def get_performance_analysis_with_updated_balance(
self, # type: HummingbotApplication
) -> PerformanceAnalysis:
performance_analysis = PerformanceAnalysis()
dedup_set: Set[Tuple[str, str, bool]] = set()
for market_symbol_pair in self.market_symbol_pairs:
for is_base in [True, False]:
for is_starting in [True, False]:
market_name = market_symbol_pair.market.name
asset_name = market_symbol_pair.base_asset if is_base else market_symbol_pair.quote_asset
if len(self.assets) == 0 or len(self.markets) == 0:
# Prevent KeyError '***SYMBOL***'
amount = self.starting_balances[asset_name][
market_name]
else:
amount = self.starting_balances[asset_name][market_name] if is_starting \
else self.balance_snapshot()[asset_name][market_name]
amount = float(amount)
# Adding this check to prevent assets in the same market to be added multiple times
if (market_name, asset_name, is_starting) not in dedup_set:
dedup_set.add((market_name, asset_name, is_starting))
performance_analysis.add_balances(
asset_name, amount, is_base, is_starting)
return performance_analysis
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_asset_delta_from_trades(self):
test_trades = [("BUY", 1, 100), ("SELL", 0.9, 110), ("BUY", 0.1, 100),
("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)
market_trading_pair_stats = performance_analysis.calculate_asset_delta_from_trades(
self.strategy_1, [self.trading_pair_tuple_1], raw_queried_trades)
expected_stats = {
'asset': {
'DAI': {
'acquired': Decimal('216.8100000000000023724772146'),
'spent': Decimal('110.0000000000000005551115123')
},
'WETH': {
'acquired': Decimal('197.9999999999999999583666366'),
'spent': Decimal('230')
}
},
'trade_count': 4,
'starting_quote_rate': Decimal('1.0')
}
self.assertDictEqual(
expected_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_nan_starting(self):
""" Test the case where the starting balance is 0. """
performance_analysis = PerformanceAnalysis()
performance_analysis.add_balances("WETH", 0, True, True)
performance_analysis.add_balances("DAI", 0, False, True)
performance_analysis.add_balances("WETH", 0.3, True, False)
performance_analysis.add_balances("DAI", 70, False, False)
calculated_percent = performance_analysis.compute_profitability(50)
self.assertTrue(math.isnan(calculated_percent), "Starting value of 0 test failed.")
def get_performance_analysis_with_updated_balance(
self, # type: HummingbotApplication
) -> PerformanceAnalysis:
performance_analysis = PerformanceAnalysis()
for market_symbol_pair in self.market_symbol_pairs:
for is_base in [True, False]:
for is_starting in [True, False]:
market_name = market_symbol_pair.market.name
asset_name = market_symbol_pair.base_asset if is_base else market_symbol_pair.quote_asset
amount = self.starting_balances[asset_name][market_name] if is_starting \
else self.balance_snapshot()[asset_name][market_name]
amount = float(amount)
performance_analysis.add_balances(asset_name, amount,
is_base, is_starting)
return performance_analysis
def _calculate_trade_performance(
self, # type: HummingbotApplication
) -> Tuple[Dict, Dict]:
raw_queried_trades = self._get_trades_from_session(self.init_time)
current_strategy_name: str = self.markets_recorder.strategy_name
performance_analysis: PerformanceAnalysis = PerformanceAnalysis()
trade_performance_stats, market_trading_pair_stats = performance_analysis.calculate_trade_performance(
current_strategy_name, self.market_trading_pair_tuples,
raw_queried_trades, self.starting_balances)
return trade_performance_stats, market_trading_pair_stats
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])
def test_basic_one_ex(self):
""" Test performance analysis on a one exchange balance. """
performance_analysis = PerformanceAnalysis()
starting_weth = 0.5
starting_dai = 60
current_weth = 0.4
current_dai = 70
performance_analysis.add_balances("WETH", starting_weth, True, True)
performance_analysis.add_balances("DAI", starting_dai, False, True)
performance_analysis.add_balances("WETH", current_weth, True, False)
performance_analysis.add_balances("DAI", current_dai, False, False)
calculated_starting_token, calculated_starting_amount = performance_analysis.compute_starting(
self._price)
calculated_current_token, calculated_current_amount = performance_analysis.compute_current(
self._price)
calculated_delta_token, calculated_delta_amount = performance_analysis.compute_delta(
self._price)
calculated_return = performance_analysis.compute_return(self._price)
expected_starting_amount = (starting_weth * self._price) + starting_dai
expected_current_amount = (current_weth * self._price) + current_dai
expected_delta_amount = expected_current_amount - expected_starting_amount
expected_return = (
(expected_current_amount / expected_starting_amount) - 1) * 100
self.assertEqual(
calculated_starting_token,
"DAI",
msg=
"Basic one exchange test: expected starting token incorrectly determined."
)
self.assertAlmostEquals(
calculated_starting_amount,
expected_starting_amount,
msg=
"Basic one exchange test: expected starting amount incorrectly determined."
)
self.assertEqual(
calculated_current_token,
"DAI",
msg=
"Basic one exchange test: expected current token incorrectly determined."
)
self.assertAlmostEquals(
calculated_current_amount,
expected_current_amount,
msg=
"Basic one exchange test: expected current amount incorrectly determined."
)
self.assertEqual(
calculated_delta_token,
"DAI",
msg=
"Basic one exchange test: expected delta token incorrectly determined."
)
self.assertAlmostEquals(
calculated_delta_amount,
expected_delta_amount,
msg=
"Basic one exchange test: expected delta amount incorrectly determined."
)
self.assertAlmostEquals(
calculated_return,
expected_return,
msg="Basic one exchange test: return incorrectly determined.")
def test_different_tokens_two_ex(self):
""" Test performance analysis on a two exchange balance with different currencies trading. Note that this test
will not work as the config file that contains the conversion has not been loaded."""
performance_analysis = PerformanceAnalysis()
performance_analysis.add_balances("WETH", 0.5, True, True)
performance_analysis.add_balances("DAI", 60, False, True)
performance_analysis.add_balances("ETH", 0.7, True, True)
performance_analysis.add_balances("USD", 50, False, True)
performance_analysis.add_balances("WETH", 0.4, True, False)
performance_analysis.add_balances("DAI", 70, False, False)
performance_analysis.add_balances("ETH", 0.3, True, False)
performance_analysis.add_balances("USD", 70, False, False)
calculated_percent = performance_analysis.compute_profitability(50)
expected_percent = (((0.7 * 50) + 140)/((1.2 * 50) + 110) - 1) * 100
self.assertAlmostEquals(calculated_percent, expected_percent, msg="Two diff token test failed.", delta=0.1)
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_basic_two_ex(self):
""" Test performance analysis on a two exchange balance with the same currencies trading in both exchanges. """
performance_analysis = PerformanceAnalysis()
starting_weth_1 = 0.5
starting_dai_1 = 60
starting_weth_2 = 0.7
starting_dai_2 = 50
current_weth_1 = 0.4
current_dai_1 = 70
current_weth_2 = 0.3
current_dai_2 = 70
performance_analysis.add_balances("WETH", starting_weth_1, True, True)
performance_analysis.add_balances("DAI", starting_dai_1, False, True)
performance_analysis.add_balances("WETH", starting_weth_2, True, True)
performance_analysis.add_balances("DAI", starting_dai_2, False, True)
performance_analysis.add_balances("WETH", current_weth_1, True, False)
performance_analysis.add_balances("DAI", current_dai_1, False, False)
performance_analysis.add_balances("WETH", current_weth_2, True, False)
performance_analysis.add_balances("DAI", current_dai_2, False, False)
calculated_starting_token, calculated_starting_amount = performance_analysis.compute_starting(
self._price)
calculated_current_token, calculated_current_amount = performance_analysis.compute_current(
self._price)
calculated_delta_token, calculated_delta_amount = performance_analysis.compute_delta(
self._price)
calculated_return = performance_analysis.compute_return(self._price)
starting_weth = starting_weth_1 + starting_weth_2
starting_dai = starting_dai_1 + starting_dai_2
current_weth = current_weth_1 + current_weth_2
current_dai = current_dai_1 + current_dai_2
expected_starting_amount = (starting_weth * self._price) + starting_dai
expected_current_amount = (current_weth * self._price) + current_dai
expected_delta_amount = expected_current_amount - expected_starting_amount
expected_return = (
(expected_current_amount / expected_starting_amount) - 1) * 100
self.assertEqual(
calculated_starting_token,
"DAI",
msg=
"Basic two exchange test: expected starting token incorrectly determined."
)
self.assertAlmostEquals(
calculated_starting_amount,
expected_starting_amount,
msg=
"Basic two exchange test: expected starting amount incorrectly determined."
)
self.assertEqual(
calculated_current_token,
"DAI",
msg=
"Basic two exchange test: expected current token incorrectly determined."
)
self.assertAlmostEquals(
calculated_current_amount,
expected_current_amount,
msg=
"Basic two exchange test: expected current amount incorrectly determined."
)
self.assertEqual(
calculated_delta_token,
"DAI",
msg=
"Basic two exchange test: expected delta token incorrectly determined."
)
self.assertAlmostEquals(
calculated_delta_amount,
expected_delta_amount,
msg=
"Basic two exchange test: expected delta amount incorrectly determined."
)
self.assertAlmostEquals(
calculated_return,
expected_return,
msg="Basic two exchange test: return incorrectly determined.")
def trade_performance_report(
self, # type: HummingbotApplication
) -> pd.DataFrame:
if len(self.market_trading_pair_tuples) == 0:
self._notify(
" Performance analysis is not available before bot starts")
return
try:
raw_queried_trades = self._get_trades_from_session(self.init_time)
current_strategy_name: str = self.markets_recorder.strategy_name
primary_quote_asset: str = self.market_trading_pair_tuples[
0].quote_asset.upper()
performance_analysis: PerformanceAnalysis = PerformanceAnalysis()
trade_performance_stats, market_trading_pair_stats = performance_analysis.calculate_trade_performance(
current_strategy_name,
self.market_trading_pair_tuples,
raw_queried_trades,
)
trade_performance_status_line = []
market_df_data: Set[Tuple[str, str, float, float, str,
str]] = set()
market_df_columns = [
"Market", "Trading_Pair", "Start_Price", "End_Price",
"Total_Value_Delta", "Profit"
]
for market_trading_pair_tuple, trading_pair_stats in market_trading_pair_stats.items(
):
market_df_data.add((
market_trading_pair_tuple.market.display_name,
market_trading_pair_tuple.trading_pair.upper(),
float(trading_pair_stats["starting_quote_rate"]),
float(trading_pair_stats["end_quote_rate"]),
f"{trading_pair_stats['trading_pair_delta']:.8f} {primary_quote_asset}",
f"{trading_pair_stats['trading_pair_delta_percentage']:.3f} %"
))
inventory_df: pd.DataFrame = self.balance_comparison_data_frame(
market_trading_pair_stats)
market_df: pd.DataFrame = pd.DataFrame(data=list(market_df_data),
columns=market_df_columns)
portfolio_delta: Decimal = trade_performance_stats[
"portfolio_delta"]
portfolio_delta_percentage: Decimal = trade_performance_stats[
"portfolio_delta_percentage"]
trade_performance_status_line.extend(["", " Inventory:"] + [
" " + line for line in inventory_df.to_string().split("\n")
])
trade_performance_status_line.extend(
["", " Market Trading Pair Performance:"] +
[" " + line for line in market_df.to_string().split("\n")])
trade_performance_status_line.extend([
"", " Portfolio Performance:"
] + [
f" Quote Value Delta: {portfolio_delta:.7g} {primary_quote_asset}"
] + [f" Delta Percentage: {portfolio_delta_percentage:.3f} %"])
self._notify("\n".join(trade_performance_status_line))
except Exception:
self.logger().error(
"Unexpected error running performance analysis.",
exc_info=True)
self._notify("Error running performance analysis")
def test_basic_one_ex(self):
""" Test performance analysis on a one exchange balance. """
performance_analysis = PerformanceAnalysis()
performance_analysis.add_balances("WETH", 0.5, True, True)
performance_analysis.add_balances("DAI", 60, False, True)
performance_analysis.add_balances("WETH", 0.4, True, False)
performance_analysis.add_balances("DAI", 70, False, False)
calculated_percent = performance_analysis.compute_profitability(50)
expected_percent = (((0.4 * 50) + 70)/((0.5 * 50) + 60) - 1) * 100
self.assertEqual(calculated_percent, expected_percent, "Basic one ex test failed.")
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_different_tokens_two_ex(self):
""" Test performance analysis on a two exchange balance with different currencies trading. Note that this test
will not work as the config file that contains the conversion has not been loaded."""
performance_analysis = PerformanceAnalysis()
starting_weth_1 = 0.5
starting_dai_1 = 60
starting_eth_2 = 0.7
starting_usdc_2 = 50
current_weth_1 = 0.4
current_dai_1 = 70
current_eth_2 = 0.3
current_usdc_2 = 70
performance_analysis.add_balances("WETH", starting_weth_1, True, True)
performance_analysis.add_balances("DAI", starting_dai_1, False, True)
performance_analysis.add_balances("ETH", starting_eth_2, True, True)
performance_analysis.add_balances("USDC", starting_usdc_2, False, True)
performance_analysis.add_balances("WETH", current_weth_1, True, False)
performance_analysis.add_balances("DAI", current_dai_1, False, False)
performance_analysis.add_balances("ETH", current_eth_2, True, False)
performance_analysis.add_balances("USDC", current_usdc_2, False, False)
calculated_starting_token, calculated_starting_amount = performance_analysis.compute_starting(
self._price)
calculated_current_token, calculated_current_amount = performance_analysis.compute_current(
self._price)
calculated_delta_token, calculated_delta_amount = performance_analysis.compute_delta(
self._price)
calculated_return = performance_analysis.compute_return(self._price)
starting_weth = starting_weth_1 + starting_eth_2
starting_dai = starting_dai_1 + (starting_usdc_2 * self._usdc_price *
(1 / self._dai_price))
current_weth = current_weth_1 + current_eth_2
current_dai = current_dai_1 + (current_usdc_2 * self._usdc_price *
(1 / self._dai_price))
expected_starting_amount = (starting_weth * self._price) + starting_dai
expected_current_amount = (current_weth * self._price) + current_dai
expected_delta_amount = expected_current_amount - expected_starting_amount
expected_return = (
(expected_current_amount / expected_starting_amount) - 1) * 100
self.assertEqual(
calculated_starting_token,
"DAI",
msg=
"Two exchange test w/ diff tokens: expected starting token incorrectly determined."
)
self.assertAlmostEquals(
calculated_starting_amount,
expected_starting_amount,
msg="Two exchange test w/ diff tokens: "
"expected starting amount incorrectly determined.")
self.assertEqual(
calculated_current_token,
"DAI",
msg=
"Two exchange test w/ diff tokens: expected current token incorrectly determined."
)
self.assertAlmostEquals(
calculated_current_amount,
expected_current_amount,
msg=
"Two exchange test w/ diff tokens: expected current amount incorrectly determined."
)
self.assertEqual(
calculated_delta_token,
"DAI",
msg=
"Two exchange test w/ diff tokens: expected delta token incorrectly determined."
)
self.assertAlmostEquals(
calculated_delta_amount,
expected_delta_amount,
msg=
"Two exchange test w/ diff tokens: expected delta amount incorrectly determined."
)
self.assertAlmostEquals(
calculated_return,
expected_return,
msg=
"Two exchange test w/ diff tokens: return incorrectly determined.")
def test_nan_starting(self):
""" Test the case where the starting balance is 0. """
performance_analysis = PerformanceAnalysis()
starting_weth = 0
starting_dai = 0
current_weth = 0.3
current_dai = 70
performance_analysis.add_balances("WETH", starting_weth, True, True)
performance_analysis.add_balances("DAI", starting_dai, False, True)
performance_analysis.add_balances("WETH", current_weth, True, False)
performance_analysis.add_balances("DAI", current_dai, False, False)
calculated_starting_token, calculated_starting_amount = performance_analysis.compute_starting(
self._price)
calculated_current_token, calculated_current_amount = performance_analysis.compute_current(
self._price)
calculated_delta_token, calculated_delta_amount = performance_analysis.compute_delta(
self._price)
calculated_return = performance_analysis.compute_return(self._price)
expected_starting_amount = (starting_weth * self._price) + starting_dai
expected_current_amount = (current_weth * self._price) + current_dai
expected_delta_amount = expected_current_amount - expected_starting_amount
self.assertEqual(
calculated_starting_token,
"DAI",
msg=
"Starting value of 0 test: expected starting token incorrectly determined."
)
self.assertAlmostEquals(
calculated_starting_amount,
expected_starting_amount,
msg=
"Starting value of 0 test: expected starting amount incorrectly determined."
)
self.assertEqual(
calculated_current_token,
"DAI",
msg=
"Starting value of 0 test: expected current token incorrectly determined."
)
self.assertAlmostEquals(
calculated_current_amount,
expected_current_amount,
msg=
"Starting value of 0 test: expected current amount incorrectly determined."
)
self.assertEqual(
calculated_delta_token,
"DAI",
msg=
"Starting value of 0 test: expected delta token incorrectly determined."
)
self.assertAlmostEquals(
calculated_delta_amount,
expected_delta_amount,
msg=
"Starting value of 0 test: expected delta amount incorrectly determined."
)
self.assertTrue(
math.isnan(calculated_return),
"Starting value of 0 test: return incorrectly determined.")
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_basic_two_ex(self):
""" Test performance analysis on a two exchange balance with the same currencies trading in both exchanges. """
performance_analysis = PerformanceAnalysis()
performance_analysis.add_balances("WETH", 0.5, True, True)
performance_analysis.add_balances("DAI", 60, False, True)
performance_analysis.add_balances("WETH", 0.7, True, True)
performance_analysis.add_balances("DAI", 50, False, True)
performance_analysis.add_balances("WETH", 0.4, True, False)
performance_analysis.add_balances("DAI", 70, False, False)
performance_analysis.add_balances("WETH", 0.3, True, False)
performance_analysis.add_balances("DAI", 70, False, False)
calculated_percent = performance_analysis.compute_profitability(50)
expected_percent = (((0.7 * 50) + 140)/((1.2 * 50) + 110) - 1) * 100
self.assertEqual(calculated_percent, expected_percent, "Basic one ex test failed.")