stable/tests/exchange/test_binance.py

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from datetime import datetime, timezone
from random import randint
from unittest.mock import MagicMock, PropertyMock
import ccxt
import pytest
from freqtrade.enums import MarginMode, TradingMode
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from freqtrade.exceptions import DependencyException, InvalidOrderException, OperationalException
from tests.conftest import get_mock_coro, get_patched_exchange, log_has_re
from tests.exchange.test_exchange import ccxt_exceptionhandlers
@pytest.mark.parametrize('trademode', [TradingMode.FUTURES, TradingMode.SPOT])
@pytest.mark.parametrize('limitratio,expected,side', [
(None, 220 * 0.99, "sell"),
(0.99, 220 * 0.99, "sell"),
(0.98, 220 * 0.98, "sell"),
(None, 220 * 1.01, "buy"),
(0.99, 220 * 1.01, "buy"),
(0.98, 220 * 1.02, "buy"),
])
def test_stoploss_order_binance(default_conf, mocker, limitratio, expected, side, trademode):
api_mock = MagicMock()
order_id = 'test_prod_buy_{}'.format(randint(0, 10 ** 6))
order_type = 'stop_loss_limit' if trademode == TradingMode.SPOT else 'stop'
api_mock.create_order = MagicMock(return_value={
'id': order_id,
'info': {
'foo': 'bar'
}
})
default_conf['dry_run'] = False
default_conf['margin_mode'] = MarginMode.ISOLATED
default_conf['trading_mode'] = trademode
mocker.patch('freqtrade.exchange.Exchange.amount_to_precision', lambda s, x, y: y)
mocker.patch('freqtrade.exchange.Exchange.price_to_precision', lambda s, x, y: y)
exchange = get_patched_exchange(mocker, default_conf, api_mock, 'binance')
with pytest.raises(OperationalException):
order = exchange.stoploss(
pair='ETH/BTC',
amount=1,
stop_price=190,
side=side,
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order_types={'stoploss_on_exchange_limit_ratio': 1.05},
leverage=1.0
)
api_mock.create_order.reset_mock()
order_types = {} if limitratio is None else {'stoploss_on_exchange_limit_ratio': limitratio}
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order = exchange.stoploss(
pair='ETH/BTC',
amount=1,
stop_price=220,
order_types=order_types,
side=side,
leverage=1.0
)
assert 'id' in order
assert 'info' in order
assert order['id'] == order_id
assert api_mock.create_order.call_args_list[0][1]['symbol'] == 'ETH/BTC'
assert api_mock.create_order.call_args_list[0][1]['type'] == order_type
assert api_mock.create_order.call_args_list[0][1]['side'] == side
assert api_mock.create_order.call_args_list[0][1]['amount'] == 1
# Price should be 1% below stopprice
assert api_mock.create_order.call_args_list[0][1]['price'] == expected
if trademode == TradingMode.SPOT:
params_dict = {'stopPrice': 220}
else:
params_dict = {'stopPrice': 220, 'reduceOnly': True}
assert api_mock.create_order.call_args_list[0][1]['params'] == params_dict
# test exception handling
with pytest.raises(DependencyException):
api_mock.create_order = MagicMock(side_effect=ccxt.InsufficientFunds("0 balance"))
exchange = get_patched_exchange(mocker, default_conf, api_mock, 'binance')
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exchange.stoploss(
pair='ETH/BTC',
amount=1,
stop_price=220,
order_types={},
side=side,
leverage=1.0)
with pytest.raises(InvalidOrderException):
api_mock.create_order = MagicMock(
side_effect=ccxt.InvalidOrder("binance Order would trigger immediately."))
exchange = get_patched_exchange(mocker, default_conf, api_mock, 'binance')
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exchange.stoploss(
pair='ETH/BTC',
amount=1,
stop_price=220,
order_types={},
side=side,
leverage=1.0
)
ccxt_exceptionhandlers(mocker, default_conf, api_mock, "binance",
"stoploss", "create_order", retries=1,
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pair='ETH/BTC', amount=1, stop_price=220, order_types={},
side=side, leverage=1.0)
def test_stoploss_order_dry_run_binance(default_conf, mocker):
api_mock = MagicMock()
order_type = 'stop_loss_limit'
default_conf['dry_run'] = True
mocker.patch('freqtrade.exchange.Exchange.amount_to_precision', lambda s, x, y: y)
mocker.patch('freqtrade.exchange.Exchange.price_to_precision', lambda s, x, y: y)
exchange = get_patched_exchange(mocker, default_conf, api_mock, 'binance')
with pytest.raises(OperationalException):
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order = exchange.stoploss(
pair='ETH/BTC',
amount=1,
stop_price=190,
side="sell",
order_types={'stoploss_on_exchange_limit_ratio': 1.05},
leverage=1.0
)
api_mock.create_order.reset_mock()
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order = exchange.stoploss(
pair='ETH/BTC',
amount=1,
stop_price=220,
order_types={},
side="sell",
leverage=1.0
)
assert 'id' in order
assert 'info' in order
assert 'type' in order
assert order['type'] == order_type
assert order['price'] == 220
assert order['amount'] == 1
@pytest.mark.parametrize('sl1,sl2,sl3,side', [
(1501, 1499, 1501, "sell"),
(1499, 1501, 1499, "buy")
])
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def test_stoploss_adjust_binance(mocker, default_conf, sl1, sl2, sl3, side):
exchange = get_patched_exchange(mocker, default_conf, id='binance')
order = {
'type': 'stop_loss_limit',
'price': 1500,
'info': {'stopPrice': 1500},
}
assert exchange.stoploss_adjust(sl1, order, side=side)
assert not exchange.stoploss_adjust(sl2, order, side=side)
# Test with invalid order case
order['type'] = 'stop_loss'
assert not exchange.stoploss_adjust(sl3, order, side=side)
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def test_fill_leverage_tiers_binance(default_conf, mocker):
api_mock = MagicMock()
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api_mock.fetch_leverage_tiers = MagicMock(return_value={
'ADA/BUSD': [
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{
"tier": 1,
"minNotional": 0,
"maxNotional": 100000,
"maintenanceMarginRate": 0.025,
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"maxLeverage": 20,
"info": {
"bracket": "1",
"initialLeverage": "20",
"maxNotional": "100000",
"minNotional": "0",
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"maintMarginRatio": "0.025",
"cum": "0.0"
}
},
{
"tier": 2,
"minNotional": 100000,
"maxNotional": 500000,
"maintenanceMarginRate": 0.05,
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"maxLeverage": 10,
"info": {
"bracket": "2",
"initialLeverage": "10",
"maxNotional": "500000",
"minNotional": "100000",
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"maintMarginRatio": "0.05",
"cum": "2500.0"
}
},
{
"tier": 3,
"minNotional": 500000,
"maxNotional": 1000000,
"maintenanceMarginRate": 0.1,
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"maxLeverage": 5,
"info": {
"bracket": "3",
"initialLeverage": "5",
"maxNotional": "1000000",
"minNotional": "500000",
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"maintMarginRatio": "0.1",
"cum": "27500.0"
}
},
{
"tier": 4,
"minNotional": 1000000,
"maxNotional": 2000000,
"maintenanceMarginRate": 0.15,
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"maxLeverage": 3,
"info": {
"bracket": "4",
"initialLeverage": "3",
"maxNotional": "2000000",
"minNotional": "1000000",
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"maintMarginRatio": "0.15",
"cum": "77500.0"
}
},
{
"tier": 5,
"minNotional": 2000000,
"maxNotional": 5000000,
"maintenanceMarginRate": 0.25,
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"maxLeverage": 2,
"info": {
"bracket": "5",
"initialLeverage": "2",
"maxNotional": "5000000",
"minNotional": "2000000",
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"maintMarginRatio": "0.25",
"cum": "277500.0"
}
},
{
"tier": 6,
"minNotional": 5000000,
"maxNotional": 30000000,
"maintenanceMarginRate": 0.5,
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"maxLeverage": 1,
"info": {
"bracket": "6",
"initialLeverage": "1",
"maxNotional": "30000000",
"minNotional": "5000000",
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"maintMarginRatio": "0.5",
"cum": "1527500.0"
}
}
],
"ZEC/USDT": [
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{
"tier": 1,
"minNotional": 0,
"maxNotional": 50000,
"maintenanceMarginRate": 0.01,
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"maxLeverage": 50,
"info": {
"bracket": "1",
"initialLeverage": "50",
"maxNotional": "50000",
"minNotional": "0",
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"maintMarginRatio": "0.01",
"cum": "0.0"
}
},
{
"tier": 2,
"minNotional": 50000,
"maxNotional": 150000,
"maintenanceMarginRate": 0.025,
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"maxLeverage": 20,
"info": {
"bracket": "2",
"initialLeverage": "20",
"maxNotional": "150000",
"minNotional": "50000",
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"maintMarginRatio": "0.025",
"cum": "750.0"
}
},
{
"tier": 3,
"minNotional": 150000,
"maxNotional": 250000,
"maintenanceMarginRate": 0.05,
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"maxLeverage": 10,
"info": {
"bracket": "3",
"initialLeverage": "10",
"maxNotional": "250000",
"minNotional": "150000",
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"maintMarginRatio": "0.05",
"cum": "4500.0"
}
},
{
"tier": 4,
"minNotional": 250000,
"maxNotional": 500000,
"maintenanceMarginRate": 0.1,
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"maxLeverage": 5,
"info": {
"bracket": "4",
"initialLeverage": "5",
"maxNotional": "500000",
"minNotional": "250000",
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"maintMarginRatio": "0.1",
"cum": "17000.0"
}
},
{
"tier": 5,
"minNotional": 500000,
"maxNotional": 1000000,
"maintenanceMarginRate": 0.125,
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"maxLeverage": 4,
"info": {
"bracket": "5",
"initialLeverage": "4",
"maxNotional": "1000000",
"minNotional": "500000",
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"maintMarginRatio": "0.125",
"cum": "29500.0"
}
},
{
"tier": 6,
"minNotional": 1000000,
"maxNotional": 2000000,
"maintenanceMarginRate": 0.25,
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"maxLeverage": 2,
"info": {
"bracket": "6",
"initialLeverage": "2",
"maxNotional": "2000000",
"minNotional": "1000000",
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"maintMarginRatio": "0.25",
"cum": "154500.0"
}
},
{
"tier": 7,
"minNotional": 2000000,
"maxNotional": 30000000,
"maintenanceMarginRate": 0.5,
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"maxLeverage": 1,
"info": {
"bracket": "7",
"initialLeverage": "1",
"maxNotional": "30000000",
"minNotional": "2000000",
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"maintMarginRatio": "0.5",
"cum": "654500.0"
}
}
],
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})
default_conf['dry_run'] = False
default_conf['trading_mode'] = TradingMode.FUTURES
default_conf['margin_mode'] = MarginMode.ISOLATED
exchange = get_patched_exchange(mocker, default_conf, api_mock, id="binance")
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exchange.fill_leverage_tiers()
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assert exchange._leverage_tiers == {
'ADA/BUSD': [
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{
"min": 0,
"max": 100000,
"mmr": 0.025,
"lev": 20,
"maintAmt": 0.0
},
{
"min": 100000,
"max": 500000,
"mmr": 0.05,
"lev": 10,
"maintAmt": 2500.0
},
{
"min": 500000,
"max": 1000000,
"mmr": 0.1,
"lev": 5,
"maintAmt": 27500.0
},
{
"min": 1000000,
"max": 2000000,
"mmr": 0.15,
"lev": 3,
"maintAmt": 77500.0
},
{
"min": 2000000,
"max": 5000000,
"mmr": 0.25,
"lev": 2,
"maintAmt": 277500.0
},
{
"min": 5000000,
"max": 30000000,
"mmr": 0.5,
"lev": 1,
"maintAmt": 1527500.0
}
],
"ZEC/USDT": [
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{
'min': 0,
'max': 50000,
'mmr': 0.01,
'lev': 50,
'maintAmt': 0.0
},
{
'min': 50000,
'max': 150000,
'mmr': 0.025,
'lev': 20,
'maintAmt': 750.0
},
{
'min': 150000,
'max': 250000,
'mmr': 0.05,
'lev': 10,
'maintAmt': 4500.0
},
{
'min': 250000,
'max': 500000,
'mmr': 0.1,
'lev': 5,
'maintAmt': 17000.0
},
{
'min': 500000,
'max': 1000000,
'mmr': 0.125,
'lev': 4,
'maintAmt': 29500.0
},
{
'min': 1000000,
'max': 2000000,
'mmr': 0.25,
'lev': 2,
'maintAmt': 154500.0
},
{
'min': 2000000,
'max': 30000000,
'mmr': 0.5,
'lev': 1,
'maintAmt': 654500.0
},
]
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}
api_mock = MagicMock()
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api_mock.load_leverage_tiers = MagicMock()
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type(api_mock).has = PropertyMock(return_value={'fetchLeverageTiers': True})
ccxt_exceptionhandlers(
mocker,
default_conf,
api_mock,
"binance",
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"fill_leverage_tiers",
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"fetch_leverage_tiers",
)
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def test_fill_leverage_tiers_binance_dryrun(default_conf, mocker, leverage_tiers):
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api_mock = MagicMock()
default_conf['trading_mode'] = TradingMode.FUTURES
default_conf['margin_mode'] = MarginMode.ISOLATED
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exchange = get_patched_exchange(mocker, default_conf, api_mock, id="binance")
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exchange.fill_leverage_tiers()
assert len(exchange._leverage_tiers.keys()) > 100
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for key, value in leverage_tiers.items():
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v = exchange._leverage_tiers[key]
assert isinstance(v, list)
assert len(v) == len(value)
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def test__set_leverage_binance(mocker, default_conf):
api_mock = MagicMock()
api_mock.set_leverage = MagicMock()
type(api_mock).has = PropertyMock(return_value={'setLeverage': True})
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default_conf['dry_run'] = False
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exchange = get_patched_exchange(mocker, default_conf, id="binance")
exchange._set_leverage(3.0, trading_mode=TradingMode.MARGIN)
ccxt_exceptionhandlers(
mocker,
default_conf,
api_mock,
"binance",
"_set_leverage",
"set_leverage",
pair="XRP/USDT",
leverage=5.0,
trading_mode=TradingMode.FUTURES
)
@pytest.mark.asyncio
@pytest.mark.parametrize('candle_type', ['mark', ''])
async def test__async_get_historic_ohlcv_binance(default_conf, mocker, caplog, candle_type):
ohlcv = [
[
int((datetime.now(timezone.utc).timestamp() - 1000) * 1000),
1, # open
2, # high
3, # low
4, # close
5, # volume (in quote currency)
]
]
exchange = get_patched_exchange(mocker, default_conf, id='binance')
# Monkey-patch async function
exchange._api_async.fetch_ohlcv = get_mock_coro(ohlcv)
pair = 'ETH/BTC'
respair, restf, restype, res = await exchange._async_get_historic_ohlcv(
pair, "5m", 1500000000000, is_new_pair=False, candle_type=candle_type)
assert respair == pair
assert restf == '5m'
assert restype == candle_type
# Call with very old timestamp - causes tons of requests
assert exchange._api_async.fetch_ohlcv.call_count > 400
# assert res == ohlcv
exchange._api_async.fetch_ohlcv.reset_mock()
_, _, _, res = await exchange._async_get_historic_ohlcv(
pair, "5m", 1500000000000, is_new_pair=True, candle_type=candle_type)
# Called twice - one "init" call - and one to get the actual data.
assert exchange._api_async.fetch_ohlcv.call_count == 2
assert res == ohlcv
assert log_has_re(r"Candle-data for ETH/BTC available starting with .*", caplog)
@pytest.mark.parametrize("trading_mode,margin_mode,config", [
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("spot", "", {}),
("margin", "cross", {"options": {"defaultType": "margin"}}),
("futures", "isolated", {"options": {"defaultType": "future"}}),
])
def test__ccxt_config(default_conf, mocker, trading_mode, margin_mode, config):
default_conf['trading_mode'] = trading_mode
default_conf['margin_mode'] = margin_mode
exchange = get_patched_exchange(mocker, default_conf, id="binance")
assert exchange._ccxt_config == config
@pytest.mark.parametrize('pair,nominal_value,mm_ratio,amt', [
("BNB/BUSD", 0.0, 0.025, 0),
("BNB/USDT", 100.0, 0.0065, 0),
("BTC/USDT", 170.30, 0.004, 0),
("BNB/BUSD", 999999.9, 0.1, 27500.0),
("BNB/USDT", 5000000.0, 0.15, 233035.0),
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("BTC/USDT", 600000000, 0.5, 1.997038E8),
])
def test_get_maintenance_ratio_and_amt_binance(
default_conf,
mocker,
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leverage_tiers,
pair,
nominal_value,
mm_ratio,
amt,
):
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mocker.patch('freqtrade.exchange.Exchange.exchange_has', return_value=True)
exchange = get_patched_exchange(mocker, default_conf, id="binance")
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exchange._leverage_tiers = leverage_tiers
(result_ratio, result_amt) = exchange.get_maintenance_ratio_and_amt(pair, nominal_value)
assert (round(result_ratio, 8), round(result_amt, 8)) == (mm_ratio, amt)