async def test_get_bankruptcy_price_with_short(
future_trader_simulator_with_default_linear):
config, exchange_manager_inst, trader_inst, default_contract = future_trader_simulator_with_default_linear
position_inst = personal_data.LinearPosition(trader_inst, default_contract)
position_inst.update_from_raw({
enums.ExchangeConstantsPositionColumns.SYMBOL.value:
DEFAULT_FUTURE_SYMBOL
})
position_inst.entry_price = constants.ONE_HUNDRED
await position_inst.update(update_size=-constants.ONE_HUNDRED,
mark_price=constants.ONE_HUNDRED)
assert position_inst.get_bankruptcy_price() == decimal.Decimal("200")
assert position_inst.get_bankruptcy_price(
with_mark_price=True) == decimal.Decimal("100")
default_contract.set_current_leverage(constants.ONE_HUNDRED)
assert position_inst.get_bankruptcy_price() == decimal.Decimal('101.00')
assert position_inst.get_bankruptcy_price(
with_mark_price=True) == decimal.Decimal('100')
exchange_manager_inst.exchange_personal_data.portfolio_manager.portfolio.get_currency_portfolio(
"USDT").wallet_balance = decimal.Decimal(
10000) # TO prevent portfolio negative error
await position_inst.update(update_size=constants.ONE_HUNDRED,
mark_price=decimal.Decimal(2) *
constants.ONE_HUNDRED)
assert position_inst.get_bankruptcy_price() == constants.ZERO
assert position_inst.get_bankruptcy_price(
with_mark_price=True) == constants.ZERO
async def test_get_bankruptcy_price_with_long(
future_trader_simulator_with_default_linear):
config, exchange_manager_inst, trader_inst, default_contract = future_trader_simulator_with_default_linear
position_inst = personal_data.LinearPosition(trader_inst, default_contract)
position_inst.update_from_raw({
enums.ExchangeConstantsPositionColumns.SYMBOL.value:
DEFAULT_FUTURE_SYMBOL
})
position_inst.entry_price = constants.ONE_HUNDRED
await position_inst.update(update_size=constants.ONE_HUNDRED,
mark_price=constants.ONE_HUNDRED)
assert position_inst.get_bankruptcy_price() == constants.ZERO
assert position_inst.get_bankruptcy_price(
with_mark_price=True) == constants.ONE_HUNDRED
default_contract.set_current_leverage(constants.ONE_HUNDRED)
assert position_inst.get_bankruptcy_price() == decimal.Decimal("99.00")
assert position_inst.get_bankruptcy_price(
with_mark_price=True) == decimal.Decimal("100")
await position_inst.update(update_size=constants.ONE_HUNDRED,
mark_price=decimal.Decimal(2) *
constants.ONE_HUNDRED)
assert position_inst.get_bankruptcy_price() == decimal.Decimal("99.00")
assert position_inst.get_bankruptcy_price(
with_mark_price=True) == decimal.Decimal("200")
async def test_get_fee_to_open(future_trader_simulator_with_default_linear):
config, exchange_manager_inst, trader_inst, default_contract = future_trader_simulator_with_default_linear
position_inst = personal_data.LinearPosition(trader_inst, default_contract)
await position_inst.update(update_size=constants.ZERO,
mark_price=constants.ZERO)
assert position_inst.get_fee_to_open() == constants.ZERO
await position_inst.update(update_size=constants.ONE_HUNDRED,
mark_price=constants.ONE_HUNDRED)
assert position_inst.get_fee_to_open() == decimal.Decimal("10.000")
async def test_update_pnl_with_short_linear_position(
future_trader_simulator_with_default_linear):
config, exchange_manager_inst, trader_inst, default_contract = future_trader_simulator_with_default_linear
position_inst = personal_data.LinearPosition(trader_inst, default_contract)
position_inst.entry_price = constants.ONE_HUNDRED
await position_inst.update(update_size=-constants.ONE_HUNDRED,
mark_price=constants.ONE_HUNDRED)
position_inst.update_pnl()
assert position_inst.unrealised_pnl == constants.ZERO
await position_inst.update(update_size=-constants.ONE_HUNDRED,
mark_price=constants.ONE_HUNDRED /
decimal.Decimal(10))
position_inst.update_pnl()
assert position_inst.unrealised_pnl == decimal.Decimal("18000")
async def test_update_initial_margin(
future_trader_simulator_with_default_linear):
config, exchange_manager_inst, trader_inst, default_contract = future_trader_simulator_with_default_linear
position_inst = personal_data.LinearPosition(trader_inst, default_contract)
if not os.getenv('CYTHON_IGNORE'):
await position_inst.update(update_size=constants.ZERO,
mark_price=constants.ZERO)
position_inst._update_initial_margin()
assert position_inst.initial_margin == constants.ZERO
await position_inst.update(update_size=constants.ONE_HUNDRED,
mark_price=constants.ONE_HUNDRED)
position_inst._update_initial_margin()
assert position_inst.initial_margin == decimal.Decimal("10000")
default_contract.set_current_leverage(constants.ONE_HUNDRED)
position_inst._update_initial_margin()
assert position_inst.initial_margin == decimal.Decimal("100")
async def test_update_average_entry_price_increased_short(
future_trader_simulator_with_default_linear):
config, exchange_manager_inst, trader_inst, default_contract = future_trader_simulator_with_default_linear
position_inst = personal_data.LinearPosition(trader_inst, default_contract)
await position_inst.update(update_size=-decimal.Decimal(10),
mark_price=decimal.Decimal(10))
position_inst.entry_price = decimal.Decimal(10)
position_inst.update_average_entry_price(-decimal.Decimal(10),
decimal.Decimal(5))
assert position_inst.entry_price == decimal.Decimal(7.5)
position_inst.update_average_entry_price(-decimal.Decimal(100),
decimal.Decimal(2))
assert position_inst.entry_price == decimal.Decimal(2.5)
position_inst.update_average_entry_price(-decimal.Decimal(2),
decimal.Decimal(0.1))
assert position_inst.entry_price == decimal.Decimal(
"2.100000000000000000925185854")
async def test_get_size_from_margin(
future_trader_simulator_with_default_linear):
config, exchange_manager_inst, trader_inst, default_contract = future_trader_simulator_with_default_linear
position_inst = personal_data.LinearPosition(trader_inst, default_contract)
await position_inst.update(update_size=constants.ONE_HUNDRED,
mark_price=constants.ONE_HUNDRED)
assert position_inst.get_size_from_margin(
constants.ONE) == decimal.Decimal('0.01')
default_contract.set_current_leverage(constants.ONE_HUNDRED)
assert position_inst.get_size_from_margin(constants.ONE) == constants.ONE
default_contract.set_current_leverage(constants.ONE)
assert position_inst.get_size_from_margin(
decimal.Decimal('0.01')) == decimal.Decimal('0.0001')
assert position_inst.get_size_from_margin(
decimal.Decimal('0.1')) == decimal.Decimal('0.001')
assert position_inst.get_size_from_margin(
decimal.Decimal('1')) == decimal.Decimal('0.01')
async def test_update_average_entry_price_decreased_long(
future_trader_simulator_with_default_linear):
config, exchange_manager_inst, trader_inst, default_contract = future_trader_simulator_with_default_linear
position_inst = personal_data.LinearPosition(trader_inst, default_contract)
await position_inst.update(update_size=decimal.Decimal(100),
mark_price=decimal.Decimal(10))
position_inst.entry_price = decimal.Decimal(10)
position_inst.update_average_entry_price(-decimal.Decimal(10),
decimal.Decimal(20))
assert position_inst.entry_price == decimal.Decimal(
"8.888888888888888888888888889")
position_inst.update_average_entry_price(-decimal.Decimal(50),
decimal.Decimal(1.5))
assert position_inst.entry_price == decimal.Decimal(
"16.27777777777777777777777778")
position_inst.update_average_entry_price(-decimal.Decimal(2),
decimal.Decimal(7000))
assert position_inst.entry_price == constants.ZERO
async def test_update_average_entry_price_increased_long(
future_trader_simulator_with_default_linear):
config, exchange_manager_inst, trader_inst, default_contract = future_trader_simulator_with_default_linear
position_inst = personal_data.LinearPosition(trader_inst, default_contract)
await position_inst.update(update_size=decimal.Decimal(10),
mark_price=decimal.Decimal(10))
position_inst.entry_price = decimal.Decimal(10)
position_inst.update_average_entry_price(decimal.Decimal(10),
decimal.Decimal(20))
assert position_inst.entry_price == decimal.Decimal(15)
position_inst.update_average_entry_price(decimal.Decimal(100),
decimal.Decimal(20))
assert position_inst.entry_price == decimal.Decimal(
"19.54545454545454545454545455")
position_inst.update_average_entry_price(decimal.Decimal(2),
decimal.Decimal(500))
assert position_inst.entry_price == decimal.Decimal(
"99.62121212121212121212121217")
async def test_update_average_entry_price_decreased_short(
future_trader_simulator_with_default_linear):
config, exchange_manager_inst, trader_inst, default_contract = future_trader_simulator_with_default_linear
position_inst = personal_data.LinearPosition(trader_inst, default_contract)
await position_inst.update(update_size=-decimal.Decimal(100),
mark_price=decimal.Decimal(10))
position_inst.entry_price = decimal.Decimal(10)
position_inst.update_average_entry_price(decimal.Decimal(10),
decimal.Decimal(20))
assert position_inst.entry_price == decimal.Decimal(
"8.888888888888888888888888889")
position_inst.update_average_entry_price(decimal.Decimal(100),
decimal.Decimal('35.678'))
assert position_inst.entry_price == decimal.Decimal(
"2678.911111111111111111111111")
position_inst.update_average_entry_price(
decimal.Decimal(2), decimal.Decimal("0.0000000025428"))
assert position_inst.entry_price == decimal.Decimal(
"2733.582766439857403174603174")
async def test_update_isolated_liquidation_price_with_short(
future_trader_simulator_with_default_linear):
config, exchange_manager_inst, trader_inst, default_contract = future_trader_simulator_with_default_linear
exchange_manager_inst.exchange_symbols_data.get_exchange_symbol_data(
DEFAULT_FUTURE_SYMBOL).funding_manager.funding_rate = decimal.Decimal(
DEFAULT_FUTURE_FUNDING_RATE)
position_inst = personal_data.LinearPosition(trader_inst, default_contract)
position_inst.symbol = DEFAULT_FUTURE_SYMBOL
position_inst.entry_price = constants.ONE_HUNDRED
await position_inst.update(update_size=-constants.ONE_HUNDRED,
mark_price=constants.ONE_HUNDRED)
position_inst.update_isolated_liquidation_price()
assert position_inst.liquidation_price == decimal.Decimal("199.0")
default_contract.set_current_leverage(constants.ONE_HUNDRED)
await position_inst.update(update_size=-constants.ONE_HUNDRED,
mark_price=constants.ONE_HUNDRED /
decimal.Decimal(10))
position_inst.update_isolated_liquidation_price()
assert position_inst.liquidation_price == decimal.Decimal("100")
async def test_calculate_maintenance_margin(
future_trader_simulator_with_default_linear):
config, exchange_manager_inst, trader_inst, default_contract = future_trader_simulator_with_default_linear
position_inst = personal_data.LinearPosition(trader_inst, default_contract)
position_inst.symbol = DEFAULT_FUTURE_SYMBOL
await position_inst.update(update_size=constants.ZERO,
mark_price=constants.ZERO)
assert position_inst.calculate_maintenance_margin() == constants.ZERO
await position_inst.update(update_size=constants.ONE_HUNDRED,
mark_price=constants.ONE_HUNDRED)
assert position_inst.calculate_maintenance_margin(
) == constants.ONE_HUNDRED
exchange_manager_inst.exchange_symbols_data.get_exchange_symbol_data(
DEFAULT_FUTURE_SYMBOL).funding_manager.funding_rate = decimal.Decimal(
DEFAULT_FUTURE_FUNDING_RATE)
await position_inst.update(update_size=constants.ONE_HUNDRED,
mark_price=constants.ONE_HUNDRED)
assert position_inst.calculate_maintenance_margin() == decimal.Decimal(
'200')
async def test_update_pnl_with_loss_with_long_linear_position(
future_trader_simulator_with_default_linear):
config, exchange_manager_inst, trader_inst, default_contract = future_trader_simulator_with_default_linear
position_inst = personal_data.LinearPosition(trader_inst, default_contract)
position_inst.update_from_raw({
enums.ExchangeConstantsPositionColumns.SYMBOL.value:
DEFAULT_FUTURE_SYMBOL
})
position_inst.entry_price = constants.ONE_HUNDRED
await position_inst.update(update_size=constants.ONE_HUNDRED,
mark_price=constants.ONE_HUNDRED)
position_inst.update_pnl()
assert position_inst.unrealised_pnl == constants.ZERO
exchange_manager_inst.exchange_personal_data.portfolio_manager.portfolio.get_currency_portfolio(
"USDT").wallet_balance = decimal.Decimal(
100000) # TO prevent portfolio negative error
await position_inst.update(update_size=constants.ONE_HUNDRED,
mark_price=constants.ONE_HUNDRED /
decimal.Decimal(2.535485))
position_inst.update_pnl()
assert position_inst.unrealised_pnl == decimal.Decimal(
"-12111.96280001656484319345490")
