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Merge branch 'mark-price-candles' of https://github.com/samgermain/freqtrade into mark-price-candles

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This commit is contained in:
Sam Germain
2021-11-27 02:44:14 -06:00
parent 0d30b32fdd 51e54a666c
commit 0183e313ac
19 changed files with 55 additions and 51 deletions
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6
tests/exchange/test_exchange.py
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@@ -1748,13 +1748,13 @@ def test_refresh_latest_ohlcv(mocker, default_conf, caplog) -> None:
assert exchange._api_async.fetch_ohlcv.call_count == 0
assert log_has(f"Using cached candle (OHLCV) data for pair {pairs[0][0]}, "
f"timeframe {pairs[0][1]} ...",
f"timeframe {pairs[0][1]}, candleType ...",
caplog)
res = exchange.refresh_latest_ohlcv(
[('IOTA/ETH', '5m', ''), ('XRP/ETH', '5m', ''), ('XRP/ETH', '1d', '')],
cache=False
)
assert len(res) == 4
assert len(res) == 3
@pytest.mark.asyncio
@@ -3329,7 +3329,7 @@ def test_validate_trading_mode_and_collateral(
("bibox", "margin", {"has": {"fetchCurrencies": False}, "options": {"defaultType": "margin"}}),
("bibox", "futures", {"has": {"fetchCurrencies": False}, "options": {"defaultType": "swap"}}),
("bybit", "futures", {"options": {"defaultType": "linear"}}),
("ftx", "futures", {"options": {"defaultType": "swap"}}),
("ftx", "futures", {"options": {"defaultType": "future"}}),
("gateio", "futures", {"options": {"defaultType": "swap"}}),
("hitbtc", "futures", {"options": {"defaultType": "swap"}}),
("kraken", "futures", {"options": {"defaultType": "swap"}}),

2
tests/rpc/test_rpc_apiserver.py
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@@ -541,6 +541,8 @@ def test_api_show_config(botclient):
assert 'ask_strategy' in response
assert 'unfilledtimeout' in response
assert 'version' in response
assert 'api_version' in response
assert 1.1 <= response['api_version'] <= 1.2
def test_api_daily(botclient, mocker, ticker, fee, markets):

1
tests/rpc/test_rpc_telegram.py
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@@ -1847,6 +1847,7 @@ def test_send_msg_sell_fill_notification(default_conf, mocker) -> None:
'*Sell Reason:* `stop_loss`\n'
'*Duration:* `1 day, 2:30:00 (1590.0 min)`\n'
'*Amount:* `1333.33333333`\n'
'*Open Rate:* `0.00007500`\n'
'*Close Rate:* `0.00003201`'
)

10
tests/strategy/strats/informative_decorator_strategy.py
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@@ -19,7 +19,7 @@ class InformativeDecoratorTest(IStrategy):
startup_candle_count: int = 20
def informative_pairs(self):
return [('BTC/USDT', '5m', '')]
return [('NEO/USDT', '5m', '')]
def populate_buy_trend(self, dataframe: DataFrame, metadata: dict) -> DataFrame:
dataframe['buy'] = 0
@@ -37,8 +37,8 @@ class InformativeDecoratorTest(IStrategy):
return dataframe
# Simple informative test.
@informative('1h', 'BTC/{stake}')
def populate_indicators_btc_1h(self, dataframe: DataFrame, metadata: dict) -> DataFrame:
@informative('1h', 'NEO/{stake}')
def populate_indicators_neo_1h(self, dataframe: DataFrame, metadata: dict) -> DataFrame:
dataframe['rsi'] = 14
return dataframe
@@ -49,7 +49,7 @@ class InformativeDecoratorTest(IStrategy):
return dataframe
# Formatting test.
@informative('30m', 'BTC/{stake}', '{column}_{BASE}_{QUOTE}_{base}_{quote}_{asset}_{timeframe}')
@informative('30m', 'NEO/{stake}', '{column}_{BASE}_{QUOTE}_{base}_{quote}_{asset}_{timeframe}')
def populate_indicators_btc_1h_2(self, dataframe: DataFrame, metadata: dict) -> DataFrame:
dataframe['rsi'] = 14
return dataframe
@@ -67,7 +67,7 @@ class InformativeDecoratorTest(IStrategy):
dataframe['rsi_less'] = dataframe['rsi'] < dataframe['rsi_1h']
# Mixing manual informative pairs with decorators.
informative = self.dp.get_pair_dataframe('BTC/USDT', '5m', '')
informative = self.dp.get_pair_dataframe('NEO/USDT', '5m', '')
informative['rsi'] = 14
dataframe = merge_informative_pair(dataframe, informative, self.timeframe, '5m', ffill=True)

20
tests/strategy/test_strategy_helpers.py
View File

@@ -7,6 +7,7 @@ import pytest
from freqtrade.data.dataprovider import DataProvider
from freqtrade.strategy import (merge_informative_pair, stoploss_from_absolute, stoploss_from_open,
timeframe_to_minutes)
from tests.conftest import get_patched_exchange
def generate_test_data(timeframe: str, size: int, start: str = '2020-07-05'):
@@ -156,9 +157,9 @@ def test_informative_decorator(mocker, default_conf):
('LTC/USDT', '5m', ''): test_data_5m,
('LTC/USDT', '30m', ''): test_data_30m,
('LTC/USDT', '1h', ''): test_data_1h,
('BTC/USDT', '30m', ''): test_data_30m,
('BTC/USDT', '5m', ''): test_data_5m,
('BTC/USDT', '1h', ''): test_data_1h,
('NEO/USDT', '30m', ''): test_data_30m,
('NEO/USDT', '5m', ''): test_data_5m,
('NEO/USDT', '1h', ''): test_data_1h,
('ETH/USDT', '1h', ''): test_data_1h,
('ETH/USDT', '30m', ''): test_data_30m,
('ETH/BTC', '1h', ''): test_data_1h,
@@ -166,15 +167,16 @@ def test_informative_decorator(mocker, default_conf):
from .strats.informative_decorator_strategy import InformativeDecoratorTest
default_conf['stake_currency'] = 'USDT'
strategy = InformativeDecoratorTest(config=default_conf)
strategy.dp = DataProvider({}, None, None)
exchange = get_patched_exchange(mocker, default_conf)
strategy.dp = DataProvider({}, exchange, None)
mocker.patch.object(strategy.dp, 'current_whitelist', return_value=[
'XRP/USDT', 'LTC/USDT', 'BTC/USDT'
'XRP/USDT', 'LTC/USDT', 'NEO/USDT'
])
assert len(strategy._ft_informative) == 6 # Equal to number of decorators used
informative_pairs = [('XRP/USDT', '1h', ''), ('LTC/USDT', '1h', ''), ('XRP/USDT', '30m', ''),
('LTC/USDT', '30m', ''), ('BTC/USDT', '1h', ''), ('BTC/USDT', '30m', ''),
('BTC/USDT', '5m', ''), ('ETH/BTC', '1h', ''), ('ETH/USDT', '30m', '')]
('LTC/USDT', '30m', ''), ('NEO/USDT', '1h', ''), ('NEO/USDT', '30m', ''),
('NEO/USDT', '5m', ''), ('ETH/BTC', '1h', ''), ('ETH/USDT', '30m', '')]
for inf_pair in informative_pairs:
assert inf_pair in strategy.gather_informative_pairs()
@@ -187,8 +189,8 @@ def test_informative_decorator(mocker, default_conf):
{p: data[(p, strategy.timeframe, '')] for p in ('XRP/USDT', 'LTC/USDT')})
expected_columns = [
'rsi_1h', 'rsi_30m', # Stacked informative decorators
'btc_usdt_rsi_1h', # BTC 1h informative
'rsi_BTC_USDT_btc_usdt_BTC/USDT_30m', # Column formatting
'neo_usdt_rsi_1h', # NEO 1h informative
'rsi_NEO_USDT_neo_usdt_NEO/USDT_30m', # Column formatting
'rsi_from_callable', # Custom column formatter
'eth_btc_rsi_1h', # Quote currency not matching stake currency
'rsi', 'rsi_less', # Non-informative columns