stable/tests/data/test_dataprovider.py

from datetime import datetime, timezone
from unittest.mock import MagicMock

import pytest
from pandas import DataFrame

from freqtrade.data.dataprovider import DataProvider
from freqtrade.enums import CandleType, RunMode
from freqtrade.exceptions import ExchangeError, OperationalException
from freqtrade.plugins.pairlistmanager import PairListManager
from tests.conftest import get_patched_exchange


@pytest.mark.parametrize('candle_type', [
    'mark',
    '',
])
def test_dp_ohlcv(mocker, default_conf, ohlcv_history, candle_type):
    default_conf["runmode"] = RunMode.DRY_RUN
    timeframe = default_conf["timeframe"]
    exchange = get_patched_exchange(mocker, default_conf)
    candletype = CandleType.from_string(candle_type)
    exchange._klines[("XRP/BTC", timeframe, candletype)] = ohlcv_history
    exchange._klines[("UNITTEST/BTC", timeframe, candletype)] = ohlcv_history

    dp = DataProvider(default_conf, exchange)
    assert dp.runmode == RunMode.DRY_RUN
    assert ohlcv_history.equals(dp.ohlcv("UNITTEST/BTC", timeframe, candle_type=candletype))
    assert isinstance(dp.ohlcv("UNITTEST/BTC", timeframe, candle_type=candletype), DataFrame)
    assert dp.ohlcv("UNITTEST/BTC", timeframe, candle_type=candletype) is not ohlcv_history
    assert dp.ohlcv("UNITTEST/BTC", timeframe, copy=False, candle_type=candletype) is ohlcv_history
    assert not dp.ohlcv("UNITTEST/BTC", timeframe, candle_type=candletype).empty
    assert dp.ohlcv("NONESENSE/AAA", timeframe, candle_type=candletype).empty

    # Test with and without parameter
    assert dp.ohlcv(
        "UNITTEST/BTC",
        timeframe,
        candle_type=candletype
    ).equals(dp.ohlcv("UNITTEST/BTC", candle_type=candle_type))

    default_conf["runmode"] = RunMode.LIVE
    dp = DataProvider(default_conf, exchange)
    assert dp.runmode == RunMode.LIVE
    assert isinstance(dp.ohlcv("UNITTEST/BTC", timeframe, candle_type=candle_type), DataFrame)

    default_conf["runmode"] = RunMode.BACKTEST
    dp = DataProvider(default_conf, exchange)
    assert dp.runmode == RunMode.BACKTEST
    assert dp.ohlcv("UNITTEST/BTC", timeframe, candle_type=candle_type).empty


def test_historic_ohlcv(mocker, default_conf, ohlcv_history):
    historymock = MagicMock(return_value=ohlcv_history)
    mocker.patch("freqtrade.data.dataprovider.load_pair_history", historymock)

    dp = DataProvider(default_conf, None)
    data = dp.historic_ohlcv("UNITTEST/BTC", "5m")
    assert isinstance(data, DataFrame)
    assert historymock.call_count == 1
    assert historymock.call_args_list[0][1]["timeframe"] == "5m"


def test_historic_ohlcv_dataformat(mocker, default_conf, ohlcv_history):
    hdf5loadmock = MagicMock(return_value=ohlcv_history)
    jsonloadmock = MagicMock(return_value=ohlcv_history)
    mocker.patch("freqtrade.data.history.hdf5datahandler.HDF5DataHandler._ohlcv_load", hdf5loadmock)
    mocker.patch("freqtrade.data.history.jsondatahandler.JsonDataHandler._ohlcv_load", jsonloadmock)

    default_conf["runmode"] = RunMode.BACKTEST
    exchange = get_patched_exchange(mocker, default_conf)
    dp = DataProvider(default_conf, exchange)
    data = dp.historic_ohlcv("UNITTEST/BTC", "5m")
    assert isinstance(data, DataFrame)
    hdf5loadmock.assert_not_called()
    jsonloadmock.assert_called_once()

    # Switching to dataformat hdf5
    hdf5loadmock.reset_mock()
    jsonloadmock.reset_mock()
    default_conf["dataformat_ohlcv"] = "hdf5"
    dp = DataProvider(default_conf, exchange)
    data = dp.historic_ohlcv("UNITTEST/BTC", "5m")
    assert isinstance(data, DataFrame)
    hdf5loadmock.assert_called_once()
    jsonloadmock.assert_not_called()


@pytest.mark.parametrize('candle_type', [
    'mark',
    'futures',
    '',
])
def test_get_pair_dataframe(mocker, default_conf, ohlcv_history, candle_type):
    default_conf["runmode"] = RunMode.DRY_RUN
    timeframe = default_conf["timeframe"]
    exchange = get_patched_exchange(mocker, default_conf)
    candletype = CandleType.from_string(candle_type)
    exchange._klines[("XRP/BTC", timeframe, candletype)] = ohlcv_history
    exchange._klines[("UNITTEST/BTC", timeframe, candletype)] = ohlcv_history

    dp = DataProvider(default_conf, exchange)
    assert dp.runmode == RunMode.DRY_RUN
    assert ohlcv_history.equals(dp.get_pair_dataframe(
        "UNITTEST/BTC", timeframe, candle_type=candle_type))
    assert ohlcv_history.equals(dp.get_pair_dataframe(
        "UNITTEST/BTC", timeframe, candle_type=candletype))
    assert isinstance(dp.get_pair_dataframe(
        "UNITTEST/BTC", timeframe, candle_type=candle_type), DataFrame)
    assert dp.get_pair_dataframe("UNITTEST/BTC", timeframe,
                                 candle_type=candle_type) is not ohlcv_history
    assert not dp.get_pair_dataframe("UNITTEST/BTC", timeframe, candle_type=candle_type).empty
    assert dp.get_pair_dataframe("NONESENSE/AAA", timeframe, candle_type=candle_type).empty

    # Test with and without parameter
    assert dp.get_pair_dataframe("UNITTEST/BTC", timeframe, candle_type=candle_type)\
        .equals(dp.get_pair_dataframe("UNITTEST/BTC", candle_type=candle_type))

    default_conf["runmode"] = RunMode.LIVE
    dp = DataProvider(default_conf, exchange)
    assert dp.runmode == RunMode.LIVE
    assert isinstance(dp.get_pair_dataframe(
        "UNITTEST/BTC", timeframe, candle_type=candle_type), DataFrame)
    assert dp.get_pair_dataframe("NONESENSE/AAA", timeframe, candle_type=candle_type).empty

    historymock = MagicMock(return_value=ohlcv_history)
    mocker.patch("freqtrade.data.dataprovider.load_pair_history", historymock)
    default_conf["runmode"] = RunMode.BACKTEST
    dp = DataProvider(default_conf, exchange)
    assert dp.runmode == RunMode.BACKTEST
    assert isinstance(dp.get_pair_dataframe(
        "UNITTEST/BTC", timeframe, candle_type=candle_type), DataFrame)
    # assert dp.get_pair_dataframe("NONESENSE/AAA", timeframe).empty


def test_available_pairs(mocker, default_conf, ohlcv_history):
    exchange = get_patched_exchange(mocker, default_conf)
    timeframe = default_conf["timeframe"]
    exchange._klines[("XRP/BTC", timeframe)] = ohlcv_history
    exchange._klines[("UNITTEST/BTC", timeframe)] = ohlcv_history

    dp = DataProvider(default_conf, exchange)
    assert len(dp.available_pairs) == 2
    assert dp.available_pairs == [("XRP/BTC", timeframe), ("UNITTEST/BTC", timeframe), ]


def test_refresh(mocker, default_conf, ohlcv_history):
    refresh_mock = MagicMock()
    mocker.patch("freqtrade.exchange.Exchange.refresh_latest_ohlcv", refresh_mock)

    exchange = get_patched_exchange(mocker, default_conf, id="binance")
    timeframe = default_conf["timeframe"]
    pairs = [("XRP/BTC", timeframe), ("UNITTEST/BTC", timeframe)]

    pairs_non_trad = [("ETH/USDT", timeframe), ("BTC/TUSD", "1h")]

    dp = DataProvider(default_conf, exchange)
    dp.refresh(pairs)

    assert refresh_mock.call_count == 1
    assert len(refresh_mock.call_args[0]) == 1
    assert len(refresh_mock.call_args[0][0]) == len(pairs)
    assert refresh_mock.call_args[0][0] == pairs

    refresh_mock.reset_mock()
    dp.refresh(pairs, pairs_non_trad)
    assert refresh_mock.call_count == 1
    assert len(refresh_mock.call_args[0]) == 1
    assert len(refresh_mock.call_args[0][0]) == len(pairs) + len(pairs_non_trad)
    assert refresh_mock.call_args[0][0] == pairs + pairs_non_trad


def test_orderbook(mocker, default_conf, order_book_l2):
    api_mock = MagicMock()
    api_mock.fetch_l2_order_book = order_book_l2
    exchange = get_patched_exchange(mocker, default_conf, api_mock=api_mock)

    dp = DataProvider(default_conf, exchange)
    res = dp.orderbook('ETH/BTC', 5)
    assert order_book_l2.call_count == 1
    assert order_book_l2.call_args_list[0][0][0] == 'ETH/BTC'
    assert order_book_l2.call_args_list[0][0][1] >= 5

    assert type(res) is dict
    assert 'bids' in res
    assert 'asks' in res


def test_market(mocker, default_conf, markets):
    api_mock = MagicMock()
    api_mock.markets = markets
    exchange = get_patched_exchange(mocker, default_conf, api_mock=api_mock)

    dp = DataProvider(default_conf, exchange)
    res = dp.market('ETH/BTC')

    assert type(res) is dict
    assert 'symbol' in res
    assert res['symbol'] == 'ETH/BTC'

    res = dp.market('UNITTEST/BTC')
    assert res is None


def test_ticker(mocker, default_conf, tickers):
    ticker_mock = MagicMock(return_value=tickers()['ETH/BTC'])
    mocker.patch("freqtrade.exchange.Exchange.fetch_ticker", ticker_mock)
    exchange = get_patched_exchange(mocker, default_conf)
    dp = DataProvider(default_conf, exchange)
    res = dp.ticker('ETH/BTC')
    assert type(res) is dict
    assert 'symbol' in res
    assert res['symbol'] == 'ETH/BTC'

    ticker_mock = MagicMock(side_effect=ExchangeError('Pair not found'))
    mocker.patch("freqtrade.exchange.Exchange.fetch_ticker", ticker_mock)
    exchange = get_patched_exchange(mocker, default_conf)
    dp = DataProvider(default_conf, exchange)
    res = dp.ticker('UNITTEST/BTC')
    assert res == {}


def test_current_whitelist(mocker, default_conf, tickers):
    # patch default conf to volumepairlist
    default_conf['pairlists'][0] = {'method': 'VolumePairList', "number_assets": 5}

    mocker.patch.multiple('freqtrade.exchange.Exchange',
                          exchange_has=MagicMock(return_value=True),
                          get_tickers=tickers)
    exchange = get_patched_exchange(mocker, default_conf)

    pairlist = PairListManager(exchange, default_conf)
    dp = DataProvider(default_conf, exchange, pairlist)

    # Simulate volumepairs from exchange.
    pairlist.refresh_pairlist()

    assert dp.current_whitelist() == pairlist._whitelist
    # The identity of the 2 lists should not be identical, but a copy
    assert dp.current_whitelist() is not pairlist._whitelist

    with pytest.raises(OperationalException):
        dp = DataProvider(default_conf, exchange)
        dp.current_whitelist()


def test_get_analyzed_dataframe(mocker, default_conf, ohlcv_history):

    default_conf["runmode"] = RunMode.DRY_RUN

    timeframe = default_conf["timeframe"]
    exchange = get_patched_exchange(mocker, default_conf)

    dp = DataProvider(default_conf, exchange)
    dp._set_cached_df("XRP/BTC", timeframe, ohlcv_history, CandleType.SPOT)
    dp._set_cached_df("UNITTEST/BTC", timeframe, ohlcv_history, CandleType.SPOT)

    assert dp.runmode == RunMode.DRY_RUN
    dataframe, time = dp.get_analyzed_dataframe("UNITTEST/BTC", timeframe)
    assert ohlcv_history.equals(dataframe)
    assert isinstance(time, datetime)

    dataframe, time = dp.get_analyzed_dataframe("XRP/BTC", timeframe)
    assert ohlcv_history.equals(dataframe)
    assert isinstance(time, datetime)

    dataframe, time = dp.get_analyzed_dataframe("NOTHING/BTC", timeframe)
    assert dataframe.empty
    assert isinstance(time, datetime)
    assert time == datetime(1970, 1, 1, tzinfo=timezone.utc)

    # Test backtest mode
    default_conf["runmode"] = RunMode.BACKTEST
    dp._set_dataframe_max_index(1)
    dataframe, time = dp.get_analyzed_dataframe("XRP/BTC", timeframe)

    assert len(dataframe) == 1

    dp._set_dataframe_max_index(2)
    dataframe, time = dp.get_analyzed_dataframe("XRP/BTC", timeframe)
    assert len(dataframe) == 2

    dp._set_dataframe_max_index(3)
    dataframe, time = dp.get_analyzed_dataframe("XRP/BTC", timeframe)
    assert len(dataframe) == 3

    dp._set_dataframe_max_index(500)
    dataframe, time = dp.get_analyzed_dataframe("XRP/BTC", timeframe)
    assert len(dataframe) == len(ohlcv_history)


def test_no_exchange_mode(default_conf):
    dp = DataProvider(default_conf, None)

    message = "Exchange is not available to DataProvider."

    with pytest.raises(OperationalException, match=message):
        dp.refresh([()])

    with pytest.raises(OperationalException, match=message):
        dp.ohlcv('XRP/USDT', '5m', '')

    with pytest.raises(OperationalException, match=message):
        dp.market('XRP/USDT')

    with pytest.raises(OperationalException, match=message):
        dp.ticker('XRP/USDT')

    with pytest.raises(OperationalException, match=message):
        dp.orderbook('XRP/USDT', 20)

    with pytest.raises(OperationalException, match=message):
        dp.available_pairs()