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
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from freqtrade.enums import Collateral, 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('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
):
api_mock = MagicMock()
order_id = 'test_prod_buy_{}'.format(randint(0, 10 ** 6))
order_type = 'stop_loss_limit'
api_mock.create_order = MagicMock(return_value={
'id': order_id,
'info': {
'foo': 'bar'
}
})
default_conf['dry_run'] = False
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
assert api_mock.create_order.call_args_list[0][1]['params'] == {'stopPrice': 220}
# 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")
])
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)
@pytest.mark.parametrize('pair,nominal_value,max_lev', [
("BNB/BUSD", 0.0, 40.0),
("BNB/USDT", 100.0, 153.84615384615384),
("BTC/USDT", 170.30, 250.0),
("BNB/BUSD", 999999.9, 10.0),
("BNB/USDT", 5000000.0, 6.666666666666667),
("BTC/USDT", 300000000.1, 2.0),
])
def test_get_max_leverage_binance(default_conf, mocker, pair, nominal_value, max_lev):
exchange = get_patched_exchange(mocker, default_conf, id="binance")
exchange._leverage_brackets = {
'BNB/BUSD': [[0.0, 0.025, 0.0],
[100000.0, 0.05, 2500.0],
[500000.0, 0.1, 27500.0],
[1000000.0, 0.15, 77500.0],
[2000000.0, 0.25, 277500.0],
[5000000.0, 0.5, 1527500.0]],
'BNB/USDT': [[0.0, 0.0065, 0.0],
[10000.0, 0.01, 35.0],
[50000.0, 0.02, 535.0],
[250000.0, 0.05, 8035.0],
[1000000.0, 0.1, 58035.0],
[2000000.0, 0.125, 108035.0],
[5000000.0, 0.15, 233035.0],
[10000000.0, 0.25, 1233035.0]],
'BTC/USDT': [[0.0, 0.004, 0.0],
[50000.0, 0.005, 50.0],
[250000.0, 0.01, 1300.0],
[1000000.0, 0.025, 16300.0],
[5000000.0, 0.05, 141300.0],
[20000000.0, 0.1, 1141300.0],
[50000000.0, 0.125, 2391300.0],
[100000000.0, 0.15, 4891300.0],
[200000000.0, 0.25, 24891300.0],
[300000000.0, 0.5, 99891300.0]
]
}
assert exchange.get_max_leverage(pair, nominal_value) == max_lev
def test_fill_leverage_brackets_binance(default_conf, mocker):
api_mock = MagicMock()
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api_mock.load_leverage_brackets = MagicMock(return_value={
'ADA/BUSD': [[0.0, 0.025],
[100000.0, 0.05],
[500000.0, 0.1],
[1000000.0, 0.15],
[2000000.0, 0.25],
[5000000.0, 0.5]],
'BTC/USDT': [[0.0, 0.004],
[50000.0, 0.005],
[250000.0, 0.01],
[1000000.0, 0.025],
[5000000.0, 0.05],
[20000000.0, 0.1],
[50000000.0, 0.125],
[100000000.0, 0.15],
[200000000.0, 0.25],
[300000000.0, 0.5]],
"ZEC/USDT": [[0.0, 0.01],
[5000.0, 0.025],
[25000.0, 0.05],
[100000.0, 0.1],
[250000.0, 0.125],
[1000000.0, 0.5]],
})
default_conf['dry_run'] = False
default_conf['trading_mode'] = TradingMode.FUTURES
default_conf['collateral'] = Collateral.ISOLATED
exchange = get_patched_exchange(mocker, default_conf, api_mock, id="binance")
exchange.fill_leverage_brackets()
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assert exchange._leverage_brackets == {
'ADA/BUSD': [[0.0, 0.025, 0.0],
[100000.0, 0.05, 2500.0],
[500000.0, 0.1, 27500.0],
[1000000.0, 0.15, 77499.99999999999],
[2000000.0, 0.25, 277500.0],
[5000000.0, 0.5, 1527500.0]],
'BTC/USDT': [[0.0, 0.004, 0.0],
[50000.0, 0.005, 50.0],
[250000.0, 0.01, 1300.0],
[1000000.0, 0.025, 16300.000000000002],
[5000000.0, 0.05, 141300.0],
[20000000.0, 0.1, 1141300.0],
[50000000.0, 0.125, 2391300.0],
[100000000.0, 0.15, 4891300.0],
[200000000.0, 0.25, 24891300.0],
[300000000.0, 0.5, 99891300.0]],
"ZEC/USDT": [[0.0, 0.01, 0.0],
[5000.0, 0.025, 75.0],
[25000.0, 0.05, 700.0],
[100000.0, 0.1, 5700.0],
[250000.0, 0.125, 11949.999999999998],
[1000000.0, 0.5, 386950.0]]
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}
api_mock = MagicMock()
api_mock.load_leverage_brackets = MagicMock()
type(api_mock).has = PropertyMock(return_value={'loadLeverageBrackets': True})
ccxt_exceptionhandlers(
mocker,
default_conf,
api_mock,
"binance",
"fill_leverage_brackets",
"load_leverage_brackets"
)
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def test_fill_leverage_brackets_binance_dryrun(default_conf, mocker):
api_mock = MagicMock()
default_conf['trading_mode'] = TradingMode.FUTURES
default_conf['collateral'] = Collateral.ISOLATED
exchange = get_patched_exchange(mocker, default_conf, api_mock, id="binance")
exchange.fill_leverage_brackets()
leverage_brackets = {
"1000SHIB/USDT": [
[0.0, 0.01, 0.0],
[5000.0, 0.025, 75.0],
[25000.0, 0.05, 700.0],
[100000.0, 0.1, 5700.0],
[250000.0, 0.125, 11949.999999999998],
[1000000.0, 0.5, 386950.0],
],
"1INCH/USDT": [
[0.0, 0.012, 0.0],
[5000.0, 0.025, 65.0],
[25000.0, 0.05, 690.0],
[100000.0, 0.1, 5690.0],
[250000.0, 0.125, 11939.999999999998],
[1000000.0, 0.5, 386940.0],
],
"AAVE/USDT": [
[0.0, 0.01, 0.0],
[50000.0, 0.02, 500.0],
[250000.0, 0.05, 8000.000000000001],
[1000000.0, 0.1, 58000.0],
[2000000.0, 0.125, 107999.99999999999],
[5000000.0, 0.1665, 315500.00000000006],
[10000000.0, 0.25, 1150500.0],
],
"ADA/BUSD": [
[0.0, 0.025, 0.0],
[100000.0, 0.05, 2500.0],
[500000.0, 0.1, 27500.0],
[1000000.0, 0.15, 77499.99999999999],
[2000000.0, 0.25, 277500.0],
[5000000.0, 0.5, 1527500.0],
]
}
for key, value in leverage_brackets.items():
assert exchange._leverage_brackets[key] == 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,collateral,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, collateral, config):
default_conf['trading_mode'] = trading_mode
default_conf['collateral'] = collateral
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),
("BTC/USDT", 300000000.1, 0.5, 99891300.0),
])
def test_get_maintenance_ratio_and_amt_binance(
default_conf,
mocker,
pair,
nominal_value,
mm_ratio,
amt,
):
exchange = get_patched_exchange(mocker, default_conf, id="binance")
exchange._leverage_brackets = {
'BNB/BUSD': [[0.0, 0.025, 0.0],
[100000.0, 0.05, 2500.0],
[500000.0, 0.1, 27500.0],
[1000000.0, 0.15, 77500.0],
[2000000.0, 0.25, 277500.0],
[5000000.0, 0.5, 1527500.0]],
'BNB/USDT': [[0.0, 0.0065, 0.0],
[10000.0, 0.01, 35.0],
[50000.0, 0.02, 535.0],
[250000.0, 0.05, 8035.0],
[1000000.0, 0.1, 58035.0],
[2000000.0, 0.125, 108035.0],
[5000000.0, 0.15, 233035.0],
[10000000.0, 0.25, 1233035.0]],
'BTC/USDT': [[0.0, 0.004, 0.0],
[50000.0, 0.005, 50.0],
[250000.0, 0.01, 1300.0],
[1000000.0, 0.025, 16300.0],
[5000000.0, 0.05, 141300.0],
[20000000.0, 0.1, 1141300.0],
[50000000.0, 0.125, 2391300.0],
[100000000.0, 0.15, 4891300.0],
[200000000.0, 0.25, 24891300.0],
[300000000.0, 0.5, 99891300.0]
]
}
(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)