test_backtesting_fees.py

# Basana
#
# Copyright 2022 Gabriel Martin Becedillas Ruiz
#
# Licensed under the Apache License, Version 2.0 (the "License");
# you may not use this file except in compliance with the License.
# You may obtain a copy of the License at
#
#   http://www.apache.org/licenses/LICENSE-2.0
#
# Unless required by applicable law or agreed to in writing, software
# distributed under the License is distributed on an "AS IS" BASIS,
# WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
# See the License for the specific language governing permissions and
# limitations under the License.

from decimal import Decimal

from basana.backtesting import fees, orders
from basana.backtesting.exchange import Fill, OrderOperation
from basana.core import dt
from .common import btc_pair, btc_pair_info


def test_percentage_fee_with_partial_fills():
    fee_strategy = fees.Percentage(Decimal("1"))
    order = orders.MarketOrder("1", OrderOperation.BUY, btc_pair, btc_pair_info, Decimal("0.01"))

    # Fill #1 - A 0.009 fee gets rounded to 0.01
    balance_updates = {
        "BTC": Decimal("0.001"),
        "USD": Decimal("-0.9"),
    }
    assert fee_strategy.calculate_fees(order, balance_updates) == {"USD": Decimal("-0.009")}
    order.add_fill(
        Fill(dt.utc_now(), balance_updates, {"USD": Decimal("-0.01")}, Decimal(9))
    )

    # Fill #2 - A 0.008 fee gets rounded to 0.01
    balance_updates = {
        "BTC": Decimal("0.001"),
        "USD": Decimal("-0.9"),
    }
    assert fee_strategy.calculate_fees(order, balance_updates) == {"USD": Decimal("-0.008")}
    order.add_fill(
        Fill(dt.utc_now(), balance_updates, {"USD": Decimal("-0.01")}, Decimal(9))
    )

    # Fill #3 - Final fill. Total fees, prior to rounding, should be 0.118, but we charged 0.02 already, so the last
    # chunk, prior to rounding, should be 0.098.
    balance_updates = {
        "BTC": Decimal("0.008"),
        "USD": Decimal("-10"),
    }
    assert fee_strategy.calculate_fees(order, balance_updates) == {"USD": Decimal("-0.098")}
    order.add_fill(
        Fill(dt.utc_now(), balance_updates, {"USD": Decimal("-0.1")}, Decimal(9))
    )


def test_percentage_fee_with_minium():
    fee_strategy = fees.Percentage(Decimal("1"), min_fee=Decimal("5"))
    order = orders.MarketOrder("1", OrderOperation.BUY, btc_pair, btc_pair_info, Decimal("0.1"))

    balance_updates = {
        "BTC": Decimal("0.1"),
        "USD": Decimal("-50.15"),
    }
    assert fee_strategy.calculate_fees(order, balance_updates) == {"USD": Decimal("-5")}


def test_percentage_fee_base_currency_with_partial_fills():
    fee_strategy = fees.Percentage(Decimal("1"), fee_currency=fees.FeeCurrency.BASE)
    order = orders.MarketOrder("1", OrderOperation.BUY, btc_pair, btc_pair_info, Decimal("0.01"))

    # Fill #1 - base amount: 0.001 BTC, fee = 0.001 * 1% = 0.00001 BTC
    balance_updates = {
        "BTC": Decimal("0.001"),
        "USD": Decimal("-0.9"),
    }
    assert fee_strategy.calculate_fees(order, balance_updates) == {"BTC": Decimal("-0.00001")}
    order.add_fill(
        Fill(dt.utc_now(), balance_updates, {"BTC": Decimal("-0.00001")}, Decimal(900))
    )

    # Fill #2 - cumulative base = 0.002, total fee = 0.00002, already charged 0.00001, pending = 0.00001
    balance_updates = {
        "BTC": Decimal("0.001"),
        "USD": Decimal("-0.9"),
    }
    assert fee_strategy.calculate_fees(order, balance_updates) == {"BTC": Decimal("-0.00001")}
    order.add_fill(
        Fill(dt.utc_now(), balance_updates, {"BTC": Decimal("-0.00001")}, Decimal(900))
    )

    # Fill #3 - cumulative base = 0.01, total fee = 0.0001, already charged 0.00002, pending = 0.00008
    balance_updates = {
        "BTC": Decimal("0.008"),
        "USD": Decimal("-7.2"),
    }
    assert fee_strategy.calculate_fees(order, balance_updates) == {"BTC": Decimal("-0.00008")}
    order.add_fill(
        Fill(dt.utc_now(), balance_updates, {"BTC": Decimal("-0.00008")}, Decimal(900))
    )


def test_percentage_fee_base_currency_with_partial_fills_for_sell():
    fee_strategy = fees.Percentage(Decimal("1"), fee_currency=fees.FeeCurrency.BASE)
    order = orders.MarketOrder("1", OrderOperation.SELL, btc_pair, btc_pair_info, Decimal("0.01"))

    # Fill #1 - base amount: 0.001 BTC, fee = 0.001 * 1% = 0.00001 BTC
    balance_updates = {
        "BTC": Decimal("-0.001"),
        "USD": Decimal("0.9"),
    }
    assert fee_strategy.calculate_fees(order, balance_updates) == {"BTC": Decimal("-0.00001")}
    order.add_fill(
        Fill(dt.utc_now(), balance_updates, {"BTC": Decimal("-0.00001")}, Decimal(900))
    )

    # Fill #2 - cumulative base = -0.002, total fee = 0.00002, already charged 0.00001, pending = 0.00001
    balance_updates = {
        "BTC": Decimal("-0.001"),
        "USD": Decimal("0.9"),
    }
    assert fee_strategy.calculate_fees(order, balance_updates) == {"BTC": Decimal("-0.00001")}
    order.add_fill(
        Fill(dt.utc_now(), balance_updates, {"BTC": Decimal("-0.00001")}, Decimal(900))
    )

    # Fill #3 - cumulative base = -0.01, total fee = 0.00010, already charged 0.00002, pending = 0.00008
    balance_updates = {
        "BTC": Decimal("-0.008"),
        "USD": Decimal("7.2"),
    }
    assert fee_strategy.calculate_fees(order, balance_updates) == {"BTC": Decimal("-0.00008")}
    order.add_fill(
        Fill(dt.utc_now(), balance_updates, {"BTC": Decimal("-0.00008")}, Decimal(900))
    )


def test_percentage_fee_no_pending_fee():
    # Test that when charged_fee already covers the total, pending_fee >= 0 and no additional fee is returned.
    fee_strategy = fees.Percentage(Decimal("1"))
    order = orders.MarketOrder("1", OrderOperation.BUY, btc_pair, btc_pair_info, Decimal("0.01"))

    # Fill #1: charge a higher fee than 1% (simulating rounding overcharge).
    balance_updates = {
        "BTC": Decimal("0.001"),
        "USD": Decimal("-0.9"),
    }
    # Manually overcharge by setting charged_fee to more than the 1% of total.
    order.add_fill(
        Fill(dt.utc_now(), balance_updates, {"USD": Decimal("-0.10")}, Decimal(9))
    )

    # Fill #2: the total fee is less than already charged, so pending_fee >= 0 (no extra fee returned).
    balance_updates2 = {
        "BTC": Decimal("0.001"),
        "USD": Decimal("-0.9"),
    }
    result = fee_strategy.calculate_fees(order, balance_updates2)
    assert result == {}


def test_percentage_fee_base_currency_with_minimum():
    fee_strategy = fees.Percentage(Decimal("1"), min_fee=Decimal("0.001"), fee_currency=fees.FeeCurrency.BASE)
    order = orders.MarketOrder("1", OrderOperation.BUY, btc_pair, btc_pair_info, Decimal("0.05"))

    # 0.05 BTC * 1% = 0.0005 BTC fee, but min_fee=0.001, so fee = 0.001 BTC
    balance_updates = {
        "BTC": Decimal("0.05"),
        "USD": Decimal("-2500"),
    }
    assert fee_strategy.calculate_fees(order, balance_updates) == {"BTC": Decimal("-0.001")}