freqtrade_origin/tests/conftest_trades.py

from datetime import datetime, timedelta, timezone

from freqtrade.persistence.models import Order, Trade


MOCK_TRADE_COUNT = 6


def entry_side(is_short: bool):
    return "sell" if is_short else "buy"


def exit_side(is_short: bool):
    return "buy" if is_short else "sell"


def direc(is_short: bool):
    return "short" if is_short else "long"


def mock_order_1(is_short: bool):
    return {
        "id": f"1234_{direc(is_short)}",
        "symbol": "ETH/BTC",
        "status": "open",
        "side": entry_side(is_short),
        "type": "limit",
        "price": 0.123,
        "average": 0.123,
        "amount": 123.0,
        "filled": 50.0,
        "cost": 15.129,
        "remaining": 123.0 - 50.0,
    }


def mock_trade_1(fee, is_short: bool):
    trade = Trade(
        pair="ETH/BTC",
        stake_amount=0.001,
        amount=123.0,
        amount_requested=123.0,
        fee_open=fee.return_value,
        fee_close=fee.return_value,
        is_open=True,
        open_date=datetime.now(tz=timezone.utc) - timedelta(minutes=17),
        open_rate=0.123,
        exchange="binance",
        strategy="StrategyTestV3",
        timeframe=5,
        is_short=is_short,
    )
    o = Order.parse_from_ccxt_object(mock_order_1(is_short), "ETH/BTC", entry_side(is_short))
    trade.orders.append(o)
    return trade


def mock_order_2(is_short: bool):
    return {
        "id": f"1235_{direc(is_short)}",
        "symbol": "ETC/BTC",
        "status": "closed",
        "side": entry_side(is_short),
        "type": "limit",
        "price": 0.123,
        "amount": 123.0,
        "filled": 123.0,
        "cost": 15.129,
        "remaining": 0.0,
    }


def mock_order_2_sell(is_short: bool):
    return {
        "id": f"12366_{direc(is_short)}",
        "symbol": "ETC/BTC",
        "status": "closed",
        "side": exit_side(is_short),
        "type": "limit",
        "price": 0.128,
        "amount": 123.0,
        "filled": 123.0,
        "cost": 15.129,
        "remaining": 0.0,
    }


def mock_trade_2(fee, is_short: bool):
    """
    Closed trade...
    """
    trade = Trade(
        pair="ETC/BTC",
        stake_amount=0.001,
        amount=123.0,
        amount_requested=123.0,
        fee_open=fee.return_value,
        fee_close=fee.return_value,
        open_rate=0.123,
        close_rate=0.128,
        close_profit=-0.005 if is_short else 0.005,
        close_profit_abs=-0.005584127 if is_short else 0.000584127,
        exchange="binance",
        is_open=False,
        strategy="StrategyTestV3",
        timeframe=5,
        enter_tag="TEST1",
        exit_reason="sell_signal",
        open_date=datetime.now(tz=timezone.utc) - timedelta(minutes=20),
        close_date=datetime.now(tz=timezone.utc) - timedelta(minutes=2),
        is_short=is_short,
    )
    o = Order.parse_from_ccxt_object(mock_order_2(is_short), "ETC/BTC", entry_side(is_short))
    trade.orders.append(o)
    o = Order.parse_from_ccxt_object(mock_order_2_sell(is_short), "ETC/BTC", exit_side(is_short))
    trade.orders.append(o)
    return trade


def mock_order_3(is_short: bool):
    return {
        "id": f"41231a12a_{direc(is_short)}",
        "symbol": "XRP/BTC",
        "status": "closed",
        "side": entry_side(is_short),
        "type": "limit",
        "price": 0.05,
        "amount": 123.0,
        "filled": 123.0,
        "cost": 15.129,
        "remaining": 0.0,
    }


def mock_order_3_sell(is_short: bool):
    return {
        "id": f"41231a666a_{direc(is_short)}",
        "symbol": "XRP/BTC",
        "status": "closed",
        "side": exit_side(is_short),
        "type": "stop_loss_limit",
        "price": 0.06,
        "average": 0.06,
        "amount": 123.0,
        "filled": 123.0,
        "cost": 15.129,
        "remaining": 0.0,
    }


def mock_trade_3(fee, is_short: bool):
    """
    Closed trade
    """
    trade = Trade(
        pair="XRP/BTC",
        stake_amount=0.001,
        amount=123.0,
        amount_requested=123.0,
        fee_open=fee.return_value,
        fee_close=fee.return_value,
        open_rate=0.05,
        close_rate=0.06,
        close_profit=-0.01 if is_short else 0.01,
        close_profit_abs=-0.001155 if is_short else 0.000155,
        exchange="binance",
        is_open=False,
        strategy="StrategyTestV3",
        timeframe=5,
        exit_reason="roi",
        open_date=datetime.now(tz=timezone.utc) - timedelta(minutes=20),
        close_date=datetime.now(tz=timezone.utc),
        is_short=is_short,
    )
    o = Order.parse_from_ccxt_object(mock_order_3(is_short), "XRP/BTC", entry_side(is_short))
    trade.orders.append(o)
    o = Order.parse_from_ccxt_object(mock_order_3_sell(is_short), "XRP/BTC", exit_side(is_short))
    trade.orders.append(o)
    return trade


def mock_order_4(is_short: bool):
    return {
        "id": f"prod_buy_{direc(is_short)}_12345",
        "symbol": "ETC/BTC",
        "status": "open",
        "side": entry_side(is_short),
        "type": "limit",
        "price": 0.123,
        "amount": 123.0,
        "filled": 0.0,
        "cost": 15.129,
        "remaining": 123.0,
    }


def mock_trade_4(fee, is_short: bool):
    """
    Simulate prod entry
    """
    trade = Trade(
        pair="ETC/BTC",
        stake_amount=0.001,
        amount=123.0,
        amount_requested=124.0,
        fee_open=fee.return_value,
        fee_close=fee.return_value,
        open_date=datetime.now(tz=timezone.utc) - timedelta(minutes=14),
        is_open=True,
        open_rate=0.123,
        exchange="binance",
        strategy="StrategyTestV3",
        timeframe=5,
        is_short=is_short,
        stop_loss_pct=0.10,
    )
    o = Order.parse_from_ccxt_object(mock_order_4(is_short), "ETC/BTC", entry_side(is_short))
    trade.orders.append(o)
    return trade


def mock_order_5(is_short: bool):
    return {
        "id": f"prod_buy_{direc(is_short)}_3455",
        "symbol": "XRP/BTC",
        "status": "closed",
        "side": entry_side(is_short),
        "type": "limit",
        "price": 0.123,
        "amount": 123.0,
        "filled": 123.0,
        "cost": 15.129,
        "remaining": 0.0,
    }


def mock_order_5_stoploss(is_short: bool):
    return {
        "id": f"prod_stoploss_{direc(is_short)}_3455",
        "symbol": "XRP/BTC",
        "status": "open",
        "side": exit_side(is_short),
        "type": "stop_loss_limit",
        "price": 0.123,
        "amount": 123.0,
        "filled": 0.0,
        "cost": 0.0,
        "remaining": 123.0,
    }


def mock_trade_5(fee, is_short: bool):
    """
    Simulate prod entry with stoploss
    """
    trade = Trade(
        pair="XRP/BTC",
        stake_amount=0.001,
        amount=123.0,
        amount_requested=124.0,
        fee_open=fee.return_value,
        fee_close=fee.return_value,
        open_date=datetime.now(tz=timezone.utc) - timedelta(minutes=12),
        is_open=True,
        open_rate=0.123,
        exchange="binance",
        strategy="SampleStrategy",
        enter_tag="TEST1",
        timeframe=5,
        is_short=is_short,
        stop_loss_pct=0.10,
    )
    o = Order.parse_from_ccxt_object(mock_order_5(is_short), "XRP/BTC", entry_side(is_short))
    trade.orders.append(o)
    o = Order.parse_from_ccxt_object(mock_order_5_stoploss(is_short), "XRP/BTC", "stoploss")
    trade.orders.append(o)
    return trade


def mock_order_6(is_short: bool):
    return {
        "id": f"prod_buy_{direc(is_short)}_6",
        "symbol": "LTC/BTC",
        "status": "closed",
        "side": entry_side(is_short),
        "type": "limit",
        "price": 0.15,
        "amount": 2.0,
        "filled": 2.0,
        "cost": 0.3,
        "remaining": 0.0,
    }


def mock_order_6_sell(is_short: bool):
    return {
        "id": f"prod_sell_{direc(is_short)}_6",
        "symbol": "LTC/BTC",
        "status": "open",
        "side": exit_side(is_short),
        "type": "limit",
        "price": 0.15 if is_short else 0.20,
        "amount": 2.0,
        "filled": 0.0,
        "cost": 0.0,
        "remaining": 2.0,
    }


def mock_trade_6(fee, is_short: bool):
    """
    Simulate prod entry with open exit order
    """
    trade = Trade(
        pair="LTC/BTC",
        stake_amount=0.001,
        amount=2.0,
        amount_requested=2.0,
        open_date=datetime.now(tz=timezone.utc) - timedelta(minutes=5),
        fee_open=fee.return_value,
        fee_close=fee.return_value,
        is_open=True,
        open_rate=0.15,
        exchange="binance",
        strategy="SampleStrategy",
        enter_tag="TEST2",
        timeframe=5,
        is_short=is_short,
    )
    o = Order.parse_from_ccxt_object(mock_order_6(is_short), "LTC/BTC", entry_side(is_short))
    trade.orders.append(o)
    o = Order.parse_from_ccxt_object(mock_order_6_sell(is_short), "LTC/BTC", exit_side(is_short))
    trade.orders.append(o)
    return trade


def short_order():
    return {
        "id": "1236",
        "symbol": "ETC/BTC",
        "status": "closed",
        "side": "sell",
        "type": "limit",
        "price": 0.123,
        "amount": 123.0,
        "filled": 123.0,
        "cost": 15.129,
        "remaining": 0.0,
    }


def exit_short_order():
    return {
        "id": "12367",
        "symbol": "ETC/BTC",
        "status": "closed",
        "side": "buy",
        "type": "limit",
        "price": 0.128,
        "amount": 123.0,
        "filled": 123.0,
        "cost": 15.744,
        "remaining": 0.0,
    }


def short_trade(fee):
    """
    10 minute short limit trade on binance

    Short trade
    fee: 0.25% base
    interest_rate: 0.05% per day
    open_rate: 0.123 base
    close_rate: 0.128 base
    amount: 123.0 crypto
    stake_amount: 15.129 base
    borrowed: 123.0  crypto
    time-periods: 10 minutes(rounds up to 1/24 time-period of 1 day)
    interest: borrowed * interest_rate * time-periods
                = 123.0 * 0.0005 * 1/24 = 0.0025625 crypto
    open_value: (amount * open_rate) - (amount * open_rate * fee)
        = (123 * 0.123) - (123 * 0.123 * 0.0025)
        = 15.091177499999999
    amount_closed: amount + interest = 123 + 0.0025625 = 123.0025625
    close_value: (amount_closed * close_rate) + (amount_closed * close_rate * fee)
        = (123.0025625 * 0.128) + (123.0025625 * 0.128 * 0.0025)
        = 15.78368882
    total_profit = open_value - close_value
        = 15.091177499999999 - 15.78368882
        = -0.6925113200000013
    total_profit_percentage = total_profit / stake_amount
        = -0.6925113200000013 / 15.129
        = -0.04577376693766946

    """
    trade = Trade(
        pair="ETC/BTC",
        stake_amount=15.129,
        amount=123.0,
        amount_requested=123.0,
        fee_open=fee.return_value,
        fee_close=fee.return_value,
        open_rate=0.123,
        # close_rate=0.128,
        # close_profit=-0.04577376693766946,
        # close_profit_abs=-0.6925113200000013,
        exchange="binance",
        is_open=True,
        strategy="DefaultStrategy",
        timeframe=5,
        exit_reason="sell_signal",
        open_date=datetime.now(tz=timezone.utc) - timedelta(minutes=20),
        # close_date=datetime.now(tz=timezone.utc) - timedelta(minutes=2),
        is_short=True,
    )
    o = Order.parse_from_ccxt_object(short_order(), "ETC/BTC", "sell")
    trade.orders.append(o)
    o = Order.parse_from_ccxt_object(exit_short_order(), "ETC/BTC", "sell")
    trade.orders.append(o)
    return trade


def leverage_order():
    return {
        "id": "1237",
        "symbol": "DOGE/BTC",
        "status": "closed",
        "side": "buy",
        "type": "limit",
        "price": 0.123,
        "amount": 123.0,
        "filled": 123.0,
        "remaining": 0.0,
        "cost": 15.129,
        "leverage": 5.0,
    }


def leverage_order_sell():
    return {
        "id": "12368",
        "symbol": "DOGE/BTC",
        "status": "closed",
        "side": "sell",
        "type": "limit",
        "price": 0.128,
        "amount": 123.0,
        "filled": 123.0,
        "remaining": 0.0,
        "cost": 15.744,
        "leverage": 5.0,
    }


def leverage_trade(fee):
    """
    5 hour short limit trade on kraken

    Short trade
    fee: 0.25% base
    interest_rate: 0.05% per day
    open_rate: 0.123 base
    close_rate: 0.128 base
    amount: 615 crypto
    stake_amount: 15.129 base
    borrowed: 60.516  base
    leverage: 5
    hours: 5
    interest: borrowed * interest_rate * ceil(1 + hours/4)
                = 60.516 * 0.0005 * ceil(1 + 5/4) = 0.090774 base
    open_value: (amount * open_rate) + (amount * open_rate * fee)
        = (615.0 * 0.123) + (615.0 * 0.123 * 0.0025)
        = 75.83411249999999

    close_value: (amount_closed * close_rate) - (amount_closed * close_rate * fee) - interest
        = (615.0 * 0.128) - (615.0 * 0.128 * 0.0025) - 0.090774
        = 78.432426
    total_profit = close_value - open_value
        = 78.432426 - 75.83411249999999
        = 2.5983135000000175
    total_profit_percentage = ((close_value/open_value)-1) * leverage
        = ((78.432426/75.83411249999999)-1) * 5
        = 0.1713156134055116
    """
    trade = Trade(
        pair="DOGE/BTC",
        stake_amount=15.129,
        amount=615.0,
        leverage=5.0,
        amount_requested=615.0,
        fee_open=fee.return_value,
        fee_close=fee.return_value,
        open_rate=0.123,
        close_rate=0.128,
        close_profit=0.1713156134055116,
        close_profit_abs=2.5983135000000175,
        exchange="kraken",
        is_open=False,
        strategy="DefaultStrategy",
        timeframe=5,
        exit_reason="sell_signal",
        open_date=datetime.now(tz=timezone.utc) - timedelta(minutes=300),
        close_date=datetime.now(tz=timezone.utc),
        interest_rate=0.0005,
    )
    o = Order.parse_from_ccxt_object(leverage_order(), "DOGE/BTC", "sell")
    trade.orders.append(o)
    o = Order.parse_from_ccxt_object(leverage_order_sell(), "DOGE/BTC", "sell")
    trade.orders.append(o)
    return trade