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Merge branch 'develop' into feat/short

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This commit is contained in:
Matthias
2022-02-11 17:02:04 +01:00
parent 7237aa7edb 6a59103869
commit 0c6d92a7a6
63 changed files with 1158 additions and 349 deletions
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56
tests/plugins/test_pairlist.py
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@@ -4,6 +4,7 @@ import logging
import time
from unittest.mock import MagicMock, PropertyMock
import pandas as pd
import pytest
import time_machine
@@ -14,7 +15,7 @@ from freqtrade.persistence import Trade
from freqtrade.plugins.pairlist.pairlist_helpers import expand_pairlist
from freqtrade.plugins.pairlistmanager import PairListManager
from freqtrade.resolvers import PairListResolver
from tests.conftest import (create_mock_trades, get_patched_exchange, get_patched_freqtradebot,
from tests.conftest import (create_mock_trades_usdt, get_patched_exchange, get_patched_freqtradebot,
log_has, log_has_re, num_log_has)
@@ -492,7 +493,7 @@ def test_VolumePairList_whitelist_gen(mocker, whitelist_conf, shitcoinmarkets, t
ohlcv_data = {
('ETH/BTC', '1d', CandleType.SPOT): ohlcv_history,
('TKN/BTC', '1d', CandleType.SPOT): ohlcv_history,
('LTC/BTC', '1d', CandleType.SPOT): ohlcv_history.append(ohlcv_history),
('LTC/BTC', '1d', CandleType.SPOT): pd.concat([ohlcv_history, ohlcv_history]),
('XRP/BTC', '1d', CandleType.SPOT): ohlcv_history,
('HOT/BTC', '1d', CandleType.SPOT): ohlcv_history_high_vola,
}
@@ -714,29 +715,58 @@ def test_ShuffleFilter_init(mocker, whitelist_conf, caplog) -> None:
@pytest.mark.usefixtures("init_persistence")
def test_PerformanceFilter_lookback(mocker, whitelist_conf, fee, caplog) -> None:
whitelist_conf['exchange']['pair_whitelist'].append('XRP/BTC')
whitelist_conf['pairlists'] = [
def test_PerformanceFilter_lookback(mocker, default_conf_usdt, fee, caplog) -> None:
default_conf_usdt['exchange']['pair_whitelist'].extend(['ADA/USDT', 'XRP/USDT', 'ETC/USDT'])
default_conf_usdt['pairlists'] = [
{"method": "StaticPairList"},
{"method": "PerformanceFilter", "minutes": 60, "min_profit": 0.01}
]
mocker.patch('freqtrade.exchange.Exchange.exchange_has', MagicMock(return_value=True))
exchange = get_patched_exchange(mocker, whitelist_conf)
pm = PairListManager(exchange, whitelist_conf)
exchange = get_patched_exchange(mocker, default_conf_usdt)
pm = PairListManager(exchange, default_conf_usdt)
pm.refresh_pairlist()
assert pm.whitelist == ['ETH/BTC', 'TKN/BTC', 'XRP/BTC']
assert pm.whitelist == ['ETH/USDT', 'XRP/USDT', 'NEO/USDT', 'TKN/USDT']
with time_machine.travel("2021-09-01 05:00:00 +00:00") as t:
create_mock_trades(fee, False)
create_mock_trades_usdt(fee)
pm.refresh_pairlist()
assert pm.whitelist == ['XRP/BTC']
assert pm.whitelist == ['XRP/USDT']
assert log_has_re(r'Removing pair .* since .* is below .*', caplog)
# Move to "outside" of lookback window, so original sorting is restored.
t.move_to("2021-09-01 07:00:00 +00:00")
pm.refresh_pairlist()
assert pm.whitelist == ['ETH/BTC', 'TKN/BTC', 'XRP/BTC']
assert pm.whitelist == ['ETH/USDT', 'XRP/USDT', 'NEO/USDT', 'TKN/USDT']
@pytest.mark.usefixtures("init_persistence")
def test_PerformanceFilter_keep_mid_order(mocker, default_conf_usdt, fee, caplog) -> None:
default_conf_usdt['exchange']['pair_whitelist'].extend(['ADA/USDT', 'ETC/USDT'])
default_conf_usdt['pairlists'] = [
{"method": "StaticPairList", "allow_inactive": True},
{"method": "PerformanceFilter", "minutes": 60, }
]
mocker.patch('freqtrade.exchange.Exchange.exchange_has', return_value=True)
exchange = get_patched_exchange(mocker, default_conf_usdt)
pm = PairListManager(exchange, default_conf_usdt)
pm.refresh_pairlist()
assert pm.whitelist == ['ETH/USDT', 'LTC/USDT', 'XRP/USDT',
'NEO/USDT', 'TKN/USDT', 'ADA/USDT', 'ETC/USDT']
with time_machine.travel("2021-09-01 05:00:00 +00:00") as t:
create_mock_trades_usdt(fee)
pm.refresh_pairlist()
assert pm.whitelist == ['XRP/USDT', 'ETC/USDT', 'ETH/USDT',
'NEO/USDT', 'TKN/USDT', 'ADA/USDT', 'LTC/USDT']
# assert log_has_re(r'Removing pair .* since .* is below .*', caplog)
# Move to "outside" of lookback window, so original sorting is restored.
t.move_to("2021-09-01 07:00:00 +00:00")
pm.refresh_pairlist()
assert pm.whitelist == ['ETH/USDT', 'LTC/USDT', 'XRP/USDT',
'NEO/USDT', 'TKN/USDT', 'ADA/USDT', 'ETC/USDT']
def test_gen_pair_whitelist_not_supported(mocker, default_conf, tickers) -> None:
@@ -1167,13 +1197,13 @@ def test_pairlistmanager_no_pairlist(mocker, whitelist_conf):
{'pair': 'TKN/BTC', 'profit_ratio': -0.0501, 'count': 2},
{'pair': 'ETH/BTC', 'profit_ratio': -0.0501, 'count': 100}],
['TKN/BTC', 'ETH/BTC', 'LTC/BTC']),
# Tie in performance and count, broken by alphabetical sort
# Tie in performance and count, broken by prior sorting sort
([{"method": "StaticPairList"}, {"method": "PerformanceFilter"}],
['ETH/BTC', 'TKN/BTC', 'LTC/BTC'],
[{'pair': 'LTC/BTC', 'profit_ratio': -0.0501, 'count': 1},
{'pair': 'TKN/BTC', 'profit_ratio': -0.0501, 'count': 1},
{'pair': 'ETH/BTC', 'profit_ratio': -0.0501, 'count': 1}],
['ETH/BTC', 'LTC/BTC', 'TKN/BTC']),
['ETH/BTC', 'TKN/BTC', 'LTC/BTC']),
])
def test_performance_filter(mocker, whitelist_conf, pairlists, pair_allowlist, overall_performance,
allowlist_result, tickers, markets, ohlcv_history_list):