# pragma pylint: disable=missing-docstring, C0103
from datetime import UTC, datetime, timedelta
from types import FunctionType
import pytest
from sqlalchemy import select
from freqtrade.constants import CUSTOM_TAG_MAX_LENGTH, DATETIME_PRINT_FORMAT
from freqtrade.enums import TradingMode
from freqtrade.exceptions import DependencyException
from freqtrade.exchange.exchange_utils import TICK_SIZE
from freqtrade.persistence import LocalTrade, Order, Trade, init_db
from freqtrade.util import dt_now
from tests.conftest import (
create_mock_trades,
create_mock_trades_usdt,
create_mock_trades_with_leverage,
log_has,
log_has_re,
)
spot, margin, futures = TradingMode.SPOT, TradingMode.MARGIN, TradingMode.FUTURES
@pytest.mark.parametrize("is_short", [False, True])
@pytest.mark.usefixtures("init_persistence")
def test_enter_exit_side(fee, is_short):
entry_side, exit_side = ("sell", "buy") if is_short else ("buy", "sell")
trade = Trade(
id=2,
pair="ADA/USDT",
stake_amount=0.001,
open_rate=0.01,
amount=5,
is_open=True,
open_date=dt_now(),
fee_open=fee.return_value,
fee_close=fee.return_value,
exchange="binance",
is_short=is_short,
leverage=2.0,
trading_mode=margin,
)
assert trade.entry_side == entry_side
assert trade.exit_side == exit_side
assert trade.trade_direction == "short" if is_short else "long"
@pytest.mark.usefixtures("init_persistence")
def test_set_stop_loss_liquidation(fee):
trade = Trade(
id=2,
pair="ADA/USDT",
stake_amount=60.0,
open_rate=2.0,
amount=30.0,
is_open=True,
open_date=dt_now(),
fee_open=fee.return_value,
fee_close=fee.return_value,
exchange="binance",
is_short=False,
leverage=2.0,
trading_mode=margin,
)
trade.set_liquidation_price(0.09)
assert trade.liquidation_price == 0.09
assert trade.stop_loss is None
assert trade.initial_stop_loss is None
trade.adjust_stop_loss(2.0, 0.2, True)
assert trade.liquidation_price == 0.09
assert trade.stop_loss == 1.8
assert trade.initial_stop_loss == 1.8
trade.set_liquidation_price(0.08)
assert trade.liquidation_price == 0.08
assert trade.stop_loss == 1.8
assert trade.initial_stop_loss == 1.8
trade.set_liquidation_price(0.11)
trade.adjust_stop_loss(2.0, 0.2)
assert trade.liquidation_price == 0.11
# Stoploss does not change from liquidation price
assert trade.stop_loss == 1.8
assert trade.stop_loss_pct == -0.2
assert trade.initial_stop_loss == 1.8
# lower stop doesn't move stoploss
trade.adjust_stop_loss(1.8, 0.2)
assert trade.liquidation_price == 0.11
assert trade.stop_loss == 1.8
assert trade.stop_loss_pct == -0.2
assert trade.initial_stop_loss == 1.8
# Lower stop with "allow_refresh" does move stoploss
trade.adjust_stop_loss(1.8, 0.22, allow_refresh=True)
assert trade.liquidation_price == 0.11
assert trade.stop_loss == 1.602
assert trade.stop_loss_pct == -0.22
assert trade.initial_stop_loss == 1.8
# higher stop does move stoploss
trade.adjust_stop_loss(2.1, 0.1)
assert trade.liquidation_price == 0.11
assert pytest.approx(trade.stop_loss) == 1.994999
assert trade.stop_loss_pct == -0.1
assert trade.initial_stop_loss == 1.8
assert trade.stoploss_or_liquidation == trade.stop_loss
trade.stop_loss = None
trade.liquidation_price = None
trade.initial_stop_loss = None
trade.initial_stop_loss_pct = None
trade.adjust_stop_loss(2.0, 0.1, True)
assert trade.liquidation_price is None
assert trade.stop_loss == 1.9
assert trade.initial_stop_loss == 1.9
assert trade.stoploss_or_liquidation == 1.9
trade.is_short = True
trade.recalc_open_trade_value()
trade.stop_loss = None
trade.initial_stop_loss = None
trade.initial_stop_loss_pct = None
trade.set_liquidation_price(3.09)
assert trade.liquidation_price == 3.09
assert trade.stop_loss is None
assert trade.initial_stop_loss is None
trade.adjust_stop_loss(2.0, 0.2)
assert trade.liquidation_price == 3.09
assert trade.stop_loss == 2.2
assert trade.initial_stop_loss == 2.2
assert trade.stoploss_or_liquidation == 2.2
trade.set_liquidation_price(3.1)
assert trade.liquidation_price == 3.1
assert trade.stop_loss == 2.2
assert trade.initial_stop_loss == 2.2
assert trade.stoploss_or_liquidation == 2.2
trade.set_liquidation_price(3.8)
assert trade.liquidation_price == 3.8
# Stoploss does not change from liquidation price
assert trade.stop_loss == 2.2
assert trade.stop_loss_pct == -0.2
assert trade.initial_stop_loss == 2.2
# Stop doesn't move stop higher
trade.adjust_stop_loss(2.0, 0.3)
assert trade.liquidation_price == 3.8
assert trade.stop_loss == 2.2
assert trade.stop_loss_pct == -0.2
assert trade.initial_stop_loss == 2.2
# Stop does move stop higher with "allow_refresh"
trade.adjust_stop_loss(2.0, 0.3, allow_refresh=True)
assert trade.liquidation_price == 3.8
assert trade.stop_loss == 2.3
assert trade.stop_loss_pct == -0.3
assert trade.initial_stop_loss == 2.2
# Stoploss does move lower
trade.set_liquidation_price(1.5)
trade.adjust_stop_loss(1.8, 0.1)
assert trade.liquidation_price == 1.5
assert pytest.approx(trade.stop_loss) == 1.89
assert trade.stop_loss_pct == -0.1
assert trade.initial_stop_loss == 2.2
assert trade.stoploss_or_liquidation == 1.5
@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),
("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(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
interest_rate: 0.05 % per 4 hrs
open_rate: 2.00 quote
close_rate: 2.20 quote
amount: = 30.0 crypto
stake_amount
3x, -3x: 20.0 quote
5x, -5x: 12.0 quote
borrowed
10min
3x: 40 quote
-3x: 30 crypto
5x: 48 quote
-5x: 30 crypto
1x: 0
-1x: 30 crypto
hours: 1/6 (10 minutes)
time-periods:
10min
kraken: (1 + 1) 4hr_periods = 2 4hr_periods
binance: 1/24 24hr_periods
4.95hr
kraken: ceil(1 + 4.95/4) 4hr_periods = 3 4hr_periods
binance: ceil(4.95)/24 24hr_periods = 5/24 24hr_periods
interest: borrowed * interest_rate * time-periods
10min
binance 3x: 40 * 0.0005 * 1/24 = 0.0008333333333333334 quote
kraken 3x: 40 * 0.0005 * 2 = 0.040 quote
binace -3x: 30 * 0.0005 * 1/24 = 0.000625 crypto
kraken -3x: 30 * 0.0005 * 2 = 0.030 crypto
5hr
binance 3x: 40 * 0.0005 * 5/24 = 0.004166666666666667 quote
kraken 3x: 40 * 0.0005 * 3 = 0.06 quote
binace -3x: 30 * 0.0005 * 5/24 = 0.0031249999999999997 crypto
kraken -3x: 30 * 0.0005 * 3 = 0.045 crypto
0.00025 interest
binance 3x: 40 * 0.00025 * 5/24 = 0.0020833333333333333 quote
kraken 3x: 40 * 0.00025 * 3 = 0.03 quote
binace -3x: 30 * 0.00025 * 5/24 = 0.0015624999999999999 crypto
kraken -3x: 30 * 0.00025 * 3 = 0.0225 crypto
5x leverage, 0.0005 interest, 5hr
binance 5x: 48 * 0.0005 * 5/24 = 0.005 quote
kraken 5x: 48 * 0.0005 * 3 = 0.07200000000000001 quote
binace -5x: 30 * 0.0005 * 5/24 = 0.0031249999999999997 crypto
kraken -5x: 30 * 0.0005 * 3 = 0.045 crypto
1x leverage, 0.0005 interest, 5hr
binance,kraken 1x: 0.0 quote
binace -1x: 30 * 0.0005 * 5/24 = 0.003125 crypto
kraken -1x: 30 * 0.0005 * 3 = 0.045 crypto
"""
trade = Trade(
pair="ADA/USDT",
stake_amount=20.0,
amount=30.0,
open_rate=2.0,
open_date=datetime.now(UTC) - timedelta(minutes=minutes),
fee_open=fee.return_value,
fee_close=fee.return_value,
exchange=exchange,
leverage=lev,
interest_rate=rate,
is_short=is_short,
trading_mode=trading_mode,
)
assert round(float(trade.calculate_interest()), 8) == interest
@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(fee, is_short, lev, borrowed, trading_mode):
"""
10 minute limit trade on Binance/Kraken at 1x, 3x leverage
fee: 0.25% quote
interest_rate: 0.05% per 4 hrs
open_rate: 2.00 quote
close_rate: 2.20 quote
amount: = 30.0 crypto
stake_amount
1x,-1x: 60.0 quote
3x,-3x: 20.0 quote
borrowed
1x: 0 quote
3x: 40 quote
-1x: 30 crypto
-3x: 30 crypto
hours: 1/6 (10 minutes)
time-periods:
kraken: (1 + 1) 4hr_periods = 2 4hr_periods
binance: 1/24 24hr_periods
interest: borrowed * interest_rate * time-periods
1x : /
binance 3x: 40 * 0.0005 * 1/24 = 0.0008333333333333334 quote
kraken 3x: 40 * 0.0005 * 2 = 0.040 quote
binace -1x,-3x: 30 * 0.0005 * 1/24 = 0.000625 crypto
kraken -1x,-3x: 30 * 0.0005 * 2 = 0.030 crypto
open_value: (amount * open_rate) ± (amount * open_rate * fee)
1x, 3x: 30 * 2 + 30 * 2 * 0.0025 = 60.15 quote
-1x,-3x: 30 * 2 - 30 * 2 * 0.0025 = 59.850 quote
amount_closed:
1x, 3x : amount
-1x, -3x : amount + interest
binance -1x,-3x: 30 + 0.000625 = 30.000625 crypto
kraken -1x,-3x: 30 + 0.03 = 30.03 crypto
close_value:
1x, 3x: (amount_closed * close_rate) - (amount_closed * close_rate * fee) - interest
-1x,-3x: (amount_closed * close_rate) + (amount_closed * close_rate * fee)
binance,kraken 1x: (30.00 * 2.20) - (30.00 * 2.20 * 0.0025) = 65.835
binance 3x: (30.00 * 2.20) - (30.00 * 2.20 * 0.0025) - 0.00083333 = 65.83416667
kraken 3x: (30.00 * 2.20) - (30.00 * 2.20 * 0.0025) - 0.040 = 65.795
binance -1x,-3x: (30.000625 * 2.20) + (30.000625 * 2.20 * 0.0025) = 66.16637843750001
kraken -1x,-3x: (30.03 * 2.20) + (30.03 * 2.20 * 0.0025) = 66.231165
total_profit:
1x, 3x : close_value - open_value
-1x,-3x: open_value - close_value
binance,kraken 1x: 65.835 - 60.15 = 5.685
binance 3x: 65.83416667 - 60.15 = 5.684166670000003
kraken 3x: 65.795 - 60.15 = 5.645
binance -1x,-3x: 59.850 - 66.16637843750001 = -6.316378437500013
kraken -1x,-3x: 59.850 - 66.231165 = -6.381165
total_profit_ratio:
1x, 3x : ((close_value/open_value) - 1) * leverage
-1x,-3x: (1 - (close_value/open_value)) * leverage
binance 1x: ((65.835 / 60.15) - 1) * 1 = 0.0945137157107232
binance 3x: ((65.83416667 / 60.15) - 1) * 3 = 0.2834995845386534
kraken 1x: ((65.835 / 60.15) - 1) * 1 = 0.0945137157107232
kraken 3x: ((65.795 / 60.15) - 1) * 3 = 0.2815461346633419
binance -1x: (1-(66.1663784375 / 59.85)) * 1 = -0.1055368159983292
binance -3x: (1-(66.1663784375 / 59.85)) * 3 = -0.3166104479949876
kraken -1x: (1-(66.2311650 / 59.85)) * 1 = -0.106619298245614
kraken -3x: (1-(66.2311650 / 59.85)) * 3 = -0.319857894736842
"""
trade = Trade(
id=2,
pair="ADA/USDT",
stake_amount=60.0,
open_rate=2.0,
amount=30.0,
is_open=True,
open_date=dt_now(),
fee_open=fee.return_value,
fee_close=fee.return_value,
exchange="binance",
is_short=is_short,
leverage=lev,
trading_mode=trading_mode,
)
assert trade.borrowed == borrowed
@pytest.mark.parametrize(
"is_short,open_rate,close_rate,lev,profit,trading_mode",
[
(False, 2, 2.2, 1, 0.09451372, spot),
(True, 2.2, 2.0, 3, 0.25894253, margin),
],
)
@pytest.mark.usefixtures("init_persistence")
def test_update_limit_order(
fee,
caplog,
limit_buy_order_usdt,
limit_sell_order_usdt,
time_machine,
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
interest_rate: 0.05% per 4 hrs
open_rate: 2.00 quote
close_rate: 2.20 quote
amount: = 30.0 crypto
stake_amount
1x,-1x: 60.0 quote
3x,-3x: 20.0 quote
borrowed
1x: 0 quote
3x: 40 quote
-1x: 30 crypto
-3x: 30 crypto
hours: 1/6 (10 minutes)
time-periods:
kraken: (1 + 1) 4hr_periods = 2 4hr_periods
binance: 1/24 24hr_periods
interest: borrowed * interest_rate * time-periods
1x : /
binance 3x: 40 * 0.0005 * 1/24 = 0.0008333333333333334 quote
kraken 3x: 40 * 0.0005 * 2 = 0.040 quote
binace -1x,-3x: 30 * 0.0005 * 1/24 = 0.000625 crypto
kraken -1x,-3x: 30 * 0.0005 * 2 = 0.030 crypto
open_value: (amount * open_rate) ± (amount * open_rate * fee)
1x, 3x: 30 * 2 + 30 * 2 * 0.0025 = 60.15 quote
-1x,-3x: 30 * 2 - 30 * 2 * 0.0025 = 59.850 quote
amount_closed:
1x, 3x : amount
-1x, -3x : amount + interest
binance -1x,-3x: 30 + 0.000625 = 30.000625 crypto
kraken -1x,-3x: 30 + 0.03 = 30.03 crypto
close_value:
1x, 3x: (amount_closed * close_rate) - (amount_closed * close_rate * fee) - interest
-1x,-3x: (amount_closed * close_rate) + (amount_closed * close_rate * fee)
binance,kraken 1x: (30.00 * 2.20) - (30.00 * 2.20 * 0.0025) = 65.835
binance 3x: (30.00 * 2.20) - (30.00 * 2.20 * 0.0025) - 0.00083333 = 65.83416667
kraken 3x: (30.00 * 2.20) - (30.00 * 2.20 * 0.0025) - 0.040 = 65.795
binance -1x,-3x: (30.000625 * 2.20) + (30.000625 * 2.20 * 0.0025) = 66.16637843750001
kraken -1x,-3x: (30.03 * 2.20) + (30.03 * 2.20 * 0.0025) = 66.231165
total_profit:
1x, 3x : close_value - open_value
-1x,-3x: open_value - close_value
binance,kraken 1x: 65.835 - 60.15 = 5.685
binance 3x: 65.83416667 - 60.15 = 5.684166670000003
kraken 3x: 65.795 - 60.15 = 5.645
binance -1x,-3x: 59.850 - 66.16637843750001 = -6.316378437500013
kraken -1x,-3x: 59.850 - 66.231165 = -6.381165
total_profit_ratio:
1x, 3x : ((close_value/open_value) - 1) * leverage
-1x,-3x: (1 - (close_value/open_value)) * leverage
binance 1x: ((65.835 / 60.15) - 1) * 1 = 0.0945137157107232
binance 3x: ((65.83416667 / 60.15) - 1) * 3 = 0.2834995845386534
kraken 1x: ((65.835 / 60.15) - 1) * 1 = 0.0945137157107232
kraken 3x: ((65.795 / 60.15) - 1) * 3 = 0.2815461346633419
binance -1x: (1-(66.1663784375 / 59.85)) * 1 = -0.1055368159983292
binance -3x: (1-(66.1663784375 / 59.85)) * 3 = -0.3166104479949876
kraken -1x: (1-(66.2311650 / 59.85)) * 1 = -0.106619298245614
kraken -3x: (1-(66.2311650 / 59.85)) * 3 = -0.319857894736842
open_rate: 2.2, close_rate: 2.0, -3x, binance, short
open_value: 30 * 2.2 - 30 * 2.2 * 0.0025 = 65.835 quote
amount_closed: 30 + 0.000625 = 30.000625 crypto
close_value: (30.000625 * 2.0) + (30.000625 * 2.0 * 0.0025) = 60.151253125
total_profit: 65.835 - 60.151253125 = 5.683746874999997
total_profit_ratio: (1-(60.151253125/65.835)) * 3 = 0.2589996297562085
"""
time_machine.move_to("2022-03-31 20:45:00 +00:00")
enter_order = limit_sell_order_usdt if is_short else limit_buy_order_usdt
exit_order = limit_buy_order_usdt if is_short else limit_sell_order_usdt
entry_side, exit_side = ("sell", "buy") if is_short else ("buy", "sell")
trade = Trade(
id=2,
pair="ADA/USDT",
stake_amount=60.0,
open_rate=open_rate,
amount=30.0,
is_open=True,
open_date=dt_now(),
fee_open=fee.return_value,
fee_close=fee.return_value,
exchange="binance",
is_short=is_short,
interest_rate=0.0005,
leverage=lev,
trading_mode=trading_mode,
)
assert not trade.has_open_orders
assert trade.close_profit is None
assert trade.close_date is None
oobj = Order.parse_from_ccxt_object(enter_order, "ADA/USDT", entry_side)
trade.orders.append(oobj)
trade.update_trade(oobj)
assert not trade.has_open_orders
assert trade.open_rate == open_rate
assert trade.close_profit is None
assert trade.close_date is None
assert log_has_re(
f"LIMIT_{entry_side.upper()} has been fulfilled for "
r"Trade\(id=2, pair=ADA/USDT, amount=30, "
f"is_short={is_short}, leverage={lev}, open_rate={open_rate}, "
r"open_since=.*\).",
caplog,
)
caplog.clear()
time_machine.move_to("2022-03-31 21:45:05 +00:00")
oobj = Order.parse_from_ccxt_object(exit_order, "ADA/USDT", exit_side)
trade.orders.append(oobj)
trade.update_trade(oobj)
assert not trade.has_open_orders
assert trade.close_rate == close_rate
assert pytest.approx(trade.close_profit) == profit
assert trade.close_date is not None
assert log_has_re(
f"LIMIT_{exit_side.upper()} has been fulfilled for "
r"Trade\(id=2, pair=ADA/USDT, amount=30, "
f"is_short={is_short}, leverage={lev}, open_rate={open_rate}, "
r"open_since=.*\).",
caplog,
)
caplog.clear()
@pytest.mark.usefixtures("init_persistence")
def test_update_market_order(market_buy_order_usdt, market_sell_order_usdt, fee, caplog):
trade = Trade(
id=1,
pair="ADA/USDT",
stake_amount=60.0,
open_rate=2.0,
amount=30.0,
is_open=True,
fee_open=fee.return_value,
fee_close=fee.return_value,
open_date=dt_now(),
exchange="binance",
trading_mode=margin,
leverage=1.0,
)
oobj = Order.parse_from_ccxt_object(market_buy_order_usdt, "ADA/USDT", "buy")
trade.orders.append(oobj)
trade.update_trade(oobj)
assert not trade.has_open_orders
assert trade.open_rate == 2.0
assert trade.close_profit is None
assert trade.close_date is None
assert log_has_re(
r"MARKET_BUY has been fulfilled for Trade\(id=1, "
r"pair=ADA/USDT, amount=30, is_short=False, leverage=1, "
r"open_rate=2, open_since=.*\).",
caplog,
)
caplog.clear()
trade.is_open = True
oobj = Order.parse_from_ccxt_object(market_sell_order_usdt, "ADA/USDT", "sell")
trade.orders.append(oobj)
trade.update_trade(oobj)
assert not trade.has_open_orders
assert trade.close_rate == 2.2
assert pytest.approx(trade.close_profit) == 0.094513715710723
assert trade.close_date is not None
assert log_has_re(
r"MARKET_SELL has been fulfilled for Trade\(id=1, "
r"pair=ADA/USDT, amount=30, is_short=False, leverage=1, "
r"open_rate=2, open_since=.*\).",
caplog,
)
@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, 0.09451371, spot, 0.0),
("binance", True, 1, 65.835, 60.151253125, 5.68374687, 0.08633321, margin, 0.0),
("binance", False, 3, 60.15, 65.83416667, 5.68416667, 0.28349958, margin, 0.0),
("binance", True, 3, 65.835, 60.151253125, 5.68374687, 0.25899963, margin, 0.0),
("kraken", False, 1, 60.15, 65.835, 5.685, 0.09451371, spot, 0.0),
("kraken", True, 1, 65.835, 60.21015, 5.62485, 0.0854386, margin, 0.0),
("kraken", False, 3, 60.15, 65.795, 5.645, 0.28154613, margin, 0.0),
("kraken", True, 3, 65.835, 60.21015, 5.62485, 0.25631579, margin, 0.0),
("binance", False, 1, 60.15, 65.835, 5.685, 0.09451371, futures, 0.0),
("binance", False, 1, 60.15, 66.835, 6.685, 0.11113881, futures, 1.0),
("binance", True, 1, 65.835, 60.15, 5.685, 0.08635224, futures, 0.0),
("binance", True, 1, 65.835, 61.15, 4.685, 0.07116276, futures, -1.0),
("binance", True, 3, 65.835, 59.15, 6.685, 0.3046252, futures, 1.0),
("binance", False, 3, 60.15, 64.835, 4.685, 0.23366583, futures, -1.0),
],
)
@pytest.mark.usefixtures("init_persistence")
def test_calc_open_close_trade_price(
limit_order,
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,
open_rate=2.0,
amount=30.0,
open_date=datetime.now(tz=UTC) - timedelta(minutes=10),
interest_rate=0.0005,
fee_open=fee.return_value,
fee_close=fee.return_value,
exchange=exchange,
is_short=is_short,
leverage=lev,
trading_mode=trading_mode,
)
entry_order = limit_order[trade.entry_side]
exit_order = limit_order[trade.exit_side]
oobj = Order.parse_from_ccxt_object(entry_order, "ADA/USDT", trade.entry_side)
oobj._trade_live = trade
oobj.update_from_ccxt_object(entry_order)
trade.update_trade(oobj)
trade.funding_fee_running = funding_fees
oobj = Order.parse_from_ccxt_object(exit_order, "ADA/USDT", trade.exit_side)
oobj._trade_live = trade
oobj.update_from_ccxt_object(exit_order)
trade.update_trade(oobj)
assert trade.is_open is False
# Funding fees transfer from funding_fee_running to funding_Fees
assert trade.funding_fees == funding_fees
assert trade.orders[-1].funding_fee == funding_fees
assert pytest.approx(trade._calc_open_trade_value(trade.amount, trade.open_rate)) == open_value
assert pytest.approx(trade.calc_close_trade_value(trade.close_rate)) == close_value
assert pytest.approx(trade.close_profit_abs) == profit
assert pytest.approx(trade.close_profit) == profit_ratio
@pytest.mark.usefixtures("init_persistence")
def test_trade_close(fee, time_machine):
time_machine.move_to("2022-09-01 05:00:00 +00:00", tick=False)
trade = Trade(
pair="ADA/USDT",
stake_amount=60.0,
open_rate=2.0,
amount=30.0,
is_open=True,
fee_open=fee.return_value,
fee_close=fee.return_value,
open_date=dt_now() - timedelta(minutes=10),
interest_rate=0.0005,
exchange="binance",
trading_mode=margin,
leverage=1.0,
)
trade.orders.append(
Order(
ft_order_side=trade.entry_side,
order_id=f"{trade.pair}-{trade.entry_side}-{trade.open_date}",
ft_is_open=False,
ft_pair=trade.pair,
amount=trade.amount,
filled=trade.amount,
remaining=0,
price=trade.open_rate,
average=trade.open_rate,
status="closed",
order_type="limit",
side=trade.entry_side,
order_filled_date=trade.open_date,
)
)
trade.orders.append(
Order(
ft_order_side=trade.exit_side,
order_id=f"{trade.pair}-{trade.exit_side}-{trade.open_date}",
ft_is_open=False,
ft_pair=trade.pair,
amount=trade.amount,
filled=trade.amount,
remaining=0,
price=2.2,
average=2.2,
status="closed",
order_type="limit",
side=trade.exit_side,
order_filled_date=dt_now(),
)
)
assert trade.close_profit is None
assert trade.close_date is None
assert trade.is_open is True
trade.close(2.2)
assert trade.is_open is False
assert pytest.approx(trade.close_profit) == 0.094513715
assert trade.close_date is not None
assert trade.close_date_utc == dt_now()
new_date = dt_now() + timedelta(minutes=5)
assert trade.close_date_utc != new_date
# Close should NOT update close_date if the trade has been closed already
assert trade.is_open is False
trade.close_date = new_date
trade.close(2.2)
assert trade.close_date_utc == new_date
@pytest.mark.usefixtures("init_persistence")
def test_calc_close_trade_price_exception(limit_buy_order_usdt, fee):
trade = Trade(
pair="ADA/USDT",
stake_amount=60.0,
open_rate=2.0,
amount=30.0,
fee_open=fee.return_value,
fee_close=fee.return_value,
exchange="binance",
trading_mode=margin,
leverage=1.0,
)
oobj = Order.parse_from_ccxt_object(limit_buy_order_usdt, "ADA/USDT", "buy")
trade.update_trade(oobj)
assert trade.calc_close_trade_value(trade.close_rate) == 0.0
@pytest.mark.usefixtures("init_persistence")
def test_update_open_order(limit_buy_order_usdt):
trade = Trade(
pair="ADA/USDT",
stake_amount=60.0,
open_rate=2.0,
amount=30.0,
fee_open=0.1,
fee_close=0.1,
exchange="binance",
trading_mode=margin,
)
assert not trade.has_open_orders
assert trade.close_profit is None
assert trade.close_date is None
limit_buy_order_usdt["status"] = "open"
oobj = Order.parse_from_ccxt_object(limit_buy_order_usdt, "ADA/USDT", "buy")
trade.update_trade(oobj)
assert not trade.has_open_orders
assert trade.close_profit is None
assert trade.close_date is None
@pytest.mark.usefixtures("init_persistence")
def test_update_invalid_order(limit_buy_order_usdt):
trade = Trade(
pair="ADA/USDT",
stake_amount=60.0,
amount=30.0,
open_rate=2.0,
fee_open=0.1,
fee_close=0.1,
exchange="binance",
trading_mode=margin,
)
limit_buy_order_usdt["type"] = "invalid"
oobj = Order.parse_from_ccxt_object(limit_buy_order_usdt, "ADA/USDT", "meep")
with pytest.raises(ValueError, match=r"Unknown order type"):
trade.update_trade(oobj)
@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),
(False, 0.0025, 60.15),
(False, 0.003, 60.18),
(False, 0.0025, 60.15),
(True, 0.003, 59.82),
(True, 0.0025, 59.85),
(True, 0.003, 59.82),
(True, 0.0025, 59.85),
],
)
@pytest.mark.usefixtures("init_persistence")
def test_calc_open_trade_value(
limit_buy_order_usdt, exchange, lev, is_short, fee_rate, result, trading_mode
):
# 10 minute limit trade on Binance/Kraken at 1x, 3x leverage
# fee: 0.25 %, 0.3% quote
# open_rate: 2.00 quote
# amount: = 30.0 crypto
# stake_amount
# 1x, -1x: 60.0 quote
# 3x, -3x: 20.0 quote
# open_value: (amount * open_rate) ± (amount * open_rate * fee)
# 0.25% fee
# 1x, 3x: 30 * 2 + 30 * 2 * 0.0025 = 60.15 quote
# -1x,-3x: 30 * 2 - 30 * 2 * 0.0025 = 59.85 quote
# 0.3% fee
# 1x, 3x: 30 * 2 + 30 * 2 * 0.003 = 60.18 quote
# -1x,-3x: 30 * 2 - 30 * 2 * 0.003 = 59.82 quote
trade = Trade(
pair="ADA/USDT",
stake_amount=60.0,
amount=30.0,
open_rate=2.0,
open_date=datetime.now(tz=UTC) - timedelta(minutes=10),
fee_open=fee_rate,
fee_close=fee_rate,
exchange=exchange,
leverage=lev,
is_short=is_short,
trading_mode=trading_mode,
)
oobj = Order.parse_from_ccxt_object(
limit_buy_order_usdt, "ADA/USDT", "sell" if is_short else "buy"
)
trade.update_trade(oobj) # Buy @ 2.0
# Get the open rate price with the standard fee rate
assert trade._calc_open_trade_value(trade.amount, trade.open_rate) == result
@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(
open_rate, exchange, is_short, lev, close_rate, fee_rate, result, trading_mode, funding_fees
):
trade = Trade(
pair="ADA/USDT",
stake_amount=60.0,
amount=30.0,
open_rate=open_rate,
open_date=datetime.now(tz=UTC) - timedelta(minutes=10),
fee_open=fee_rate,
fee_close=fee_rate,
exchange=exchange,
interest_rate=0.0005,
is_short=is_short,
leverage=lev,
trading_mode=trading_mode,
funding_fees=funding_fees,
)
assert round(trade.calc_close_trade_value(rate=close_rate), 8) == result
@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, 0.044763092, spot, 0),
("binance", False, 3, 2.1, 0.0025, 8.075, 0.134247714, margin, 0),
("binance", True, 1, 2.1, 0.0025, -3.3088157, -0.055285142, margin, 0),
("binance", True, 3, 2.1, 0.0025, -9.92644709, -0.16585542, margin, 0),
("binance", False, 1, 1.9, 0.0025, -3.2925, -0.054738154, margin, 0),
("binance", False, 3, 1.9, 0.0025, -9.88, -0.164256026, margin, 0),
("binance", True, 1, 1.9, 0.0025, 2.70630953, 0.0452182043, margin, 0),
("binance", True, 3, 1.9, 0.0025, 8.11892859, 0.135654613, margin, 0),
("binance", False, 1, 2.2, 0.0025, 5.685, 0.09451371, margin, 0),
("binance", False, 3, 2.2, 0.0025, 17.0525, 0.28349958, margin, 0),
("binance", True, 1, 2.2, 0.0025, -6.3163784, -0.10553681, margin, 0),
("binance", True, 3, 2.2, 0.0025, -18.94913, -0.31661044, margin, 0),
# Kraken
("kraken", False, 1, 2.1, 0.0025, 2.6925, 0.044763092, spot, 0),
("kraken", False, 3, 2.1, 0.0025, 7.9575, 0.132294264, margin, 0),
("kraken", True, 1, 2.1, 0.0025, -3.3706575, -0.056318421, margin, 0),
("kraken", True, 3, 2.1, 0.0025, -10.1119725, -0.168955263, margin, 0),
("kraken", False, 1, 1.9, 0.0025, -3.2925, -0.054738154, margin, 0),
("kraken", False, 3, 1.9, 0.0025, -9.9975, -0.166209476, margin, 0),
("kraken", True, 1, 1.9, 0.0025, 2.6503575, 0.044283333, margin, 0),
("kraken", True, 3, 1.9, 0.0025, 7.9510725, 0.132850000, margin, 0),
("kraken", False, 1, 2.2, 0.0025, 5.685, 0.09451371, margin, 0),
("kraken", False, 3, 2.2, 0.0025, 16.935, 0.28154613, margin, 0),
("kraken", True, 1, 2.2, 0.0025, -6.381165, -0.1066192, margin, 0),
("kraken", True, 3, 2.2, 0.0025, -19.143495, -0.3198578, margin, 0),
("binance", False, 1, 2.1, 0.003, 2.66100000, 0.044239401, spot, 0),
("binance", False, 1, 1.9, 0.003, -3.3209999, -0.055211970, spot, 0),
("binance", False, 1, 2.2, 0.003, 5.6520000, 0.093965087, spot, 0),
# FUTURES, funding_fee=1
("binance", False, 1, 2.1, 0.0025, 3.6925, 0.06138819, futures, 1),
("binance", False, 3, 2.1, 0.0025, 9.0775, 0.15091438, futures, 1),
("binance", True, 1, 2.1, 0.0025, -2.3074999, -0.03855472, futures, 1),
("binance", True, 3, 2.1, 0.0025, -8.9225, -0.14908104, futures, 1),
("binance", False, 1, 1.9, 0.0025, -2.2925, -0.03811305, futures, 1),
("binance", False, 3, 1.9, 0.0025, -8.8775, -0.14758936, futures, 1),
("binance", True, 1, 1.9, 0.0025, 3.7075, 0.06194653, futures, 1),
("binance", True, 3, 1.9, 0.0025, 9.1225, 0.15242272, futures, 1),
("binance", False, 1, 2.2, 0.0025, 6.685, 0.11113881, futures, 1),
("binance", False, 3, 2.2, 0.0025, 18.055, 0.30016625, futures, 1),
("binance", True, 1, 2.2, 0.0025, -5.315, -0.08880534, futures, 1),
("binance", True, 3, 2.2, 0.0025, -17.945, -0.29983292, futures, 1),
# FUTURES, funding_fee=-1
("binance", False, 1, 2.1, 0.0025, 1.6925, 0.02813798, futures, -1),
("binance", False, 3, 2.1, 0.0025, 7.0775, 0.11766417, futures, -1),
("binance", True, 1, 2.1, 0.0025, -4.307499, -0.07197159, futures, -1),
("binance", True, 3, 2.1, 0.0025, -10.92249, -0.18249791, futures, -1),
("binance", False, 1, 1.9, 0.0025, -4.292499, -0.07136325, futures, -1),
("binance", False, 3, 1.9, 0.0025, -10.87749, -0.18083957, futures, -1),
("binance", True, 1, 1.9, 0.0025, 1.7075, 0.02852965, futures, -1),
("binance", True, 3, 1.9, 0.0025, 7.1225, 0.11900585, futures, -1),
("binance", False, 1, 2.2, 0.0025, 4.684999, 0.07788861, futures, -1),
("binance", False, 3, 2.2, 0.0025, 16.055, 0.26691604, futures, -1),
("binance", True, 1, 2.2, 0.0025, -7.315, -0.12222222, futures, -1),
("binance", True, 3, 2.2, 0.0025, -19.945, -0.33324979, futures, -1),
# FUTURES, funding_fee=0
("binance", False, 1, 2.1, 0.0025, 2.6925, 0.04476309, futures, 0),
("binance", False, 3, 2.1, 0.0025, 8.0775, 0.13428928, futures, 0),
("binance", True, 1, 2.1, 0.0025, -3.3074999, -0.05526316, futures, 0),
("binance", True, 3, 2.1, 0.0025, -9.9224997, -0.16578947, futures, 0),
("binance", False, 1, 1.9, 0.0025, -3.2925, -0.05473815, futures, 0),
("binance", False, 3, 1.9, 0.0025, -9.8775, -0.16421446, futures, 0),
("binance", True, 1, 1.9, 0.0025, 2.7075, 0.0452381, futures, 0),
("binance", True, 3, 1.9, 0.0025, 8.1225, 0.13571429, futures, 0),
],
)
@pytest.mark.usefixtures("init_persistence")
def test_calc_profit(
exchange, is_short, lev, close_rate, fee_close, profit, profit_ratio, trading_mode, funding_fees
):
"""
10 minute limit trade on Binance/Kraken at 1x, 3x leverage
arguments:
fee:
0.25% quote
0.30% quote
interest_rate: 0.05% per 4 hrs
open_rate: 2.0 quote
close_rate:
1.9 quote
2.1 quote
2.2 quote
amount: = 30.0 crypto
stake_amount
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
-1x: 30 crypto
-3x: 30 crypto
time-periods:
kraken: (1 + 1) 4hr_periods = 2 4hr_periods
binance: 1/24 24hr_periods
interest: borrowed * interest_rate * time-periods
1x : /
binance 3x: 40 * 0.0005 * 1/24 = 0.0008333333333333334 quote
kraken 3x: 40 * 0.0005 * 2 = 0.040 quote
binace -1x,-3x: 30 * 0.0005 * 1/24 = 0.000625 crypto
kraken -1x,-3x: 30 * 0.0005 * 2 = 0.030 crypto
open_value: (amount * open_rate) ± (amount * open_rate * fee)
0.0025 fee
1x, 3x: 30 * 2 + 30 * 2 * 0.0025 = 60.15 quote
-1x,-3x: 30 * 2 - 30 * 2 * 0.0025 = 59.85 quote
0.003 fee: Is only applied to close rate in this test
amount_closed:
1x, 3x = amount
-1x, -3x = amount + interest
binance -1x,-3x: 30 + 0.000625 = 30.000625 crypto
kraken -1x,-3x: 30 + 0.03 = 30.03 crypto
close_value:
equations:
1x, 3x: (amount_closed * close_rate) - (amount_closed * close_rate * fee) - interest
-1x,-3x: (amount_closed * close_rate) + (amount_closed * close_rate * fee)
2.1 quote
bin,krak 1x: (30.00 * 2.1) - (30.00 * 2.1 * 0.0025) = 62.8425
bin 3x: (30.00 * 2.1) - (30.00 * 2.1 * 0.0025) - 0.0008333333 = 62.8416666667
krak 3x: (30.00 * 2.1) - (30.00 * 2.1 * 0.0025) - 0.040 = 62.8025
bin -1x,-3x: (30.000625 * 2.1) + (30.000625 * 2.1 * 0.0025) = 63.15881578125
krak -1x,-3x: (30.03 * 2.1) + (30.03 * 2.1 * 0.0025) = 63.2206575
1.9 quote
bin,krak 1x: (30.00 * 1.9) - (30.00 * 1.9 * 0.0025) = 56.8575
bin 3x: (30.00 * 1.9) - (30.00 * 1.9 * 0.0025) - 0.0008333333 = 56.85666667
krak 3x: (30.00 * 1.9) - (30.00 * 1.9 * 0.0025) - 0.040 = 56.8175
bin -1x,-3x: (30.000625 * 1.9) + (30.000625 * 1.9 * 0.0025) = 57.14369046875
krak -1x,-3x: (30.03 * 1.9) + (30.03 * 1.9 * 0.0025) = 57.1996425
2.2 quote
bin,krak 1x: (30.00 * 2.20) - (30.00 * 2.20 * 0.0025) = 65.835
bin 3x: (30.00 * 2.20) - (30.00 * 2.20 * 0.0025) - 0.00083333 = 65.83416667
krak 3x: (30.00 * 2.20) - (30.00 * 2.20 * 0.0025) - 0.040 = 65.795
bin -1x,-3x: (30.000625 * 2.20) + (30.000625 * 2.20 * 0.0025) = 66.1663784375
krak -1x,-3x: (30.03 * 2.20) + (30.03 * 2.20 * 0.0025) = 66.231165
total_profit:
equations:
1x, 3x : close_value - open_value
-1x,-3x: open_value - close_value
2.1 quote
binance,kraken 1x: 62.8425 - 60.15 = 2.6925
binance 3x: 62.84166667 - 60.15 = 2.69166667
kraken 3x: 62.8025 - 60.15 = 2.6525
binance -1x,-3x: 59.850 - 63.15881578125 = -3.308815781249997
kraken -1x,-3x: 59.850 - 63.2206575 = -3.3706575
1.9 quote
binance,kraken 1x: 56.8575 - 60.15 = -3.2925
binance 3x: 56.85666667 - 60.15 = -3.29333333
kraken 3x: 56.8175 - 60.15 = -3.3325
binance -1x,-3x: 59.850 - 57.14369046875 = 2.7063095312499996
kraken -1x,-3x: 59.850 - 57.1996425 = 2.6503575
2.2 quote
binance,kraken 1x: 65.835 - 60.15 = 5.685
binance 3x: 65.83416667 - 60.15 = 5.68416667
kraken 3x: 65.795 - 60.15 = 5.645
binance -1x,-3x: 59.850 - 66.1663784375 = -6.316378437499999
kraken -1x,-3x: 59.850 - 66.231165 = -6.381165
total_profit_ratio:
equations:
1x, 3x : ((close_value/open_value) - 1) * leverage
-1x,-3x: (1 - (close_value/open_value)) * leverage
2.1 quote
binance,kraken 1x: (62.8425 / 60.15) - 1 = 0.04476309226932673
binance 3x: ((62.84166667 / 60.15) - 1)*3 = 0.13424771421446402
kraken 3x: ((62.8025 / 60.15) - 1)*3 = 0.13229426433915248
binance -1x: 1 - (63.15881578125 / 59.850) = -0.05528514254385963
binance -3x: (1 - (63.15881578125 / 59.850))*3 = -0.1658554276315789
kraken -1x: 1 - (63.2206575 / 59.850) = -0.05631842105263152
kraken -3x: (1 - (63.2206575 / 59.850))*3 = -0.16895526315789455
1.9 quote
binance,kraken 1x: (56.8575 / 60.15) - 1 = -0.05473815461346632
binance 3x: ((56.85666667 / 60.15) - 1)*3 = -0.16425602643391513
kraken 3x: ((56.8175 / 60.15) - 1)*3 = -0.16620947630922667
binance -1x: 1 - (57.14369046875 / 59.850) = 0.045218204365079395
binance -3x: (1 - (57.14369046875 / 59.850))*3 = 0.13565461309523819
kraken -1x: 1 - (57.1996425 / 59.850) = 0.04428333333333334
kraken -3x: (1 - (57.1996425 / 59.850))*3 = 0.13285000000000002
2.2 quote
binance,kraken 1x: (65.835 / 60.15) - 1 = 0.0945137157107232
binance 3x: ((65.83416667 / 60.15) - 1)*3 = 0.2834995845386534
kraken 3x: ((65.795 / 60.15) - 1)*3 = 0.2815461346633419
binance -1x: 1 - (66.1663784375 / 59.850) = -0.1055368159983292
binance -3x: (1 - (66.1663784375 / 59.850))*3 = -0.3166104479949876
kraken -1x: 1 - (66.231165 / 59.850) = -0.106619298245614
kraken -3x: (1 - (66.231165 / 59.850))*3 = -0.319857894736842
fee: 0.003, 1x
close_value:
2.1 quote: (30.00 * 2.1) - (30.00 * 2.1 * 0.003) = 62.811
1.9 quote: (30.00 * 1.9) - (30.00 * 1.9 * 0.003) = 56.829
2.2 quote: (30.00 * 2.2) - (30.00 * 2.2 * 0.003) = 65.802
total_profit
fee: 0.003, 1x
2.1 quote: 62.811 - 60.15 = 2.6610000000000014
1.9 quote: 56.829 - 60.15 = -3.320999999999998
2.2 quote: 65.802 - 60.15 = 5.652000000000008
total_profit_ratio
fee: 0.003, 1x
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",
stake_amount=60.0,
amount=30.0 * lev,
open_rate=2.0,
open_date=datetime.now(tz=UTC) - timedelta(minutes=10),
interest_rate=0.0005,
exchange=exchange,
is_short=is_short,
leverage=lev,
fee_open=0.0025,
fee_close=fee_close,
max_stake_amount=60.0,
trading_mode=trading_mode,
funding_fees=funding_fees,
)
profit_res = trade.calculate_profit(close_rate)
assert pytest.approx(profit_res.profit_abs) == round(profit, 8)
assert pytest.approx(profit_res.profit_ratio) == round(profit_ratio, 8)
val = trade.open_trade_value * (profit_res.profit_ratio) / lev
assert pytest.approx(val) == profit_res.profit_abs
assert pytest.approx(profit_res.total_profit) == round(profit, 8)
assert pytest.approx(profit_res.total_profit_ratio) == round(profit_ratio, 8)
assert pytest.approx(trade.calc_profit(rate=close_rate)) == round(profit, 8)
assert pytest.approx(trade.calc_profit_ratio(rate=close_rate)) == round(profit_ratio, 8)
profit_res2 = trade.calculate_profit(close_rate, trade.amount, trade.open_rate)
assert pytest.approx(profit_res2.profit_abs) == round(profit, 8)
assert pytest.approx(profit_res2.profit_ratio) == round(profit_ratio, 8)
assert pytest.approx(profit_res2.total_profit) == round(profit, 8)
assert pytest.approx(profit_res2.total_profit_ratio) == round(profit_ratio, 8)
assert pytest.approx(trade.calc_profit(close_rate, trade.amount, trade.open_rate)) == round(
profit, 8
)
assert pytest.approx(
trade.calc_profit_ratio(close_rate, trade.amount, trade.open_rate)
) == round(profit_ratio, 8)
def test_adjust_stop_loss(fee):
trade = Trade(
pair="ADA/USDT",
stake_amount=30.0,
amount=30,
fee_open=fee.return_value,
fee_close=fee.return_value,
exchange="binance",
open_rate=1,
max_rate=1,
)
trade.adjust_stop_loss(trade.open_rate, 0.05, True)
assert trade.stop_loss == 0.95
assert trade.stop_loss_pct == -0.05
assert trade.initial_stop_loss == 0.95
assert trade.initial_stop_loss_pct == -0.05
# Get percent of profit with a lower rate
trade.adjust_stop_loss(0.96, 0.05)
assert trade.stop_loss == 0.95
assert trade.stop_loss_pct == -0.05
assert trade.initial_stop_loss == 0.95
assert trade.initial_stop_loss_pct == -0.05
# Get percent of profit with a custom rate (Higher than open rate)
trade.adjust_stop_loss(1.3, -0.1)
assert pytest.approx(trade.stop_loss) == 1.17
assert trade.stop_loss_pct == -0.1
assert trade.initial_stop_loss == 0.95
assert trade.initial_stop_loss_pct == -0.05
# current rate lower again ... should not change
trade.adjust_stop_loss(1.2, 0.1)
assert pytest.approx(trade.stop_loss) == 1.17
assert trade.initial_stop_loss == 0.95
assert trade.initial_stop_loss_pct == -0.05
# current rate higher... should raise stoploss
trade.adjust_stop_loss(1.4, 0.1)
assert pytest.approx(trade.stop_loss) == 1.26
assert trade.initial_stop_loss == 0.95
assert trade.initial_stop_loss_pct == -0.05
# Initial is true but stop_loss set - so doesn't do anything
trade.adjust_stop_loss(1.7, 0.1, True)
assert pytest.approx(trade.stop_loss) == 1.26
assert trade.initial_stop_loss == 0.95
assert trade.initial_stop_loss_pct == -0.05
assert trade.stop_loss_pct == -0.1
def test_adjust_stop_loss_short(fee):
trade = Trade(
pair="ADA/USDT",
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,
)
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
assert trade.initial_stop_loss == 1.05
assert trade.initial_stop_loss_pct == -0.05
assert trade.stop_loss_pct == -0.1
# Liquidation price is lower than stoploss - so liquidation would trigger first.
trade.set_liquidation_price(0.63)
trade.adjust_stop_loss(0.59, -0.1)
assert trade.stop_loss == 0.649
assert trade.liquidation_price == 0.63
def test_adjust_min_max_rates(fee):
trade = Trade(
pair="ADA/USDT",
stake_amount=30.0,
amount=30.0,
fee_open=fee.return_value,
fee_close=fee.return_value,
exchange="binance",
open_rate=1,
)
trade.adjust_min_max_rates(trade.open_rate, trade.open_rate)
assert trade.max_rate == 1
assert trade.min_rate == 1
# check min adjusted, max remained
trade.adjust_min_max_rates(0.96, 0.96)
assert trade.max_rate == 1
assert trade.min_rate == 0.96
# check max adjusted, min remains
trade.adjust_min_max_rates(1.05, 1.05)
assert trade.max_rate == 1.05
assert trade.min_rate == 0.96
# current rate "in the middle" - no adjustment
trade.adjust_min_max_rates(1.03, 1.03)
assert trade.max_rate == 1.05
assert trade.min_rate == 0.96
# current rate "in the middle" - no adjustment
trade.adjust_min_max_rates(1.10, 0.91)
assert trade.max_rate == 1.10
assert trade.min_rate == 0.91
@pytest.mark.usefixtures("init_persistence")
@pytest.mark.parametrize("use_db", [True, False])
@pytest.mark.parametrize("is_short", [True, False])
def test_get_open(fee, is_short, use_db):
Trade.use_db = use_db
Trade.reset_trades()
create_mock_trades(fee, is_short, use_db)
assert len(Trade.get_open_trades()) == 4
assert Trade.get_open_trade_count() == 4
Trade.use_db = True
@pytest.mark.usefixtures("init_persistence")
@pytest.mark.parametrize("use_db", [True, False])
def test_get_open_lev(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
assert Trade.get_open_trade_count() == 5
Trade.use_db = True
@pytest.mark.parametrize("is_short", [True, False])
@pytest.mark.parametrize("use_db", [True, False])
@pytest.mark.usefixtures("init_persistence")
def test_get_open_orders(fee, is_short, use_db):
Trade.use_db = use_db
Trade.reset_trades()
create_mock_trades_usdt(fee, is_short, use_db)
# Trade.commit()
trade = Trade.get_trades_proxy(pair="XRP/USDT")[0]
# assert trade.id == 3
assert len(trade.orders) == 2
assert len(trade.open_orders) == 0
assert not trade.has_open_orders
Trade.use_db = True
@pytest.mark.usefixtures("init_persistence")
def test_to_json(fee):
# Simulate dry_run entries
trade = Trade(
pair="ADA/USDT",
stake_amount=0.001,
amount=123.0,
amount_requested=123.0,
fee_open=fee.return_value,
fee_close=fee.return_value,
open_date=dt_now() - timedelta(hours=2),
open_rate=0.123,
exchange="binance",
enter_tag=None,
precision_mode=1,
precision_mode_price=1,
amount_precision=8.0,
price_precision=7.0,
contract_size=1,
)
result = trade.to_json()
assert isinstance(result, dict)
assert result == {
"trade_id": None,
"pair": "ADA/USDT",
"base_currency": "ADA",
"quote_currency": "USDT",
"is_open": None,
"open_date": trade.open_date.strftime(DATETIME_PRINT_FORMAT),
"open_timestamp": int(trade.open_date.timestamp() * 1000),
"open_fill_date": None,
"open_fill_timestamp": None,
"close_date": None,
"close_timestamp": None,
"open_rate": 0.123,
"open_rate_requested": None,
"open_trade_value": 15.1668225,
"fee_close": 0.0025,
"fee_close_cost": None,
"fee_close_currency": None,
"fee_open": 0.0025,
"fee_open_cost": None,
"fee_open_currency": None,
"close_rate": None,
"close_rate_requested": None,
"amount": 123.0,
"amount_requested": 123.0,
"stake_amount": 0.001,
"max_stake_amount": None,
"trade_duration": None,
"trade_duration_s": None,
"realized_profit": 0.0,
"realized_profit_ratio": None,
"close_profit": None,
"close_profit_pct": None,
"close_profit_abs": None,
"profit_ratio": None,
"profit_pct": None,
"profit_abs": None,
"exit_reason": None,
"exit_order_status": None,
"stop_loss_abs": None,
"stop_loss_ratio": None,
"stop_loss_pct": None,
"stoploss_last_update": None,
"stoploss_last_update_timestamp": None,
"initial_stop_loss_abs": None,
"initial_stop_loss_pct": None,
"initial_stop_loss_ratio": None,
"min_rate": None,
"max_rate": None,
"strategy": None,
"enter_tag": None,
"timeframe": None,
"exchange": "binance",
"leverage": None,
"interest_rate": None,
"liquidation_price": None,
"is_short": None,
"trading_mode": None,
"funding_fees": None,
"amount_precision": 8.0,
"price_precision": 7.0,
"precision_mode": 1,
"precision_mode_price": 1,
"contract_size": 1,
"orders": [],
"has_open_orders": False,
"nr_of_successful_entries": 0,
"nr_of_successful_exits": 0,
}
# Simulate dry_run entries
trade = Trade(
pair="XRP/BTC",
stake_amount=0.001,
amount=100.0,
amount_requested=101.0,
fee_open=fee.return_value,
fee_close=fee.return_value,
open_date=dt_now() - timedelta(hours=2),
close_date=dt_now() - timedelta(hours=1),
open_rate=0.123,
close_rate=0.125,
enter_tag="buys_signal_001",
exchange="binance",
precision_mode=2,
precision_mode_price=1,
amount_precision=7.0,
price_precision=8.0,
contract_size=1,
)
result = trade.to_json()
assert isinstance(result, dict)
assert result == {
"trade_id": None,
"pair": "XRP/BTC",
"base_currency": "XRP",
"quote_currency": "BTC",
"open_date": trade.open_date.strftime(DATETIME_PRINT_FORMAT),
"open_timestamp": int(trade.open_date.timestamp() * 1000),
"open_fill_date": None,
"open_fill_timestamp": None,
"close_date": trade.close_date.strftime(DATETIME_PRINT_FORMAT),
"close_timestamp": int(trade.close_date.timestamp() * 1000),
"open_rate": 0.123,
"close_rate": 0.125,
"amount": 100.0,
"amount_requested": 101.0,
"stake_amount": 0.001,
"max_stake_amount": None,
"trade_duration": 60,
"trade_duration_s": 3600,
"stop_loss_abs": None,
"stop_loss_pct": None,
"stop_loss_ratio": None,
"stoploss_last_update": None,
"stoploss_last_update_timestamp": None,
"initial_stop_loss_abs": None,
"initial_stop_loss_pct": None,
"initial_stop_loss_ratio": None,
"realized_profit": 0.0,
"realized_profit_ratio": None,
"close_profit": None,
"close_profit_pct": None,
"close_profit_abs": None,
"profit_ratio": None,
"profit_pct": None,
"profit_abs": None,
"close_rate_requested": None,
"fee_close": 0.0025,
"fee_close_cost": None,
"fee_close_currency": None,
"fee_open": 0.0025,
"fee_open_cost": None,
"fee_open_currency": None,
"is_open": None,
"max_rate": None,
"min_rate": None,
"open_rate_requested": None,
"open_trade_value": 12.33075,
"exit_reason": None,
"exit_order_status": None,
"strategy": None,
"enter_tag": "buys_signal_001",
"timeframe": None,
"exchange": "binance",
"leverage": None,
"interest_rate": None,
"liquidation_price": None,
"is_short": None,
"trading_mode": None,
"funding_fees": None,
"amount_precision": 7.0,
"price_precision": 8.0,
"precision_mode": 2,
"precision_mode_price": 1,
"contract_size": 1,
"orders": [],
"has_open_orders": False,
"nr_of_successful_entries": 0,
"nr_of_successful_exits": 0,
}
def test_stoploss_reinitialization(default_conf, fee):
init_db(default_conf["db_url"])
trade = Trade(
pair="ADA/USDT",
stake_amount=30.0,
fee_open=fee.return_value,
open_date=dt_now() - timedelta(hours=2),
amount=30.0,
fee_close=fee.return_value,
exchange="binance",
open_rate=1,
max_rate=1,
)
trade.adjust_stop_loss(trade.open_rate, 0.05, True)
assert trade.stop_loss == 0.95
assert trade.stop_loss_pct == -0.05
assert trade.initial_stop_loss == 0.95
assert trade.initial_stop_loss_pct == -0.05
Trade.session.add(trade)
Trade.commit()
# 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 == 0.94
assert trade_adj.stop_loss_pct == -0.06
assert trade_adj.initial_stop_loss == 0.94
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 == 0.96
assert trade_adj.stop_loss_pct == -0.04
assert trade_adj.initial_stop_loss == 0.96
assert trade_adj.initial_stop_loss_pct == -0.04
# Trailing stoploss (move stoplos up a bit)
trade.adjust_stop_loss(1.02, 0.04)
assert trade_adj.stop_loss == 0.9792
assert trade_adj.initial_stop_loss == 0.96
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 == 0.9792
assert trade_adj.stop_loss_pct == -0.04
assert trade_adj.initial_stop_loss == 0.96
assert trade_adj.initial_stop_loss_pct == -0.04
def test_stoploss_reinitialization_leverage(default_conf, fee):
init_db(default_conf["db_url"])
trade = Trade(
pair="ADA/USDT",
stake_amount=30.0,
fee_open=fee.return_value,
open_date=dt_now() - timedelta(hours=2),
amount=30.0,
fee_close=fee.return_value,
exchange="binance",
open_rate=1,
max_rate=1,
leverage=5.0,
)
trade.adjust_stop_loss(trade.open_rate, 0.1, True)
assert trade.stop_loss == 0.98
assert trade.stop_loss_pct == -0.1
assert trade.initial_stop_loss == 0.98
assert trade.initial_stop_loss_pct == -0.1
Trade.session.add(trade)
Trade.commit()
# Lower stoploss
Trade.stoploss_reinitialization(0.15)
trades = Trade.get_open_trades()
assert len(trades) == 1
trade_adj = trades[0]
assert trade_adj.stop_loss == 0.97
assert trade_adj.stop_loss_pct == -0.15
assert trade_adj.initial_stop_loss == 0.97
assert trade_adj.initial_stop_loss_pct == -0.15
# Raise stoploss
Trade.stoploss_reinitialization(0.05)
trades = Trade.get_open_trades()
assert len(trades) == 1
trade_adj = trades[0]
assert trade_adj.stop_loss == 0.99
assert trade_adj.stop_loss_pct == -0.05
assert trade_adj.initial_stop_loss == 0.99
assert trade_adj.initial_stop_loss_pct == -0.05
# Trailing stoploss (move stoplos up a bit)
trade.adjust_stop_loss(1.02, 0.05)
assert trade_adj.stop_loss == 1.0098
assert trade_adj.initial_stop_loss == 0.99
Trade.stoploss_reinitialization(0.05)
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 == 1.0098
assert trade_adj.stop_loss_pct == -0.05
assert trade_adj.initial_stop_loss == 0.99
assert trade_adj.initial_stop_loss_pct == -0.05
def test_stoploss_reinitialization_short(default_conf, fee):
init_db(default_conf["db_url"])
trade = Trade(
pair="ADA/USDT",
stake_amount=0.001,
fee_open=fee.return_value,
open_date=dt_now() - timedelta(hours=2),
amount=10,
fee_close=fee.return_value,
exchange="binance",
open_rate=1,
max_rate=1,
is_short=True,
leverage=5.0,
)
trade.adjust_stop_loss(trade.open_rate, -0.1, True)
assert trade.stop_loss == 1.02
assert trade.stop_loss_pct == -0.1
assert trade.initial_stop_loss == 1.02
assert trade.initial_stop_loss_pct == -0.1
Trade.session.add(trade)
Trade.commit()
# Lower stoploss
Trade.stoploss_reinitialization(-0.15)
trades = Trade.get_open_trades()
assert len(trades) == 1
trade_adj = trades[0]
assert trade_adj.stop_loss == 1.03
assert trade_adj.stop_loss_pct == -0.15
assert trade_adj.initial_stop_loss == 1.03
assert trade_adj.initial_stop_loss_pct == -0.15
# Raise stoploss
Trade.stoploss_reinitialization(-0.05)
trades = Trade.get_open_trades()
assert len(trades) == 1
trade_adj = trades[0]
assert trade_adj.stop_loss == 1.01
assert trade_adj.stop_loss_pct == -0.05
assert trade_adj.initial_stop_loss == 1.01
assert trade_adj.initial_stop_loss_pct == -0.05
# Trailing stoploss
trade.adjust_stop_loss(0.98, -0.05)
assert trade_adj.stop_loss == 0.9898
assert trade_adj.initial_stop_loss == 1.01
Trade.stoploss_reinitialization(-0.05)
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 == 0.9898
assert trade_adj.stop_loss_pct == -0.05
assert trade_adj.initial_stop_loss == 1.01
assert trade_adj.initial_stop_loss_pct == -0.05
# Stoploss can't go above liquidation price
trade_adj.set_liquidation_price(0.985)
trade.adjust_stop_loss(0.9799, -0.05)
assert trade_adj.stop_loss == 0.989699
assert trade_adj.liquidation_price == 0.985
def test_update_fee(fee):
trade = Trade(
pair="ADA/USDT",
stake_amount=30.0,
fee_open=fee.return_value,
open_date=dt_now() - timedelta(hours=2),
amount=30.0,
fee_close=fee.return_value,
exchange="binance",
open_rate=1,
max_rate=1,
)
fee_cost = 0.15
fee_currency = "BTC"
fee_rate = 0.0075
assert trade.fee_open_currency is None
assert not trade.fee_updated("buy")
assert not trade.fee_updated("sell")
trade.update_fee(fee_cost, fee_currency, fee_rate, "buy")
assert trade.fee_updated("buy")
assert not trade.fee_updated("sell")
assert trade.fee_open_currency == fee_currency
assert trade.fee_open_cost == fee_cost
assert trade.fee_open == fee_rate
# Setting buy rate should "guess" close rate
assert trade.fee_close == fee_rate
assert trade.fee_close_currency is None
assert trade.fee_close_cost is None
fee_rate = 0.0076
trade.update_fee(fee_cost, fee_currency, fee_rate, "sell")
assert trade.fee_updated("buy")
assert trade.fee_updated("sell")
assert trade.fee_close == 0.0076
assert trade.fee_close_cost == fee_cost
assert trade.fee_close == fee_rate
def test_fee_updated(fee):
trade = Trade(
pair="ADA/USDT",
stake_amount=30.0,
fee_open=fee.return_value,
open_date=dt_now() - timedelta(hours=2),
amount=30.0,
fee_close=fee.return_value,
exchange="binance",
open_rate=1,
max_rate=1,
)
assert trade.fee_open_currency is None
assert not trade.fee_updated("buy")
assert not trade.fee_updated("sell")
assert not trade.fee_updated("asdf")
trade.update_fee(0.15, "BTC", 0.0075, "buy")
assert trade.fee_updated("buy")
assert not trade.fee_updated("sell")
assert trade.fee_open_currency is not None
assert trade.fee_close_currency is None
trade.update_fee(0.15, "ABC", 0.0075, "sell")
assert trade.fee_updated("buy")
assert trade.fee_updated("sell")
assert not trade.fee_updated("asfd")
@pytest.mark.usefixtures("init_persistence")
@pytest.mark.parametrize("is_short", [True, False])
@pytest.mark.parametrize("use_db", [True, False])
def test_total_open_trades_stakes(fee, is_short, use_db):
Trade.use_db = use_db
Trade.reset_trades()
res = Trade.total_open_trades_stakes()
assert res == 0
create_mock_trades(fee, is_short, use_db)
res = Trade.total_open_trades_stakes()
assert res == 0.004
Trade.use_db = True
@pytest.mark.usefixtures("init_persistence")
@pytest.mark.parametrize(
"is_short,result",
[
(True, -0.006739127),
(False, 0.000739127),
(None, -0.005429127),
],
)
@pytest.mark.parametrize("use_db", [True, False])
def test_get_total_closed_profit(fee, use_db, is_short, result):
Trade.use_db = use_db
Trade.reset_trades()
res = Trade.get_total_closed_profit()
assert res == 0
create_mock_trades(fee, is_short, use_db)
res = Trade.get_total_closed_profit()
assert pytest.approx(res) == result
Trade.use_db = True
@pytest.mark.usefixtures("init_persistence")
@pytest.mark.parametrize("is_short", [True, False])
@pytest.mark.parametrize("use_db", [True, False])
def test_get_trades_proxy(fee, use_db, is_short):
Trade.use_db = use_db
Trade.reset_trades()
create_mock_trades(fee, is_short, use_db)
trades = Trade.get_trades_proxy()
assert len(trades) == 6
assert isinstance(trades[0], Trade)
trades = Trade.get_trades_proxy(is_open=True)
assert len(trades) == 4
assert trades[0].is_open
trades = Trade.get_trades_proxy(is_open=False)
assert len(trades) == 2
assert not trades[0].is_open
opendate = datetime.now(tz=UTC) - timedelta(minutes=15)
assert len(Trade.get_trades_proxy(open_date=opendate)) == 3
Trade.use_db = True
@pytest.mark.usefixtures("init_persistence")
@pytest.mark.parametrize("is_short", [True, False])
def test_get_trades__query(fee, is_short):
query = Trade.get_trades_query([])
# without orders there should be no join issued.
query1 = Trade.get_trades_query([], include_orders=False)
# Empty "with-options -> default - selection"
assert query._with_options == ()
assert query1._with_options != ()
create_mock_trades(fee, is_short)
query = Trade.get_trades_query([])
query1 = Trade.get_trades_query([], include_orders=False)
assert query._with_options == ()
assert query1._with_options != ()
def test_get_trades_backtest():
Trade.use_db = False
with pytest.raises(NotImplementedError, match=r"`Trade.get_trades\(\)` not .*"):
Trade.get_trades([])
Trade.use_db = True
@pytest.mark.usefixtures("init_persistence")
# @pytest.mark.parametrize('is_short', [True, False])
def test_get_overall_performance(fee):
create_mock_trades(fee, False)
res = Trade.get_overall_performance()
assert len(res) == 2
assert "pair" in res[0]
assert "profit" in res[0]
assert "count" in res[0]
@pytest.mark.usefixtures("init_persistence")
@pytest.mark.parametrize(
"is_short,pair,profit",
[
(True, "XRP/BTC", -0.00018780487),
(False, "ETC/BTC", 0.00003860975),
(None, "XRP/BTC", 0.000025203252),
],
)
def test_get_best_pair(fee, is_short, pair, profit):
res = Trade.get_best_pair()
assert res is None
create_mock_trades(fee, is_short)
res = Trade.get_best_pair()
assert len(res) == 4
assert res[0] == pair
assert pytest.approx(res[1]) == profit
@pytest.mark.usefixtures("init_persistence")
def test_get_best_pair_lev(fee):
res = Trade.get_best_pair()
assert res is None
create_mock_trades_with_leverage(fee)
res = Trade.get_best_pair()
assert len(res) == 4
assert res[0] == "ETC/BTC"
assert pytest.approx(res[1]) == 0.00003860975
@pytest.mark.usefixtures("init_persistence")
@pytest.mark.parametrize("is_short", [True, False])
def test_get_canceled_exit_order_count(fee, is_short):
create_mock_trades(fee, is_short=is_short)
trade = Trade.get_trades([Trade.pair == "ETC/BTC"]).first()
# No canceled order.
assert trade.get_canceled_exit_order_count() == 0
# Property returns the same result
assert trade.canceled_exit_order_count == 0
trade.orders[-1].status = "canceled"
assert trade.get_canceled_exit_order_count() == 1
assert trade.canceled_exit_order_count == 1
@pytest.mark.usefixtures("init_persistence")
@pytest.mark.parametrize("is_short", [True, False])
def test_fully_canceled_entry_order_count(fee, is_short):
create_mock_trades(fee, is_short=is_short)
trade = Trade.get_trades([Trade.pair == "ETC/BTC"]).first()
# No canceled order.
assert trade.fully_canceled_entry_order_count == 0
trade.orders[0].status = "canceled"
trade.orders[0].filled = 0
assert trade.fully_canceled_entry_order_count == 1
@pytest.mark.usefixtures("init_persistence")
def test_update_order_from_ccxt(caplog, time_machine):
start = datetime(2023, 1, 1, 4, tzinfo=UTC)
time_machine.move_to(start, tick=False)
# Most basic order return (only has orderid)
o = Order.parse_from_ccxt_object({"id": "1234"}, "ADA/USDT", "buy", 20.01, 1234.6)
assert isinstance(o, Order)
assert o.ft_pair == "ADA/USDT"
assert o.ft_order_side == "buy"
assert o.order_id == "1234"
assert o.ft_price == 1234.6
assert o.ft_amount == 20.01
assert o.ft_is_open
ccxt_order = {
"id": "1234",
"side": "buy",
"symbol": "ADA/USDT",
"type": "limit",
"price": 1234.5,
"amount": 20.0,
"filled": 9,
"remaining": 11,
"status": "open",
"timestamp": 1599394315123,
}
o = Order.parse_from_ccxt_object(ccxt_order, "ADA/USDT", "buy", 20.01, 1234.6)
assert isinstance(o, Order)
assert o.ft_pair == "ADA/USDT"
assert o.ft_order_side == "buy"
assert o.order_id == "1234"
assert o.order_type == "limit"
assert o.price == 1234.5
assert o.ft_price == 1234.6
assert o.ft_amount == 20.01
assert o.filled == 9
assert o.remaining == 11
assert o.order_date is not None
assert o.ft_is_open
assert o.order_filled_date is None
# Order is unfilled, "filled" not set
# https://github.com/freqtrade/freqtrade/issues/5404
ccxt_order.update({"filled": None, "remaining": 20.0, "status": "canceled"})
o.update_from_ccxt_object(ccxt_order)
# Order has been closed
ccxt_order.update({"filled": 20.0, "remaining": 0.0, "status": "closed"})
o.update_from_ccxt_object(ccxt_order)
assert o.filled == 20.0
assert o.remaining == 0.0
assert not o.ft_is_open
assert o.order_filled_date == start
# Move time
time_machine.move_to(start + timedelta(hours=1), tick=False)
ccxt_order.update({"id": "somethingelse"})
with pytest.raises(DependencyException, match=r"Order-id's don't match"):
o.update_from_ccxt_object(ccxt_order)
message = "aaaa is not a valid response object."
assert not log_has(message, caplog)
Order.update_orders([o], "aaaa")
assert log_has(message, caplog)
# Call regular update - shouldn't fail.
Order.update_orders([o], {"id": "1234"})
assert o.order_filled_date == start
# Fill order again - shouldn't update filled date
ccxt_order.update({"id": "1234"})
Order.update_orders([o], ccxt_order)
assert o.order_filled_date == start
@pytest.mark.usefixtures("init_persistence")
@pytest.mark.parametrize("is_short", [True, False])
def test_select_order(fee, is_short):
create_mock_trades(fee, is_short)
trades = Trade.get_trades().all()
# Open buy order, no sell order
order = trades[0].select_order(trades[0].entry_side, True)
assert order is not None
order = trades[0].select_order(trades[0].entry_side, False)
assert order is None
order = trades[0].select_order(trades[0].exit_side, None)
assert order is None
# closed buy order, and open sell order
order = trades[1].select_order(trades[1].entry_side, True)
assert order is None
order = trades[1].select_order(trades[1].entry_side, False)
assert order is not None
order = trades[1].select_order(trades[1].entry_side, None)
assert order is not None
order = trades[1].select_order(trades[1].exit_side, True)
assert order is None
order = trades[1].select_order(trades[1].exit_side, False)
assert order is not None
# Has open buy order
order = trades[3].select_order(trades[3].entry_side, True)
assert order is not None
order = trades[3].select_order(trades[3].entry_side, False)
assert order is None
# Open sell order
order = trades[4].select_order(trades[4].entry_side, True)
assert order is None
order = trades[4].select_order(trades[4].entry_side, False)
assert order is not None
trades[4].orders[1].ft_order_side = trades[4].exit_side
order = trades[4].select_order(trades[4].exit_side, True)
assert order is not None
trades[4].orders[1].ft_order_side = "stoploss"
order = trades[4].select_order("stoploss", None)
assert order is not None
assert order.ft_order_side == "stoploss"
def test_Trade_object_idem():
assert issubclass(Trade, LocalTrade)
trade = vars(Trade)
localtrade = vars(LocalTrade)
excludes = (
"delete",
"session",
"commit",
"rollback",
"query",
"open_date",
"get_best_pair",
"get_overall_performance",
"get_total_closed_profit",
"total_open_trades_stakes",
"get_closed_trades_without_assigned_fees",
"get_open_trades_without_assigned_fees",
"get_trades",
"get_trades_query",
"get_exit_reason_performance",
"get_enter_tag_performance",
"get_mix_tag_performance",
"get_trading_volume",
"validate_string_len",
"custom_data",
)
EXCLUDES2 = (
"bt_trades",
"bt_trades_open",
"bt_trades_open_pp",
"bt_open_open_trade_count",
"bt_total_profit",
"from_json",
)
# Parent (LocalTrade) should have the same attributes
for item in trade:
# Exclude private attributes and open_date (as it's not assigned a default)
if not item.startswith("_") and item not in excludes:
assert item in localtrade
# Fails if only a column is added without corresponding parent field
for item in localtrade:
if (
not item.startswith("__")
and item not in EXCLUDES2
and type(getattr(LocalTrade, item)) not in (property, FunctionType)
):
assert item in trade
@pytest.mark.usefixtures("init_persistence")
def test_trade_truncates_string_fields():
trade = Trade(
pair="ADA/USDT",
stake_amount=20.0,
amount=30.0,
open_rate=2.0,
open_date=datetime.now(UTC) - timedelta(minutes=20),
fee_open=0.001,
fee_close=0.001,
exchange="binance",
leverage=1.0,
trading_mode="futures",
enter_tag="a" * CUSTOM_TAG_MAX_LENGTH * 2,
exit_reason="b" * CUSTOM_TAG_MAX_LENGTH * 2,
)
Trade.session.add(trade)
Trade.commit()
trade1 = Trade.session.scalars(select(Trade)).first()
assert trade1.enter_tag == "a" * CUSTOM_TAG_MAX_LENGTH
assert trade1.exit_reason == "b" * CUSTOM_TAG_MAX_LENGTH
def test_recalc_trade_from_orders(fee):
o1_amount = 100
o1_rate = 1
o1_cost = o1_amount * o1_rate
o1_fee_cost = o1_cost * fee.return_value
o1_trade_val = o1_cost + o1_fee_cost
trade = Trade(
pair="ADA/USDT",
stake_amount=o1_cost,
open_date=dt_now() - timedelta(hours=2),
amount=o1_amount,
fee_open=fee.return_value,
fee_close=fee.return_value,
exchange="binance",
open_rate=o1_rate,
max_rate=o1_rate,
leverage=1,
)
assert fee.return_value == 0.0025
assert trade._calc_open_trade_value(trade.amount, trade.open_rate) == o1_trade_val
assert trade.amount == o1_amount
assert trade.stake_amount == o1_cost
assert trade.open_rate == o1_rate
assert trade.open_trade_value == o1_trade_val
# Calling without orders should not throw exceptions and change nothing
trade.recalc_trade_from_orders()
assert trade.amount == o1_amount
assert trade.stake_amount == o1_cost
assert trade.open_rate == o1_rate
assert trade.open_trade_value == o1_trade_val
trade.update_fee(o1_fee_cost, "BNB", fee.return_value, "buy")
assert len(trade.orders) == 0
# Check with 1 order
order1 = Order(
ft_order_side="buy",
ft_pair=trade.pair,
ft_is_open=False,
status="closed",
symbol=trade.pair,
order_type="market",
side="buy",
price=o1_rate,
average=o1_rate,
filled=o1_amount,
remaining=0,
cost=o1_amount,
order_date=trade.open_date,
order_filled_date=trade.open_date,
)
trade.orders.append(order1)
trade.recalc_trade_from_orders()
# Calling recalc with single initial order should not change anything
assert trade.amount == o1_amount
assert trade.stake_amount == o1_amount
assert trade.open_rate == o1_rate
assert trade.fee_open_cost == o1_fee_cost
assert trade.open_trade_value == o1_trade_val
# One additional adjustment / DCA order
o2_amount = 125
o2_rate = 0.9
o2_cost = o2_amount * o2_rate
o2_fee_cost = o2_cost * fee.return_value
o2_trade_val = o2_cost + o2_fee_cost
order2 = Order(
ft_order_side="buy",
ft_pair=trade.pair,
ft_is_open=False,
status="closed",
symbol=trade.pair,
order_type="market",
side="buy",
price=o2_rate,
average=o2_rate,
filled=o2_amount,
remaining=0,
cost=o2_cost,
order_date=dt_now() - timedelta(hours=1),
order_filled_date=dt_now() - timedelta(hours=1),
)
trade.orders.append(order2)
trade.recalc_trade_from_orders()
# Validate that the trade now has new averaged open price and total values
avg_price = (o1_cost + o2_cost) / (o1_amount + o2_amount)
assert trade.amount == o1_amount + o2_amount
assert trade.stake_amount == o1_amount + o2_cost
assert trade.open_rate == avg_price
assert trade.fee_open_cost == o1_fee_cost + o2_fee_cost
assert trade.open_trade_value == o1_trade_val + o2_trade_val
# Let's try with multiple additional orders
o3_amount = 150
o3_rate = 0.85
o3_cost = o3_amount * o3_rate
o3_fee_cost = o3_cost * fee.return_value
o3_trade_val = o3_cost + o3_fee_cost
order3 = Order(
ft_order_side="buy",
ft_pair=trade.pair,
ft_is_open=False,
status="closed",
symbol=trade.pair,
order_type="market",
side="buy",
price=o3_rate,
average=o3_rate,
filled=o3_amount,
remaining=0,
cost=o3_cost,
order_date=dt_now() - timedelta(hours=1),
order_filled_date=dt_now() - timedelta(hours=1),
)
trade.orders.append(order3)
trade.recalc_trade_from_orders()
# Validate that the sum is still correct and open rate is averaged
avg_price = (o1_cost + o2_cost + o3_cost) / (o1_amount + o2_amount + o3_amount)
assert trade.amount == o1_amount + o2_amount + o3_amount
assert trade.stake_amount == o1_cost + o2_cost + o3_cost
assert trade.open_rate == avg_price
assert pytest.approx(trade.fee_open_cost) == o1_fee_cost + o2_fee_cost + o3_fee_cost
assert pytest.approx(trade.open_trade_value) == o1_trade_val + o2_trade_val + o3_trade_val
# Just to make sure full sell orders are ignored, let's calculate one more time.
sell1 = Order(
ft_order_side="sell",
ft_pair=trade.pair,
ft_is_open=False,
status="closed",
symbol=trade.pair,
order_type="market",
side="sell",
price=avg_price + 0.95,
average=avg_price + 0.95,
filled=o1_amount + o2_amount + o3_amount,
remaining=0,
cost=o1_cost + o2_cost + o3_cost,
order_date=trade.open_date,
order_filled_date=trade.open_date,
)
trade.orders.append(sell1)
trade.recalc_trade_from_orders()
assert trade.amount == o1_amount + o2_amount + o3_amount
assert trade.stake_amount == o1_cost + o2_cost + o3_cost
assert trade.open_rate == avg_price
assert pytest.approx(trade.fee_open_cost) == o1_fee_cost + o2_fee_cost + o3_fee_cost
assert pytest.approx(trade.open_trade_value) == o1_trade_val + o2_trade_val + o3_trade_val
@pytest.mark.usefixtures("init_persistence")
def test_recalc_trade_from_orders_kucoin():
# Taken from https://github.com/freqtrade/freqtrade/issues/9346
o1_amount = 11511963.8634448908
o2_amount = 11750101.7743937783
o3_amount = 23262065.6378386617 # Exit amount - barely doesn't even out
res = o1_amount + o2_amount - o3_amount
assert res > 0.0
assert res < 0.1
o1_rate = 0.000029901
o2_rate = 0.000029295
o3_rate = 0.000029822
o1_cost = o1_amount * o1_rate
trade = Trade(
pair="FLOKI/USDT",
stake_amount=o1_cost,
open_date=dt_now() - timedelta(hours=2),
amount=o1_amount,
fee_open=0.001,
fee_close=0.001,
exchange="binance",
open_rate=o1_rate,
max_rate=o1_rate,
leverage=1,
)
# Check with 1 order
order1 = Order(
ft_order_side="buy",
ft_pair=trade.pair,
ft_is_open=False,
status="closed",
symbol=trade.pair,
order_type="market",
side="buy",
price=o1_rate,
average=o1_rate,
filled=o1_amount,
remaining=0,
cost=o1_cost,
order_date=trade.open_date,
order_filled_date=trade.open_date,
)
trade.orders.append(order1)
order2 = Order(
ft_order_side="buy",
ft_pair=trade.pair,
ft_is_open=False,
status="closed",
symbol=trade.pair,
order_type="market",
side="buy",
price=o2_rate,
average=o2_rate,
filled=o2_amount,
remaining=0,
cost=o2_amount * o2_rate,
order_date=trade.open_date,
order_filled_date=trade.open_date,
)
trade.orders.append(order2)
trade.recalc_trade_from_orders()
assert trade.amount == o1_amount + o2_amount
profit = trade.calculate_profit(o3_rate)
assert profit.profit_abs == pytest.approx(3.90069871)
assert profit.profit_ratio == pytest.approx(0.00566035)
order3 = Order(
ft_order_side="sell",
ft_pair=trade.pair,
ft_is_open=False,
status="closed",
symbol=trade.pair,
order_type="market",
side="sell",
price=o3_rate,
average=o3_rate,
filled=o3_amount,
remaining=0,
cost=o2_amount * o2_rate,
order_date=trade.open_date,
order_filled_date=trade.open_date,
)
trade.orders.append(order3)
trade.update_trade(order3)
assert trade.is_open is False
# Trade closed correctly - but left a minimal amount.
assert trade.amount == 8e-09
assert pytest.approx(trade.close_profit_abs) == 3.90069871
assert pytest.approx(trade.close_profit) == 0.00566035
@pytest.mark.parametrize("is_short", [True, False])
def test_recalc_trade_from_orders_ignores_bad_orders(fee, is_short):
o1_amount = 100
o1_rate = 1
o1_cost = o1_amount * o1_rate
o1_fee_cost = o1_cost * fee.return_value
o1_trade_val = o1_cost - o1_fee_cost if is_short else o1_cost + o1_fee_cost
entry_side = "sell" if is_short else "buy"
exit_side = "buy" if is_short else "sell"
trade = Trade(
pair="ADA/USDT",
stake_amount=o1_cost,
open_date=dt_now() - timedelta(hours=2),
amount=o1_amount,
fee_open=fee.return_value,
fee_close=fee.return_value,
exchange="binance",
open_rate=o1_rate,
max_rate=o1_rate,
is_short=is_short,
leverage=1.0,
)
trade.update_fee(o1_fee_cost, "BNB", fee.return_value, entry_side)
# Check with 1 order
order1 = Order(
ft_order_side=entry_side,
ft_pair=trade.pair,
ft_is_open=False,
status="closed",
symbol=trade.pair,
order_type="market",
side=entry_side,
price=o1_rate,
average=o1_rate,
filled=o1_amount,
remaining=0,
cost=o1_amount,
order_date=trade.open_date,
order_filled_date=trade.open_date,
)
trade.orders.append(order1)
trade.recalc_trade_from_orders()
# Calling recalc with single initial order should not change anything
assert trade.amount == o1_amount
assert trade.stake_amount == o1_amount
assert trade.open_rate == o1_rate
assert trade.fee_open_cost == o1_fee_cost
assert trade.open_trade_value == o1_trade_val
assert trade.nr_of_successful_entries == 1
order2 = Order(
ft_order_side=entry_side,
ft_pair=trade.pair,
ft_is_open=True,
status="open",
symbol=trade.pair,
order_type="market",
side=entry_side,
price=o1_rate,
average=o1_rate,
filled=o1_amount,
remaining=0,
cost=o1_cost,
order_date=dt_now() - timedelta(hours=1),
order_filled_date=dt_now() - timedelta(hours=1),
)
trade.orders.append(order2)
trade.recalc_trade_from_orders()
# Validate that the trade values have not been changed
assert trade.amount == o1_amount
assert trade.stake_amount == o1_amount
assert trade.open_rate == o1_rate
assert trade.fee_open_cost == o1_fee_cost
assert trade.open_trade_value == o1_trade_val
assert trade.nr_of_successful_entries == 1
# Let's try with some other orders
order3 = Order(
ft_order_side=entry_side,
ft_pair=trade.pair,
ft_is_open=False,
status="cancelled",
symbol=trade.pair,
order_type="market",
side=entry_side,
price=1,
average=2,
filled=0,
remaining=4,
cost=5,
order_date=dt_now() - timedelta(hours=1),
order_filled_date=dt_now() - timedelta(hours=1),
)
trade.orders.append(order3)
trade.recalc_trade_from_orders()
# Validate that the order values still are ignoring orders 2 and 3
assert trade.amount == o1_amount
assert trade.stake_amount == o1_amount
assert trade.open_rate == o1_rate
assert trade.fee_open_cost == o1_fee_cost
assert trade.open_trade_value == o1_trade_val
assert trade.nr_of_successful_entries == 1
order4 = Order(
ft_order_side=entry_side,
ft_pair=trade.pair,
ft_is_open=False,
status="closed",
symbol=trade.pair,
order_type="market",
side=entry_side,
price=o1_rate,
average=o1_rate,
filled=o1_amount,
remaining=0,
cost=o1_cost,
order_date=dt_now() - timedelta(hours=1),
order_filled_date=dt_now() - timedelta(hours=1),
)
trade.orders.append(order4)
trade.recalc_trade_from_orders()
# Validate that the trade values have been changed
assert trade.amount == 2 * o1_amount
assert trade.stake_amount == 2 * o1_amount
assert trade.open_rate == o1_rate
assert trade.fee_open_cost == trade.nr_of_successful_entries * o1_fee_cost
assert trade.open_trade_value == 2 * o1_trade_val
assert trade.nr_of_successful_entries == 2
# Reduce position - this will reduce amount again.
sell1 = Order(
ft_order_side=exit_side,
ft_pair=trade.pair,
ft_is_open=False,
status="closed",
symbol=trade.pair,
order_type="market",
side=exit_side,
price=4,
average=3,
filled=o1_amount,
remaining=1,
cost=5,
order_date=trade.open_date,
order_filled_date=trade.open_date,
)
trade.orders.append(sell1)
trade.recalc_trade_from_orders()
assert trade.amount == o1_amount
assert trade.stake_amount == o1_amount
assert trade.open_rate == o1_rate
assert trade.fee_open_cost == trade.nr_of_successful_entries * o1_fee_cost
assert trade.open_trade_value == o1_trade_val
assert trade.nr_of_successful_entries == 2
# Check with 1 order
order_noavg = Order(
ft_order_side=entry_side,
ft_pair=trade.pair,
ft_is_open=False,
status="closed",
symbol=trade.pair,
order_type="market",
side=entry_side,
price=o1_rate,
average=None,
filled=o1_amount,
remaining=0,
cost=o1_amount,
order_date=trade.open_date,
order_filled_date=trade.open_date,
)
trade.orders.append(order_noavg)
trade.recalc_trade_from_orders()
# Calling recalc with single initial order should not change anything
assert trade.amount == 2 * o1_amount
assert trade.stake_amount == 2 * o1_amount
assert trade.open_rate == o1_rate
assert trade.fee_open_cost == trade.nr_of_successful_entries * o1_fee_cost
assert trade.open_trade_value == 2 * o1_trade_val
assert trade.nr_of_successful_entries == 3
@pytest.mark.usefixtures("init_persistence")
def test_select_filled_orders(fee):
create_mock_trades(fee)
trades = Trade.get_trades().all()
# Closed buy order, no sell order
orders = trades[0].select_filled_orders("buy")
assert isinstance(orders, list)
assert len(orders) == 0
orders = trades[0].select_filled_orders("sell")
assert orders is not None
assert len(orders) == 0
# closed buy order, and closed sell order
orders = trades[1].select_filled_orders("buy")
assert isinstance(orders, list)
assert len(orders) == 1
order = orders[0]
assert order.amount > 0
assert order.filled > 0
assert order.side == "buy"
assert order.ft_order_side == "buy"
assert order.status == "closed"
orders = trades[1].select_filled_orders("sell")
assert isinstance(orders, list)
assert len(orders) == 1
# Has open buy order
orders = trades[3].select_filled_orders("buy")
assert isinstance(orders, list)
assert len(orders) == 0
orders = trades[3].select_filled_orders("sell")
assert isinstance(orders, list)
assert len(orders) == 0
# Open sell order
orders = trades[4].select_filled_orders("buy")
assert isinstance(orders, list)
assert len(orders) == 1
orders = trades[4].select_filled_orders("sell")
assert isinstance(orders, list)
assert len(orders) == 0
@pytest.mark.usefixtures("init_persistence")
def test_select_filled_orders_usdt(fee):
create_mock_trades_usdt(fee)
trades = Trade.get_trades().all()
# Closed buy order, no sell order
orders = trades[0].select_filled_orders("buy")
assert isinstance(orders, list)
assert len(orders) == 1
assert orders[0].amount == 2.0
assert orders[0].filled == 2.0
assert orders[0].side == "buy"
assert orders[0].price == 10.0
assert orders[0].stake_amount == 20
assert orders[0].stake_amount_filled == 20
orders = trades[3].select_filled_orders("buy")
assert isinstance(orders, list)
assert len(orders) == 0
orders = trades[3].select_filled_or_open_orders()
assert isinstance(orders, list)
assert len(orders) == 1
assert orders[0].price == 2.0
assert orders[0].amount == 10
assert orders[0].filled == 0
assert orders[0].stake_amount == 20
assert orders[0].stake_amount_filled == 0
@pytest.mark.usefixtures("init_persistence")
def test_order_to_ccxt(limit_buy_order_open, limit_sell_order_usdt_open):
order = Order.parse_from_ccxt_object(limit_buy_order_open, "mocked", "buy")
order.ft_trade_id = 1
order.session.add(order)
Order.session.commit()
order_resp = Order.order_by_id(limit_buy_order_open["id"])
assert order_resp
raw_order = order_resp.to_ccxt_object()
del raw_order["fee"]
del raw_order["datetime"]
del raw_order["info"]
assert raw_order.get("stopPrice") is None
raw_order.pop("stopPrice", None)
del limit_buy_order_open["datetime"]
assert raw_order == limit_buy_order_open
order1 = Order.parse_from_ccxt_object(limit_sell_order_usdt_open, "mocked", "sell")
order1.ft_order_side = "stoploss"
order1.stop_price = order1.price * 0.9
order1.ft_trade_id = 1
order1.session.add(order1)
Order.session.commit()
order_resp1 = Order.order_by_id(limit_sell_order_usdt_open["id"])
raw_order1 = order_resp1.to_ccxt_object()
assert raw_order1.get("stopPrice") is not None
@pytest.mark.usefixtures("init_persistence")
@pytest.mark.parametrize(
"data",
[
# tuple 1 - side, amount, price
# tuple 2 - amount, open_rate, stake_amount, cumulative_profit, realized_profit, rel_profit
{
"orders": [
(("buy", 100, 10), (100.0, 10.0, 1000.0, 0.0, None, None)),
(("buy", 100, 15), (200.0, 12.5, 2500.0, 0.0, None, None)),
(("sell", 50, 12), (150.0, 12.5, 1875.0, -25.0, -25.0, -0.01)),
(("sell", 100, 20), (50.0, 12.5, 625.0, 725.0, 750.0, 0.29)),
(("sell", 50, 5), (50.0, 12.5, 625.0, 350.0, -375.0, 0.14)),
],
"end_profit": 350.0,
"end_profit_ratio": 0.14,
"fee": 0.0,
},
{
"orders": [
(("buy", 100, 10), (100.0, 10.0, 1000.0, 0.0, None, None)),
(("buy", 100, 15), (200.0, 12.5, 2500.0, 0.0, None, None)),
(("sell", 50, 12), (150.0, 12.5, 1875.0, -28.0625, -28.0625, -0.011197)),
(("sell", 100, 20), (50.0, 12.5, 625.0, 713.8125, 741.875, 0.2848129)),
(("sell", 50, 5), (50.0, 12.5, 625.0, 336.625, -377.1875, 0.1343142)),
],
"end_profit": 336.625,
"end_profit_ratio": 0.1343142,
"fee": 0.0025,
},
{
"orders": [
(("buy", 100, 3), (100.0, 3.0, 300.0, 0.0, None, None)),
(("buy", 100, 7), (200.0, 5.0, 1000.0, 0.0, None, None)),
(("sell", 100, 11), (100.0, 5.0, 500.0, 596.0, 596.0, 0.5945137)),
(("buy", 150, 15), (250.0, 11.0, 2750.0, 596.0, 596.0, 0.5945137)),
(("sell", 100, 19), (150.0, 11.0, 1650.0, 1388.5, 792.5, 0.4261653)),
(("sell", 150, 23), (150.0, 11.0, 1650.0, 3175.75, 1787.25, 0.9747170)),
],
"end_profit": 3175.75,
"end_profit_ratio": 0.9747170,
"fee": 0.0025,
},
{
# Test above without fees
"orders": [
(("buy", 100, 3), (100.0, 3.0, 300.0, 0.0, None, None)),
(("buy", 100, 7), (200.0, 5.0, 1000.0, 0.0, None, None)),
(("sell", 100, 11), (100.0, 5.0, 500.0, 600.0, 600.0, 0.6)),
(("buy", 150, 15), (250.0, 11.0, 2750.0, 600.0, 600.0, 0.6)),
(("sell", 100, 19), (150.0, 11.0, 1650.0, 1400.0, 800.0, 0.43076923)),
(("sell", 150, 23), (150.0, 11.0, 1650.0, 3200.0, 1800.0, 0.98461538)),
],
"end_profit": 3200.0,
"end_profit_ratio": 0.98461538,
"fee": 0.0,
},
{
"orders": [
(("buy", 100, 8), (100.0, 8.0, 800.0, 0.0, None, None)),
(("buy", 100, 9), (200.0, 8.5, 1700.0, 0.0, None, None)),
(("sell", 100, 10), (100.0, 8.5, 850.0, 150.0, 150.0, 0.08823529)),
(("buy", 150, 11), (250.0, 10, 2500.0, 150.0, 150.0, 0.08823529)),
(("sell", 100, 12), (150.0, 10.0, 1500.0, 350.0, 200.0, 0.1044776)),
(("sell", 150, 14), (150.0, 10.0, 1500.0, 950.0, 600.0, 0.283582)),
],
"end_profit": 950.0,
"end_profit_ratio": 0.283582,
"fee": 0.0,
},
],
)
def test_recalc_trade_from_orders_dca(data) -> None:
pair = "ETH/USDT"
trade = Trade(
id=2,
pair=pair,
stake_amount=1000,
open_rate=data["orders"][0][0][2],
amount=data["orders"][0][0][1],
is_open=True,
open_date=dt_now(),
fee_open=data["fee"],
fee_close=data["fee"],
exchange="binance",
is_short=False,
leverage=1.0,
trading_mode=TradingMode.SPOT,
price_precision=0.001,
precision_mode_price=TICK_SIZE,
)
Trade.session.add(trade)
for idx, (order, result) in enumerate(data["orders"]):
amount = order[1]
price = order[2]
order_obj = Order(
ft_order_side=order[0],
ft_pair=trade.pair,
order_id=f"order_{order[0]}_{idx}",
ft_is_open=False,
ft_amount=amount,
ft_price=price,
status="closed",
symbol=trade.pair,
order_type="market",
side=order[0],
price=price,
average=price,
filled=amount,
remaining=0,
cost=amount * price,
order_date=dt_now() - timedelta(hours=10 + idx),
order_filled_date=dt_now() - timedelta(hours=10 + idx),
)
trade.orders.append(order_obj)
trade.recalc_trade_from_orders()
Trade.commit()
orders1 = Order.session.scalars(select(Order)).all()
assert orders1
assert len(orders1) == idx + 1
trade = Trade.session.scalars(select(Trade)).first()
assert trade
assert len(trade.orders) == idx + 1
if idx < len(data) - 1:
assert trade.is_open is True
assert not trade.has_open_orders
assert trade.amount == result[0]
assert trade.open_rate == result[1]
assert trade.stake_amount == result[2]
assert pytest.approx(trade.realized_profit) == result[3]
assert pytest.approx(trade.close_profit_abs) == result[4]
assert pytest.approx(trade.close_profit) == result[5]
trade.close(price)
assert pytest.approx(trade.close_profit_abs) == data["end_profit"]
assert pytest.approx(trade.close_profit) == data["end_profit_ratio"]
assert not trade.is_open
trade = Trade.session.scalars(select(Trade)).first()
assert trade
assert not trade.has_open_orders
@pytest.mark.parametrize(
"is_short,lev,trading_mode",
[
(False, 1, spot),
(False, 1, margin),
(False, 10, margin),
(False, 1, futures),
(False, 10, futures),
(True, 1, margin),
(True, 10, margin),
(True, 1, futures),
(True, 10, futures),
],
)
@pytest.mark.usefixtures("init_persistence")
def test_close_rate_for_roi(fee, is_short, lev, trading_mode):
"""
Ensure calc_close_rate_for_roi is consistent with calc_profit_ratio.
"""
open_dt = datetime.fromisoformat("2022-01-01 00:00:00")
trade_duration = timedelta(days=10)
trade = Trade(
id=2,
pair="ADA/USDT",
stake_amount=60.0,
open_rate=2.0,
amount=30.0,
is_open=True,
open_date=open_dt,
close_date=open_dt + trade_duration, # to trigger interest calculation in margin mode
fee_open=fee.return_value,
fee_close=fee.return_value,
exchange="binance",
is_short=is_short,
leverage=lev,
trading_mode=trading_mode,
interest_rate=0.0005,
funding_fees=0.1234,
)
for roi in [0.1337, 0.5, -0.1, 0.25]:
close_rate = trade.calc_close_rate_for_roi(roi)
assert roi == trade.calc_profit_ratio(close_rate), (
f"Failed for ROI {roi}, close_rate {close_rate}"
)