async def test_update_portfolio_data_with_fees(
future_trader_simulator_with_default_linear):
config, exchange_manager_inst, trader_inst, default_contract = future_trader_simulator_with_default_linear
portfolio_manager = exchange_manager_inst.exchange_personal_data.portfolio_manager
default_contract.set_current_leverage(decimal.Decimal(10))
# Test sell order
market_sell = SellMarketOrder(trader_inst)
sell_order_price = decimal.Decimal(10)
market_sell.update(order_type=enums.TraderOrderType.SELL_MARKET,
symbol=DEFAULT_FUTURE_SYMBOL,
current_price=sell_order_price,
quantity=decimal.Decimal(25),
price=sell_order_price)
if not os.getenv('CYTHON_IGNORE'):
with mock.patch.object(market_sell, "get_total_fees",
mock.Mock(return_value=5)):
portfolio_manager.portfolio.update_portfolio_available(
market_sell, True)
assert portfolio_manager.portfolio.get_currency_portfolio(
"USDT").available == decimal.Decimal('975.0')
assert portfolio_manager.portfolio.get_currency_portfolio(
"USDT").total == decimal.Decimal('1000')
# fill order with fees
await fill_market_order(market_sell)
await _update_position_mark_price(exchange_manager_inst,
sell_order_price,
DEFAULT_FUTURE_SYMBOL)
assert portfolio_manager.portfolio.get_currency_portfolio(
"USDT").available == decimal.Decimal('970.0')
assert portfolio_manager.portfolio.get_currency_portfolio(
"USDT").total == decimal.Decimal('995')
async def test_update_portfolio_data_from_order_with_huge_loss_on_filled_orders_linear_contract(
future_trader_simulator_with_default_linear):
config, exchange_manager_inst, trader_inst, default_contract = future_trader_simulator_with_default_linear
portfolio_manager = exchange_manager_inst.exchange_personal_data.portfolio_manager
default_contract.set_current_leverage(decimal.Decimal(2))
# Test sell order
market_sell = SellMarketOrder(trader_inst)
sell_order_price = decimal.Decimal(10)
market_sell.update(order_type=enums.TraderOrderType.SELL_MARKET,
symbol=DEFAULT_FUTURE_SYMBOL,
current_price=sell_order_price,
quantity=decimal.Decimal(25),
price=sell_order_price)
# Test buy order
market_buy = BuyMarketOrder(trader_inst)
buy_order_price = decimal.Decimal(13)
market_buy.update(order_type=enums.TraderOrderType.BUY_MARKET,
symbol=DEFAULT_FUTURE_SYMBOL,
current_price=buy_order_price,
quantity=decimal.Decimal(10),
price=buy_order_price)
portfolio_manager.portfolio.update_portfolio_available(market_sell, True)
assert portfolio_manager.portfolio.get_currency_portfolio(
"USDT").available == decimal.Decimal('875.0')
assert portfolio_manager.portfolio.get_currency_portfolio(
"USDT").total == decimal.Decimal('1000')
# Open short position
await fill_market_order(market_sell)
await _update_position_mark_price(exchange_manager_inst, sell_order_price,
DEFAULT_FUTURE_SYMBOL)
assert portfolio_manager.portfolio.get_currency_portfolio(
"USDT").available == decimal.Decimal('874.9')
assert portfolio_manager.portfolio.get_currency_portfolio(
"USDT").total == decimal.Decimal('999.9')
portfolio_manager.portfolio.update_portfolio_available(market_buy, True)
assert portfolio_manager.portfolio.get_currency_portfolio(
"USDT").available == decimal.Decimal('874.9')
assert portfolio_manager.portfolio.get_currency_portfolio(
"USDT").total == decimal.Decimal('999.9')
# Close short position with loss
await fill_market_order(market_buy)
await _update_position_mark_price(exchange_manager_inst, buy_order_price,
DEFAULT_FUTURE_SYMBOL)
assert portfolio_manager.portfolio.get_currency_portfolio(
"USDT").available == decimal.Decimal('902.4')
assert portfolio_manager.portfolio.get_currency_portfolio(
"USDT").total == decimal.Decimal('902.4')
async def test_get_order_position(future_trader_simulator_with_default_linear):
config, exchange_manager, trader, default_contract = future_trader_simulator_with_default_linear
positions_manager = exchange_manager.exchange_personal_data.positions_manager
symbol_contract = default_contract
trader.exchange_manager.exchange.set_pair_future_contract(
DEFAULT_FUTURE_SYMBOL, default_contract)
p1 = positions_manager.get_symbol_position(symbol=DEFAULT_FUTURE_SYMBOL,
side=enums.PositionSide.BOTH)
market_sell = SellMarketOrder(trader)
market_sell.update(order_type=enums.TraderOrderType.SELL_MARKET,
symbol=DEFAULT_FUTURE_SYMBOL,
position_side=enums.PositionSide.SHORT)
p1bis = positions_manager.get_order_position(market_sell,
contract=symbol_contract)
assert p1 is p1bis
async def test_update_portfolio_reduce_size_with_market_sell_long_linear_contract(
future_trader_simulator_with_default_linear):
config, exchange_manager_inst, trader_inst, default_contract = future_trader_simulator_with_default_linear
portfolio_manager = exchange_manager_inst.exchange_personal_data.portfolio_manager
default_contract.set_current_leverage(decimal.Decimal(10))
position_inst = LinearPosition(trader_inst, default_contract)
await position_inst.initialize()
await position_inst.update(update_size=decimal.Decimal(10),
mark_price=decimal.Decimal(101))
position_inst.update_from_raw({
enums.ExchangeConstantsPositionColumns.SYMBOL.value:
DEFAULT_FUTURE_SYMBOL
})
exchange_manager_inst.exchange_personal_data.positions_manager.upsert_position_instance(
position_inst)
# Test sell order
market_sell = SellMarketOrder(trader_inst)
market_sell.update(order_type=enums.TraderOrderType.SELL_MARKET,
symbol=DEFAULT_FUTURE_SYMBOL,
current_price=decimal.Decimal(101),
quantity=decimal.Decimal(25),
price=decimal.Decimal(101))
# test sell order creation
portfolio_manager.portfolio.update_portfolio_available(market_sell, True)
assert portfolio_manager.portfolio.get_currency_portfolio(
"USDT").available == decimal.Decimal(str(1000))
assert portfolio_manager.portfolio.get_currency_portfolio(
"USDT").total == decimal.Decimal(str(1000))
assert portfolio_manager.portfolio.get_currency_portfolio(
"BTC").available == decimal.Decimal(str(10))
assert portfolio_manager.portfolio.get_currency_portfolio(
"BTC").total == decimal.Decimal(str(10))
# fill order
await fill_market_order(market_sell)
assert portfolio_manager.portfolio.get_currency_portfolio(
"USDT").total == decimal.Decimal("998.99")
assert portfolio_manager.portfolio.get_currency_portfolio(
"USDT").available == decimal.Decimal(str("998.99"))
assert portfolio_manager.portfolio.get_currency_portfolio(
"BTC").available == decimal.Decimal(str(10))
assert portfolio_manager.portfolio.get_currency_portfolio(
"BTC").total == decimal.Decimal(str(10))
async def test_update_portfolio_available_from_order_with_leverage(
backtesting_trader):
config, exchange_manager, trader = backtesting_trader
portfolio_manager = exchange_manager.exchange_personal_data.portfolio_manager
# set future contract
btcusd_future_contract = FutureContract("BTC/USDT")
btcusd_future_contract.current_leverage = 2
btcusd_future_contract.contract_type = FutureContractType.PERPETUAL
exchange_manager.exchange.set_pair_future_contract("BTC/USDT",
btcusd_future_contract)
# Test buy order
market_buy = BuyMarketOrder(trader)
market_buy.update(order_type=TraderOrderType.BUY_MARKET,
symbol="BTC/USDT",
current_price=555,
quantity=10,
price=555)
# test buy order creation
portfolio_manager.portfolio.update_portfolio_available(market_buy, True)
assert portfolio_manager.portfolio.get_currency_portfolio(
"BTC", PORTFOLIO_AVAILABLE) == 10
assert portfolio_manager.portfolio.get_currency_portfolio(
"USDT", PORTFOLIO_AVAILABLE) == 995
assert portfolio_manager.portfolio.get_currency_portfolio(
"BTC", PORTFOLIO_TOTAL) == 10
assert portfolio_manager.portfolio.get_currency_portfolio(
"USDT", PORTFOLIO_TOTAL) == 1000
# Test sell order
market_sell = SellMarketOrder(trader)
market_sell.update(order_type=TraderOrderType.SELL_MARKET,
symbol="BTC/USDT",
current_price=555,
quantity=3,
price=555)
# test sell order creation
portfolio_manager.portfolio.update_portfolio_available(market_sell, True)
assert portfolio_manager.portfolio.get_currency_portfolio(
"BTC", PORTFOLIO_AVAILABLE) == 10
assert portfolio_manager.portfolio.get_currency_portfolio(
"USDT", PORTFOLIO_AVAILABLE) == 993.5
assert portfolio_manager.portfolio.get_currency_portfolio(
"BTC", PORTFOLIO_TOTAL) == 10
assert portfolio_manager.portfolio.get_currency_portfolio(
"USDT", PORTFOLIO_TOTAL) == 1000
# Test limit order to restore initial portfolio with a is_new=False and a quantity of 10 + 3
market_buy = BuyMarketOrder(trader)
market_buy.update(order_type=TraderOrderType.BUY_MARKET,
symbol="BTC/USDT",
current_price=555,
quantity=13,
price=555)
# test buy order creation
portfolio_manager.portfolio.update_portfolio_available(market_buy, False)
assert portfolio_manager.portfolio.get_currency_portfolio(
"BTC", PORTFOLIO_AVAILABLE) == 10
assert portfolio_manager.portfolio.get_currency_portfolio(
"USDT", PORTFOLIO_AVAILABLE) == 1000
assert portfolio_manager.portfolio.get_currency_portfolio(
"BTC", PORTFOLIO_TOTAL) == 10
assert portfolio_manager.portfolio.get_currency_portfolio(
"USDT", PORTFOLIO_TOTAL) == 1000
async def test_update_portfolio_from_liquidated_position_with_orders_on_short_position_linear_contract(
future_trader_simulator_with_default_linear):
config, exchange_manager_inst, trader_inst, default_contract = future_trader_simulator_with_default_linear
portfolio_manager = exchange_manager_inst.exchange_personal_data.portfolio_manager
default_contract.set_current_leverage(decimal.Decimal(50))
trader_inst.exchange_manager.exchange.set_pair_future_contract(
DEFAULT_FUTURE_SYMBOL, default_contract)
position_inst = LinearPosition(trader_inst, default_contract)
await position_inst.initialize()
position_inst.update_from_raw({
enums.ExchangeConstantsPositionColumns.SYMBOL.value:
DEFAULT_FUTURE_SYMBOL
})
await position_inst.update(update_size=decimal.Decimal(-100),
mark_price=decimal.Decimal(99))
exchange_manager_inst.exchange_personal_data.positions_manager.upsert_position_instance(
position_inst)
# Test sell order
market_sell = SellMarketOrder(trader_inst)
market_sell.update(order_type=enums.TraderOrderType.SELL_MARKET,
symbol=DEFAULT_FUTURE_SYMBOL,
current_price=decimal.Decimal(99),
quantity=decimal.Decimal(5),
price=decimal.Decimal(99))
# test sell order creation
portfolio_manager.portfolio.update_portfolio_available(market_sell, True)
assert portfolio_manager.portfolio.get_currency_portfolio(
"USDT").available == decimal.Decimal('990.1')
assert portfolio_manager.portfolio.get_currency_portfolio(
"USDT").total == decimal.Decimal('1000')
assert portfolio_manager.portfolio.get_currency_portfolio(
"BTC").available == decimal.Decimal('10')
assert portfolio_manager.portfolio.get_currency_portfolio(
"BTC").total == decimal.Decimal('10')
await fill_market_order(market_sell)
assert portfolio_manager.portfolio.get_currency_portfolio(
"USDT").available == decimal.Decimal('989.902')
assert portfolio_manager.portfolio.get_currency_portfolio(
"USDT").total == decimal.Decimal('999.802')
assert portfolio_manager.portfolio.get_currency_portfolio(
"BTC").available == decimal.Decimal('10')
assert portfolio_manager.portfolio.get_currency_portfolio(
"BTC").total == decimal.Decimal('10')
# Test buy order
market_buy = BuyMarketOrder(trader_inst)
market_buy.update(order_type=enums.TraderOrderType.BUY_MARKET,
symbol=DEFAULT_FUTURE_SYMBOL,
current_price=decimal.Decimal(90),
quantity=decimal.Decimal(10),
price=decimal.Decimal(90))
portfolio_manager.portfolio.update_portfolio_available(market_buy, True)
assert portfolio_manager.portfolio.get_currency_portfolio(
"USDT").available == decimal.Decimal('989.902')
assert portfolio_manager.portfolio.get_currency_portfolio(
"USDT").total == decimal.Decimal('999.802')
assert portfolio_manager.portfolio.get_currency_portfolio(
"BTC").available == decimal.Decimal('10')
assert portfolio_manager.portfolio.get_currency_portfolio(
"BTC").total == decimal.Decimal('10')
await fill_market_order(market_buy) # reducing position with positive PNL
assert portfolio_manager.portfolio.get_currency_portfolio(
"USDT").available == decimal.Decimal('999.802')
assert portfolio_manager.portfolio.get_currency_portfolio(
"USDT").total == decimal.Decimal('1089.802')
assert portfolio_manager.portfolio.get_currency_portfolio(
"BTC").available == decimal.Decimal('10')
assert portfolio_manager.portfolio.get_currency_portfolio(
"BTC").total == decimal.Decimal('10')
portfolio_manager.portfolio.get_currency_portfolio(
"BTC").wallet_balance = decimal.Decimal('10')
portfolio_manager.portfolio.get_currency_portfolio(
"USDT").wallet_balance = decimal.Decimal('1000')
await position_inst.update(mark_price=position_inst.liquidation_price)
assert portfolio_manager.portfolio.get_currency_portfolio(
"USDT").available == decimal.Decimal('808.2010')
assert portfolio_manager.portfolio.get_currency_portfolio(
"USDT").total == decimal.Decimal('808.2010')
assert portfolio_manager.portfolio.get_currency_portfolio(
"BTC").available == decimal.Decimal('10')
assert portfolio_manager.portfolio.get_currency_portfolio(
"BTC").total == decimal.Decimal('10')
async def test_update_portfolio_data_from_order_with_cancelled_and_filled_orders_linear_contract(
future_trader_simulator_with_default_linear):
config, exchange_manager_inst, trader_inst, default_contract = future_trader_simulator_with_default_linear
portfolio_manager = exchange_manager_inst.exchange_personal_data.portfolio_manager
default_contract.set_current_leverage(decimal.Decimal(5))
# Test sell order
market_sell = SellMarketOrder(trader_inst)
sell_price = decimal.Decimal(str(80))
market_sell.update(order_type=enums.TraderOrderType.SELL_MARKET,
symbol=DEFAULT_FUTURE_SYMBOL,
current_price=sell_price,
quantity=decimal.Decimal(str(12)),
price=sell_price)
# Test sell order
limit_sell = SellLimitOrder(trader_inst)
limit_sell.update(order_type=enums.TraderOrderType.SELL_LIMIT,
symbol=DEFAULT_FUTURE_SYMBOL,
current_price=decimal.Decimal(str(10)),
quantity=decimal.Decimal(str(46.5)),
price=decimal.Decimal(str(10)))
# Test stop loss order
stop_loss = StopLossOrder(trader_inst)
stop_loss.update(order_type=enums.TraderOrderType.STOP_LOSS,
symbol=DEFAULT_FUTURE_SYMBOL,
current_price=decimal.Decimal(str(80)),
quantity=decimal.Decimal(str(46.5)),
price=decimal.Decimal(str(80)))
portfolio_manager.portfolio.update_portfolio_available(stop_loss, True)
assert portfolio_manager.portfolio.get_currency_portfolio(
"USDT").available == decimal.Decimal('1000')
assert portfolio_manager.portfolio.get_currency_portfolio(
"USDT").total == decimal.Decimal('1000')
portfolio_manager.portfolio.update_portfolio_available(limit_sell, True)
assert portfolio_manager.portfolio.get_currency_portfolio(
"USDT").available == decimal.Decimal('907.0')
assert portfolio_manager.portfolio.get_currency_portfolio(
"USDT").total == decimal.Decimal('1000')
portfolio_manager.portfolio.update_portfolio_available(market_sell, True)
assert portfolio_manager.portfolio.get_currency_portfolio(
"USDT").available == decimal.Decimal('715.0')
assert portfolio_manager.portfolio.get_currency_portfolio(
"USDT").total == decimal.Decimal('1000')
await fill_market_order(market_sell)
await _update_position_mark_price(exchange_manager_inst, sell_price,
DEFAULT_FUTURE_SYMBOL)
assert portfolio_manager.portfolio.get_currency_portfolio(
"USDT").available == decimal.Decimal('714.616')
assert portfolio_manager.portfolio.get_currency_portfolio(
"USDT").total == decimal.Decimal('999.616')
# cancel other orders
portfolio_manager.portfolio.update_portfolio_available(stop_loss, False)
portfolio_manager.portfolio.update_portfolio_available(limit_sell, False)
assert portfolio_manager.portfolio.get_currency_portfolio(
"BTC").available == decimal.Decimal('10')
assert portfolio_manager.portfolio.get_currency_portfolio(
"USDT").available == decimal.Decimal('807.616')
assert portfolio_manager.portfolio.get_currency_portfolio(
"BTC").total == decimal.Decimal('10')
assert portfolio_manager.portfolio.get_currency_portfolio(
"USDT").total == decimal.Decimal('999.616')
async def test_update_portfolio_data_from_order_with_market_buy_long_linear_contract(
future_trader_simulator_with_default_linear):
config, exchange_manager_inst, trader_inst, default_contract = future_trader_simulator_with_default_linear
portfolio_manager = exchange_manager_inst.exchange_personal_data.portfolio_manager
default_contract.set_current_leverage(decimal.Decimal(5))
# Test buy order
market_buy = BuyMarketOrder(trader_inst)
buy_price = decimal.Decimal(str(1000))
market_buy.update(
order_type=enums.TraderOrderType.BUY_MARKET,
symbol=DEFAULT_FUTURE_SYMBOL,
current_price=buy_price,
quantity=decimal.Decimal(3), # real quantity = 3 / 5 = 0.6
price=buy_price) # real cost = 0.6 * 1000 = 600
# test buy order creation
portfolio_manager.portfolio.update_portfolio_available(market_buy, True)
# create position from order
await fill_market_order(market_buy)
# update position mark price
await _update_position_mark_price(exchange_manager_inst, buy_price,
DEFAULT_FUTURE_SYMBOL)
assert portfolio_manager.portfolio.get_currency_portfolio(
"USDT").available == decimal.Decimal(str(400.0))
assert portfolio_manager.portfolio.get_currency_portfolio(
"USDT").total == decimal.Decimal(str(1000.0))
# Test buy order
market_buy = BuyMarketOrder(trader_inst)
market_buy.update(
order_type=enums.TraderOrderType.BUY_MARKET,
symbol=DEFAULT_FUTURE_SYMBOL,
current_price=buy_price,
quantity=decimal.Decimal(1), # 0.2
price=buy_price) # 200
# test buy order creation
portfolio_manager.portfolio.update_portfolio_available(market_buy, True)
await fill_market_order(market_buy)
assert portfolio_manager.portfolio.get_currency_portfolio(
"USDT").available == decimal.Decimal(str(200.0))
assert portfolio_manager.portfolio.get_currency_portfolio(
"USDT").total == decimal.Decimal(str(1000.0))
# Test reducing LONG position with a sell market order
market_sell = SellMarketOrder(trader_inst)
market_sell.update(
order_type=enums.TraderOrderType.SELL_MARKET,
symbol=DEFAULT_FUTURE_SYMBOL,
current_price=buy_price,
quantity=decimal.Decimal(0.5), # 0.1
price=buy_price) # 100
# Should restore available
portfolio_manager.portfolio.update_portfolio_available(market_sell, True)
await fill_market_order(market_sell)
assert portfolio_manager.portfolio.get_currency_portfolio(
"BTC").available == decimal.Decimal(10)
assert portfolio_manager.portfolio.get_currency_portfolio(
"USDT").available == decimal.Decimal(str(299.8))
assert portfolio_manager.portfolio.get_currency_portfolio(
"BTC").total == decimal.Decimal(10)
assert portfolio_manager.portfolio.get_currency_portfolio(
"USDT").total == decimal.Decimal(str(999.8))
# Test buy order 2
market_buy = BuyMarketOrder(trader_inst)
market_buy.update(
order_type=enums.TraderOrderType.BUY_MARKET,
symbol=DEFAULT_FUTURE_SYMBOL,
current_price=buy_price,
quantity=decimal.Decimal(0.5), # 0.1
price=buy_price) # 100
# increase position size
portfolio_manager.portfolio.update_portfolio_available(market_buy, True)
await fill_market_order(market_buy)
assert portfolio_manager.portfolio.get_currency_portfolio(
"USDT").available == decimal.Decimal(str(199.8))
assert portfolio_manager.portfolio.get_currency_portfolio(
"USDT").total == decimal.Decimal(str(999.8))
# Test reducing again LONG position with a sell market order
market_sell = SellMarketOrder(trader_inst)
market_sell.update(
order_type=enums.TraderOrderType.SELL_MARKET,
symbol=DEFAULT_FUTURE_SYMBOL,
current_price=buy_price,
quantity=decimal.Decimal(4), # 0.8
price=buy_price) # 800
# decrease position size
portfolio_manager.portfolio.update_portfolio_available(market_sell, True)
await fill_market_order(market_sell)
assert portfolio_manager.portfolio.get_currency_portfolio(
"BTC").available == decimal.Decimal(10)
assert portfolio_manager.portfolio.get_currency_portfolio(
"USDT").available == decimal.Decimal(str(998.2))
assert portfolio_manager.portfolio.get_currency_portfolio(
"BTC").total == decimal.Decimal(10)
assert portfolio_manager.portfolio.get_currency_portfolio(
"USDT").total == decimal.Decimal(str(998.2))