lychiyu/freqtrade_origin
1
0
Fork 0
mirror of https://github.com/freqtrade/freqtrade.git synced 2024-11-14 12:13:57 +00:00
Code Issues Actions 2 Packages Projects Releases Wiki Activity
c420304b33
freqtrade_origin/tests/conftest_trades.py
Matthias 0168343b76 Add trading-volume to api schema
2022-06-18 16:53:25 +02:00

517 lines
14 KiB
Python
Raw Blame History

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': 'closed',
'side': entry_side(is_short),
'type': 'limit',
'price': 0.123,
'average': 0.123,
'amount': 123.0,
'filled': 123.0,
'cost': 15.129,
'remaining': 0.0,
}
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',
open_order_id=f'dry_run_buy_{direc(is_short)}_12345',
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,
open_order_id=f'dry_run_sell_{direc(is_short)}_12345',
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',
open_order_id=f'prod_buy_{direc(is_short)}_12345',
strategy='StrategyTestV3',
timeframe=5,
is_short=is_short
)
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',
stoploss_order_id=f'prod_stoploss_{direc(is_short)}_3455',
timeframe=5,
is_short=is_short
)
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',
open_order_id=f"prod_sell_{direc(is_short)}_6",
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,
open_order_id='dry_run_exit_short_12345',
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,
open_order_id='dry_run_leverage_buy_12368',
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
Reference in New Issue View Git Blame Copy Permalink