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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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45
tests/test_freqtradebot.py
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@@ -712,14 +712,14 @@ def test_process_informative_pairs_added(default_conf_usdt, ticker_usdt, mocker)
(True, 'spot', 'binance', None, None),
(False, 'spot', 'gateio', None, None),
(True, 'spot', 'gateio', None, None),
(False, 'spot', 'okex', None, None),
(True, 'spot', 'okex', None, None),
(False, 'spot', 'okx', None, None),
(True, 'spot', 'okx', None, None),
(True, 'futures', 'binance', 'isolated', 11.89108910891089),
(False, 'futures', 'binance', 'isolated', 8.070707070707071),
(True, 'futures', 'gateio', 'isolated', 11.87413417771621),
(False, 'futures', 'gateio', 'isolated', 8.085708510208207),
# (True, 'futures', 'okex', 'isolated', 11.87413417771621),
# (False, 'futures', 'okex', 'isolated', 8.085708510208207),
# (True, 'futures', 'okx', 'isolated', 11.87413417771621),
# (False, 'futures', 'okx', 'isolated', 8.085708510208207),
])
def test_execute_entry(mocker, default_conf_usdt, fee, limit_order,
limit_order_open, is_short, trading_mode,
@@ -735,11 +735,11 @@ def test_execute_entry(mocker, default_conf_usdt, fee, limit_order,
((wb + cum_b) - (side_1 * position * ep1)) / ((position * mmr_b) - (side_1 * position))
((2 + 0.01) - (1 * 1 * 10)) / ((1 * 0.01) - (1 * 1)) = 8.070707070707071
exchange_name = gateio/okex, is_short = true
exchange_name = gateio/okx, is_short = true
(open_rate + (wallet_balance / position)) / (1 + (mm_ratio + taker_fee_rate))
(10 + (2 / 1)) / (1 + (0.01 + 0.0006)) = 11.87413417771621
exchange_name = gateio/okex, is_short = false
exchange_name = gateio/okx, is_short = false
(open_rate - (wallet_balance / position)) / (1 - (mm_ratio + taker_fee_rate))
(10 - (2 / 1)) / (1 - (0.01 + 0.0006)) = 8.085708510208207
"""
@@ -791,7 +791,7 @@ def test_execute_entry(mocker, default_conf_usdt, fee, limit_order,
call_args = enter_mm.call_args_list[0][1]
assert call_args['pair'] == pair
assert call_args['rate'] == bid
assert pytest.approx(call_args['amount'], round(stake_amount / bid * leverage, 8))
assert pytest.approx(call_args['amount']) == round(stake_amount / bid * leverage, 8)
enter_rate_mock.reset_mock()
# Should create an open trade with an open order id
@@ -813,7 +813,7 @@ def test_execute_entry(mocker, default_conf_usdt, fee, limit_order,
call_args = enter_mm.call_args_list[1][1]
assert call_args['pair'] == pair
assert call_args['rate'] == fix_price
assert pytest.approx(call_args['amount'], round(stake_amount / fix_price * leverage, 8))
assert pytest.approx(call_args['amount']) == round(stake_amount / fix_price * leverage, 8)
# In case of closed order
order['status'] = 'closed'
@@ -2268,6 +2268,7 @@ def test_check_handle_timedout_buy_usercustom(
)
freqtrade = FreqtradeBot(default_conf_usdt)
open_trade.is_short = is_short
open_trade.orders[0].side = 'sell' if is_short else 'buy'
Trade.query.session.add(open_trade)
# Ensure default is to return empty (so not mocked yet)
@@ -2323,6 +2324,7 @@ def test_check_handle_timedout_buy(
) -> None:
old_order = limit_sell_order_old if is_short else limit_buy_order_old
rpc_mock = patch_RPCManager(mocker)
old_order['id'] = open_trade.open_order_id
limit_buy_cancel = deepcopy(old_order)
limit_buy_cancel['status'] = 'canceled'
cancel_order_mock = MagicMock(return_value=limit_buy_cancel)
@@ -2425,6 +2427,8 @@ def test_check_handle_timedout_sell_usercustom(
is_short, open_trade_usdt, caplog
) -> None:
default_conf_usdt["unfilledtimeout"] = {"buy": 1440, "sell": 1440, "exit_timeout_count": 1}
limit_sell_order_old['id'] = open_trade_usdt.open_order_id
rpc_mock = patch_RPCManager(mocker)
cancel_order_mock = MagicMock()
patch_exchange(mocker)
@@ -2473,7 +2477,7 @@ def test_check_handle_timedout_sell_usercustom(
# 2nd canceled trade - Fail execute sell
caplog.clear()
open_trade_usdt.open_order_id = 'order_id_2'
open_trade_usdt.open_order_id = limit_sell_order_old['id']
mocker.patch('freqtrade.persistence.Trade.get_exit_order_count', return_value=1)
mocker.patch('freqtrade.freqtradebot.FreqtradeBot.execute_trade_exit',
side_effect=DependencyException)
@@ -2484,7 +2488,7 @@ def test_check_handle_timedout_sell_usercustom(
caplog.clear()
# 2nd canceled trade ...
open_trade_usdt.open_order_id = 'order_id_2'
open_trade_usdt.open_order_id = limit_sell_order_old['id']
freqtrade.check_handle_timedout()
assert log_has_re('Emergencyselling trade.*', caplog)
assert et_mock.call_count == 1
@@ -2497,6 +2501,7 @@ def test_check_handle_timedout_sell(
) -> None:
rpc_mock = patch_RPCManager(mocker)
cancel_order_mock = MagicMock()
limit_sell_order_old['id'] = open_trade_usdt.open_order_id
patch_exchange(mocker)
mocker.patch.multiple(
'freqtrade.exchange.Exchange',
@@ -2561,6 +2566,7 @@ def test_check_handle_timedout_partial(
open_trade, mocker
) -> None:
rpc_mock = patch_RPCManager(mocker)
limit_buy_order_old_partial['id'] = open_trade.open_order_id
limit_buy_canceled = deepcopy(limit_buy_order_old_partial)
limit_buy_canceled['status'] = 'canceled'
@@ -2594,6 +2600,7 @@ def test_check_handle_timedout_partial_fee(
limit_buy_order_old_partial_canceled, mocker
) -> None:
rpc_mock = patch_RPCManager(mocker)
limit_buy_order_old_partial['id'] = open_trade.open_order_id
cancel_order_mock = MagicMock(return_value=limit_buy_order_old_partial_canceled)
mocker.patch('freqtrade.wallets.Wallets.get_free', MagicMock(return_value=0))
patch_exchange(mocker)
@@ -2636,6 +2643,8 @@ def test_check_handle_timedout_partial_except(
limit_buy_order_old_partial_canceled, mocker
) -> None:
rpc_mock = patch_RPCManager(mocker)
limit_buy_order_old_partial_canceled['id'] = open_trade.open_order_id
limit_buy_order_old_partial['id'] = open_trade.open_order_id
cancel_order_mock = MagicMock(return_value=limit_buy_order_old_partial_canceled)
patch_exchange(mocker)
mocker.patch.multiple(
@@ -4805,8 +4814,8 @@ def test_get_valid_price(mocker, default_conf_usdt) -> None:
(True, 'spot', 'binance', '', 5.0, 10.0, 1.0, None),
(False, 'spot', 'gateio', '', 5.0, 10.0, 1.0, None),
(True, 'spot', 'gateio', '', 5.0, 10.0, 1.0, None),
(False, 'spot', 'okex', '', 5.0, 10.0, 1.0, None),
(True, 'spot', 'okex', '', 5.0, 10.0, 1.0, None),
(False, 'spot', 'okx', '', 5.0, 10.0, 1.0, None),
(True, 'spot', 'okx', '', 5.0, 10.0, 1.0, None),
# Binance, short
(True, 'futures', 'binance', 'isolated', 5.0, 10.0, 1.0, 11.89108910891089),
(True, 'futures', 'binance', 'isolated', 3.0, 10.0, 1.0, 13.211221122079207),
@@ -4817,16 +4826,16 @@ def test_get_valid_price(mocker, default_conf_usdt) -> None:
(False, 'futures', 'binance', 'isolated', 5, 8, 1.0, 6.454545454545454),
(False, 'futures', 'binance', 'isolated', 3, 10, 1.0, 6.717171717171718),
(False, 'futures', 'binance', 'isolated', 5, 10, 0.6, 7.39057239057239),
# Gateio/okex, short
# Gateio/okx, short
(True, 'futures', 'gateio', 'isolated', 5, 10, 1.0, 11.87413417771621),
(True, 'futures', 'gateio', 'isolated', 5, 10, 2.0, 11.87413417771621),
(True, 'futures', 'gateio', 'isolated', 3, 10, 1.0, 13.476180850346978),
(True, 'futures', 'gateio', 'isolated', 5, 8, 1.0, 9.499307342172967),
# Gateio/okex, long
# Gateio/okx, long
(False, 'futures', 'gateio', 'isolated', 5.0, 10.0, 1.0, 8.085708510208207),
(False, 'futures', 'gateio', 'isolated', 3.0, 10.0, 1.0, 6.738090425173506),
# (True, 'futures', 'okex', 'isolated', 11.87413417771621),
# (False, 'futures', 'okex', 'isolated', 8.085708510208207),
# (True, 'futures', 'okx', 'isolated', 11.87413417771621),
# (False, 'futures', 'okx', 'isolated', 8.085708510208207),
]
)
def test_leverage_prep(
@@ -4871,7 +4880,7 @@ def test_leverage_prep(
leverage = 5, open_rate = 10, amount = 0.6
((1.6 + 0.01) - (1 * 0.6 * 10)) / ((0.6 * 0.01) - (1 * 0.6)) = 7.39057239057239
Gateio/Okex, Short
Gateio/Okx, Short
leverage = 5, open_rate = 10, amount = 1.0
(open_rate + (wallet_balance / position)) / (1 + (mm_ratio + taker_fee_rate))
(10 + (2 / 1.0)) / (1 + (0.01 + 0.0006)) = 11.87413417771621
@@ -4882,7 +4891,7 @@ def test_leverage_prep(
leverage = 5, open_rate = 8, amount = 1.0
(8 + (1.6 / 1.0)) / (1 + (0.01 + 0.0006)) = 9.499307342172967
Gateio/Okex, Long
Gateio/Okx, Long
leverage = 5, open_rate = 10, amount = 1.0
(open_rate - (wallet_balance / position)) / (1 - (mm_ratio + taker_fee_rate))
(10 - (2 / 1)) / (1 - (0.01 + 0.0006)) = 8.085708510208207