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781 lines
30 KiB
Python
781 lines
30 KiB
Python
from datetime import datetime, timedelta
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from math import isclose
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import arrow
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import pytest
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from freqtrade.enums import InterestMode
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from freqtrade.persistence import Trade, init_db
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from tests.conftest import create_mock_trades_with_leverage, log_has_re
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@pytest.mark.usefixtures("init_persistence")
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def test_interest_kraken_short(market_short_order, fee):
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"""
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Market trade on Kraken at 3x and 8x leverage
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Short trade
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interest_rate: 0.05%, 0.25% per 4 hrs
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open_rate: 0.00004173 base
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close_rate: 0.00004099 base
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amount:
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275.97543219 crypto
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459.95905365 crypto
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borrowed:
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275.97543219 crypto
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459.95905365 crypto
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time-periods: 10 minutes(rounds up to 1 time-period of 4hrs)
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5 hours = 5/4
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interest: borrowed * interest_rate * ceil(1 + time-periods)
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= 275.97543219 * 0.0005 * ceil(1+1) = 0.27597543219 crypto
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= 275.97543219 * 0.00025 * ceil(9/4) = 0.20698157414249999 crypto
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= 459.95905365 * 0.0005 * ceil(9/4) = 0.689938580475 crypto
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= 459.95905365 * 0.00025 * ceil(1+1) = 0.229979526825 crypto
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"""
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trade = Trade(
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pair='ETH/BTC',
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stake_amount=0.001,
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amount=275.97543219,
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open_rate=0.00001099,
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open_date=datetime.utcnow() - timedelta(hours=0, minutes=10),
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fee_open=fee.return_value,
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fee_close=fee.return_value,
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exchange='kraken',
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is_short=True,
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leverage=3.0,
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interest_rate=0.0005,
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interest_mode=InterestMode.HOURSPER4
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)
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assert float(round(trade.calculate_interest(), 8)) == round(0.27597543219, 8)
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trade.open_date = datetime.utcnow() - timedelta(hours=4, minutes=55)
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assert float(round(trade.calculate_interest(interest_rate=0.00025), 8)
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) == round(0.20698157414249999, 8)
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trade = Trade(
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pair='ETH/BTC',
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stake_amount=0.001,
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amount=459.95905365,
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open_rate=0.00001099,
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open_date=datetime.utcnow() - timedelta(hours=4, minutes=55),
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fee_open=fee.return_value,
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fee_close=fee.return_value,
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exchange='kraken',
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is_short=True,
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leverage=5.0,
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interest_rate=0.0005,
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interest_mode=InterestMode.HOURSPER4
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)
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assert float(round(trade.calculate_interest(), 8)) == round(0.689938580475, 8)
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trade.open_date = datetime.utcnow() - timedelta(hours=0, minutes=10)
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assert float(round(trade.calculate_interest(interest_rate=0.00025), 8)
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) == round(0.229979526825, 8)
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@ pytest.mark.usefixtures("init_persistence")
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def test_interest_binance_short(market_short_order, fee):
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"""
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Market trade on Binance at 3x and 5x leverage
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Short trade
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interest_rate: 0.05%, 0.25% per 1 day
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open_rate: 0.00004173 base
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close_rate: 0.00004099 base
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amount:
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91.99181073 * leverage(3) = 275.97543219 crypto
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91.99181073 * leverage(5) = 459.95905365 crypto
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borrowed:
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275.97543219 crypto
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459.95905365 crypto
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time-periods: 10 minutes(rounds up to 1/24 time-period of 1 day)
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5 hours = 5/24
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interest: borrowed * interest_rate * time-periods
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= 275.97543219 * 0.0005 * 1/24 = 0.005749488170625 crypto
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= 275.97543219 * 0.00025 * 5/24 = 0.0143737204265625 crypto
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= 459.95905365 * 0.0005 * 5/24 = 0.047912401421875 crypto
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= 459.95905365 * 0.00025 * 1/24 = 0.0047912401421875 crypto
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"""
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trade = Trade(
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pair='ETH/BTC',
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stake_amount=0.001,
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amount=275.97543219,
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open_rate=0.00001099,
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open_date=datetime.utcnow() - timedelta(hours=0, minutes=10),
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fee_open=fee.return_value,
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fee_close=fee.return_value,
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exchange='binance',
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is_short=True,
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leverage=3.0,
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interest_rate=0.0005,
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interest_mode=InterestMode.HOURSPERDAY
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)
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assert float(round(trade.calculate_interest(), 8)) == 0.00574949
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trade.open_date = datetime.utcnow() - timedelta(hours=4, minutes=55)
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assert float(round(trade.calculate_interest(interest_rate=0.00025), 8)) == 0.01437372
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trade = Trade(
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pair='ETH/BTC',
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stake_amount=0.001,
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amount=459.95905365,
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open_rate=0.00001099,
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open_date=datetime.utcnow() - timedelta(hours=4, minutes=55),
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fee_open=fee.return_value,
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fee_close=fee.return_value,
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exchange='binance',
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is_short=True,
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leverage=5.0,
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interest_rate=0.0005,
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interest_mode=InterestMode.HOURSPERDAY
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)
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assert float(round(trade.calculate_interest(), 8)) == 0.04791240
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trade.open_date = datetime.utcnow() - timedelta(hours=0, minutes=10)
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assert float(round(trade.calculate_interest(interest_rate=0.00025), 8)) == 0.00479124
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@ pytest.mark.usefixtures("init_persistence")
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def test_calc_open_trade_value_short(market_short_order, fee):
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trade = Trade(
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pair='ETH/BTC',
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stake_amount=0.001,
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amount=5,
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open_rate=0.00004173,
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open_date=datetime.utcnow() - timedelta(hours=0, minutes=10),
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fee_open=fee.return_value,
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fee_close=fee.return_value,
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interest_rate=0.0005,
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is_short=True,
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leverage=3.0,
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exchange='kraken',
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interest_mode=InterestMode.HOURSPER4
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)
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trade.open_order_id = 'open_trade'
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trade.update(market_short_order) # Buy @ 0.00001099
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# Get the open rate price with the standard fee rate
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assert trade._calc_open_trade_value() == 0.011487663648325479
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trade.fee_open = 0.003
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# Get the open rate price with a custom fee rate
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assert trade._calc_open_trade_value() == 0.011481905420932834
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@ pytest.mark.usefixtures("init_persistence")
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def test_update_open_order_short(limit_short_order):
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trade = Trade(
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pair='ETH/BTC',
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stake_amount=1.00,
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open_rate=0.01,
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amount=5,
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leverage=3.0,
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fee_open=0.1,
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fee_close=0.1,
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interest_rate=0.0005,
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is_short=True,
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exchange='binance',
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interest_mode=InterestMode.HOURSPERDAY
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)
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assert trade.open_order_id is None
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assert trade.close_profit is None
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assert trade.close_date is None
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limit_short_order['status'] = 'open'
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trade.update(limit_short_order)
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assert trade.open_order_id is None
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assert trade.close_profit is None
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assert trade.close_date is None
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@ pytest.mark.usefixtures("init_persistence")
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def test_calc_close_trade_price_exception_short(limit_short_order, fee):
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trade = Trade(
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pair='ETH/BTC',
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stake_amount=0.001,
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open_rate=0.1,
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amount=15.0,
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fee_open=fee.return_value,
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fee_close=fee.return_value,
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exchange='binance',
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interest_rate=0.0005,
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leverage=3.0,
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is_short=True,
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interest_mode=InterestMode.HOURSPERDAY
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)
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trade.open_order_id = 'something'
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trade.update(limit_short_order)
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assert trade.calc_close_trade_value() == 0.0
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@ pytest.mark.usefixtures("init_persistence")
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def test_calc_close_trade_price_short(market_short_order, market_exit_short_order, fee):
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"""
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10 minute short market trade on Kraken at 3x leverage
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Short trade
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fee: 0.25% base
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interest_rate: 0.05% per 4 hrs
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open_rate: 0.00004173 base
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close_rate: 0.00001234 base
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amount: = 275.97543219 crypto
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borrowed: 275.97543219 crypto
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hours: 10 minutes = 1/6
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interest: borrowed * interest_rate * ceil(1 + hours/4)
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= 275.97543219 * 0.0005 * ceil(1 + ((1/6)/4)) = 0.27597543219 crypto
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amount_closed: amount + interest = 275.97543219 + 0.27597543219 = 276.25140762219
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close_value: (amount_closed * close_rate) + (amount_closed * close_rate * fee)
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= (276.25140762219 * 0.00004099) + (276.25140762219 * 0.00004099 * 0.005)
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= 0.011380162924425737
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"""
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trade = Trade(
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pair='ETH/BTC',
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stake_amount=0.001,
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amount=5,
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open_rate=0.00001099,
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fee_open=fee.return_value,
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fee_close=fee.return_value,
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open_date=datetime.utcnow() - timedelta(hours=0, minutes=10),
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interest_rate=0.0005,
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is_short=True,
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leverage=3.0,
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exchange='kraken',
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interest_mode=InterestMode.HOURSPER4
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)
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trade.open_order_id = 'close_trade'
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trade.update(market_short_order) # Buy @ 0.00001099
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# Get the close rate price with a custom close rate and a regular fee rate
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assert isclose(trade.calc_close_trade_value(rate=0.00001234), 0.0034174647259)
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# Get the close rate price with a custom close rate and a custom fee rate
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assert isclose(trade.calc_close_trade_value(rate=0.00001234, fee=0.003), 0.0034191691971679986)
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# Test when we apply a Sell order, and ask price with a custom fee rate
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trade.update(market_exit_short_order)
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assert isclose(trade.calc_close_trade_value(fee=0.005), 0.011380162924425737)
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@ pytest.mark.usefixtures("init_persistence")
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def test_calc_open_close_trade_price_short(limit_short_order, limit_exit_short_order, fee):
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"""
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5 hour short trade on Binance
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Short trade
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fee: 0.25% base
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interest_rate: 0.05% per day
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open_rate: 0.00001173 base
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close_rate: 0.00001099 base
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amount: 90.99181073 crypto
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borrowed: 90.99181073 crypto
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stake_amount: 0.0010673339398629
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time-periods: 5 hours = 5/24
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interest: borrowed * interest_rate * time-periods
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= 90.99181073 * 0.0005 * 5/24 = 0.009478313617708333 crypto
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open_value: (amount * open_rate) - (amount * open_rate * fee)
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= (90.99181073 * 0.00001173) - (90.99181073 * 0.00001173 * 0.0025)
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= 0.0010646656050132426
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amount_closed: amount + interest = 90.99181073 + 0.009478313617708333 = 91.0012890436177
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close_value: (amount_closed * close_rate) + (amount_closed * close_rate * fee)
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= (91.0012890436177 * 0.00001099) + (91.0012890436177 * 0.00001099 * 0.0025)
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= 0.001002604427005832
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stake_value = (amount/lev * open_rate) - (amount/lev * open_rate * fee)
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= 0.0010646656050132426
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total_profit = open_value - close_value
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= 0.0010646656050132426 - 0.001002604427005832
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= 0.00006206117800741065
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total_profit_percentage = (close_value - open_value) / stake_value
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= (0.0010646656050132426 - 0.001002604427005832)/0.0010646656050132426
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= 0.05829170935473088
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"""
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trade = Trade(
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pair='ETH/BTC',
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stake_amount=0.0010673339398629,
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open_rate=0.01,
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amount=5,
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open_date=datetime.utcnow() - timedelta(hours=4, minutes=55),
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fee_open=fee.return_value,
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fee_close=fee.return_value,
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exchange='binance',
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interest_rate=0.0005,
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interest_mode=InterestMode.HOURSPERDAY
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)
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trade.open_order_id = 'something'
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trade.update(limit_short_order)
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assert trade._calc_open_trade_value() == 0.0010646656050132426
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trade.update(limit_exit_short_order)
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# Is slightly different due to compilation time. Interest depends on time
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assert round(trade.calc_close_trade_value(), 11) == round(0.001002604427005832, 11)
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# Profit in BTC
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assert round(trade.calc_profit(), 8) == round(0.00006206117800741065, 8)
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# Profit in percent
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assert round(trade.calc_profit_ratio(), 8) == round(0.05829170935473088, 8)
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@ pytest.mark.usefixtures("init_persistence")
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def test_trade_close_short(fee):
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"""
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Five hour short trade on Kraken at 3x leverage
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Short trade
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Exchange: Kraken
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fee: 0.25% base
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interest_rate: 0.05% per 4 hours
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open_rate: 0.02 base
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close_rate: 0.01 base
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leverage: 3.0
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amount: 15 crypto
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borrowed: 15 crypto
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time-periods: 5 hours = 5/4
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interest: borrowed * interest_rate * time-periods
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= 15 * 0.0005 * ceil(1 + 5/4) = 0.0225 crypto
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open_value: (amount * open_rate) - (amount * open_rate * fee)
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= (15 * 0.02) - (15 * 0.02 * 0.0025)
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= 0.29925
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amount_closed: amount + interest = 15 + 0.009375 = 15.0225
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close_value: (amount_closed * close_rate) + (amount_closed * close_rate * fee)
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= (15.0225 * 0.01) + (15.0225 * 0.01 * 0.0025)
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= 0.15060056250000003
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total_profit = open_value - close_value
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= 0.29925 - 0.15060056250000003
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= 0.14864943749999998
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total_profit_percentage = (1-(close_value/open_value)) * leverage
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= (1 - (0.15060056250000003/0.29925)) * 3
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= 1.4902199248120298
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"""
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trade = Trade(
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pair='ETH/BTC',
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stake_amount=0.1,
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open_rate=0.02,
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amount=15,
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is_open=True,
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fee_open=fee.return_value,
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fee_close=fee.return_value,
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open_date=datetime.utcnow() - timedelta(hours=4, minutes=55),
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exchange='kraken',
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is_short=True,
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leverage=3.0,
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interest_rate=0.0005,
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interest_mode=InterestMode.HOURSPER4
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)
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assert trade.close_profit is None
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assert trade.close_date is None
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assert trade.is_open is True
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trade.close(0.01)
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assert trade.is_open is False
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assert trade.close_profit == round(1.4902199248120298, 8)
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assert trade.close_date is not None
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# TODO-mg: Remove these comments probably
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# new_date = arrow.Arrow(2020, 2, 2, 15, 6, 1).datetime,
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# assert trade.close_date != new_date
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# # Close should NOT update close_date if the trade has been closed already
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# assert trade.is_open is False
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# trade.close_date = new_date
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# trade.close(0.02)
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# assert trade.close_date == new_date
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@ pytest.mark.usefixtures("init_persistence")
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def test_update_with_binance_short(limit_short_order, limit_exit_short_order, fee, caplog):
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"""
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10 minute short limit trade on binance
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Short trade
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fee: 0.25% base
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interest_rate: 0.05% per day
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open_rate: 0.00001173 base
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close_rate: 0.00001099 base
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amount: 90.99181073 crypto
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stake_amount: 0.0010673339398629 base
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borrowed: 90.99181073 crypto
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time-periods: 10 minutes(rounds up to 1/24 time-period of 1 day)
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interest: borrowed * interest_rate * time-periods
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= 90.99181073 * 0.0005 * 1/24 = 0.0018956627235416667 crypto
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open_value: (amount * open_rate) - (amount * open_rate * fee)
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= 90.99181073 * 0.00001173 - 90.99181073 * 0.00001173 * 0.0025
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= 0.0010646656050132426
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amount_closed: amount + interest = 90.99181073 + 0.0018956627235416667 = 90.99370639272354
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close_value: (amount_closed * close_rate) + (amount_closed * close_rate * fee)
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= (90.99370639272354 * 0.00001099) + (90.99370639272354 * 0.00001099 * 0.0025)
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= 0.0010025208853391716
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total_profit = open_value - close_value
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= 0.0010646656050132426 - 0.0010025208853391716
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= 0.00006214471967407108
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total_profit_percentage = (1 - (close_value/open_value)) * leverage
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= (1 - (0.0010025208853391716/0.0010646656050132426)) * 1
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= 0.05837017687191848
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"""
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trade = Trade(
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id=2,
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pair='ETH/BTC',
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stake_amount=0.0010673339398629,
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open_rate=0.01,
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amount=5,
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is_open=True,
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open_date=datetime.utcnow() - timedelta(hours=0, minutes=10),
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fee_open=fee.return_value,
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fee_close=fee.return_value,
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# borrowed=90.99181073,
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interest_rate=0.0005,
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exchange='binance',
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interest_mode=InterestMode.HOURSPERDAY
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)
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# assert trade.open_order_id is None
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assert trade.close_profit is None
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assert trade.close_date is None
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assert trade.borrowed == 0.0
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assert trade.is_short is None
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# trade.open_order_id = 'something'
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trade.update(limit_short_order)
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# assert trade.open_order_id is None
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assert trade.open_rate == 0.00001173
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assert trade.close_profit is None
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assert trade.close_date is None
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assert trade.borrowed == 90.99181073
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assert trade.is_short is True
|
|
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 == round(0.05837017687191848, 8)
|
|
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)
|
|
|
|
|
|
@ pytest.mark.usefixtures("init_persistence")
|
|
def test_update_market_order_short(
|
|
market_short_order,
|
|
market_exit_short_order,
|
|
fee,
|
|
caplog
|
|
):
|
|
"""
|
|
10 minute short market trade on Kraken at 3x leverage
|
|
Short trade
|
|
fee: 0.25% base
|
|
interest_rate: 0.05% per 4 hrs
|
|
open_rate: 0.00004173 base
|
|
close_rate: 0.00004099 base
|
|
amount: = 275.97543219 crypto
|
|
stake_amount: 0.0038388182617629
|
|
borrowed: 275.97543219 crypto
|
|
time-periods: 10 minutes(rounds up to 1 time-period of 4hrs)
|
|
interest: borrowed * interest_rate * time-periods
|
|
= 275.97543219 * 0.0005 * 2 = 0.27597543219 crypto
|
|
open_value: (amount * open_rate) - (amount * open_rate * fee)
|
|
= 275.97543219 * 0.00004173 - 275.97543219 * 0.00004173 * 0.0025
|
|
= 0.011487663648325479
|
|
amount_closed: amount + interest = 275.97543219 + 0.27597543219 = 276.25140762219
|
|
close_value: (amount_closed * close_rate) + (amount_closed * close_rate * fee)
|
|
= (276.25140762219 * 0.00004099) + (276.25140762219 * 0.00004099 * 0.0025)
|
|
= 0.0034174647259
|
|
total_profit = open_value - close_value
|
|
= 0.011487663648325479 - 0.0034174647259
|
|
= 0.00013580958689582596
|
|
total_profit_percentage = total_profit / stake_amount
|
|
= (1 - (close_value/open_value)) * leverage
|
|
= (1 - (0.0034174647259/0.011487663648325479)) * 3
|
|
= 0.03546663387440563
|
|
"""
|
|
trade = Trade(
|
|
id=1,
|
|
pair='ETH/BTC',
|
|
stake_amount=0.0038388182617629,
|
|
amount=5,
|
|
open_rate=0.01,
|
|
is_open=True,
|
|
fee_open=fee.return_value,
|
|
fee_close=fee.return_value,
|
|
open_date=datetime.utcnow() - timedelta(hours=0, minutes=10),
|
|
interest_rate=0.0005,
|
|
exchange='kraken',
|
|
interest_mode=InterestMode.HOURSPER4
|
|
)
|
|
trade.open_order_id = 'something'
|
|
trade.update(market_short_order)
|
|
assert trade.leverage == 3.0
|
|
assert trade.is_short is True
|
|
assert trade.open_order_id is None
|
|
assert trade.open_rate == 0.00004173
|
|
assert trade.close_profit is None
|
|
assert trade.close_date is None
|
|
assert trade.interest_rate == 0.0005
|
|
# The logger also has the exact same but there's some spacing in there
|
|
assert log_has_re(r"MARKET_SELL has been fulfilled for Trade\(id=1, "
|
|
r"pair=ETH/BTC, amount=275.97543219, open_rate=0.00004173, open_since=.*\).",
|
|
caplog)
|
|
caplog.clear()
|
|
trade.is_open = True
|
|
trade.open_order_id = 'something'
|
|
trade.update(market_exit_short_order)
|
|
assert trade.open_order_id is None
|
|
assert trade.close_rate == 0.00004099
|
|
assert trade.close_profit == round(0.03546663387440563, 8)
|
|
assert trade.close_date is not None
|
|
# TODO-mg: The amount should maybe be the opening amount + the interest
|
|
# TODO-mg: Uncomment the next assert and make it work.
|
|
# The logger also has the exact same but there's some spacing in there
|
|
assert log_has_re(r"MARKET_BUY has been fulfilled for Trade\(id=1, "
|
|
r"pair=ETH/BTC, amount=275.97543219, open_rate=0.00004173, open_since=.*\).",
|
|
caplog)
|
|
|
|
|
|
@ pytest.mark.usefixtures("init_persistence")
|
|
def test_calc_profit_short(market_short_order, market_exit_short_order, fee):
|
|
"""
|
|
Market trade on Kraken at 3x leverage
|
|
Short trade
|
|
fee: 0.25% base or 0.3%
|
|
interest_rate: 0.05%, 0.025% per 4 hrs
|
|
open_rate: 0.00004173 base
|
|
close_rate: 0.00004099 base
|
|
stake_amount: 0.0038388182617629
|
|
amount: = 275.97543219 crypto
|
|
borrowed: 275.97543219 crypto
|
|
time-periods: 10 minutes(rounds up to 1 time-period of 4hrs)
|
|
5 hours = 5/4
|
|
|
|
interest: borrowed * interest_rate * time-periods
|
|
= 275.97543219 * 0.0005 * ceil(1+1) = 0.27597543219 crypto
|
|
= 275.97543219 * 0.00025 * ceil(1+5/4) = 0.20698157414249999 crypto
|
|
= 275.97543219 * 0.0005 * ceil(1+5/4) = 0.41396314828499997 crypto
|
|
= 275.97543219 * 0.00025 * ceil(1+1) = 0.27597543219 crypto
|
|
= 275.97543219 * 0.00025 * ceil(1+1) = 0.27597543219 crypto
|
|
open_value: (amount * open_rate) - (amount * open_rate * fee)
|
|
= (275.97543219 * 0.00004173) - (275.97543219 * 0.00004173 * 0.0025)
|
|
= 0.011487663648325479
|
|
amount_closed: amount + interest
|
|
= 275.97543219 + 0.27597543219 = 276.25140762219
|
|
= 275.97543219 + 0.20698157414249999 = 276.1824137641425
|
|
= 275.97543219 + 0.41396314828499997 = 276.389395338285
|
|
= 275.97543219 + 0.27597543219 = 276.25140762219
|
|
close_value: (amount_closed * close_rate) + (amount_closed * close_rate * fee)
|
|
(276.25140762219 * 0.00004374) + (276.25140762219 * 0.00004374 * 0.0025)
|
|
= 0.012113444660818078
|
|
(276.1824137641425 * 0.00000437) + (276.1824137641425 * 0.00000437 * 0.0025)
|
|
= 0.0012099344410196758
|
|
(276.389395338285 * 0.00004374) + (276.389395338285 * 0.00004374 * 0.003)
|
|
= 0.012125539968552874
|
|
(276.25140762219 * 0.00000437) + (276.25140762219 * 0.00000437 * 0.003)
|
|
= 0.0012102354919246037
|
|
(276.25140762219 * 0.00004099) + (276.25140762219 * 0.00004099 * 0.0025)
|
|
= 0.011351854061429653
|
|
total_profit = open_value - close_value
|
|
= 0.011487663648325479 - 0.012113444660818078 = -0.0006257810124925996
|
|
= 0.011487663648325479 - 0.0012099344410196758 = 0.010277729207305804
|
|
= 0.011487663648325479 - 0.012125539968552874 = -0.0006378763202273957
|
|
= 0.011487663648325479 - 0.0012102354919246037 = 0.010277428156400875
|
|
= 0.011487663648325479 - 0.011351854061429653 = 0.00013580958689582596
|
|
total_profit_percentage = (1-(close_value/open_value)) * leverage
|
|
(1-(0.012113444660818078 /0.011487663648325479))*3 = -0.16342252828332549
|
|
(1-(0.0012099344410196758/0.011487663648325479))*3 = 2.6840259748040123
|
|
(1-(0.012125539968552874 /0.011487663648325479))*3 = -0.16658121435868578
|
|
(1-(0.0012102354919246037/0.011487663648325479))*3 = 2.68394735544829
|
|
(1-(0.011351854061429653/0.011487663648325479))*3 = 0.03546663387440563
|
|
"""
|
|
trade = Trade(
|
|
pair='ETH/BTC',
|
|
stake_amount=0.0038388182617629,
|
|
amount=5,
|
|
open_rate=0.00001099,
|
|
open_date=datetime.utcnow() - timedelta(hours=0, minutes=10),
|
|
fee_open=fee.return_value,
|
|
fee_close=fee.return_value,
|
|
exchange='kraken',
|
|
is_short=True,
|
|
interest_rate=0.0005,
|
|
interest_mode=InterestMode.HOURSPER4
|
|
)
|
|
trade.open_order_id = 'something'
|
|
trade.update(market_short_order) # Buy @ 0.00001099
|
|
# Custom closing rate and regular fee rate
|
|
|
|
# Higher than open rate
|
|
assert trade.calc_profit(
|
|
rate=0.00004374, interest_rate=0.0005) == round(-0.0006257810124925996, 8)
|
|
assert trade.calc_profit_ratio(
|
|
rate=0.00004374, interest_rate=0.0005) == round(-0.16342252828332549, 8)
|
|
|
|
# Lower than open rate
|
|
trade.open_date = datetime.utcnow() - timedelta(hours=4, minutes=55)
|
|
assert trade.calc_profit(rate=0.00000437, interest_rate=0.00025) == round(
|
|
0.010277729207305804, 8)
|
|
assert trade.calc_profit_ratio(
|
|
rate=0.00000437, interest_rate=0.00025) == round(2.6840259748040123, 8)
|
|
|
|
# Custom closing rate and custom fee rate
|
|
# Higher than open rate
|
|
assert trade.calc_profit(rate=0.00004374, fee=0.003,
|
|
interest_rate=0.0005) == round(-0.0006378763202273957, 8)
|
|
assert trade.calc_profit_ratio(rate=0.00004374, fee=0.003,
|
|
interest_rate=0.0005) == round(-0.16658121435868578, 8)
|
|
|
|
# Lower than open rate
|
|
trade.open_date = datetime.utcnow() - timedelta(hours=0, minutes=10)
|
|
assert trade.calc_profit(rate=0.00000437, fee=0.003,
|
|
interest_rate=0.00025) == round(0.010277428156400875, 8)
|
|
assert trade.calc_profit_ratio(rate=0.00000437, fee=0.003,
|
|
interest_rate=0.00025) == round(2.68394735544829, 8)
|
|
|
|
# Test when we apply a exit short order.
|
|
trade.update(market_exit_short_order)
|
|
assert trade.calc_profit(rate=0.00004099) == round(0.00013580958689582596, 8)
|
|
assert trade.calc_profit_ratio() == round(0.03546663387440563, 8)
|
|
|
|
# Test with a custom fee rate on the close trade
|
|
# assert trade.calc_profit(fee=0.003) == 0.00006163
|
|
# assert trade.calc_profit_ratio(fee=0.003) == 0.06147824
|
|
|
|
|
|
def test_adjust_stop_loss_short(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,
|
|
is_short=True,
|
|
interest_mode=InterestMode.HOURSPERDAY
|
|
)
|
|
trade.adjust_stop_loss(trade.open_rate, 0.05, True)
|
|
assert trade.stop_loss == 1.05
|
|
assert trade.stop_loss_pct == 0.05
|
|
assert trade.initial_stop_loss == 1.05
|
|
assert trade.initial_stop_loss_pct == 0.05
|
|
# Get percent of profit with a lower rate
|
|
trade.adjust_stop_loss(1.04, 0.05)
|
|
assert trade.stop_loss == 1.05
|
|
assert trade.stop_loss_pct == 0.05
|
|
assert trade.initial_stop_loss == 1.05
|
|
assert trade.initial_stop_loss_pct == 0.05
|
|
# Get percent of profit with a custom rate (Higher than open rate)
|
|
trade.adjust_stop_loss(0.7, 0.1)
|
|
# If the price goes down to 0.7, with a trailing stop of 0.1,
|
|
# the new stoploss at 0.1 above 0.7 would be 0.7*0.1 higher
|
|
assert round(trade.stop_loss, 8) == 0.77
|
|
assert trade.stop_loss_pct == 0.1
|
|
assert trade.initial_stop_loss == 1.05
|
|
assert trade.initial_stop_loss_pct == 0.05
|
|
# current rate lower again ... should not change
|
|
trade.adjust_stop_loss(0.8, -0.1)
|
|
assert round(trade.stop_loss, 8) == 0.77
|
|
assert trade.initial_stop_loss == 1.05
|
|
assert trade.initial_stop_loss_pct == 0.05
|
|
# current rate higher... should raise stoploss
|
|
trade.adjust_stop_loss(0.6, -0.1)
|
|
assert round(trade.stop_loss, 8) == 0.66
|
|
assert trade.initial_stop_loss == 1.05
|
|
assert trade.initial_stop_loss_pct == 0.05
|
|
# Initial is true but stop_loss set - so doesn't do anything
|
|
trade.adjust_stop_loss(0.3, -0.1, True)
|
|
assert round(trade.stop_loss, 8) == 0.66 # TODO-mg: What is this test?
|
|
assert trade.initial_stop_loss == 1.05
|
|
assert trade.initial_stop_loss_pct == 0.05
|
|
assert trade.stop_loss_pct == 0.1
|
|
trade.set_liquidation_price(0.63)
|
|
trade.adjust_stop_loss(0.59, -0.1)
|
|
assert trade.stop_loss == 0.63
|
|
assert trade.liquidation_price == 0.63
|
|
|
|
# TODO-mg: Do a test with a trade that has a liquidation price
|
|
|
|
|
|
@ pytest.mark.usefixtures("init_persistence")
|
|
@ pytest.mark.parametrize('use_db', [True, False])
|
|
def test_get_open_short(fee, use_db):
|
|
Trade.use_db = use_db
|
|
Trade.reset_trades()
|
|
create_mock_trades_with_leverage(fee, use_db)
|
|
assert len(Trade.get_open_trades()) == 5
|
|
Trade.use_db = True
|
|
|
|
|
|
def test_stoploss_reinitialization_short(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,
|
|
is_short=True,
|
|
leverage=3.0,
|
|
interest_mode=InterestMode.HOURSPERDAY
|
|
)
|
|
trade.adjust_stop_loss(trade.open_rate, -0.05, True)
|
|
assert trade.stop_loss == 1.05
|
|
assert trade.stop_loss_pct == 0.05
|
|
assert trade.initial_stop_loss == 1.05
|
|
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 == 1.06
|
|
assert trade_adj.stop_loss_pct == 0.06
|
|
assert trade_adj.initial_stop_loss == 1.06
|
|
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 == 1.04
|
|
assert trade_adj.stop_loss_pct == 0.04
|
|
assert trade_adj.initial_stop_loss == 1.04
|
|
assert trade_adj.initial_stop_loss_pct == 0.04
|
|
# Trailing stoploss
|
|
trade.adjust_stop_loss(0.98, -0.04)
|
|
assert trade_adj.stop_loss == 1.0192
|
|
assert trade_adj.initial_stop_loss == 1.04
|
|
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 == 1.0192
|
|
assert trade_adj.stop_loss_pct == 0.04
|
|
assert trade_adj.initial_stop_loss == 1.04
|
|
assert trade_adj.initial_stop_loss_pct == 0.04
|
|
# Stoploss can't go above liquidation price
|
|
trade_adj.set_liquidation_price(1.0)
|
|
trade.adjust_stop_loss(0.97, -0.04)
|
|
assert trade_adj.stop_loss == 1.0
|
|
assert trade_adj.stop_loss == 1.0
|
|
|
|
|
|
@ pytest.mark.usefixtures("init_persistence")
|
|
@ pytest.mark.parametrize('use_db', [True, False])
|
|
def test_total_open_trades_stakes_short(fee, use_db):
|
|
Trade.use_db = use_db
|
|
Trade.reset_trades()
|
|
res = Trade.total_open_trades_stakes()
|
|
assert res == 0
|
|
create_mock_trades_with_leverage(fee, use_db)
|
|
res = Trade.total_open_trades_stakes()
|
|
assert res == 15.133
|
|
Trade.use_db = True
|
|
|
|
|
|
@ pytest.mark.usefixtures("init_persistence")
|
|
def test_get_best_pair_short(fee):
|
|
res = Trade.get_best_pair()
|
|
assert res is None
|
|
create_mock_trades_with_leverage(fee)
|
|
res = Trade.get_best_pair()
|
|
assert len(res) == 2
|
|
assert res[0] == 'DOGE/BTC'
|
|
assert res[1] == 0.1713156134055116
|