stable/tests/exchange/test_okx.py

from datetime import datetime, timedelta, timezone
from pathlib import Path
from unittest.mock import MagicMock, PropertyMock

import pytest

from freqtrade.enums import CandleType, MarginMode, TradingMode
from freqtrade.exchange.exchange import timeframe_to_minutes
from tests.conftest import get_mock_coro, get_patched_exchange, log_has
from tests.exchange.test_exchange import ccxt_exceptionhandlers


def test_okx_ohlcv_candle_limit(default_conf, mocker):
    exchange = get_patched_exchange(mocker, default_conf, id='okx')
    timeframes = ('1m', '5m', '1h')
    start_time = int(datetime(2021, 1, 1, tzinfo=timezone.utc).timestamp() * 1000)

    for timeframe in timeframes:
        assert exchange.ohlcv_candle_limit(timeframe, CandleType.SPOT) == 300
        assert exchange.ohlcv_candle_limit(timeframe, CandleType.FUTURES) == 300
        assert exchange.ohlcv_candle_limit(timeframe, CandleType.MARK) == 100
        assert exchange.ohlcv_candle_limit(timeframe, CandleType.FUNDING_RATE) == 100

        assert exchange.ohlcv_candle_limit(timeframe, CandleType.SPOT, start_time) == 100
        assert exchange.ohlcv_candle_limit(timeframe, CandleType.FUTURES, start_time) == 100
        assert exchange.ohlcv_candle_limit(timeframe, CandleType.MARK, start_time) == 100
        assert exchange.ohlcv_candle_limit(timeframe, CandleType.FUNDING_RATE, start_time) == 100
        one_call = int((datetime.now(timezone.utc) - timedelta(
            minutes=290 * timeframe_to_minutes(timeframe))).timestamp() * 1000)

        assert exchange.ohlcv_candle_limit(timeframe, CandleType.SPOT, one_call) == 300
        assert exchange.ohlcv_candle_limit(timeframe, CandleType.FUTURES, one_call) == 300

        one_call = int((datetime.now(timezone.utc) - timedelta(
            minutes=320 * timeframe_to_minutes(timeframe))).timestamp() * 1000)
        assert exchange.ohlcv_candle_limit(timeframe, CandleType.SPOT, one_call) == 100
        assert exchange.ohlcv_candle_limit(timeframe, CandleType.FUTURES, one_call) == 100


def test_get_maintenance_ratio_and_amt_okx(
    default_conf,
    mocker,
):
    api_mock = MagicMock()
    default_conf['trading_mode'] = 'futures'
    default_conf['margin_mode'] = 'isolated'
    default_conf['dry_run'] = False
    mocker.patch.multiple(
        'freqtrade.exchange.Okx',
        exchange_has=MagicMock(return_value=True),
        load_leverage_tiers=MagicMock(return_value={
            'ETH/USDT:USDT': [
                {
                    'tier': 1,
                    'minNotional': 0,
                    'maxNotional': 2000,
                    'maintenanceMarginRate': 0.01,
                    'maxLeverage': 75,
                    'info': {
                        'baseMaxLoan': '',
                        'imr': '0.013',
                        'instId': '',
                        'maxLever': '75',
                        'maxSz': '2000',
                        'minSz': '0',
                        'mmr': '0.01',
                        'optMgnFactor': '0',
                        'quoteMaxLoan': '',
                        'tier': '1',
                        'uly': 'ETH-USDT'
                    }
                },
                {
                    'tier': 2,
                    'minNotional': 2001,
                    'maxNotional': 4000,
                    'maintenanceMarginRate': 0.015,
                    'maxLeverage': 50,
                    'info': {
                        'baseMaxLoan': '',
                        'imr': '0.02',
                        'instId': '',
                        'maxLever': '50',
                        'maxSz': '4000',
                        'minSz': '2001',
                        'mmr': '0.015',
                        'optMgnFactor': '0',
                        'quoteMaxLoan': '',
                        'tier': '2',
                        'uly': 'ETH-USDT'
                    }
                },
                {
                    'tier': 3,
                    'minNotional': 4001,
                    'maxNotional': 8000,
                    'maintenanceMarginRate': 0.02,
                    'maxLeverage': 20,
                    'info': {
                        'baseMaxLoan': '',
                        'imr': '0.05',
                        'instId': '',
                        'maxLever': '20',
                        'maxSz': '8000',
                        'minSz': '4001',
                        'mmr': '0.02',
                        'optMgnFactor': '0',
                        'quoteMaxLoan': '',
                        'tier': '3',
                        'uly': 'ETH-USDT'
                    }
                },
            ],
            'ADA/USDT:USDT': [
                {
                    'tier': 1,
                    'minNotional': 0,
                    'maxNotional': 500,
                    'maintenanceMarginRate': 0.02,
                    'maxLeverage': 75,
                    'info': {
                        'baseMaxLoan': '',
                        'imr': '0.013',
                        'instId': '',
                        'maxLever': '75',
                        'maxSz': '500',
                        'minSz': '0',
                        'mmr': '0.01',
                        'optMgnFactor': '0',
                        'quoteMaxLoan': '',
                        'tier': '1',
                        'uly': 'ADA-USDT'
                    }
                },
                {
                    'tier': 2,
                    'minNotional': 501,
                    'maxNotional': 1000,
                    'maintenanceMarginRate': 0.025,
                    'maxLeverage': 50,
                    'info': {
                        'baseMaxLoan': '',
                        'imr': '0.02',
                        'instId': '',
                        'maxLever': '50',
                        'maxSz': '1000',
                        'minSz': '501',
                        'mmr': '0.015',
                        'optMgnFactor': '0',
                        'quoteMaxLoan': '',
                        'tier': '2',
                        'uly': 'ADA-USDT'
                    }
                },
                {
                    'tier': 3,
                    'minNotional': 1001,
                    'maxNotional': 2000,
                    'maintenanceMarginRate': 0.03,
                    'maxLeverage': 20,
                    'info': {
                        'baseMaxLoan': '',
                        'imr': '0.05',
                        'instId': '',
                        'maxLever': '20',
                        'maxSz': '2000',
                        'minSz': '1001',
                        'mmr': '0.02',
                        'optMgnFactor': '0',
                        'quoteMaxLoan': '',
                        'tier': '3',
                        'uly': 'ADA-USDT'
                    }
                },
            ]
        })
    )
    exchange = get_patched_exchange(mocker, default_conf, api_mock, id="okx")
    assert exchange.get_maintenance_ratio_and_amt('ETH/USDT:USDT', 2000) == (0.01, None)
    assert exchange.get_maintenance_ratio_and_amt('ETH/USDT:USDT', 2001) == (0.015, None)
    assert exchange.get_maintenance_ratio_and_amt('ETH/USDT:USDT', 4001) == (0.02, None)
    assert exchange.get_maintenance_ratio_and_amt('ETH/USDT:USDT', 8000) == (0.02, None)

    assert exchange.get_maintenance_ratio_and_amt('ADA/USDT:USDT', 1) == (0.02, None)
    assert exchange.get_maintenance_ratio_and_amt('ADA/USDT:USDT', 2000) == (0.03, None)


def test_get_max_pair_stake_amount_okx(default_conf, mocker, leverage_tiers):

    exchange = get_patched_exchange(mocker, default_conf, id="okx")
    assert exchange.get_max_pair_stake_amount('BNB/BUSD', 1.0) == float('inf')

    default_conf['trading_mode'] = 'futures'
    default_conf['margin_mode'] = 'isolated'
    exchange = get_patched_exchange(mocker, default_conf, id="okx")
    exchange._leverage_tiers = leverage_tiers

    assert exchange.get_max_pair_stake_amount('BNB/BUSD', 1.0) == 30000000
    assert exchange.get_max_pair_stake_amount('BNB/USDT', 1.0) == 50000000
    assert exchange.get_max_pair_stake_amount('BTC/USDT', 1.0) == 1000000000
    assert exchange.get_max_pair_stake_amount('BTC/USDT', 1.0, 10.0) == 100000000

    assert exchange.get_max_pair_stake_amount('TTT/USDT', 1.0) == float('inf')  # Not in tiers


@pytest.mark.parametrize('mode,side,reduceonly,result', [
    ('net', 'buy', False, 'net'),
    ('net', 'sell', True, 'net'),
    ('net', 'sell', False, 'net'),
    ('net', 'buy', True, 'net'),
    ('longshort', 'buy', False, 'long'),
    ('longshort', 'sell', True, 'long'),
    ('longshort', 'sell', False, 'short'),
    ('longshort', 'buy', True, 'short'),
])
def test__get_posSide(default_conf, mocker, mode, side, reduceonly, result):

    exchange = get_patched_exchange(mocker, default_conf, id="okx")
    exchange.net_only = mode == 'net'
    assert exchange._get_posSide(side, reduceonly) == result


def test_additional_exchange_init_okx(default_conf, mocker):
    api_mock = MagicMock()
    api_mock.fetch_accounts = MagicMock(return_value=[
        {'id': '2555',
         'type': '2',
         'currency': None,
         'info': {'acctLv': '2',
                  'autoLoan': False,
                  'ctIsoMode': 'automatic',
                  'greeksType': 'PA',
                  'level': 'Lv1',
                  'levelTmp': '',
                  'mgnIsoMode': 'automatic',
                  'posMode': 'long_short_mode',
                  'uid': '2555'}}])
    default_conf['dry_run'] = False
    exchange = get_patched_exchange(mocker, default_conf, id="okx", api_mock=api_mock)
    assert api_mock.fetch_accounts.call_count == 0
    exchange.trading_mode = TradingMode.FUTURES
    # Default to netOnly
    assert exchange.net_only
    exchange.additional_exchange_init()
    assert api_mock.fetch_accounts.call_count == 1
    assert not exchange.net_only

    api_mock.fetch_accounts = MagicMock(return_value=[
            {'id': '2555',
             'type': '2',
             'currency': None,
             'info': {'acctLv': '2',
                      'autoLoan': False,
                      'ctIsoMode': 'automatic',
                      'greeksType': 'PA',
                      'level': 'Lv1',
                      'levelTmp': '',
                      'mgnIsoMode': 'automatic',
                      'posMode': 'net_mode',
                      'uid': '2555'}}])
    exchange.additional_exchange_init()
    assert api_mock.fetch_accounts.call_count == 1
    assert exchange.net_only
    default_conf['trading_mode'] = 'futures'
    default_conf['margin_mode'] = 'isolated'
    ccxt_exceptionhandlers(mocker, default_conf, api_mock, 'okx',
                           "additional_exchange_init", "fetch_accounts")


def test_load_leverage_tiers_okx(default_conf, mocker, markets, tmpdir, caplog, time_machine):

    default_conf['datadir'] = Path(tmpdir)
    # fd_mock = mocker.patch('freqtrade.exchange.exchange.file_dump_json')
    api_mock = MagicMock()
    type(api_mock).has = PropertyMock(return_value={
        'fetchLeverageTiers': False,
        'fetchMarketLeverageTiers': True,
    })
    api_mock.fetch_market_leverage_tiers = get_mock_coro(side_effect=[
        [
            {
                'tier': 1,
                'minNotional': 0,
                'maxNotional': 500,
                'maintenanceMarginRate': 0.02,
                'maxLeverage': 75,
                'info': {
                    'baseMaxLoan': '',
                    'imr': '0.013',
                    'instId': '',
                    'maxLever': '75',
                    'maxSz': '500',
                    'minSz': '0',
                    'mmr': '0.01',
                    'optMgnFactor': '0',
                    'quoteMaxLoan': '',
                    'tier': '1',
                    'uly': 'ADA-USDT'
                }
            },
            {
                'tier': 2,
                'minNotional': 501,
                'maxNotional': 1000,
                'maintenanceMarginRate': 0.025,
                'maxLeverage': 50,
                'info': {
                    'baseMaxLoan': '',
                    'imr': '0.02',
                    'instId': '',
                    'maxLever': '50',
                    'maxSz': '1000',
                    'minSz': '501',
                    'mmr': '0.015',
                    'optMgnFactor': '0',
                    'quoteMaxLoan': '',
                    'tier': '2',
                    'uly': 'ADA-USDT'
                }
            },
            {
                'tier': 3,
                'minNotional': 1001,
                'maxNotional': 2000,
                'maintenanceMarginRate': 0.03,
                'maxLeverage': 20,
                'info': {
                    'baseMaxLoan': '',
                    'imr': '0.05',
                    'instId': '',
                    'maxLever': '20',
                    'maxSz': '2000',
                    'minSz': '1001',
                    'mmr': '0.02',
                    'optMgnFactor': '0',
                    'quoteMaxLoan': '',
                    'tier': '3',
                    'uly': 'ADA-USDT'
                }
            },
        ],
        [
            {
                'tier': 1,
                'minNotional': 0,
                'maxNotional': 2000,
                'maintenanceMarginRate': 0.01,
                'maxLeverage': 75,
                'info': {
                    'baseMaxLoan': '',
                    'imr': '0.013',
                    'instId': '',
                    'maxLever': '75',
                    'maxSz': '2000',
                    'minSz': '0',
                    'mmr': '0.01',
                    'optMgnFactor': '0',
                    'quoteMaxLoan': '',
                    'tier': '1',
                    'uly': 'ETH-USDT'
                }
            },
            {
                'tier': 2,
                'minNotional': 2001,
                'maxNotional': 4000,
                'maintenanceMarginRate': 0.015,
                'maxLeverage': 50,
                'info': {
                    'baseMaxLoan': '',
                    'imr': '0.02',
                    'instId': '',
                    'maxLever': '50',
                    'maxSz': '4000',
                    'minSz': '2001',
                    'mmr': '0.015',
                    'optMgnFactor': '0',
                    'quoteMaxLoan': '',
                    'tier': '2',
                    'uly': 'ETH-USDT'
                }
            },
            {
                'tier': 3,
                'minNotional': 4001,
                'maxNotional': 8000,
                'maintenanceMarginRate': 0.02,
                'maxLeverage': 20,
                'info': {
                    'baseMaxLoan': '',
                    'imr': '0.05',
                    'instId': '',
                    'maxLever': '20',
                    'maxSz': '8000',
                    'minSz': '4001',
                    'mmr': '0.02',
                    'optMgnFactor': '0',
                    'quoteMaxLoan': '',
                    'tier': '3',
                    'uly': 'ETH-USDT'
                }
            },
        ]
    ])
    default_conf['trading_mode'] = 'futures'
    default_conf['margin_mode'] = 'isolated'
    default_conf['stake_currency'] = 'USDT'
    exchange = get_patched_exchange(mocker, default_conf, api_mock, id="okx")
    exchange.trading_mode = TradingMode.FUTURES
    exchange.margin_mode = MarginMode.ISOLATED
    exchange.markets = markets
    # Initialization of load_leverage_tiers happens as part of exchange init.
    assert exchange._leverage_tiers == {
        'ADA/USDT:USDT': [
            {
                'minNotional': 0,
                'maxNotional': 500,
                'maintenanceMarginRate': 0.02,
                'maxLeverage': 75,
                'maintAmt': None
            },
            {
                'minNotional': 501,
                'maxNotional': 1000,
                'maintenanceMarginRate': 0.025,
                'maxLeverage': 50,
                'maintAmt': None
            },
            {
                'minNotional': 1001,
                'maxNotional': 2000,
                'maintenanceMarginRate': 0.03,
                'maxLeverage': 20,
                'maintAmt': None
            },
        ],
        'ETH/USDT:USDT': [
            {
                'minNotional': 0,
                'maxNotional': 2000,
                'maintenanceMarginRate': 0.01,
                'maxLeverage': 75,
                'maintAmt': None
            },
            {
                'minNotional': 2001,
                'maxNotional': 4000,
                'maintenanceMarginRate': 0.015,
                'maxLeverage': 50,
                'maintAmt': None
            },
            {
                'minNotional': 4001,
                'maxNotional': 8000,
                'maintenanceMarginRate': 0.02,
                'maxLeverage': 20,
                'maintAmt': None
            },
        ],
    }
    filename = (default_conf['datadir'] /
                f"futures/leverage_tiers_{default_conf['stake_currency']}.json")
    assert filename.is_file()

    logmsg = 'Cached leverage tiers are outdated. Will update.'
    assert not log_has(logmsg, caplog)

    api_mock.fetch_market_leverage_tiers.reset_mock()

    exchange.load_leverage_tiers()
    assert not log_has(logmsg, caplog)

    api_mock.fetch_market_leverage_tiers.call_count == 0
    # 2 day passes ...
    time_machine.move_to(datetime.now() + timedelta(weeks=5))
    exchange.load_leverage_tiers()

    assert log_has(logmsg, caplog)