def test_process_order_fill_event_buy(self):
amount = Decimal("1")
price = Decimal("9000")
event = OrderFilledEvent(
timestamp=1,
order_id="order1",
trading_pair=self.trading_pair,
trade_type=TradeType.BUY,
order_type=OrderType.LIMIT,
price=price,
amount=amount,
trade_fee=AddedToCostTradeFee(percent=Decimal("0"), flat_fees=[]),
)
# first event creates DB record
self.delegate.process_order_fill_event(event)
with self.trade_fill_sql.get_new_session() as session:
count = session.query(InventoryCost).count()
self.assertEqual(count, 1)
# second event causes update to existing record
self.delegate.process_order_fill_event(event)
record = InventoryCost.get_record(session, self.base_asset,
self.quote_asset)
self.assertEqual(record.base_volume, amount * 2)
self.assertEqual(record.quote_volume, price * 2)
def get_price(self) -> Optional[Decimal]:
record = InventoryCost.get_record(self._session, self.base_asset,
self.quote_asset)
if record is None or record.base_volume is None or record.base_volume is None:
return None
try:
price = record.quote_volume / record.base_volume
except InvalidOperation:
# decimal.InvalidOperation: [<class 'decimal.DivisionUndefined'>] - both volumes are 0
return None
return Decimal(price)
def get_price(self) -> Optional[Decimal]:
record = InventoryCost.get_record(self._session, self.base_asset,
self.quote_asset)
if record is None or record.base_volume is None or record.base_volume is None:
return None
try:
price = record.quote_volume / record.base_volume
except InvalidOperation:
# use both volume = 0
return None
return Decimal(price)
def get_price(self) -> Optional[Decimal]:
with self.sql_manager.get_new_session() as session:
with session.begin():
record = InventoryCost.get_record(session, self.base_asset,
self.quote_asset)
if record is None or record.base_volume is None or record.base_volume is None:
return None
try:
price = record.quote_volume / record.base_volume
except InvalidOperation:
return None
return Decimal(price)
def process_order_fill_event(self, fill_event: OrderFilledEvent) -> None:
base_asset, quote_asset = fill_event.trading_pair.split("-")
quote_volume = fill_event.amount * fill_event.price
base_volume = fill_event.amount
for fee_asset, fee_amount in fill_event.trade_fee.flat_fees:
if fill_event.trade_type == TradeType.BUY:
if fee_asset == base_asset:
base_volume -= fee_amount
elif fee_asset == quote_asset:
quote_volume += fee_amount
else:
# Ok, some other asset used (like BNB), assume that we paid in base asset for simplicity
base_volume /= 1 + fill_event.trade_fee.percent
else:
if fee_asset == base_asset:
base_volume += fee_amount
elif fee_asset == quote_asset:
# TODO: with new logic, this quote volume adjustment does not impacts anything
quote_volume -= fee_amount
else:
# Ok, some other asset used (like BNB), assume that we paid in base asset for simplicity
base_volume /= 1 + fill_event.trade_fee.percent
with self.sql_manager.get_new_session() as session:
with session.begin():
if fill_event.trade_type == TradeType.SELL:
record = InventoryCost.get_record(session, base_asset,
quote_asset)
if not record:
raise RuntimeError(
"Sold asset without having inventory price set. This should not happen."
)
# We're keeping initial buy price intact. Profits are not changing inventory price intentionally.
quote_volume = -(Decimal(record.quote_volume /
record.base_volume) * base_volume)
base_volume = -base_volume
InventoryCost.add_volume(session, base_asset, quote_asset,
base_volume, quote_volume)
def test_process_order_fill_event_sell(self):
amount = Decimal("1")
price = Decimal("9000")
# Test when no records
self.assertIsNone(self.delegate.get_price())
with self.trade_fill_sql.get_new_session() as session:
with session.begin():
record = InventoryCost(
base_asset=self.base_asset,
quote_asset=self.quote_asset,
base_volume=amount,
quote_volume=amount * price,
)
session.add(record)
amount_sell = Decimal("0.5")
price_sell = Decimal("10000")
event = OrderFilledEvent(
timestamp=1,
order_id="order1",
trading_pair=self.trading_pair,
trade_type=TradeType.SELL,
order_type=OrderType.LIMIT,
price=price_sell,
amount=amount_sell,
trade_fee=AddedToCostTradeFee(percent=Decimal("0"), flat_fees=[]),
)
self.delegate.process_order_fill_event(event)
with self.trade_fill_sql.get_new_session() as session:
record = InventoryCost.get_record(session, self.base_asset,
self.quote_asset)
# Remaining base volume reduced by sold amount
self.assertEqual(record.base_volume, amount - amount_sell)
# Remaining quote volume has been reduced using original price
self.assertEqual(record.quote_volume, amount_sell * price)
def process_order_fill_event(self, fill_event: OrderFilledEvent) -> None:
base_asset, quote_asset = fill_event.trading_pair.split("-")
quote_volume = fill_event.amount * fill_event.price
base_volume = fill_event.amount
for fee_asset, fee_amount in fill_event.trade_fee.flat_fees:
if fill_event.trade_type == TradeType.BUY:
if fee_asset == base_asset:
base_volume -= fee_amount
elif fee_asset == quote_asset:
quote_volume += fee_amount
else:
# used for exchange native token used as base fee .
base_volume /= 1 + fill_event.trade_fee.percent
else:
if fee_asset == base_asset:
base_volume += fee_amount
elif fee_asset == quote_asset:
# volume adjustment with new logic.
quote_volume -= fee_amount
else:
base_volume /= 1 + fill_event.trade_fee.percent
if fill_event.trade_type == TradeType.SELL:
record = InventoryCost.get_record(self._session, base_asset,
quote_asset)
if not record:
raise RuntimeError(
"Sold asset without having inventory price set. This should not happen."
)
# keeping initial buy price intact. Profits are not changing inventory price intentionally.
quote_volume = -(Decimal(record.quote_volume / record.base_volume)
* base_volume)
base_volume = -base_volume
InventoryCost.add_volume(self._session, base_asset, quote_asset,
base_volume, quote_volume)