def test_calculate_trade_quote_delta_with_fees(self):
test_trades = [("BUY", 1, 100), ("SELL", 0.9, 100), ("BUY", 1, 110),
("SELL", 1, 115)]
start_time = int(time.time() * 1e3) - 100000
self.save_trade_fill_records(test_trades, self.trading_pair_tuple_1,
OrderType.MARKET.name, start_time,
self.strategy_1)
raw_queried_trades = self.get_trades_from_session(start_time)
performance_analysis = PerformanceAnalysis(sql=self.trade_fill_sql)
trade_performance_stats, market_trading_pair_stats = performance_analysis.calculate_trade_performance(
self.strategy_1,
[self.trading_pair_tuple_1],
raw_queried_trades,
)
expected_trade_performance_stats = {
"portfolio_acquired_quote_value": Decimal("24111.45"),
"portfolio_delta": Decimal("-823.55"),
"portfolio_delta_percentage":
Decimal("-3.302787246841788650491277320"),
"portfolio_spent_quote_value": Decimal("24935.0")
}
expected_market_trading_pair_stats = {
"acquired_quote_value":
Decimal("24111.45"),
"asset": {
"DAI": {
"acquired": Decimal("202.9500000000000021555673912"),
"delta": Decimal("-7.0499999999999978444326088"),
"delta_percentage":
Decimal("-3.357142857142856116396480380"),
"spent": Decimal("210")
},
"WETH": {
"acquired": Decimal("207.8999999999999999562849684"),
"delta": Decimal("-7.1000000000000000437150316"),
"delta_percentage":
Decimal("-3.302325581395348857541875160"),
"spent": Decimal("215")
}
},
"end_quote_rate":
Decimal("115.0"),
"spent_quote_value":
Decimal("24935.0"),
"starting_quote_rate":
Decimal("1.0"),
"trading_pair_delta":
Decimal("-823.55000000000000287166124"),
"trading_pair_delta_percentage":
Decimal("-3.302787246841788662007865410")
}
self.assertDictEqual(trade_performance_stats,
expected_trade_performance_stats)
self.assertDictEqual(
expected_market_trading_pair_stats,
market_trading_pair_stats[self.trading_pair_tuple_1])
def test_calculate_trade_performance(self):
test_trades = [("BUY", 2, 100), ("SELL", 0.9, 110), ("BUY", 0.5, 105),
("SELL", 1, 120)]
start_time = int(time.time() * 1e3) - 100000
self.save_trade_fill_records(test_trades, self.trading_pair_tuple_1,
OrderType.MARKET.name, start_time,
self.strategy_1)
performance_analysis = PerformanceAnalysis(sql=self.trade_fill_sql)
raw_queried_trades = self.get_trades_from_session(start_time)
trade_performance_stats, market_trading_pair_stats = performance_analysis.calculate_trade_performance(
self.strategy_1,
[self.trading_pair_tuple_1],
raw_queried_trades,
)
expected_trade_performance_stats = {
'portfolio_acquired_quote_value': Decimal('23556.06'),
'portfolio_delta': Decimal('-3146.44'),
'portfolio_delta_percentage':
Decimal('-11.78331616889804325437693100'),
'portfolio_spent_quote_value': Decimal('26702.5')
}
expected_market_trading_pair_stats = {
'acquired_quote_value':
Decimal('23556.06'),
'asset': {
'DAI': {
'acquired': Decimal('216.8100000000000023724772146'),
'delta': Decimal('-35.6899999999999976275227854'),
'delta_percentage':
Decimal('-14.13465346534653371387041006'),
'spent': Decimal('252.5')
},
'WETH': {
'acquired': Decimal('202.9499999999999999573258025'),
'delta': Decimal('-27.0500000000000000426741975'),
'delta_percentage':
Decimal('-11.76086956521739132290182500'),
'spent': Decimal('230')
}
},
'end_quote_rate':
Decimal('115.0'),
'spent_quote_value':
Decimal('26702.5'),
'starting_quote_rate':
Decimal('2.0'),
'trading_pair_delta':
Decimal('-3146.44000000000000253505550'),
'trading_pair_delta_percentage':
Decimal('-11.78331616889804326387063196')
}
self.assertDictEqual(expected_trade_performance_stats,
trade_performance_stats)
self.assertDictEqual(
expected_market_trading_pair_stats,
market_trading_pair_stats[self.trading_pair_tuple_1])
def test_multiple_market(self):
test_trades_1 = [("BUY", 100, 1), ("SELL", 100, 0.9), ("BUY", 110, 1),
("SELL", 115, 1)]
start_time = int(time.time() * 1e3) - 100000
self.save_trade_fill_records(test_trades_1, self.trading_pair_tuple_1,
OrderType.MARKET.name, start_time,
self.strategy_1)
test_trades_2 = [("BUY", 100, 2), ("SELL", 110, 0.9),
("BUY", 105, 0.5), ("SELL", 120, 1)]
self.save_trade_fill_records(test_trades_2, self.trading_pair_tuple_2,
OrderType.MARKET.name, start_time,
self.strategy_1)
performance_analysis = PerformanceAnalysis(sql=self.trade_fill_sql)
raw_queried_trades = self.get_trades_from_session(start_time)
m_name_1 = self.trading_pair_tuple_1.market.name
m_name_2 = self.trading_pair_tuple_2.market.name
starting_balances = {
"DAI": {
m_name_1: Decimal("1000")
},
"WETH": {
m_name_1: Decimal("5")
},
"USDC": {
m_name_2: Decimal("500")
},
"ETH": {
m_name_2: Decimal("1")
}
}
trade_performance_stats, market_trading_pair_stats = performance_analysis.calculate_trade_performance(
self.strategy_1,
[self.trading_pair_tuple_1, self.trading_pair_tuple_2],
raw_queried_trades, starting_balances)
expected_trade_performance_stats = {
'portfolio_acquired_quote_value': Decimal('971.1900000000001'),
'portfolio_spent_quote_value': Decimal('938.5789473684211'),
'portfolio_delta': Decimal('32.6110526315790'),
'portfolio_delta_percentage':
Decimal('1.449888849888852211888512345')
}
expected_markettrading_pair_stats_1 = {
'starting_quote_rate':
Decimal('100.0'),
'asset': {
'WETH': {
'spent': Decimal('1.900000000000000022204460492'),
'acquired': Decimal('1.979999999999999999583666366'),
'delta': Decimal('0.079999999999999977379205874'),
'delta_percentage':
Decimal('4.210526315789472444435853800')
},
'DAI': {
'spent': Decimal('210'),
'acquired': Decimal('202.9500000000000021555673912'),
'delta': Decimal('-7.0499999999999978444326088'),
'delta_percentage':
Decimal('-3.357142857142856116396480380')
}
},
'trade_count':
4,
'end_quote_rate':
Decimal('115.0'),
'acquired_quote_value':
Decimal('430.65'),
'spent_quote_value':
Decimal('428.5'),
'starting_quote_value':
Decimal('1575.0'),
'trading_pair_delta':
Decimal('2.1499999999999995541760667'),
'trading_pair_delta_percentage':
Decimal('0.1365079365079364796302264571')
}
expected_markettrading_pair_stats_2 = {
'starting_quote_rate':
Decimal('100.0'),
'asset': {
'ETH': {
'spent': Decimal('1.900000000000000022204460492'),
'acquired': Decimal('2.474999999999999999479582957'),
'delta': Decimal('0.574999999999999977275122465'),
'delta_percentage':
Decimal('30.26315789473684055554481720')
},
'USDC': {
'spent': Decimal('252.5'),
'acquired': Decimal('216.8100000000000023724772146'),
'delta': Decimal('-35.6899999999999976275227854'),
'delta_percentage':
Decimal('-14.13465346534653371387041006')
}
},
'trade_count':
4,
'end_quote_rate':
Decimal('110.0'),
'acquired_quote_value':
Decimal('540.5400000000001'),
'spent_quote_value':
Decimal('510.0789473684211'),
'starting_quote_value':
Decimal('674.2105263157895'),
'trading_pair_delta':
Decimal('27.5599999999999998727406858'),
'trading_pair_delta_percentage':
Decimal('4.518032786885245880777161607')
}
self.assertDictEqual(expected_trade_performance_stats,
trade_performance_stats)
self.assertDictEqual(
expected_markettrading_pair_stats_1,
market_trading_pair_stats[self.trading_pair_tuple_1])
self.assertDictEqual(
expected_markettrading_pair_stats_2,
market_trading_pair_stats[self.trading_pair_tuple_2])
def test_calculate_trade_performance(self):
test_trades = [("BUY", 100, 2), ("SELL", 110, 0.9), ("BUY", 105, 0.5),
("SELL", 120, 1)]
start_time = int(time.time() * 1e3) - 100000
self.save_trade_fill_records(test_trades, self.trading_pair_tuple_1,
OrderType.MARKET.name, start_time,
self.strategy_1)
performance_analysis = PerformanceAnalysis(sql=self.trade_fill_sql)
raw_queried_trades = self.get_trades_from_session(start_time)
m_name = self.trading_pair_tuple_1.market.name
starting_balances = {
"DAI": {
m_name: Decimal("1000")
},
"WETH": {
m_name: Decimal("5")
}
}
trade_performance_stats, market_trading_pair_stats = performance_analysis.calculate_trade_performance(
self.strategy_1, [self.trading_pair_tuple_1], raw_queried_trades,
starting_balances)
expected_trade_performance_stats = {
'portfolio_acquired_quote_value': Decimal('501.435'),
'portfolio_spent_quote_value': Decimal('471.0'),
'portfolio_delta': Decimal('30.435'),
'portfolio_delta_percentage':
Decimal('1.932380952380952380952380952')
}
expected_market_trading_pair_stats = {
'starting_quote_rate':
Decimal('100.0'),
'asset': {
'WETH': {
'spent': Decimal('1.900000000000000022204460492'),
'acquired': Decimal('2.474999999999999999479582957'),
'delta': Decimal('0.574999999999999977275122465'),
'delta_percentage':
Decimal('30.26315789473684055554481720')
},
'DAI': {
'spent': Decimal('252.5'),
'acquired': Decimal('216.8100000000000023724772146'),
'delta': Decimal('-35.6899999999999976275227854'),
'delta_percentage':
Decimal('-14.13465346534653371387041006')
}
},
'trade_count':
4,
'end_quote_rate':
Decimal('115.0'),
'acquired_quote_value':
Decimal('501.435'),
'spent_quote_value':
Decimal('471.0'),
'starting_quote_value':
Decimal('1575.0'),
'trading_pair_delta':
Decimal('30.4349999999999997591162981'),
'trading_pair_delta_percentage':
Decimal('1.932380952380952365658177657')
}
self.assertDictEqual(expected_trade_performance_stats,
trade_performance_stats)
self.assertDictEqual(
expected_market_trading_pair_stats,
market_trading_pair_stats[self.trading_pair_tuple_1])
def test_calculate_trade_quote_delta_with_fees(self):
test_trades = [("BUY", 100, 1), ("SELL", 100, 0.9), ("BUY", 110, 1),
("SELL", 115, 1)]
start_time = int(time.time() * 1e3) - 100000
self.save_trade_fill_records(test_trades, self.trading_pair_tuple_1,
OrderType.MARKET.name, start_time,
self.strategy_1)
raw_queried_trades = self.get_trades_from_session(start_time)
performance_analysis = PerformanceAnalysis(sql=self.trade_fill_sql)
m_name = self.trading_pair_tuple_1.market.name
starting_balances = {
"DAI": {
m_name: Decimal("1000")
},
"WETH": {
m_name: Decimal("5")
}
}
trade_performance_stats, market_trading_pair_stats = performance_analysis.calculate_trade_performance(
self.strategy_1, [self.trading_pair_tuple_1], raw_queried_trades,
starting_balances)
expected_trade_performance_stats = {
'portfolio_acquired_quote_value': Decimal('430.65'),
'portfolio_spent_quote_value': Decimal('428.5'),
'portfolio_delta': Decimal('2.15'),
'portfolio_delta_percentage':
Decimal('0.1365079365079365079365079365')
}
expected_market_trading_pair_stats = {
'starting_quote_rate':
Decimal('100.0'),
'asset': {
'WETH': {
'spent': Decimal('1.900000000000000022204460492'),
'acquired': Decimal('1.979999999999999999583666366'),
'delta': Decimal('0.079999999999999977379205874'),
'delta_percentage':
Decimal('4.210526315789472444435853800')
},
'DAI': {
'spent': Decimal('210'),
'acquired': Decimal('202.9500000000000021555673912'),
'delta': Decimal('-7.0499999999999978444326088'),
'delta_percentage':
Decimal('-3.357142857142856116396480380')
}
},
'trade_count':
4,
'end_quote_rate':
Decimal('115.0'),
'acquired_quote_value':
Decimal('430.65'),
'spent_quote_value':
Decimal('428.5'),
'starting_quote_value':
Decimal('1575.0'),
'trading_pair_delta':
Decimal('2.1499999999999995541760667'),
'trading_pair_delta_percentage':
Decimal('0.1365079365079364796302264571')
}
self.assertDictEqual(trade_performance_stats,
expected_trade_performance_stats)
self.assertDictEqual(
expected_market_trading_pair_stats,
market_trading_pair_stats[self.trading_pair_tuple_1])
def test_multiple_market(self):
test_trades_1 = [("BUY", 1, 100), ("SELL", 0.9, 100), ("BUY", 1, 110),
("SELL", 1, 115)]
start_time = int(time.time() * 1e3) - 100000
self.save_trade_fill_records(test_trades_1, self.trading_pair_tuple_1,
OrderType.MARKET.name, start_time,
self.strategy_1)
test_trades_2 = [("BUY", 2, 100), ("SELL", 0.9, 110),
("BUY", 0.5, 105), ("SELL", 1, 120)]
self.save_trade_fill_records(test_trades_2, self.trading_pair_tuple_2,
OrderType.MARKET.name, start_time,
self.strategy_1)
performance_analysis = PerformanceAnalysis(sql=self.trade_fill_sql)
raw_queried_trades = self.get_trades_from_session(start_time)
trade_performance_stats, market_trading_pair_stats = performance_analysis.calculate_trade_performance(
self.strategy_1,
[self.trading_pair_tuple_1, self.trading_pair_tuple_2],
raw_queried_trades)
expected_trade_performance_stats = {
'portfolio_acquired_quote_value': Decimal('49025.529473684214'),
'portfolio_delta': Decimal('-4151.707368421049'),
'portfolio_delta_percentage':
Decimal('-7.807301798602976761843492980'),
'portfolio_spent_quote_value': Decimal('53177.236842105263')
}
expected_markettrading_pair_stats_1 = {
'acquired_quote_value':
Decimal('24111.45'),
'asset': {
'DAI': {
'acquired': Decimal('202.9500000000000021555673912'),
'delta': Decimal('-7.0499999999999978444326088'),
'delta_percentage':
Decimal('-3.357142857142856116396480380'),
'spent': Decimal('210')
},
'WETH': {
'acquired': Decimal('207.8999999999999999562849684'),
'delta': Decimal('-7.1000000000000000437150316'),
'delta_percentage':
Decimal('-3.302325581395348857541875160'),
'spent': Decimal('215')
}
},
'end_quote_rate':
Decimal('115.0'),
'spent_quote_value':
Decimal('24935.0'),
'starting_quote_rate':
Decimal('1.0'),
'trading_pair_delta':
Decimal('-823.55000000000000287166124'),
'trading_pair_delta_percentage':
Decimal('-3.302787246841788662007865410')
}
expected_markettrading_pair_stats_2 = {
'acquired_quote_value':
Decimal('24914.079473684214'),
'asset': {
'ETH': {
'acquired': Decimal('202.9499999999999999573258025'),
'delta': Decimal('-27.0500000000000000426741975'),
'delta_percentage':
Decimal('-11.76086956521739132290182500'),
'spent': Decimal('230')
},
'USDC': {
'acquired': Decimal('216.8100000000000023724772146'),
'delta': Decimal('-35.6899999999999976275227854'),
'delta_percentage':
Decimal('-14.13465346534653371387041006'),
'spent': Decimal('252.5')
}
},
'end_quote_rate':
Decimal('110.0'),
'spent_quote_value':
Decimal('28242.236842105263'),
'starting_quote_rate':
Decimal('2.0'),
'trading_pair_delta':
Decimal('-3011.19000000000000232168451'),
'trading_pair_delta_percentage':
Decimal('-11.78432638685060171146339697')
}
self.assertDictEqual(expected_trade_performance_stats,
trade_performance_stats)
self.assertDictEqual(
expected_markettrading_pair_stats_1,
market_trading_pair_stats[self.trading_pair_tuple_1])
self.assertDictEqual(
expected_markettrading_pair_stats_2,
market_trading_pair_stats[self.trading_pair_tuple_2])
