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Merge branch 'feat/short' into lev-freqtradebot

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Sam Germain
2021-10-13 19:02:57 -06:00
parent 437fadc258 bd488cc086
commit bcbe8f229c
53 changed files with 902 additions and 313 deletions
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378
tests/test_persistence.py
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@@ -11,12 +11,16 @@ import pytest
from sqlalchemy import create_engine, inspect, text
from freqtrade import constants
from freqtrade.enums import TradingMode
from freqtrade.exceptions import DependencyException, OperationalException
from freqtrade.persistence import LocalTrade, Order, Trade, clean_dry_run_db, init_db
from tests.conftest import (create_mock_trades, create_mock_trades_with_leverage, get_sides,
log_has, log_has_re)
spot, margin, futures = TradingMode.SPOT, TradingMode.MARGIN, TradingMode.FUTURES
def test_init_create_session(default_conf):
# Check if init create a session
init_db(default_conf['db_url'], default_conf['dry_run'])
@@ -81,7 +85,8 @@ def test_enter_exit_side(fee, is_short):
fee_close=fee.return_value,
exchange='binance',
is_short=is_short,
leverage=2.0
leverage=2.0,
trading_mode=margin
)
assert trade.enter_side == enter_side
assert trade.exit_side == exit_side
@@ -101,7 +106,8 @@ def test_set_stop_loss_isolated_liq(fee):
fee_close=fee.return_value,
exchange='binance',
is_short=False,
leverage=2.0
leverage=2.0,
trading_mode=margin
)
trade.set_isolated_liq(0.09)
assert trade.isolated_liq == 0.09
@@ -168,32 +174,40 @@ def test_set_stop_loss_isolated_liq(fee):
assert trade.initial_stop_loss == 0.09
@pytest.mark.parametrize('exchange,is_short,lev,minutes,rate,interest', [
("binance", False, 3, 10, 0.0005, round(0.0008333333333333334, 8)),
("binance", True, 3, 10, 0.0005, 0.000625),
("binance", False, 3, 295, 0.0005, round(0.004166666666666667, 8)),
("binance", True, 3, 295, 0.0005, round(0.0031249999999999997, 8)),
("binance", False, 3, 295, 0.00025, round(0.0020833333333333333, 8)),
("binance", True, 3, 295, 0.00025, round(0.0015624999999999999, 8)),
("binance", False, 5, 295, 0.0005, 0.005),
("binance", True, 5, 295, 0.0005, round(0.0031249999999999997, 8)),
("binance", False, 1, 295, 0.0005, 0.0),
("binance", True, 1, 295, 0.0005, 0.003125),
@pytest.mark.parametrize('exchange,is_short,lev,minutes,rate,interest,trading_mode', [
("binance", False, 3, 10, 0.0005, round(0.0008333333333333334, 8), margin),
("binance", True, 3, 10, 0.0005, 0.000625, margin),
("binance", False, 3, 295, 0.0005, round(0.004166666666666667, 8), margin),
("binance", True, 3, 295, 0.0005, round(0.0031249999999999997, 8), margin),
("binance", False, 3, 295, 0.00025, round(0.0020833333333333333, 8), margin),
("binance", True, 3, 295, 0.00025, round(0.0015624999999999999, 8), margin),
("binance", False, 5, 295, 0.0005, 0.005, margin),
("binance", True, 5, 295, 0.0005, round(0.0031249999999999997, 8), margin),
("binance", False, 1, 295, 0.0005, 0.0, spot),
("binance", True, 1, 295, 0.0005, 0.003125, margin),
("kraken", False, 3, 10, 0.0005, 0.040),
("kraken", True, 3, 10, 0.0005, 0.030),
("kraken", False, 3, 295, 0.0005, 0.06),
("kraken", True, 3, 295, 0.0005, 0.045),
("kraken", False, 3, 295, 0.00025, 0.03),
("kraken", True, 3, 295, 0.00025, 0.0225),
("kraken", False, 5, 295, 0.0005, round(0.07200000000000001, 8)),
("kraken", True, 5, 295, 0.0005, 0.045),
("kraken", False, 1, 295, 0.0005, 0.0),
("kraken", True, 1, 295, 0.0005, 0.045),
("binance", False, 3, 10, 0.0005, 0.0, futures),
("binance", True, 3, 295, 0.0005, 0.0, futures),
("binance", False, 5, 295, 0.0005, 0.0, futures),
("binance", True, 5, 295, 0.0005, 0.0, futures),
("binance", False, 1, 295, 0.0005, 0.0, futures),
("binance", True, 1, 295, 0.0005, 0.0, futures),
("kraken", False, 3, 10, 0.0005, 0.040, margin),
("kraken", True, 3, 10, 0.0005, 0.030, margin),
("kraken", False, 3, 295, 0.0005, 0.06, margin),
("kraken", True, 3, 295, 0.0005, 0.045, margin),
("kraken", False, 3, 295, 0.00025, 0.03, margin),
("kraken", True, 3, 295, 0.00025, 0.0225, margin),
("kraken", False, 5, 295, 0.0005, round(0.07200000000000001, 8), margin),
("kraken", True, 5, 295, 0.0005, 0.045, margin),
("kraken", False, 1, 295, 0.0005, 0.0, spot),
("kraken", True, 1, 295, 0.0005, 0.045, margin),
])
@pytest.mark.usefixtures("init_persistence")
def test_interest(market_buy_order_usdt, fee, exchange, is_short, lev, minutes, rate, interest):
def test_interest(market_buy_order_usdt, fee, exchange, is_short, lev, minutes, rate, interest,
trading_mode):
"""
10min, 5hr limit trade on Binance/Kraken at 3x,5x leverage
fee: 0.25 % quote
@@ -258,21 +272,22 @@ def test_interest(market_buy_order_usdt, fee, exchange, is_short, lev, minutes,
exchange=exchange,
leverage=lev,
interest_rate=rate,
is_short=is_short
is_short=is_short,
trading_mode=trading_mode
)
assert round(float(trade.calculate_interest()), 8) == interest
@pytest.mark.parametrize('is_short,lev,borrowed', [
(False, 1.0, 0.0),
(True, 1.0, 30.0),
(False, 3.0, 40.0),
(True, 3.0, 30.0),
@pytest.mark.parametrize('is_short,lev,borrowed,trading_mode', [
(False, 1.0, 0.0, spot),
(True, 1.0, 30.0, margin),
(False, 3.0, 40.0, margin),
(True, 3.0, 30.0, margin),
])
@pytest.mark.usefixtures("init_persistence")
def test_borrowed(limit_buy_order_usdt, limit_sell_order_usdt, fee,
caplog, is_short, lev, borrowed):
caplog, is_short, lev, borrowed, trading_mode):
"""
10 minute limit trade on Binance/Kraken at 1x, 3x leverage
fee: 0.25% quote
@@ -347,18 +362,19 @@ def test_borrowed(limit_buy_order_usdt, limit_sell_order_usdt, fee,
fee_close=fee.return_value,
exchange='binance',
is_short=is_short,
leverage=lev
leverage=lev,
trading_mode=trading_mode
)
assert trade.borrowed == borrowed
@pytest.mark.parametrize('is_short,open_rate,close_rate,lev,profit', [
(False, 2.0, 2.2, 1.0, round(0.0945137157107232, 8)),
(True, 2.2, 2.0, 3.0, round(0.2589996297562085, 8))
@pytest.mark.parametrize('is_short,open_rate,close_rate,lev,profit,trading_mode', [
(False, 2.0, 2.2, 1.0, round(0.0945137157107232, 8), spot),
(True, 2.2, 2.0, 3.0, round(0.2589996297562085, 8), margin),
])
@pytest.mark.usefixtures("init_persistence")
def test_update_limit_order(fee, caplog, limit_buy_order_usdt, limit_sell_order_usdt,
is_short, open_rate, close_rate, lev, profit):
is_short, open_rate, close_rate, lev, profit, trading_mode):
"""
10 minute limit trade on Binance/Kraken at 1x, 3x leverage
fee: 0.25% quote
@@ -445,7 +461,8 @@ def test_update_limit_order(fee, caplog, limit_buy_order_usdt, limit_sell_order_
exchange='binance',
is_short=is_short,
interest_rate=0.0005,
leverage=lev
leverage=lev,
trading_mode=trading_mode
)
assert trade.open_order_id is None
assert trade.close_profit is None
@@ -491,6 +508,7 @@ def test_update_market_order(market_buy_order_usdt, market_sell_order_usdt, fee,
fee_close=fee.return_value,
open_date=arrow.utcnow().datetime,
exchange='binance',
trading_mode=margin
)
trade.open_order_id = 'something'
@@ -518,20 +536,28 @@ def test_update_market_order(market_buy_order_usdt, market_sell_order_usdt, fee,
caplog)
@pytest.mark.parametrize('exchange,is_short,lev,open_value,close_value,profit,profit_ratio', [
("binance", False, 1, 60.15, 65.835, 5.685, 0.0945137157107232),
("binance", True, 1, 59.850, 66.1663784375, -6.316378437500013, -0.1055368159983292),
("binance", False, 3, 60.15, 65.83416667, 5.684166670000003, 0.2834995845386534),
("binance", True, 3, 59.85, 66.1663784375, -6.316378437500013, -0.3166104479949876),
@pytest.mark.parametrize(
'exchange,is_short,lev,open_value,close_value,profit,profit_ratio,trading_mode,funding_fees', [
("binance", False, 1, 60.15, 65.835, 5.685, 0.0945137157107232, spot, 0.0),
("binance", True, 1, 59.850, 66.1663784375, -6.3163784375, -0.105536815998329, margin, 0.0),
("binance", False, 3, 60.15, 65.83416667, 5.68416667, 0.2834995845386534, margin, 0.0),
("binance", True, 3, 59.85, 66.1663784375, -6.3163784375, -0.3166104479949876, margin, 0.0),
("kraken", False, 1, 60.15, 65.835, 5.685, 0.0945137157107232),
("kraken", True, 1, 59.850, 66.231165, -6.381165, -0.106619298245614),
("kraken", False, 3, 60.15, 65.795, 5.645, 0.2815461346633419),
("kraken", True, 3, 59.850, 66.231165, -6.381165000000003, -0.319857894736842),
])
("kraken", False, 1, 60.15, 65.835, 5.685, 0.0945137157107232, spot, 0.0),
("kraken", True, 1, 59.850, 66.231165, -6.381165, -0.106619298245614, margin, 0.0),
("kraken", False, 3, 60.15, 65.795, 5.645, 0.2815461346633419, margin, 0.0),
("kraken", True, 3, 59.850, 66.231165, -6.381165000000003, -0.319857894736842, margin, 0.0),
("binance", False, 1, 60.15, 66.835, 6.685, 0.11113881961762262, futures, 1.0),
("binance", True, 1, 59.85, 67.165, -7.315, -0.12222222222222223, futures, -1.0),
("binance", False, 3, 60.15, 64.835, 4.685, 0.23366583541147135, futures, -1.0),
("binance", True, 3, 59.85, 65.165, -5.315, -0.26641604010025066, futures, 1.0),
])
@pytest.mark.usefixtures("init_persistence")
def test_calc_open_close_trade_price(limit_buy_order_usdt, limit_sell_order_usdt, fee, exchange,
is_short, lev, open_value, close_value, profit, profit_ratio):
def test_calc_open_close_trade_price(
limit_buy_order_usdt, limit_sell_order_usdt, fee, exchange, is_short, lev,
open_value, close_value, profit, profit_ratio, trading_mode, funding_fees
):
trade: Trade = Trade(
pair='ADA/USDT',
stake_amount=60.0,
@@ -543,7 +569,9 @@ def test_calc_open_close_trade_price(limit_buy_order_usdt, limit_sell_order_usdt
fee_close=fee.return_value,
exchange=exchange,
is_short=is_short,
leverage=lev
leverage=lev,
trading_mode=trading_mode,
funding_fees=funding_fees
)
trade.open_order_id = f'something-{is_short}-{lev}-{exchange}'
@@ -572,6 +600,7 @@ def test_trade_close(limit_buy_order_usdt, limit_sell_order_usdt, fee):
open_date=datetime.now(tz=timezone.utc) - timedelta(minutes=10),
interest_rate=0.0005,
exchange='binance',
trading_mode=margin
)
assert trade.close_profit is None
assert trade.close_date is None
@@ -600,6 +629,7 @@ def test_calc_close_trade_price_exception(limit_buy_order_usdt, fee):
fee_open=fee.return_value,
fee_close=fee.return_value,
exchange='binance',
trading_mode=margin
)
trade.open_order_id = 'something'
@@ -617,6 +647,7 @@ def test_update_open_order(limit_buy_order_usdt):
fee_open=0.1,
fee_close=0.1,
exchange='binance',
trading_mode=margin
)
assert trade.open_order_id is None
@@ -641,6 +672,7 @@ def test_update_invalid_order(limit_buy_order_usdt):
fee_open=0.1,
fee_close=0.1,
exchange='binance',
trading_mode=margin
)
limit_buy_order_usdt['type'] = 'invalid'
with pytest.raises(ValueError, match=r'Unknown order type'):
@@ -648,6 +680,7 @@ def test_update_invalid_order(limit_buy_order_usdt):
@pytest.mark.parametrize('exchange', ['binance', 'kraken'])
@pytest.mark.parametrize('trading_mode', [spot, margin, futures])
@pytest.mark.parametrize('lev', [1, 3])
@pytest.mark.parametrize('is_short,fee_rate,result', [
(False, 0.003, 60.18),
@@ -666,7 +699,8 @@ def test_calc_open_trade_value(
lev,
is_short,
fee_rate,
result
result,
trading_mode
):
# 10 minute limit trade on Binance/Kraken at 1x, 3x leverage
# fee: 0.25 %, 0.3% quote
@@ -692,7 +726,8 @@ def test_calc_open_trade_value(
fee_close=fee_rate,
exchange=exchange,
leverage=lev,
is_short=is_short
is_short=is_short,
trading_mode=trading_mode
)
trade.open_order_id = 'open_trade'
@@ -700,26 +735,37 @@ def test_calc_open_trade_value(
assert trade._calc_open_trade_value() == result
@pytest.mark.parametrize('exchange,is_short,lev,open_rate,close_rate,fee_rate,result', [
('binance', False, 1, 2.0, 2.5, 0.0025, 74.8125),
('binance', False, 1, 2.0, 2.5, 0.003, 74.775),
('binance', False, 1, 2.0, 2.2, 0.005, 65.67),
('binance', False, 3, 2.0, 2.5, 0.0025, 74.81166667),
('binance', False, 3, 2.0, 2.5, 0.003, 74.77416667),
('kraken', False, 3, 2.0, 2.5, 0.0025, 74.7725),
('kraken', False, 3, 2.0, 2.5, 0.003, 74.735),
('kraken', True, 3, 2.2, 2.5, 0.0025, 75.2626875),
('kraken', True, 3, 2.2, 2.5, 0.003, 75.300225),
('binance', True, 3, 2.2, 2.5, 0.0025, 75.18906641),
('binance', True, 3, 2.2, 2.5, 0.003, 75.22656719),
('binance', True, 1, 2.2, 2.5, 0.0025, 75.18906641),
('binance', True, 1, 2.2, 2.5, 0.003, 75.22656719),
('kraken', True, 1, 2.2, 2.5, 0.0025, 75.2626875),
('kraken', True, 1, 2.2, 2.5, 0.003, 75.300225),
])
@pytest.mark.parametrize(
'exchange,is_short,lev,open_rate,close_rate,fee_rate,result,trading_mode,funding_fees', [
('binance', False, 1, 2.0, 2.5, 0.0025, 74.8125, spot, 0),
('binance', False, 1, 2.0, 2.5, 0.003, 74.775, spot, 0),
('binance', False, 1, 2.0, 2.2, 0.005, 65.67, margin, 0),
('binance', False, 3, 2.0, 2.5, 0.0025, 74.81166667, margin, 0),
('binance', False, 3, 2.0, 2.5, 0.003, 74.77416667, margin, 0),
('binance', True, 3, 2.2, 2.5, 0.0025, 75.18906641, margin, 0),
('binance', True, 3, 2.2, 2.5, 0.003, 75.22656719, margin, 0),
('binance', True, 1, 2.2, 2.5, 0.0025, 75.18906641, margin, 0),
('binance', True, 1, 2.2, 2.5, 0.003, 75.22656719, margin, 0),
# Kraken
('kraken', False, 3, 2.0, 2.5, 0.0025, 74.7725, margin, 0),
('kraken', False, 3, 2.0, 2.5, 0.003, 74.735, margin, 0),
('kraken', True, 3, 2.2, 2.5, 0.0025, 75.2626875, margin, 0),
('kraken', True, 3, 2.2, 2.5, 0.003, 75.300225, margin, 0),
('kraken', True, 1, 2.2, 2.5, 0.0025, 75.2626875, margin, 0),
('kraken', True, 1, 2.2, 2.5, 0.003, 75.300225, margin, 0),
('binance', False, 1, 2.0, 2.5, 0.0025, 75.8125, futures, 1),
('binance', False, 3, 2.0, 2.5, 0.0025, 73.8125, futures, -1),
('binance', True, 3, 2.0, 2.5, 0.0025, 74.1875, futures, 1),
('binance', True, 1, 2.0, 2.5, 0.0025, 76.1875, futures, -1),
])
@pytest.mark.usefixtures("init_persistence")
def test_calc_close_trade_price(limit_buy_order_usdt, limit_sell_order_usdt, open_rate,
exchange, is_short, lev, close_rate, fee_rate, result):
def test_calc_close_trade_price(
limit_buy_order_usdt, limit_sell_order_usdt, open_rate, exchange, is_short,
lev, close_rate, fee_rate, result, trading_mode, funding_fees
):
trade = Trade(
pair='ADA/USDT',
stake_amount=60.0,
@@ -731,47 +777,83 @@ def test_calc_close_trade_price(limit_buy_order_usdt, limit_sell_order_usdt, ope
exchange=exchange,
interest_rate=0.0005,
is_short=is_short,
leverage=lev
leverage=lev,
trading_mode=trading_mode,
funding_fees=funding_fees
)
trade.open_order_id = 'close_trade'
assert round(trade.calc_close_trade_value(rate=close_rate, fee=fee_rate), 8) == result
@pytest.mark.parametrize('exchange,is_short,lev,close_rate,fee_close,profit,profit_ratio', [
('binance', False, 1, 2.1, 0.0025, 2.6925, 0.04476309226932673),
('binance', False, 3, 2.1, 0.0025, 2.69166667, 0.13424771421446402),
('binance', True, 1, 2.1, 0.0025, -3.308815781249997, -0.05528514254385963),
('binance', True, 3, 2.1, 0.0025, -3.308815781249997, -0.1658554276315789),
@pytest.mark.parametrize(
'exchange,is_short,lev,close_rate,fee_close,profit,profit_ratio,trading_mode,funding_fees', [
('binance', False, 1, 2.1, 0.0025, 2.6925, 0.04476309226932673, spot, 0),
('binance', False, 3, 2.1, 0.0025, 2.69166667, 0.13424771421446402, margin, 0),
('binance', True, 1, 2.1, 0.0025, -3.308815781249997, -0.05528514254385963, margin, 0),
('binance', True, 3, 2.1, 0.0025, -3.308815781249997, -0.1658554276315789, margin, 0),
('binance', False, 1, 1.9, 0.0025, -3.2925, -0.05473815461346632),
('binance', False, 3, 1.9, 0.0025, -3.29333333, -0.16425602643391513),
('binance', True, 1, 1.9, 0.0025, 2.7063095312499996, 0.045218204365079395),
('binance', True, 3, 1.9, 0.0025, 2.7063095312499996, 0.13565461309523819),
('binance', False, 1, 1.9, 0.0025, -3.2925, -0.05473815461346632, margin, 0),
('binance', False, 3, 1.9, 0.0025, -3.29333333, -0.16425602643391513, margin, 0),
('binance', True, 1, 1.9, 0.0025, 2.7063095312499996, 0.045218204365079395, margin, 0),
('binance', True, 3, 1.9, 0.0025, 2.7063095312499996, 0.13565461309523819, margin, 0),
('binance', False, 1, 2.2, 0.0025, 5.685, 0.0945137157107232),
('binance', False, 3, 2.2, 0.0025, 5.68416667, 0.2834995845386534),
('binance', True, 1, 2.2, 0.0025, -6.316378437499999, -0.1055368159983292),
('binance', True, 3, 2.2, 0.0025, -6.316378437499999, -0.3166104479949876),
('binance', False, 1, 2.2, 0.0025, 5.685, 0.0945137157107232, margin, 0),
('binance', False, 3, 2.2, 0.0025, 5.68416667, 0.2834995845386534, margin, 0),
('binance', True, 1, 2.2, 0.0025, -6.316378437499999, -0.1055368159983292, margin, 0),
('binance', True, 3, 2.2, 0.0025, -6.316378437499999, -0.3166104479949876, margin, 0),
('kraken', False, 1, 2.1, 0.0025, 2.6925, 0.04476309226932673),
('kraken', False, 3, 2.1, 0.0025, 2.6525, 0.13229426433915248),
('kraken', True, 1, 2.1, 0.0025, -3.3706575, -0.05631842105263152),
('kraken', True, 3, 2.1, 0.0025, -3.3706575, -0.16895526315789455),
# # Kraken
('kraken', False, 1, 2.1, 0.0025, 2.6925, 0.04476309226932673, spot, 0),
('kraken', False, 3, 2.1, 0.0025, 2.6525, 0.13229426433915248, margin, 0),
('kraken', True, 1, 2.1, 0.0025, -3.3706575, -0.05631842105263152, margin, 0),
('kraken', True, 3, 2.1, 0.0025, -3.3706575, -0.16895526315789455, margin, 0),
('kraken', False, 1, 1.9, 0.0025, -3.2925, -0.05473815461346632),
('kraken', False, 3, 1.9, 0.0025, -3.3325, -0.16620947630922667),
('kraken', True, 1, 1.9, 0.0025, 2.6503575, 0.04428333333333334),
('kraken', True, 3, 1.9, 0.0025, 2.6503575, 0.13285000000000002),
('kraken', False, 1, 1.9, 0.0025, -3.2925, -0.05473815461346632, margin, 0),
('kraken', False, 3, 1.9, 0.0025, -3.3325, -0.16620947630922667, margin, 0),
('kraken', True, 1, 1.9, 0.0025, 2.6503575, 0.04428333333333334, margin, 0),
('kraken', True, 3, 1.9, 0.0025, 2.6503575, 0.13285000000000002, margin, 0),
('kraken', False, 1, 2.2, 0.0025, 5.685, 0.0945137157107232),
('kraken', False, 3, 2.2, 0.0025, 5.645, 0.2815461346633419),
('kraken', True, 1, 2.2, 0.0025, -6.381165, -0.106619298245614),
('kraken', True, 3, 2.2, 0.0025, -6.381165, -0.319857894736842),
('kraken', False, 1, 2.2, 0.0025, 5.685, 0.0945137157107232, margin, 0),
('kraken', False, 3, 2.2, 0.0025, 5.645, 0.2815461346633419, margin, 0),
('kraken', True, 1, 2.2, 0.0025, -6.381165, -0.106619298245614, margin, 0),
('kraken', True, 3, 2.2, 0.0025, -6.381165, -0.319857894736842, margin, 0),
('binance', False, 1, 2.1, 0.003, 2.6610000000000014, 0.04423940149625927),
('binance', False, 1, 1.9, 0.003, -3.320999999999998, -0.05521197007481293),
('binance', False, 1, 2.2, 0.003, 5.652000000000008, 0.09396508728179565),
])
('binance', False, 1, 2.1, 0.003, 2.6610000000000014, 0.04423940149625927, spot, 0),
('binance', False, 1, 1.9, 0.003, -3.320999999999998, -0.05521197007481293, spot, 0),
('binance', False, 1, 2.2, 0.003, 5.652000000000008, 0.09396508728179565, spot, 0),
# # FUTURES, funding_fee=1
('binance', False, 1, 2.1, 0.0025, 3.6925, 0.06138819617622615, futures, 1),
('binance', False, 3, 2.1, 0.0025, 3.6925, 0.18416458852867845, futures, 1),
('binance', True, 1, 2.1, 0.0025, -2.3074999999999974, -0.038554720133667564, futures, 1),
('binance', True, 3, 2.1, 0.0025, -2.3074999999999974, -0.11566416040100269, futures, 1),
('binance', False, 1, 1.9, 0.0025, -2.2925, -0.0381130507065669, futures, 1),
('binance', False, 3, 1.9, 0.0025, -2.2925, -0.1143391521197007, futures, 1),
('binance', True, 1, 1.9, 0.0025, 3.707500000000003, 0.06194653299916464, futures, 1),
('binance', True, 3, 1.9, 0.0025, 3.707500000000003, 0.18583959899749392, futures, 1),
('binance', False, 1, 2.2, 0.0025, 6.685, 0.11113881961762262, futures, 1),
('binance', False, 3, 2.2, 0.0025, 6.685, 0.33341645885286786, futures, 1),
('binance', True, 1, 2.2, 0.0025, -5.315000000000005, -0.08880534670008355, futures, 1),
('binance', True, 3, 2.2, 0.0025, -5.315000000000005, -0.26641604010025066, futures, 1),
# FUTURES, funding_fee=-1
('binance', False, 1, 2.1, 0.0025, 1.6925000000000026, 0.028137988362427313, futures, -1),
('binance', False, 3, 2.1, 0.0025, 1.6925000000000026, 0.08441396508728194, futures, -1),
('binance', True, 1, 2.1, 0.0025, -4.307499999999997, -0.07197159565580624, futures, -1),
('binance', True, 3, 2.1, 0.0025, -4.307499999999997, -0.21591478696741873, futures, -1),
('binance', False, 1, 1.9, 0.0025, -4.292499999999997, -0.07136325852036574, futures, -1),
('binance', False, 3, 1.9, 0.0025, -4.292499999999997, -0.2140897755610972, futures, -1),
('binance', True, 1, 1.9, 0.0025, 1.7075000000000031, 0.02852965747702596, futures, -1),
('binance', True, 3, 1.9, 0.0025, 1.7075000000000031, 0.08558897243107788, futures, -1),
('binance', False, 1, 2.2, 0.0025, 4.684999999999995, 0.07788861180382378, futures, -1),
('binance', False, 3, 2.2, 0.0025, 4.684999999999995, 0.23366583541147135, futures, -1),
('binance', True, 1, 2.2, 0.0025, -7.315000000000005, -0.12222222222222223, futures, -1),
('binance', True, 3, 2.2, 0.0025, -7.315000000000005, -0.3666666666666667, futures, -1),
])
@pytest.mark.usefixtures("init_persistence")
def test_calc_profit(
limit_buy_order_usdt,
@@ -783,7 +865,9 @@ def test_calc_profit(
close_rate,
fee_close,
profit,
profit_ratio
profit_ratio,
trading_mode,
funding_fees
):
"""
10 minute limit trade on Binance/Kraken at 1x, 3x leverage
@@ -802,6 +886,7 @@ def test_calc_profit(
1x,-1x: 60.0 quote
3x,-3x: 20.0 quote
hours: 1/6 (10 minutes)
funding_fees: 1
borrowed
1x: 0 quote
3x: 40 quote
@@ -913,6 +998,87 @@ def test_calc_profit(
2.1 quote: (62.811 / 60.15) - 1 = 0.04423940149625927
1.9 quote: (56.829 / 60.15) - 1 = -0.05521197007481293
2.2 quote: (65.802 / 60.15) - 1 = 0.09396508728179565
futures (live):
funding_fee: 1
close_value:
equations:
1x,3x: (amount * close_rate) - (amount * close_rate * fee) + funding_fees
-1x,-3x: (amount * close_rate) + (amount * close_rate * fee) - funding_fees
2.1 quote
1x,3x: (30.00 * 2.1) - (30.00 * 2.1 * 0.0025) + 1 = 63.8425
-1x,-3x: (30.00 * 2.1) + (30.00 * 2.1 * 0.0025) - 1 = 62.1575
1.9 quote
1x,3x: (30.00 * 1.9) - (30.00 * 1.9 * 0.0025) + 1 = 57.8575
-1x,-3x: (30.00 * 1.9) + (30.00 * 1.9 * 0.0025) - 1 = 56.1425
2.2 quote:
1x,3x: (30.00 * 2.20) - (30.00 * 2.20 * 0.0025) + 1 = 66.835
-1x,-3x: (30.00 * 2.20) + (30.00 * 2.20 * 0.0025) - 1 = 65.165
total_profit:
2.1 quote
1x,3x: 63.8425 - 60.15 = 3.6925
-1x,-3x: 59.850 - 62.1575 = -2.3074999999999974
1.9 quote
1x,3x: 57.8575 - 60.15 = -2.2925
-1x,-3x: 59.850 - 56.1425 = 3.707500000000003
2.2 quote:
1x,3x: 66.835 - 60.15 = 6.685
-1x,-3x: 59.850 - 65.165 = -5.315000000000005
total_profit_ratio:
2.1 quote
1x: (63.8425 / 60.15) - 1 = 0.06138819617622615
3x: ((63.8425 / 60.15) - 1)*3 = 0.18416458852867845
-1x: 1 - (62.1575 / 59.850) = -0.038554720133667564
-3x: (1 - (62.1575 / 59.850))*3 = -0.11566416040100269
1.9 quote
1x: (57.8575 / 60.15) - 1 = -0.0381130507065669
3x: ((57.8575 / 60.15) - 1)*3 = -0.1143391521197007
-1x: 1 - (56.1425 / 59.850) = 0.06194653299916464
-3x: (1 - (56.1425 / 59.850))*3 = 0.18583959899749392
2.2 quote
1x: (66.835 / 60.15) - 1 = 0.11113881961762262
3x: ((66.835 / 60.15) - 1)*3 = 0.33341645885286786
-1x: 1 - (65.165 / 59.850) = -0.08880534670008355
-3x: (1 - (65.165 / 59.850))*3 = -0.26641604010025066
funding_fee: -1
close_value:
equations:
(amount * close_rate) - (amount * close_rate * fee) + funding_fees
(amount * close_rate) - (amount * close_rate * fee) - funding_fees
2.1 quote
1x,3x: (30.00 * 2.1) - (30.00 * 2.1 * 0.0025) + (-1) = 61.8425
-1x,-3x: (30.00 * 2.1) + (30.00 * 2.1 * 0.0025) - (-1) = 64.1575
1.9 quote
1x,3x: (30.00 * 1.9) - (30.00 * 1.9 * 0.0025) + (-1) = 55.8575
-1x,-3x: (30.00 * 1.9) + (30.00 * 1.9 * 0.0025) - (-1) = 58.1425
2.2 quote:
1x,3x: (30.00 * 2.20) - (30.00 * 2.20 * 0.0025) + (-1) = 64.835
-1x,-3x: (30.00 * 2.20) + (30.00 * 2.20 * 0.0025) - (-1) = 67.165
total_profit:
2.1 quote
1x,3x: 61.8425 - 60.15 = 1.6925000000000026
-1x,-3x: 59.850 - 64.1575 = -4.307499999999997
1.9 quote
1x,3x: 55.8575 - 60.15 = -4.292499999999997
-1x,-3x: 59.850 - 58.1425 = 1.7075000000000031
2.2 quote:
1x,3x: 64.835 - 60.15 = 4.684999999999995
-1x,-3x: 59.850 - 67.165 = -7.315000000000005
total_profit_ratio:
2.1 quote
1x: (61.8425 / 60.15) - 1 = 0.028137988362427313
3x: ((61.8425 / 60.15) - 1)*3 = 0.08441396508728194
-1x: 1 - (64.1575 / 59.850) = -0.07197159565580624
-3x: (1 - (64.1575 / 59.850))*3 = -0.21591478696741873
1.9 quote
1x: (55.8575 / 60.15) - 1 = -0.07136325852036574
3x: ((55.8575 / 60.15) - 1)*3 = -0.2140897755610972
-1x: 1 - (58.1425 / 59.850) = 0.02852965747702596
-3x: (1 - (58.1425 / 59.850))*3 = 0.08558897243107788
2.2 quote
1x: (64.835 / 60.15) - 1 = 0.07788861180382378
3x: ((64.835 / 60.15) - 1)*3 = 0.23366583541147135
-1x: 1 - (67.165 / 59.850) = -0.12222222222222223
-3x: (1 - (67.165 / 59.850))*3 = -0.3666666666666667
"""
trade = Trade(
pair='ADA/USDT',
@@ -925,7 +1091,9 @@ def test_calc_profit(
is_short=is_short,
leverage=lev,
fee_open=0.0025,
fee_close=fee_close
fee_close=fee_close,
trading_mode=trading_mode,
funding_fees=funding_fees
)
trade.open_order_id = 'something'
@@ -1440,6 +1608,8 @@ def test_to_json(default_conf, fee):
'interest_rate': None,
'isolated_liq': None,
'is_short': None,
'trading_mode': None,
'funding_fees': None
}
# Simulate dry_run entries
@@ -1511,6 +1681,8 @@ def test_to_json(default_conf, fee):
'interest_rate': None,
'isolated_liq': None,
'is_short': None,
'trading_mode': None,
'funding_fees': None
}