade.update(market_buy_order)
|
||||
# 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 log_has_re(r"MARKET_BUY has been fulfilled for Trade\(id=1, "
|
||||
# r"pair=ETH/BTC, amount=91.99181073, open_rate=0.00004099, open_since=.*\).",
|
||||
# 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 == 0.00004173
|
||||
# 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)
|
||||
# # TODO-mg: market short
|
||||
# # TODO-mg: market leveraged long
|
||||
|
||||
|
||||
# @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'})
|
||||
Loading…
Reference in New Issue
Block a user