def test_performance_metrics(self):
trades: List[Trade] = [
Trade(trading_pair, TradeType.BUY, 100, 10, None, trading_pair, 1, TradeFee(0.0, [(quote, 0)])),
Trade(trading_pair, TradeType.SELL, 120, 15, None, trading_pair, 1, TradeFee(0.0, [(quote, 0)]))
]
cur_bals = {base: 100, quote: 10000}
metrics = asyncio.get_event_loop().run_until_complete(
PerformanceMetrics.create("hbot_exchange", trading_pair, trades, cur_bals))
self.assertEqual(Decimal("200"), metrics.trade_pnl)
print(metrics)
def test_performance_metrics_for_derivatives(self, is_trade_fill_mock):
is_trade_fill_mock.return_value = True
trades = []
trades.append(self.mock_trade(id="order1",
amount=100,
price=10,
position="OPEN",
type="BUY",
fee=TradeFee(0.0, [(quote, 0)])))
trades.append(self.mock_trade(id="order2",
amount=100,
price=15,
position="CLOSE",
type="SELL",
fee=TradeFee(0.0, [(quote, 0)])))
trades.append(self.mock_trade(id="order3",
amount=100,
price=20,
position="OPEN",
type="SELL",
fee=TradeFee(0.1, [("USD", 0)])))
trades.append(self.mock_trade(id="order4",
amount=100,
price=15,
position="CLOSE",
type="BUY",
fee=TradeFee(0.1, [("USD", 0)])))
cur_bals = {base: 100, quote: 10000}
metrics = asyncio.get_event_loop().run_until_complete(
PerformanceMetrics.create("hbot_exchange", trading_pair, trades, cur_bals))
self.assertEqual(metrics.num_buys, 2)
self.assertEqual(metrics.num_sells, 2)
self.assertEqual(metrics.num_trades, 4)
self.assertEqual(metrics.b_vol_base, Decimal("200"))
self.assertEqual(metrics.s_vol_base, Decimal("-200"))
self.assertEqual(metrics.tot_vol_base, Decimal("0"))
self.assertEqual(metrics.b_vol_quote, Decimal("-2500"))
self.assertEqual(metrics.s_vol_quote, Decimal("3500"))
self.assertEqual(metrics.tot_vol_quote, Decimal("1000"))
self.assertEqual(metrics.avg_b_price, Decimal("12.5"))
self.assertEqual(metrics.avg_s_price, Decimal("17.5"))
self.assertEqual(metrics.avg_tot_price, Decimal("15"))
self.assertEqual(metrics.start_base_bal, Decimal("100"))
self.assertEqual(metrics.start_quote_bal, Decimal("9000"))
self.assertEqual(metrics.cur_base_bal, 100)
self.assertEqual(metrics.cur_quote_bal, 10000),
self.assertEqual(metrics.start_price, Decimal("10")),
self.assertEqual(metrics.cur_price, Decimal("15"))
self.assertEqual(metrics.trade_pnl, Decimal("1000"))
self.assertEqual(metrics.total_pnl, Decimal("650"))
def test_performance_metrics(self):
rate_oracle = RateOracle()
rate_oracle._prices["USDT-HBOT"] = Decimal("5")
RateOracle._shared_instance = rate_oracle
trade_fee = AddedToCostTradeFee(
flat_fees=[TokenAmount(quote, Decimal("0"))])
trades = [
TradeFill(
config_file_path="some-strategy.yml",
strategy="pure_market_making",
market="binance",
symbol=trading_pair,
base_asset=base,
quote_asset=quote,
timestamp=int(time.time()),
order_id="someId0",
trade_type="BUY",
order_type="LIMIT",
price=100,
amount=10,
trade_fee=trade_fee.to_json(),
exchange_trade_id="someExchangeId0",
position=PositionAction.NIL.value,
),
TradeFill(
config_file_path="some-strategy.yml",
strategy="pure_market_making",
market="binance",
symbol=trading_pair,
base_asset=base,
quote_asset=quote,
timestamp=int(time.time()),
order_id="someId1",
trade_type="SELL",
order_type="LIMIT",
price=120,
amount=15,
trade_fee=trade_fee.to_json(),
exchange_trade_id="someExchangeId1",
position=PositionAction.NIL.value,
)
]
cur_bals = {base: 100, quote: 10000}
metrics = asyncio.get_event_loop().run_until_complete(
PerformanceMetrics.create(trading_pair, trades, cur_bals))
self.assertEqual(Decimal("799"), metrics.trade_pnl)
print(metrics)
def test_performance_metrics_for_derivatives(self, is_trade_fill_mock):
rate_oracle = RateOracle()
rate_oracle._prices["USDT-HBOT"] = Decimal("5")
RateOracle._shared_instance = rate_oracle
is_trade_fill_mock.return_value = True
trades = []
trades.append(
self.mock_trade(id="order1",
amount=Decimal("100"),
price=Decimal("10"),
position="OPEN",
type="BUY",
fee=AddedToCostTradeFee(
flat_fees=[TokenAmount(quote, Decimal("0"))])))
trades.append(
self.mock_trade(id="order2",
amount=Decimal("100"),
price=Decimal("15"),
position="CLOSE",
type="SELL",
fee=AddedToCostTradeFee(
flat_fees=[TokenAmount(quote, Decimal("0"))])))
trades.append(
self.mock_trade(id="order3",
amount=Decimal("100"),
price=Decimal("20"),
position="OPEN",
type="SELL",
fee=AddedToCostTradeFee(
Decimal("0.1"),
flat_fees=[TokenAmount("USD", Decimal("0"))])))
trades.append(
self.mock_trade(id="order4",
amount=Decimal("100"),
price=Decimal("15"),
position="CLOSE",
type="BUY",
fee=AddedToCostTradeFee(
Decimal("0.1"),
flat_fees=[TokenAmount("USD", Decimal("0"))])))
cur_bals = {base: 100, quote: 10000}
metrics = asyncio.get_event_loop().run_until_complete(
PerformanceMetrics.create(trading_pair, trades, cur_bals))
self.assertEqual(metrics.num_buys, 2)
self.assertEqual(metrics.num_sells, 2)
self.assertEqual(metrics.num_trades, 4)
self.assertEqual(metrics.b_vol_base, Decimal("200"))
self.assertEqual(metrics.s_vol_base, Decimal("-200"))
self.assertEqual(metrics.tot_vol_base, Decimal("0"))
self.assertEqual(metrics.b_vol_quote, Decimal("-2500"))
self.assertEqual(metrics.s_vol_quote, Decimal("3500"))
self.assertEqual(metrics.tot_vol_quote, Decimal("1000"))
self.assertEqual(metrics.avg_b_price, Decimal("12.5"))
self.assertEqual(metrics.avg_s_price, Decimal("17.5"))
self.assertEqual(metrics.avg_tot_price, Decimal("15"))
self.assertEqual(metrics.start_base_bal, Decimal("100"))
self.assertEqual(metrics.start_quote_bal, Decimal("9000"))
self.assertEqual(metrics.cur_base_bal, 100)
self.assertEqual(metrics.cur_quote_bal, 10000),
self.assertEqual(metrics.start_price, Decimal("10")),
self.assertEqual(metrics.cur_price, Decimal("0.2"))
self.assertEqual(metrics.trade_pnl, Decimal("1000"))
self.assertEqual(metrics.total_pnl, Decimal("650"))