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0d5749c508
freqtrade_origin/tests/conftest_trades.py
Sam Germain 0d5749c508 Set default leverage to 1.0
2021-07-26 23:09:46 -06:00

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from datetime import datetime, timedelta, timezone
from freqtrade.persistence.models import Order, Trade
MOCK_TRADE_COUNT = 6
def mock_order_1():
return {
'id': '1234',
'symbol': 'ETH/BTC',
'status': 'closed',
'side': 'buy',
'type': 'limit',
'price': 0.123,
'amount': 123.0,
'filled': 123.0,
'remaining': 0.0,
}
def mock_trade_1(fee):
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',
open_order_id='dry_run_buy_12345',
strategy='DefaultStrategy',
timeframe=5,
)
o = Order.parse_from_ccxt_object(mock_order_1(), 'ETH/BTC', 'buy')
trade.orders.append(o)
return trade
def mock_order_2():
return {
'id': '1235',
'symbol': 'ETC/BTC',
'status': 'closed',
'side': 'buy',
'type': 'limit',
'price': 0.123,
'amount': 123.0,
'filled': 123.0,
'remaining': 0.0,
}
def mock_order_2_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,
}
def mock_trade_2(fee):
"""
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,
close_profit_abs=0.000584127,
exchange='binance',
is_open=False,
open_order_id='dry_run_sell_12345',
strategy='DefaultStrategy',
timeframe=5,
sell_reason='sell_signal',
open_date=datetime.now(tz=timezone.utc) - timedelta(minutes=20),
close_date=datetime.now(tz=timezone.utc) - timedelta(minutes=2),
)
o = Order.parse_from_ccxt_object(mock_order_2(), 'ETC/BTC', 'buy')
trade.orders.append(o)
o = Order.parse_from_ccxt_object(mock_order_2_sell(), 'ETC/BTC', 'sell')
trade.orders.append(o)
return trade
def mock_order_3():
return {
'id': '41231a12a',
'symbol': 'XRP/BTC',
'status': 'closed',
'side': 'buy',
'type': 'limit',
'price': 0.05,
'amount': 123.0,
'filled': 123.0,
'remaining': 0.0,
}
def mock_order_3_sell():
return {
'id': '41231a666a',
'symbol': 'XRP/BTC',
'status': 'closed',
'side': 'sell',
'type': 'stop_loss_limit',
'price': 0.06,
'average': 0.06,
'amount': 123.0,
'filled': 123.0,
'remaining': 0.0,
}
def mock_trade_3(fee):
"""
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,
close_profit_abs=0.000155,
exchange='binance',
is_open=False,
strategy='DefaultStrategy',
timeframe=5,
sell_reason='roi',
open_date=datetime.now(tz=timezone.utc) - timedelta(minutes=20),
close_date=datetime.now(tz=timezone.utc),
)
o = Order.parse_from_ccxt_object(mock_order_3(), 'XRP/BTC', 'buy')
trade.orders.append(o)
o = Order.parse_from_ccxt_object(mock_order_3_sell(), 'XRP/BTC', 'sell')
trade.orders.append(o)
return trade
def mock_order_4():
return {
'id': 'prod_buy_12345',
'symbol': 'ETC/BTC',
'status': 'open',
'side': 'buy',
'type': 'limit',
'price': 0.123,
'amount': 123.0,
'filled': 0.0,
'remaining': 123.0,
}
def mock_trade_4(fee):
"""
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',
open_order_id='prod_buy_12345',
strategy='DefaultStrategy',
timeframe=5,
)
o = Order.parse_from_ccxt_object(mock_order_4(), 'ETC/BTC', 'buy')
trade.orders.append(o)
return trade
def mock_order_5():
return {
'id': 'prod_buy_3455',
'symbol': 'XRP/BTC',
'status': 'closed',
'side': 'buy',
'type': 'limit',
'price': 0.123,
'amount': 123.0,
'filled': 123.0,
'remaining': 0.0,
}
def mock_order_5_stoploss():
return {
'id': 'prod_stoploss_3455',
'symbol': 'XRP/BTC',
'status': 'open',
'side': 'sell',
'type': 'stop_loss_limit',
'price': 0.123,
'amount': 123.0,
'filled': 0.0,
'remaining': 123.0,
}
def mock_trade_5(fee):
"""
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',
stoploss_order_id='prod_stoploss_3455',
timeframe=5,
)
o = Order.parse_from_ccxt_object(mock_order_5(), 'XRP/BTC', 'buy')
trade.orders.append(o)
o = Order.parse_from_ccxt_object(mock_order_5_stoploss(), 'XRP/BTC', 'stoploss')
trade.orders.append(o)
return trade
def mock_order_6():
return {
'id': 'prod_buy_6',
'symbol': 'LTC/BTC',
'status': 'closed',
'side': 'buy',
'type': 'limit',
'price': 0.15,
'amount': 2.0,
'filled': 2.0,
'remaining': 0.0,
}
def mock_order_6_sell():
return {
'id': 'prod_sell_6',
'symbol': 'LTC/BTC',
'status': 'open',
'side': 'sell',
'type': 'limit',
'price': 0.20,
'amount': 2.0,
'filled': 0.0,
'remaining': 2.0,
}
def mock_trade_6(fee):
"""
Simulate prod entry with open sell 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',
open_order_id="prod_sell_6",
timeframe=5,
)
o = Order.parse_from_ccxt_object(mock_order_6(), 'LTC/BTC', 'buy')
trade.orders.append(o)
o = Order.parse_from_ccxt_object(mock_order_6_sell(), 'LTC/BTC', 'sell')
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,
'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,
'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,
open_order_id='dry_run_exit_short_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=
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': 'ETC/BTC',
'status': 'closed',
'side': 'buy',
'type': 'limit',
'price': 0.123,
'amount': 123.0,
'filled': 123.0,
'remaining': 0.0,
'leverage': 5.0
}
def leverage_order_sell():
return {
'id': '12368',
'symbol': 'ETC/BTC',
'status': 'closed',
'side': 'sell',
'type': 'limit',
'price': 0.128,
'amount': 123.0,
'filled': 123.0,
'remaining': 0.0,
}
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
time-periods: 5 hrs( 5/4 time-period of 4 hours)
interest: borrowed * interest_rate * time-periods
= 60.516 * 0.0005 * 1/24 = 0.0378225 base
open_value: (amount * open_rate) - (amount * open_rate * fee)
= (615.0 * 0.123) - (615.0 * 0.123 * 0.0025)
= 75.4558875
close_value: (amount_closed * close_rate) + (amount_closed * close_rate * fee)
= (615.0 * 0.128) + (615.0 * 0.128 * 0.0025)
= 78.9168
total_profit = close_value - open_value - interest
= 78.9168 - 75.4558875 - 0.0378225
= 3.423089999999992
total_profit_percentage = total_profit / stake_amount
= 3.423089999999992 / 15.129
= 0.22626016260162551
"""
trade = Trade(
pair='ETC/BTC',
stake_amount=15.129,
amount=123.0,
leverage=5,
amount_requested=123.0,
fee_open=fee.return_value,
fee_close=fee.return_value,
open_rate=0.123,
close_rate=0.128,
close_profit=0.22626016260162551,
close_profit_abs=3.423089999999992,
exchange='kraken',
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=300),
close_date=datetime.now(tz=timezone.utc),
# 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
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