add fee info (#1006)

- Have strategy fee labels configurable in the strategy module itself

strategies/matic-breakout.py

@@ -39,7 +39,10 @@
 from tradingstrategy.utils.groupeduniverse import resample_price_series
 
 trading_strategy_engine_version = "0.5"
-
+management_fee="0.00%"
+trading_strategy_protocol_fee="0.02%"
+strategy_developer_fee="0.1%"
+enzyme_protocol_fee="0.0025%"
 
 class Parameters:
     """Parameteres for this strategy.
@@ -84,6 +87,8 @@ class Parameters:
     backtest_trading_fee = 0.0005  # Switch to QuickSwap 30 BPS free from the default Binance 5 BPS fee
     initial_cash = 10_000
 
+
+
 
 def get_strategy_trading_pairs(execution_mode: ExecutionMode) -> list[HumanReadableTradingPairDescription]:
     """Switch between backtest and live trading pairs.

strategies/test_only/enzyme_end_to_end.py

@@ -30,6 +30,10 @@
 trading_strategy_cycle = CycleDuration.cycle_1s
 reserve_currency = ReserveCurrency.usdc
 
+management_fee="0.01%"
+trading_strategy_protocol_fee="0.01%"
+strategy_developer_fee="0.01%"
+enzyme_protocol_fee="0.01%"
 
 def decide_trades(
         timestamp: pd.Timestamp,

tests/test_binance_data.py

@@ -296,6 +296,38 @@ def test_create_binance_universe_multipair():
         )
 
 
+@pytest.mark.skipif(os.environ.get("GITHUB_ACTIONS", None) == "true", reason="No mock tests for this one")
+def test_create_binance_universe_bigger_date_range():
+    """Test reading cached candle data by downloading with a bigger date range."""
+
+    downloader = BinanceDownloader()
+    downloader.purge_all_cached_data()
+
+    _ = create_binance_universe(
+        ["ETHUSDT"],
+        candle_time_bucket = TimeBucket.h4,
+        start_at = datetime.datetime(2021, 1, 1),
+        end_at = datetime.datetime(2021, 1, 10),   
+        include_lending=True,
+        force_download=True,
+    )
+
+    strategy_universe = create_binance_universe(
+        ["ETHUSDT"],
+        candle_time_bucket = TimeBucket.h4,
+        start_at = datetime.datetime(2021, 1, 4),
+        end_at = datetime.datetime(2021, 1, 6),   
+        include_lending=True
+    )
+
+    candles_start, candles_end = strategy_universe.universe.candles.get_timestamp_range()
+    lending_start = strategy_universe.universe.lending_candles.variable_borrow_apr.df.index[0]
+    lending_end = strategy_universe.universe.lending_candles.variable_borrow_apr.df.index[-1]
+
+    assert candles_start == lending_start == datetime.datetime(2021, 1, 4, 0, 0)
+    assert candles_end == lending_end == datetime.datetime(2021, 1, 6, 0, 0)
+
+
 @pytest.mark.skipif(os.environ.get("GITHUB_ACTIONS", None) == "true" or os.environ.get("BINANCE_LENDING_DATA") == "false", reason="Github US servers are blocked by Binance with HTTP 451")
 def test_binance_multi_pair():
     """Check multipair resampling works."""

tests/units_tests/test_strategy_module.py

@@ -24,3 +24,7 @@ def test_read_strategy_module(
     """Read strategy module and check for some basic information."""
     mod = read_strategy_module(strategy_file)
     assert mod.sort_priority == 99
+    assert mod.trading_strategy_protocol_fee == "0.02%"
+    assert mod.strategy_developer_fee == "0.1%"
+    assert mod.management_fee == "0.00%"
+    assert mod.enzyme_protocol_fee == "0.0025%"

tests/web/test_webhook_api.py

@@ -52,6 +52,12 @@ def server_url(store):
         True,
         badges=Metadata.parse_badges_configuration("polygon, metamask, eth, usdc"),
         tags={StrategyTag.beta},
+        fees=dict(
+            management_fee="0.00%",
+            trading_strategy_protocol_fee="0.02%",
+            strategy_developer_fee="0.1%",
+            enzyme_protocol_fee="0.0025%",
+        )
     )
 
     # Inject some fake files for the backtest content
@@ -75,7 +81,7 @@ def test_home(logger, server_url):
     assert resp.status_code == 200
     # Chuck the Trade Executor server, version 0.1.0, our URL is http://127.0.0.1:5000
     assert resp.headers["content-type"] == "text/plain; charset=UTF-8"
-    assert "Trading Strategy" in resp.text
+    assert "Trade Executor daemon of Trading Strategy" in resp.text
 
 
 def test_ping(logger,server_url):
@@ -92,10 +98,16 @@ def test_metadata(logger, server_url):
     data = resp.json()
     assert data["name"] == "Foobar"
     assert data["short_description"] == "Short desc"
-    assert data["executor_running"] == True
+    assert data["executor_running"] is True
     assert data["crashed_at"] is None
     assert data["badges"] == ["polygon", "metamask", "eth", "usdc"]
     assert data["tags"] == ["beta"]
+    assert data["fees"] == dict(
+        management_fee="0.00%",
+        trading_strategy_protocol_fee="0.02%",
+        strategy_developer_fee="0.1%",
+        enzyme_protocol_fee="0.0025%",
+    )
 
 
 def test_cors(logger, server_url):

tradeexecutor/cli/bootstrap.py

@@ -306,6 +306,7 @@ def create_metadata(
     tags: Optional[Set[StrategyTag]] = None,
     hot_wallet: Optional[HotWallet] = None,
     sort_priority=0,
+    fees=None,
 ) -> Metadata:
     """Create metadata object from the configuration variables."""
 
@@ -365,6 +366,7 @@ def create_metadata(
         badges=Metadata.parse_badges_configuration(badges),
         tags=tags or set(),  # Always fill empty set
         sort_priority=sort_priority,
+        fees=fees,
     )
 
     return metadata

tradeexecutor/cli/commands/start.py

@@ -14,8 +14,10 @@
 from typing import Optional
 
 import typer
+import runpy
 
 from eth_defi.gas import GasPriceMethod
+from tradeexecutor.strategy.strategy_module import parse_strategy_module
 from tradingstrategy.chain import ChainId
 from tradingstrategy.client import Client
 from tradingstrategy.testing.uniswap_v2_mock_client import UniswapV2MockClient
@@ -334,6 +336,13 @@ def start(
         if not notebook_report and backtest_result:
             notebook_report = Path(f"state/{id}-backtest.ipynb")
 
+        fees = dict(
+            management_fee=mod.management_fee,
+            trading_strategy_protocol_fee=mod.trading_strategy_protocol_fee,
+            strategy_developer_fee=mod.strategy_developer_fee,
+            enzyme_protocol_fee=mod.enzyme_protocol_fee,
+        )
+
         metadata = create_metadata(
             name,
             short_description,
@@ -350,6 +359,7 @@ def start(
             tags=mod.tags,
             hot_wallet=sync_model.get_hot_wallet(),
             sort_priority=mod.sort_priority,
+            fees=fees,
         )
 
         # Start the queue that relays info from the web server to the strategy executor

tradeexecutor/cli/commands/webapi.py

@@ -101,6 +101,13 @@ def webapi(
     if state_file:
         store = create_state_store(Path(state_file))
 
+    fees = dict(
+        management_fee=mod.management_fee,
+        trading_strategy_protocol_fee=mod.trading_strategy_protocol_fee,
+        strategy_developer_fee=mod.strategy_developer_fee,
+        enzyme_protocol_fee=mod.enzyme_protocol_fee,
+    )
+
     metadata = create_metadata(
         name,
         short_description,
@@ -109,6 +116,7 @@ def webapi(
         AssetManagementMode.dummy,
         chain_id=mod.get_default_chain_id(),
         vault=None,
+        fees=fees,
     )
 
     # Start the queue that relays info from the web server to the strategy executor

tradeexecutor/state/metadata.py

@@ -177,6 +177,16 @@ class Metadata:
     #: Higher = the strategy apppears in the frontend first.
     sort_priority: int = 0
 
+    #: Fees for this strategy
+    #: In the format
+    #: {
+    #:     management_fee,
+    #:     trading_strategy_protocol_fee,
+    #:     strategy_developer_fee,
+    #:     enzyme_protocol_fee,
+    #: }
+    fees: Dict[str, str] = field(default_factory=dict)
+
     @staticmethod
     def create_dummy() -> "Metadata":
         return Metadata(

tradeexecutor/state/position.py

@@ -1656,7 +1656,7 @@ def get_size_relative_realised_profit_percent(self) -> Percent:
         The profit is scaled to the % of the position size relative to the portfolio
         to account for max capital allocation for the position.
 
-        - TODO: This does not work for positions that have capital added over time
+        - TODO: This does not work for positions that have capital added over time or strategies that have overlapping positions
 
         See :ref:`profitability` for more details.
 

tradeexecutor/strategy/strategy_module.py

@@ -3,7 +3,7 @@
 import inspect
 import logging
 import runpy
-from dataclasses import dataclass
+from dataclasses import dataclass, field
 from pathlib import Path
 from types import NoneType
 from typing import Callable, Dict, Protocol, List, Optional, Union, Set, Type
@@ -318,6 +318,8 @@ def __call__(self,
             """
 
 
+
+
 @dataclass
 class StrategyModuleInformation:
     """Describe elements that we need to have in a strategy module.
@@ -448,6 +450,13 @@ class StrategyModuleInformation:
     #:
     parameters: Optional[Type | StrategyParameters] = None
 
+    #: Fees for the strategy.
+    #:
+    management_fee: Optional[str] = None
+    trading_strategy_protocol_fee: Optional[str] = None
+    strategy_developer_fee: Optional[str] = None
+    enzyme_protocol_fee: Optional[str] = None
+
     def __repr__(self):
         return f"<StrategyModuleInformation {self.path}>"
 
@@ -606,6 +615,8 @@ def get_live_trading_history_period(self) -> datetime.timedelta | None:
         return None
 
 
+
+
 def parse_strategy_module(
         path,
         python_module_exports: dict,
@@ -641,6 +652,10 @@ def parse_strategy_module(
         sort_priority=python_module_exports.get("sort_priority"),
         create_indicators=python_module_exports.get("create_indicators"),
         parameters=python_module_exports.get("parameters"),
+        management_fee=python_module_exports.get("management_fee"),
+        trading_strategy_protocol_fee=python_module_exports.get("trading_strategy_protocol_fee"),
+        strategy_developer_fee=python_module_exports.get("strategy_developer_fee"),
+        enzyme_protocol_fee=python_module_exports.get("enzyme_protocol_fee"),
     )
 
 

tradeexecutor/strategy/summary.py

@@ -493,6 +493,11 @@ class StrategySummary:
     #:
     tags: Set[StrategyTag] = field(default_factory=set)
 
+    #: Fees charged by the strategy
+    #:
+    #: See `Metadata.fees` for description.
+    #:
+    fees: Dict[str, float] = field(default_factory=dict)
 
 #: Help links for different metrics
 _KEY_METRIC_HELP = {

tradeexecutor/webhook/api.py

@@ -76,6 +76,7 @@ def web_metadata(request: Request):
         crashed_at=run_state.crashed_at,
         badges=metadata.badges,
         tags=metadata.tags,
+        fees=metadata.fees,
     )
 
     # Catch NaN's and other data JavaScript cannot eat