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freqtrade_origin/tests/conftest_trades.py
Matthias 53947732a0 ruff format: Update conftest_trades files
2024-05-13 07:10:24 +02:00

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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
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