def test_pnl_percentage():
set_up(zero_fee=True)
# 1x leverage
trade = CompletedTrade({
'type': 'long',
'exchange': 'Sandbox',
'entry_price': 10,
'exit_price': 12,
'take_profit_at': 20,
'stop_loss_at': 5,
'qty': 1,
'orders': [],
'symbol': 'BTC-USD',
'opened_at': jh.now_to_timestamp(),
'closed_at': jh.now_to_timestamp(),
'leverage': 1,
})
assert trade.pnl_percentage == 20
# 2x leverage
trade = CompletedTrade({
'type': 'long',
'exchange': 'Sandbox',
'entry_price': 10,
'exit_price': 12,
'take_profit_at': 20,
'stop_loss_at': 5,
'qty': 1,
'orders': [],
'symbol': 'BTC-USD',
'opened_at': jh.now_to_timestamp(),
'closed_at': jh.now_to_timestamp(),
'leverage': 2,
})
assert trade.pnl_percentage == 40
def test_trade_size():
trade = CompletedTrade({
'type': 'long',
'exchange': 'Sandbox',
'entry_price': 10,
'exit_price': 20,
'take_profit_at': 20,
'stop_loss_at': 5,
'qty': 1,
'orders': [],
'symbol': 'BTC-USD',
'opened_at': jh.now_to_timestamp(),
'closed_at': jh.now_to_timestamp()
})
assert trade.size == 10
def test_risk_percentage():
set_up(zero_fee=True)
trade = CompletedTrade({
'type': 'long',
'exchange': 'Sandbox',
'entry_price': 10,
'exit_price': 12,
'take_profit_at': 20,
'stop_loss_at': 5,
'qty': 1,
'orders': [],
'symbol': 'BTC-USD',
'opened_at': jh.now_to_timestamp(),
'closed_at': jh.now_to_timestamp()
})
def test_holding_period():
trade = CompletedTrade({
'type': 'long',
'exchange': 'Sandbox',
'entry_price': 10,
'exit_price': 20,
'take_profit_at': 20,
'stop_loss_at': 5,
'qty': 1,
'orders': [],
'symbol': 'BTC-USD',
'opened_at': 1552309186171,
'closed_at': 1552309186171 + 60000
})
# 1 minute == 60 seconds
assert trade.holding_period == 60
def test_PNL_percentage():
no_fee()
trade = CompletedTrade({
'type': 'long',
'exchange': 'Sandbox',
'entry_price': 10,
'exit_price': 12,
'take_profit_at': 20,
'stop_loss_at': 5,
'qty': 1,
'orders': [],
'symbol': 'BTCUSD',
'opened_at': jh.now(),
'closed_at': jh.now()
})
assert trade.PNL_percentage == 20
def test_risk_percentage():
no_fee()
trade = CompletedTrade({
'type': 'long',
'exchange': 'Sandbox',
'entry_price': 10,
'exit_price': 12,
'take_profit_at': 20,
'stop_loss_at': 5,
'qty': 1,
'orders': [],
'symbol': 'BTC-USD',
'opened_at': jh.now_to_timestamp(),
'closed_at': jh.now_to_timestamp()
})
assert trade.risk_percentage == round((((10 - 5) / 1) * 10), 2)
def test_R():
no_fee()
trade = CompletedTrade({
'type': 'long',
'exchange': 'Sandbox',
'entry_price': 10,
'exit_price': 12,
'take_profit_at': 20,
'stop_loss_at': 5,
'qty': 1,
'orders': [],
'symbol': 'BTC-USD',
'opened_at': jh.now_to_timestamp(),
'closed_at': jh.now_to_timestamp()
})
assert trade.risk_reward_ratio == 2
def test_pnl_with_fee():
# set fee (0.20%)
config['env']['exchanges']['Sandbox']['fee'] = 0.002
trade = CompletedTrade({
'type': 'long',
'exchange': 'Sandbox',
'entry_price': 10,
'exit_price': 20,
'take_profit_at': 20,
'stop_loss_at': 5,
'qty': 1,
'orders': [],
'symbol': 'BTC-USD',
'opened_at': jh.now_to_timestamp(),
'closed_at': jh.now_to_timestamp()
})
assert trade.fee == 0.06
assert trade.pnl == 9.94
def test_can_add_trade_to_store():
set_up()
assert store.completed_trades.trades == []
trade = CompletedTrade({
'type': 'long',
'exchange': 'Sandbox',
'entry_price': 10,
'exit_price': 20,
'take_profit_at': 20,
'stop_loss_at': 5,
'qty': 1,
'orders': [],
'symbol': 'BTC-USD',
'opened_at': 1552309186171,
'closed_at': 1552309186171 + 60000
})
store.completed_trades.add_trade(trade)
assert store.completed_trades.trades == [trade]
store.reset()
assert store.completed_trades.trades == []
def _log_position_update(self, order: Order, role: str) -> None:
"""
A log can be either about opening, adding, reducing, or closing the position.
Arguments:
order {order} -- the order object
"""
# set the trade_id for the order if we're in the middle of a trade. Otherwise, it
# is done at order_roles.OPEN_POSITION
if self.trade:
order.trade_id = self.trade.id
if role == order_roles.OPEN_POSITION:
self.trade = CompletedTrade()
self.trade.leverage = self.leverage
self.trade.orders = [order]
self.trade.timeframe = self.timeframe
self.trade.id = jh.generate_unique_id()
order.trade_id = self.trade.id
self.trade.strategy_name = self.name
self.trade.exchange = order.exchange
self.trade.symbol = order.symbol
self.trade.type = trade_types.LONG if order.side == sides.BUY else trade_types.SHORT
self.trade.qty = order.qty
self.trade.opened_at = jh.now_to_timestamp()
self.trade.entry_candle_timestamp = self.current_candle[0]
elif role == order_roles.INCREASE_POSITION:
self.trade.orders.append(order)
self.trade.qty += order.qty
elif role == order_roles.REDUCE_POSITION:
self.trade.orders.append(order)
self.trade.qty += order.qty
elif role == order_roles.CLOSE_POSITION:
self.trade.exit_candle_timestamp = self.current_candle[0]
self.trade.orders.append(order)
# calculate average stop-loss price
sum_price = 0
sum_qty = 0
if self._log_stop_loss is not None:
for l in self._log_stop_loss:
sum_qty += abs(l[0])
sum_price += abs(l[0]) * l[1]
self.trade.stop_loss_at = sum_price / sum_qty
else:
self.trade.stop_loss_at = np.nan
# calculate average take-profit price
sum_price = 0
sum_qty = 0
if self._log_take_profit is not None:
for l in self._log_take_profit:
sum_qty += abs(l[0])
sum_price += abs(l[0]) * l[1]
self.trade.take_profit_at = sum_price / sum_qty
else:
self.trade.take_profit_at = np.nan
# calculate average entry_price price
sum_price = 0
sum_qty = 0
for l in self.trade.orders:
if not l.is_executed:
continue
if jh.side_to_type(l.side) != self.trade.type:
continue
sum_qty += abs(l.qty)
sum_price += abs(l.qty) * l.price
self.trade.entry_price = sum_price / sum_qty
# calculate average exit_price
sum_price = 0
sum_qty = 0
for l in self.trade.orders:
if not l.is_executed:
continue
if jh.side_to_type(l.side) == self.trade.type:
continue
sum_qty += abs(l.qty)
sum_price += abs(l.qty) * l.price
self.trade.exit_price = sum_price / sum_qty
self.trade.closed_at = jh.now_to_timestamp()
self.trade.qty = pydash.sum_by(
filter(lambda o: o.side == jh.type_to_side(self.trade.type),
self.trade.orders), lambda o: abs(o.qty))
store.completed_trades.add_trade(self.trade)
if jh.is_livetrading():
store_completed_trade_into_db(self.trade)
self.trade = None
self.trades_count += 1
if jh.is_livetrading():
store_order_into_db(order)
