def get_performance_analysis_with_updated_balance(
self, # type: HummingbotApplication
) -> PerformanceAnalysis:
performance_analysis = PerformanceAnalysis()
dedup_set: Set[Tuple[str, str, bool]] = set()
for market_symbol_pair in self.market_symbol_pairs:
for is_base in [True, False]:
for is_starting in [True, False]:
market_name = market_symbol_pair.market.name
asset_name = market_symbol_pair.base_asset if is_base else market_symbol_pair.quote_asset
if len(self.assets) == 0 or len(self.markets) == 0:
# Prevent KeyError '***SYMBOL***'
amount = self.starting_balances[asset_name][
market_name]
else:
amount = self.starting_balances[asset_name][market_name] if is_starting \
else self.balance_snapshot()[asset_name][market_name]
amount = float(amount)
# Adding this check to prevent assets in the same market to be added multiple times
if (market_name, asset_name, is_starting) not in dedup_set:
dedup_set.add((market_name, asset_name, is_starting))
performance_analysis.add_balances(
asset_name, amount, is_base, is_starting)
return performance_analysis
def get_performance_analysis_with_updated_balance(
self, # type: HummingbotApplication
) -> PerformanceAnalysis:
performance_analysis = PerformanceAnalysis()
for market_symbol_pair in self.market_symbol_pairs:
for is_base in [True, False]:
for is_starting in [True, False]:
market_name = market_symbol_pair.market.name
asset_name = market_symbol_pair.base_asset if is_base else market_symbol_pair.quote_asset
amount = self.starting_balances[asset_name][market_name] if is_starting \
else self.balance_snapshot()[asset_name][market_name]
amount = float(amount)
performance_analysis.add_balances(asset_name, amount,
is_base, is_starting)
return performance_analysis
def test_basic_one_ex(self):
""" Test performance analysis on a one exchange balance. """
performance_analysis = PerformanceAnalysis()
performance_analysis.add_balances("WETH", 0.5, True, True)
performance_analysis.add_balances("DAI", 60, False, True)
performance_analysis.add_balances("WETH", 0.4, True, False)
performance_analysis.add_balances("DAI", 70, False, False)
calculated_percent = performance_analysis.compute_profitability(50)
expected_percent = (((0.4 * 50) + 70)/((0.5 * 50) + 60) - 1) * 100
self.assertEqual(calculated_percent, expected_percent, "Basic one ex test failed.")
def test_nan_starting(self):
""" Test the case where the starting balance is 0. """
performance_analysis = PerformanceAnalysis()
performance_analysis.add_balances("WETH", 0, True, True)
performance_analysis.add_balances("DAI", 0, False, True)
performance_analysis.add_balances("WETH", 0.3, True, False)
performance_analysis.add_balances("DAI", 70, False, False)
calculated_percent = performance_analysis.compute_profitability(50)
self.assertTrue(math.isnan(calculated_percent), "Starting value of 0 test failed.")
def test_basic_one_ex(self):
""" Test performance analysis on a one exchange balance. """
performance_analysis = PerformanceAnalysis()
starting_weth = 0.5
starting_dai = 60
current_weth = 0.4
current_dai = 70
performance_analysis.add_balances("WETH", starting_weth, True, True)
performance_analysis.add_balances("DAI", starting_dai, False, True)
performance_analysis.add_balances("WETH", current_weth, True, False)
performance_analysis.add_balances("DAI", current_dai, False, False)
calculated_starting_token, calculated_starting_amount = performance_analysis.compute_starting(
self._price)
calculated_current_token, calculated_current_amount = performance_analysis.compute_current(
self._price)
calculated_delta_token, calculated_delta_amount = performance_analysis.compute_delta(
self._price)
calculated_return = performance_analysis.compute_return(self._price)
expected_starting_amount = (starting_weth * self._price) + starting_dai
expected_current_amount = (current_weth * self._price) + current_dai
expected_delta_amount = expected_current_amount - expected_starting_amount
expected_return = (
(expected_current_amount / expected_starting_amount) - 1) * 100
self.assertEqual(
calculated_starting_token,
"DAI",
msg=
"Basic one exchange test: expected starting token incorrectly determined."
)
self.assertAlmostEquals(
calculated_starting_amount,
expected_starting_amount,
msg=
"Basic one exchange test: expected starting amount incorrectly determined."
)
self.assertEqual(
calculated_current_token,
"DAI",
msg=
"Basic one exchange test: expected current token incorrectly determined."
)
self.assertAlmostEquals(
calculated_current_amount,
expected_current_amount,
msg=
"Basic one exchange test: expected current amount incorrectly determined."
)
self.assertEqual(
calculated_delta_token,
"DAI",
msg=
"Basic one exchange test: expected delta token incorrectly determined."
)
self.assertAlmostEquals(
calculated_delta_amount,
expected_delta_amount,
msg=
"Basic one exchange test: expected delta amount incorrectly determined."
)
self.assertAlmostEquals(
calculated_return,
expected_return,
msg="Basic one exchange test: return incorrectly determined.")
def test_nan_starting(self):
""" Test the case where the starting balance is 0. """
performance_analysis = PerformanceAnalysis()
starting_weth = 0
starting_dai = 0
current_weth = 0.3
current_dai = 70
performance_analysis.add_balances("WETH", starting_weth, True, True)
performance_analysis.add_balances("DAI", starting_dai, False, True)
performance_analysis.add_balances("WETH", current_weth, True, False)
performance_analysis.add_balances("DAI", current_dai, False, False)
calculated_starting_token, calculated_starting_amount = performance_analysis.compute_starting(
self._price)
calculated_current_token, calculated_current_amount = performance_analysis.compute_current(
self._price)
calculated_delta_token, calculated_delta_amount = performance_analysis.compute_delta(
self._price)
calculated_return = performance_analysis.compute_return(self._price)
expected_starting_amount = (starting_weth * self._price) + starting_dai
expected_current_amount = (current_weth * self._price) + current_dai
expected_delta_amount = expected_current_amount - expected_starting_amount
self.assertEqual(
calculated_starting_token,
"DAI",
msg=
"Starting value of 0 test: expected starting token incorrectly determined."
)
self.assertAlmostEquals(
calculated_starting_amount,
expected_starting_amount,
msg=
"Starting value of 0 test: expected starting amount incorrectly determined."
)
self.assertEqual(
calculated_current_token,
"DAI",
msg=
"Starting value of 0 test: expected current token incorrectly determined."
)
self.assertAlmostEquals(
calculated_current_amount,
expected_current_amount,
msg=
"Starting value of 0 test: expected current amount incorrectly determined."
)
self.assertEqual(
calculated_delta_token,
"DAI",
msg=
"Starting value of 0 test: expected delta token incorrectly determined."
)
self.assertAlmostEquals(
calculated_delta_amount,
expected_delta_amount,
msg=
"Starting value of 0 test: expected delta amount incorrectly determined."
)
self.assertTrue(
math.isnan(calculated_return),
"Starting value of 0 test: return incorrectly determined.")
def test_different_tokens_two_ex(self):
""" Test performance analysis on a two exchange balance with different currencies trading. Note that this test
will not work as the config file that contains the conversion has not been loaded."""
performance_analysis = PerformanceAnalysis()
starting_weth_1 = 0.5
starting_dai_1 = 60
starting_eth_2 = 0.7
starting_usdc_2 = 50
current_weth_1 = 0.4
current_dai_1 = 70
current_eth_2 = 0.3
current_usdc_2 = 70
performance_analysis.add_balances("WETH", starting_weth_1, True, True)
performance_analysis.add_balances("DAI", starting_dai_1, False, True)
performance_analysis.add_balances("ETH", starting_eth_2, True, True)
performance_analysis.add_balances("USDC", starting_usdc_2, False, True)
performance_analysis.add_balances("WETH", current_weth_1, True, False)
performance_analysis.add_balances("DAI", current_dai_1, False, False)
performance_analysis.add_balances("ETH", current_eth_2, True, False)
performance_analysis.add_balances("USDC", current_usdc_2, False, False)
calculated_starting_token, calculated_starting_amount = performance_analysis.compute_starting(
self._price)
calculated_current_token, calculated_current_amount = performance_analysis.compute_current(
self._price)
calculated_delta_token, calculated_delta_amount = performance_analysis.compute_delta(
self._price)
calculated_return = performance_analysis.compute_return(self._price)
starting_weth = starting_weth_1 + starting_eth_2
starting_dai = starting_dai_1 + (starting_usdc_2 * self._usdc_price *
(1 / self._dai_price))
current_weth = current_weth_1 + current_eth_2
current_dai = current_dai_1 + (current_usdc_2 * self._usdc_price *
(1 / self._dai_price))
expected_starting_amount = (starting_weth * self._price) + starting_dai
expected_current_amount = (current_weth * self._price) + current_dai
expected_delta_amount = expected_current_amount - expected_starting_amount
expected_return = (
(expected_current_amount / expected_starting_amount) - 1) * 100
self.assertEqual(
calculated_starting_token,
"DAI",
msg=
"Two exchange test w/ diff tokens: expected starting token incorrectly determined."
)
self.assertAlmostEquals(
calculated_starting_amount,
expected_starting_amount,
msg="Two exchange test w/ diff tokens: "
"expected starting amount incorrectly determined.")
self.assertEqual(
calculated_current_token,
"DAI",
msg=
"Two exchange test w/ diff tokens: expected current token incorrectly determined."
)
self.assertAlmostEquals(
calculated_current_amount,
expected_current_amount,
msg=
"Two exchange test w/ diff tokens: expected current amount incorrectly determined."
)
self.assertEqual(
calculated_delta_token,
"DAI",
msg=
"Two exchange test w/ diff tokens: expected delta token incorrectly determined."
)
self.assertAlmostEquals(
calculated_delta_amount,
expected_delta_amount,
msg=
"Two exchange test w/ diff tokens: expected delta amount incorrectly determined."
)
self.assertAlmostEquals(
calculated_return,
expected_return,
msg=
"Two exchange test w/ diff tokens: return incorrectly determined.")
def test_basic_two_ex(self):
""" Test performance analysis on a two exchange balance with the same currencies trading in both exchanges. """
performance_analysis = PerformanceAnalysis()
starting_weth_1 = 0.5
starting_dai_1 = 60
starting_weth_2 = 0.7
starting_dai_2 = 50
current_weth_1 = 0.4
current_dai_1 = 70
current_weth_2 = 0.3
current_dai_2 = 70
performance_analysis.add_balances("WETH", starting_weth_1, True, True)
performance_analysis.add_balances("DAI", starting_dai_1, False, True)
performance_analysis.add_balances("WETH", starting_weth_2, True, True)
performance_analysis.add_balances("DAI", starting_dai_2, False, True)
performance_analysis.add_balances("WETH", current_weth_1, True, False)
performance_analysis.add_balances("DAI", current_dai_1, False, False)
performance_analysis.add_balances("WETH", current_weth_2, True, False)
performance_analysis.add_balances("DAI", current_dai_2, False, False)
calculated_starting_token, calculated_starting_amount = performance_analysis.compute_starting(
self._price)
calculated_current_token, calculated_current_amount = performance_analysis.compute_current(
self._price)
calculated_delta_token, calculated_delta_amount = performance_analysis.compute_delta(
self._price)
calculated_return = performance_analysis.compute_return(self._price)
starting_weth = starting_weth_1 + starting_weth_2
starting_dai = starting_dai_1 + starting_dai_2
current_weth = current_weth_1 + current_weth_2
current_dai = current_dai_1 + current_dai_2
expected_starting_amount = (starting_weth * self._price) + starting_dai
expected_current_amount = (current_weth * self._price) + current_dai
expected_delta_amount = expected_current_amount - expected_starting_amount
expected_return = (
(expected_current_amount / expected_starting_amount) - 1) * 100
self.assertEqual(
calculated_starting_token,
"DAI",
msg=
"Basic two exchange test: expected starting token incorrectly determined."
)
self.assertAlmostEquals(
calculated_starting_amount,
expected_starting_amount,
msg=
"Basic two exchange test: expected starting amount incorrectly determined."
)
self.assertEqual(
calculated_current_token,
"DAI",
msg=
"Basic two exchange test: expected current token incorrectly determined."
)
self.assertAlmostEquals(
calculated_current_amount,
expected_current_amount,
msg=
"Basic two exchange test: expected current amount incorrectly determined."
)
self.assertEqual(
calculated_delta_token,
"DAI",
msg=
"Basic two exchange test: expected delta token incorrectly determined."
)
self.assertAlmostEquals(
calculated_delta_amount,
expected_delta_amount,
msg=
"Basic two exchange test: expected delta amount incorrectly determined."
)
self.assertAlmostEquals(
calculated_return,
expected_return,
msg="Basic two exchange test: return incorrectly determined.")
def test_different_tokens_two_ex(self):
""" Test performance analysis on a two exchange balance with different currencies trading. Note that this test
will not work as the config file that contains the conversion has not been loaded."""
performance_analysis = PerformanceAnalysis()
performance_analysis.add_balances("WETH", 0.5, True, True)
performance_analysis.add_balances("DAI", 60, False, True)
performance_analysis.add_balances("ETH", 0.7, True, True)
performance_analysis.add_balances("USD", 50, False, True)
performance_analysis.add_balances("WETH", 0.4, True, False)
performance_analysis.add_balances("DAI", 70, False, False)
performance_analysis.add_balances("ETH", 0.3, True, False)
performance_analysis.add_balances("USD", 70, False, False)
calculated_percent = performance_analysis.compute_profitability(50)
expected_percent = (((0.7 * 50) + 140)/((1.2 * 50) + 110) - 1) * 100
self.assertAlmostEquals(calculated_percent, expected_percent, msg="Two diff token test failed.", delta=0.1)
def test_basic_two_ex(self):
""" Test performance analysis on a two exchange balance with the same currencies trading in both exchanges. """
performance_analysis = PerformanceAnalysis()
performance_analysis.add_balances("WETH", 0.5, True, True)
performance_analysis.add_balances("DAI", 60, False, True)
performance_analysis.add_balances("WETH", 0.7, True, True)
performance_analysis.add_balances("DAI", 50, False, True)
performance_analysis.add_balances("WETH", 0.4, True, False)
performance_analysis.add_balances("DAI", 70, False, False)
performance_analysis.add_balances("WETH", 0.3, True, False)
performance_analysis.add_balances("DAI", 70, False, False)
calculated_percent = performance_analysis.compute_profitability(50)
expected_percent = (((0.7 * 50) + 140)/((1.2 * 50) + 110) - 1) * 100
self.assertEqual(calculated_percent, expected_percent, "Basic one ex test failed.")
