stable/freqtrade/tests/optimize/test_optimize.py

# pragma pylint: disable=missing-docstring, protected-access, C0103

import json
import os
import uuid
from shutil import copyfile

import arrow

from freqtrade import optimize, constants
from freqtrade.arguments import TimeRange
from freqtrade.misc import file_dump_json
from freqtrade.optimize.__init__ import (download_backtesting_testdata,
                                         download_pairs,
                                         load_cached_data_for_updating,
                                         load_tickerdata_file,
                                         make_testdata_path, trim_tickerlist)
from freqtrade.strategy.default_strategy import DefaultStrategy
from freqtrade.tests.conftest import get_patched_exchange, log_has, patch_exchange

# Change this if modifying UNITTEST/BTC testdatafile
_BTC_UNITTEST_LENGTH = 13681


def _backup_file(file: str, copy_file: bool = False) -> None:
    """
    Backup existing file to avoid deleting the user file
    :param file: complete path to the file
    :param touch_file: create an empty file in replacement
    :return: None
    """
    file_swp = file + '.swp'
    if os.path.isfile(file):
        os.rename(file, file_swp)

        if copy_file:
            copyfile(file_swp, file)


def _clean_test_file(file: str) -> None:
    """
    Backup existing file to avoid deleting the user file
    :param file: complete path to the file
    :return: None
    """
    file_swp = file + '.swp'
    # 1. Delete file from the test
    if os.path.isfile(file):
        os.remove(file)

    # 2. Rollback to the initial file
    if os.path.isfile(file_swp):
        os.rename(file_swp, file)


def test_load_data_30min_ticker(ticker_history, mocker, caplog, default_conf) -> None:
    mocker.patch('freqtrade.exchange.Exchange.get_history', return_value=ticker_history)
    file = os.path.join(os.path.dirname(__file__), '..', 'testdata', 'UNITTEST_BTC-30m.json')
    _backup_file(file, copy_file=True)
    ld = optimize.load_data(None, pairs=['UNITTEST/BTC'], ticker_interval='30m')
    assert isinstance(ld, dict)
    assert os.path.isfile(file) is True
    assert not log_has('Download the pair: "UNITTEST/BTC", Interval: 30m', caplog.record_tuples)
    _clean_test_file(file)


def test_load_data_5min_ticker(ticker_history, mocker, caplog, default_conf) -> None:
    mocker.patch('freqtrade.exchange.Exchange.get_history', return_value=ticker_history)

    file = os.path.join(os.path.dirname(__file__), '..', 'testdata', 'UNITTEST_BTC-5m.json')
    _backup_file(file, copy_file=True)
    optimize.load_data(None, pairs=['UNITTEST/BTC'], ticker_interval='5m')
    assert os.path.isfile(file) is True
    assert not log_has('Download the pair: "UNITTEST/BTC", Interval: 5m', caplog.record_tuples)
    _clean_test_file(file)


def test_load_data_1min_ticker(ticker_history, mocker, caplog) -> None:
    mocker.patch('freqtrade.exchange.Exchange.get_history', return_value=ticker_history)
    file = os.path.join(os.path.dirname(__file__), '..', 'testdata', 'UNITTEST_BTC-1m.json')
    _backup_file(file, copy_file=True)
    optimize.load_data(None, ticker_interval='1m', pairs=['UNITTEST/BTC'])
    assert os.path.isfile(file) is True
    assert not log_has('Download the pair: "UNITTEST/BTC", Interval: 1m', caplog.record_tuples)
    _clean_test_file(file)


def test_load_data_with_new_pair_1min(ticker_history, mocker, caplog, default_conf) -> None:
    """
    Test load_data() with 1 min ticker
    """
    mocker.patch('freqtrade.exchange.Exchange.get_history', return_value=ticker_history)
    exchange = get_patched_exchange(mocker, default_conf)
    file = os.path.join(os.path.dirname(__file__), '..', 'testdata', 'MEME_BTC-1m.json')

    _backup_file(file)
    # do not download a new pair if refresh_pairs isn't set
    optimize.load_data(None,
                       ticker_interval='1m',
                       refresh_pairs=False,
                       pairs=['MEME/BTC'])
    assert os.path.isfile(file) is False
    assert log_has('No data for pair: "MEME/BTC", Interval: 1m. '
                   'Use --refresh-pairs-cached to download the data',
                   caplog.record_tuples)

    # download a new pair if refresh_pairs is set
    optimize.load_data(None,
                       ticker_interval='1m',
                       refresh_pairs=True,
                       exchange=exchange,
                       pairs=['MEME/BTC'])
    assert os.path.isfile(file) is True
    assert log_has('Download the pair: "MEME/BTC", Interval: 1m', caplog.record_tuples)
    _clean_test_file(file)


def test_testdata_path() -> None:
    assert os.path.join('freqtrade', 'tests', 'testdata') in make_testdata_path(None)


def test_download_pairs(ticker_history, mocker, default_conf) -> None:
    mocker.patch('freqtrade.exchange.Exchange.get_history', return_value=ticker_history)
    exchange = get_patched_exchange(mocker, default_conf)
    file1_1 = os.path.join(os.path.dirname(__file__), '..', 'testdata', 'MEME_BTC-1m.json')
    file1_5 = os.path.join(os.path.dirname(__file__), '..', 'testdata', 'MEME_BTC-5m.json')
    file2_1 = os.path.join(os.path.dirname(__file__), '..', 'testdata', 'CFI_BTC-1m.json')
    file2_5 = os.path.join(os.path.dirname(__file__), '..', 'testdata', 'CFI_BTC-5m.json')

    _backup_file(file1_1)
    _backup_file(file1_5)
    _backup_file(file2_1)
    _backup_file(file2_5)

    assert os.path.isfile(file1_1) is False
    assert os.path.isfile(file2_1) is False

    assert download_pairs(None, exchange,
                          pairs=['MEME/BTC', 'CFI/BTC'], ticker_interval='1m') is True

    assert os.path.isfile(file1_1) is True
    assert os.path.isfile(file2_1) is True

    # clean files freshly downloaded
    _clean_test_file(file1_1)
    _clean_test_file(file2_1)

    assert os.path.isfile(file1_5) is False
    assert os.path.isfile(file2_5) is False

    assert download_pairs(None, exchange,
                          pairs=['MEME/BTC', 'CFI/BTC'], ticker_interval='5m') is True

    assert os.path.isfile(file1_5) is True
    assert os.path.isfile(file2_5) is True

    # clean files freshly downloaded
    _clean_test_file(file1_5)
    _clean_test_file(file2_5)


def test_load_cached_data_for_updating(mocker) -> None:
    datadir = os.path.join(os.path.dirname(__file__), '..', 'testdata')

    test_data = None
    test_filename = os.path.join(datadir, 'UNITTEST_BTC-1m.json')
    with open(test_filename, "rt") as file:
        test_data = json.load(file)

    # change now time to test 'line' cases
    # now = last cached item + 1 hour
    now_ts = test_data[-1][0] / 1000 + 60 * 60
    mocker.patch('arrow.utcnow', return_value=arrow.get(now_ts))

    # timeframe starts earlier than the cached data
    # should fully update data
    timerange = TimeRange('date', None, test_data[0][0] / 1000 - 1, 0)
    data, start_ts = load_cached_data_for_updating(test_filename,
                                                   '1m',
                                                   timerange)
    assert data == []
    assert start_ts == test_data[0][0] - 1000

    # same with 'line' timeframe
    num_lines = (test_data[-1][0] - test_data[1][0]) / 1000 / 60 + 120
    data, start_ts = load_cached_data_for_updating(test_filename,
                                                   '1m',
                                                   TimeRange(None, 'line', 0, -num_lines))
    assert data == []
    assert start_ts < test_data[0][0] - 1

    # timeframe starts in the center of the cached data
    # should return the chached data w/o the last item
    timerange = TimeRange('date', None, test_data[0][0] / 1000 + 1, 0)
    data, start_ts = load_cached_data_for_updating(test_filename,
                                                   '1m',
                                                   timerange)
    assert data == test_data[:-1]
    assert test_data[-2][0] < start_ts < test_data[-1][0]

    # same with 'line' timeframe
    num_lines = (test_data[-1][0] - test_data[1][0]) / 1000 / 60 + 30
    timerange = TimeRange(None, 'line', 0, -num_lines)
    data, start_ts = load_cached_data_for_updating(test_filename,
                                                   '1m',
                                                   timerange)
    assert data == test_data[:-1]
    assert test_data[-2][0] < start_ts < test_data[-1][0]

    # timeframe starts after the chached data
    # should return the chached data w/o the last item
    timerange = TimeRange('date', None, test_data[-1][0] / 1000 + 1, 0)
    data, start_ts = load_cached_data_for_updating(test_filename,
                                                   '1m',
                                                   timerange)
    assert data == test_data[:-1]
    assert test_data[-2][0] < start_ts < test_data[-1][0]

    # same with 'line' timeframe
    num_lines = 30
    timerange = TimeRange(None, 'line', 0, -num_lines)
    data, start_ts = load_cached_data_for_updating(test_filename,
                                                   '1m',
                                                   timerange)
    assert data == test_data[:-1]
    assert test_data[-2][0] < start_ts < test_data[-1][0]

    # no timeframe is set
    # should return the chached data w/o the last item
    num_lines = 30
    timerange = TimeRange(None, 'line', 0, -num_lines)
    data, start_ts = load_cached_data_for_updating(test_filename,
                                                   '1m',
                                                   timerange)
    assert data == test_data[:-1]
    assert test_data[-2][0] < start_ts < test_data[-1][0]

    # no datafile exist
    # should return timestamp start time
    timerange = TimeRange('date', None, now_ts - 10000, 0)
    data, start_ts = load_cached_data_for_updating(test_filename + 'unexist',
                                                   '1m',
                                                   timerange)
    assert data == []
    assert start_ts == (now_ts - 10000) * 1000

    # same with 'line' timeframe
    num_lines = 30
    timerange = TimeRange(None, 'line', 0, -num_lines)
    data, start_ts = load_cached_data_for_updating(test_filename + 'unexist',
                                                   '1m',
                                                   timerange)
    assert data == []
    assert start_ts == (now_ts - num_lines * 60) * 1000

    # no datafile exist, no timeframe is set
    # should return an empty array and None
    data, start_ts = load_cached_data_for_updating(test_filename + 'unexist',
                                                   '1m',
                                                   None)
    assert data == []
    assert start_ts is None


def test_download_pairs_exception(ticker_history, mocker, caplog, default_conf) -> None:
    mocker.patch('freqtrade.exchange.Exchange.get_history', return_value=ticker_history)
    mocker.patch('freqtrade.optimize.__init__.download_backtesting_testdata',
                 side_effect=BaseException('File Error'))
    exchange = get_patched_exchange(mocker, default_conf)

    file1_1 = os.path.join(os.path.dirname(__file__), '..', 'testdata', 'MEME_BTC-1m.json')
    file1_5 = os.path.join(os.path.dirname(__file__), '..', 'testdata', 'MEME_BTC-5m.json')
    _backup_file(file1_1)
    _backup_file(file1_5)

    download_pairs(None, exchange, pairs=['MEME/BTC'], ticker_interval='1m')
    # clean files freshly downloaded
    _clean_test_file(file1_1)
    _clean_test_file(file1_5)
    assert log_has('Failed to download the pair: "MEME/BTC", Interval: 1m', caplog.record_tuples)


def test_download_backtesting_testdata(ticker_history, mocker, default_conf) -> None:
    mocker.patch('freqtrade.exchange.Exchange.get_history', return_value=ticker_history)
    exchange = get_patched_exchange(mocker, default_conf)
    # Tst that pairs-cached is not touched.
    assert not exchange._pairs_last_refresh_time
    # Download a 1 min ticker file
    file1 = os.path.join(os.path.dirname(__file__), '..', 'testdata', 'XEL_BTC-1m.json')
    _backup_file(file1)
    download_backtesting_testdata(None, exchange, pair="XEL/BTC", tick_interval='1m')
    assert os.path.isfile(file1) is True
    _clean_test_file(file1)
    assert not exchange._pairs_last_refresh_time

    # Download a 5 min ticker file
    file2 = os.path.join(os.path.dirname(__file__), '..', 'testdata', 'STORJ_BTC-5m.json')
    _backup_file(file2)

    download_backtesting_testdata(None, exchange, pair="STORJ/BTC", tick_interval='5m')
    assert os.path.isfile(file2) is True
    _clean_test_file(file2)
    assert not exchange._pairs_last_refresh_time


def test_download_backtesting_testdata2(mocker, default_conf) -> None:
    tick = [
        [1509836520000, 0.00162008, 0.00162008, 0.00162008, 0.00162008, 108.14853839],
        [1509836580000, 0.00161, 0.00161, 0.00161, 0.00161, 82.390199]
    ]
    json_dump_mock = mocker.patch('freqtrade.misc.file_dump_json', return_value=None)
    mocker.patch('freqtrade.exchange.Exchange.get_history', return_value=tick)
    exchange = get_patched_exchange(mocker, default_conf)
    download_backtesting_testdata(None, exchange, pair="UNITTEST/BTC", tick_interval='1m')
    download_backtesting_testdata(None, exchange, pair="UNITTEST/BTC", tick_interval='3m')
    assert json_dump_mock.call_count == 2


def test_load_tickerdata_file() -> None:
    # 7 does not exist in either format.
    assert not load_tickerdata_file(None, 'UNITTEST/BTC', '7m')
    # 1 exists only as a .json
    tickerdata = load_tickerdata_file(None, 'UNITTEST/BTC', '1m')
    assert _BTC_UNITTEST_LENGTH == len(tickerdata)
    # 8 .json is empty and will fail if it's loaded. .json.gz is a copy of 1.json
    tickerdata = load_tickerdata_file(None, 'UNITTEST/BTC', '8m')
    assert _BTC_UNITTEST_LENGTH == len(tickerdata)


def test_load_partial_missing(caplog) -> None:
    # Make sure we start fresh - test missing data at start
    start = arrow.get('2018-01-01T00:00:00')
    end = arrow.get('2018-01-11T00:00:00')
    tickerdata = optimize.load_data(None, '5m', ['UNITTEST/BTC'],
                                    refresh_pairs=False,
                                    timerange=TimeRange('date', 'date',
                                                        start.timestamp, end.timestamp))
    # timedifference in 5 minutes
    td = ((end - start).total_seconds() // 60 // 5) + 1
    assert td != len(tickerdata['UNITTEST/BTC'])
    start_real = arrow.get(tickerdata['UNITTEST/BTC'][0][0] / 1000)
    assert log_has(f'Missing data at start for pair '
                   f'UNITTEST/BTC, data starts at {start_real.strftime("%Y-%m-%d %H:%M:%S")}',
                   caplog.record_tuples)
    # Make sure we start fresh - test missing data at end
    caplog.clear()
    start = arrow.get('2018-01-10T00:00:00')
    end = arrow.get('2018-02-20T00:00:00')
    tickerdata = optimize.load_data(None, '5m', ['UNITTEST/BTC'],
                                    refresh_pairs=False,
                                    timerange=TimeRange('date', 'date',
                                                        start.timestamp, end.timestamp))
    # timedifference in 5 minutes
    td = ((end - start).total_seconds() // 60 // 5) + 1
    assert td != len(tickerdata['UNITTEST/BTC'])
    end_real = arrow.get(tickerdata['UNITTEST/BTC'][-1][0] / 1000)
    assert log_has(f'Missing data at end for pair '
                   f'UNITTEST/BTC, data ends at {end_real.strftime("%Y-%m-%d %H:%M:%S")}',
                   caplog.record_tuples)


def test_init(default_conf, mocker) -> None:
    exchange = get_patched_exchange(mocker, default_conf)
    assert {} == optimize.load_data(
        '',
        exchange=exchange,
        pairs=[],
        refresh_pairs=True,
        ticker_interval=default_conf['ticker_interval']
    )


def test_trim_tickerlist() -> None:
    file = os.path.join(os.path.dirname(__file__), '..', 'testdata', 'UNITTEST_BTC-1m.json')
    with open(file) as data_file:
        ticker_list = json.load(data_file)
    ticker_list_len = len(ticker_list)

    # Test the pattern ^(-\d+)$
    # This pattern uses the latest N elements
    timerange = TimeRange(None, 'line', 0, -5)
    ticker = trim_tickerlist(ticker_list, timerange)
    ticker_len = len(ticker)

    assert ticker_len == 5
    assert ticker_list[0] is not ticker[0]  # The first element should be different
    assert ticker_list[-1] is ticker[-1]  # The last element must be the same

    # Test the pattern ^(\d+)-$
    # This pattern keep X element from the end
    timerange = TimeRange('line', None, 5, 0)
    ticker = trim_tickerlist(ticker_list, timerange)
    ticker_len = len(ticker)

    assert ticker_len == 5
    assert ticker_list[0] is ticker[0]  # The first element must be the same
    assert ticker_list[-1] is not ticker[-1]  # The last element should be different

    # Test the pattern ^(\d+)-(\d+)$
    # This pattern extract a window
    timerange = TimeRange('index', 'index', 5, 10)
    ticker = trim_tickerlist(ticker_list, timerange)
    ticker_len = len(ticker)

    assert ticker_len == 5
    assert ticker_list[0] is not ticker[0]  # The first element should be different
    assert ticker_list[5] is ticker[0]  # The list starts at the index 5
    assert ticker_list[9] is ticker[-1]  # The list ends at the index 9 (5 elements)

    # Test the pattern ^(\d{8})-(\d{8})$
    # This pattern extract a window between the dates
    timerange = TimeRange('date', 'date', ticker_list[5][0] / 1000, ticker_list[10][0] / 1000 - 1)
    ticker = trim_tickerlist(ticker_list, timerange)
    ticker_len = len(ticker)

    assert ticker_len == 5
    assert ticker_list[0] is not ticker[0]  # The first element should be different
    assert ticker_list[5] is ticker[0]  # The list starts at the index 5
    assert ticker_list[9] is ticker[-1]  # The list ends at the index 9 (5 elements)

    # Test the pattern ^-(\d{8})$
    # This pattern extracts elements from the start to the date
    timerange = TimeRange(None, 'date', 0, ticker_list[10][0] / 1000 - 1)
    ticker = trim_tickerlist(ticker_list, timerange)
    ticker_len = len(ticker)

    assert ticker_len == 10
    assert ticker_list[0] is ticker[0]  # The start of the list is included
    assert ticker_list[9] is ticker[-1]  # The element 10 is not included

    # Test the pattern ^(\d{8})-$
    # This pattern extracts elements from the date to now
    timerange = TimeRange('date', None, ticker_list[10][0] / 1000 - 1, None)
    ticker = trim_tickerlist(ticker_list, timerange)
    ticker_len = len(ticker)

    assert ticker_len == ticker_list_len - 10
    assert ticker_list[10] is ticker[0]  # The first element is element #10
    assert ticker_list[-1] is ticker[-1]  # The last element is the same

    # Test a wrong pattern
    # This pattern must return the list unchanged
    timerange = TimeRange(None, None, None, 5)
    ticker = trim_tickerlist(ticker_list, timerange)
    ticker_len = len(ticker)

    assert ticker_list_len == ticker_len


def test_file_dump_json() -> None:
    file = os.path.join(os.path.dirname(__file__), '..', 'testdata',
                        'test_{id}.json'.format(id=str(uuid.uuid4())))
    data = {'bar': 'foo'}

    # check the file we will create does not exist
    assert os.path.isfile(file) is False

    # Create the Json file
    file_dump_json(file, data)

    # Check the file was create
    assert os.path.isfile(file) is True

    # Open the Json file created and test the data is in it
    with open(file) as data_file:
        json_from_file = json.load(data_file)

    assert 'bar' in json_from_file
    assert json_from_file['bar'] == 'foo'

    # Remove the file
    _clean_test_file(file)


def test_get_timeframe(default_conf, mocker) -> None:
    patch_exchange(mocker)
    strategy = DefaultStrategy(default_conf)

    data = strategy.tickerdata_to_dataframe(
        optimize.load_data(
            None,
            ticker_interval='1m',
            pairs=['UNITTEST/BTC']
        )
    )
    min_date, max_date = optimize.get_timeframe(data)
    assert min_date.isoformat() == '2017-11-04T23:02:00+00:00'
    assert max_date.isoformat() == '2017-11-14T22:58:00+00:00'


def test_validate_backtest_data_warn(default_conf, mocker, caplog) -> None:
    patch_exchange(mocker)
    strategy = DefaultStrategy(default_conf)

    data = strategy.tickerdata_to_dataframe(
        optimize.load_data(
            None,
            ticker_interval='1m',
            pairs=['UNITTEST/BTC']
        )
    )
    min_date, max_date = optimize.get_timeframe(data)
    caplog.clear()
    assert optimize.validate_backtest_data(data, min_date, max_date,
                                           constants.TICKER_INTERVAL_MINUTES["1m"])
    assert len(caplog.record_tuples) == 1
    assert log_has(
        "UNITTEST/BTC has missing frames: expected 14396, got 13680, that's 716 missing values",
        caplog.record_tuples)


def test_validate_backtest_data(default_conf, mocker, caplog) -> None:
    patch_exchange(mocker)
    strategy = DefaultStrategy(default_conf)

    timerange = TimeRange('index', 'index', 200, 250)
    data = strategy.tickerdata_to_dataframe(
        optimize.load_data(
            None,
            ticker_interval='5m',
            pairs=['UNITTEST/BTC'],
            timerange=timerange
        )
    )

    min_date, max_date = optimize.get_timeframe(data)
    caplog.clear()
    assert not optimize.validate_backtest_data(data, min_date, max_date,
                                               constants.TICKER_INTERVAL_MINUTES["5m"])
    assert len(caplog.record_tuples) == 0