def test_failed_leg1(self):
ex = ccxtExchangeWrapper.load_from_id("binance") #type: ccxtExchangeWrapper
ex.set_offline_mode("test_data/markets.json", "test_data/tickers_maker.csv")
ex.load_markets()
ex.fetch_tickers()
tickers = ex.fetch_tickers() # second fetch contains good triangle
om = ActionOrderManager(ex)
om.offline_order_updates = 10
good_triangle = self.good_triangle
maker = SingleTriArbMakerDeal(currency1=good_triangle["cur1"],
currency2=good_triangle["cur2"],
currency3=good_triangle["cur3"],
price1=good_triangle["leg1-price"],
price2=good_triangle["leg2-price"],
price3=good_triangle["leg3-price"],
start_amount=0.01,
min_amount_currency1=0.003,
symbol1=good_triangle["symbol1"],
symbol2=good_triangle["symbol2"],
symbol3=good_triangle["symbol3"],
commission=0.00075,
commission_maker=0.0006,
threshold=1.001,
max_order1_updates=2000,
max_order2_updates=2000,
max_order3_updates=2000,
uuid="test"
)
maker.update_state(tickers)
om.add_order(maker.order1)
om.proceed_orders()
maker.update_state(tickers)
maker.order1.force_close()
om.proceed_orders()
maker.update_state(tickers)
self.assertEqual("Failed", maker.status)
self.assertEqual(0, maker.leg2_recovery_amount)
self.assertEqual(0, maker.leg2_recovery_target)
self.assertEqual(0, maker.leg3_recovery_amount)
self.assertEqual(0, maker.leg3_recovery_target)
self.assertEqual(0, maker.filled_start_amount)
self.assertEqual(0, maker.result_amount)
self.assertEqual(0, maker.gross_profit)
def test_recovery(self):
ex = ccxtExchangeWrapper.load_from_id("binance") #type: ccxtExchangeWrapper
ex.set_offline_mode("test_data/markets.json", "test_data/tickers_maker.csv")
ex.load_markets()
ex.fetch_tickers()
tickers = ex.fetch_tickers() # second fetch contains good triangle
om = ActionOrderManager(ex)
om.offline_order_updates = 10
good_triangle = self.good_triangle
maker = SingleTriArbMakerDeal(currency1=good_triangle["cur1"],
currency2=good_triangle["cur2"],
currency3=good_triangle["cur3"],
price1=good_triangle["leg1-price"],
price2=good_triangle["leg2-price"],
price3=good_triangle["leg3-price"],
start_amount=0.01,
min_amount_currency1=0.003,
symbol1=good_triangle["symbol1"],
symbol2=good_triangle["symbol2"],
symbol3=good_triangle["symbol3"],
commission=0.00075,
commission_maker=0.0006,
threshold=1.001,
max_order1_updates=2000,
max_order2_updates=2000,
max_order3_updates=2000,
recover_factor_order2=1.2,
recover_factor_order3=1.3,
uuid="test"
)
maker.update_state(tickers)
om.add_order(maker.order1)
while len(om.get_open_orders()) > 0:
# !!!!
# first we proceed the orders and we update the deal manager with new updated orders
om.proceed_orders()
maker.update_state(tickers)
om.add_order(maker.order2)
om.proceed_orders() # this will create order
while maker.order2.get_active_order().update_requests_count < 6:
om.proceed_orders() # this will fill order once for 1/10 of amount
maker.update_state(tickers)
print("")
print("Force Cancel")
print("")
# let's force to close the order
maker.order2.force_close()
om.proceed_orders()
maker.update_state(tickers)
self.assertEqual("closed", maker.order2.status)
self.assertLess(maker.order2.filled, maker.order2.amount)
self.assertLess(0, maker.leg2_recovery_amount)
self.assertLess(0, maker.leg2_recovery_target)
self.assertEqual(maker.leg2_recovery_amount, maker.order2.start_amount - maker.order2.filled_start_amount)
self.assertAlmostEqual(0.5 * maker.order2.amount, maker.leg2_recovery_amount, 6)
self.assertAlmostEqual(1/2, maker.order2.filled / maker.order2.amount, 6)
self.assertAlmostEqual(0.005*1.2, maker.leg2_recovery_target, 6)
# proceed to leg3
self.assertEqual("order3_create", maker.state)
om.add_order(maker.order3)
while maker.order3.get_active_order().update_requests_count < 6:
om.proceed_orders() # this will fill order once for 1/10 of amount
maker.update_state(tickers)
# let's force to close the order
maker.order3.force_close()
om.proceed_orders()
maker.update_state(tickers)
self.assertEqual(maker.leg3_recovery_amount, maker.order3.start_amount - maker.order3.filled_start_amount)
self.assertAlmostEqual(1 / 2, maker.order3.filled / maker.order3.amount, 6)
self.assertAlmostEqual(0.0025*1.3, maker.leg3_recovery_target, 6)
self.assertAlmostEqual(0.5 * maker.order3.amount, maker.leg3_recovery_amount, 6)
self.assertEqual("finished", maker.state)
self.assertEqual("InRecovery", maker.status)
self.assertEqual(0.01, maker.filled_start_amount)
self.assertAlmostEqual((0.01/4) * good_triangle["result"], maker.result_amount, 4)
self.assertAlmostEqual((0.01 / 4) * good_triangle["result"] - 0.01, maker.gross_profit, 4)