adelorenzo/stable
1
0
Fork 0
Code Issues Pull Requests Packages Projects Releases Wiki Activity

using named tuples for keeping pairs data

Browse Source
This commit is contained in:
misagh
2018-11-04 18:11:58 +01:00
parent d7821acbf0
commit 14bfd4b7ee
2 changed files with 64 additions and 66 deletions
Download Patch File Download Diff File Expand all files Collapse all files

54
freqtrade/tests/edge/test_edge.py
View File

@@ -2,6 +2,7 @@ from freqtrade.tests.conftest import get_patched_exchange
from freqtrade.edge import Edge
from pandas import DataFrame, to_datetime
from freqtrade.strategy.interface import SellType
from collections import namedtuple
import arrow
import numpy as np
import math
@@ -20,17 +21,19 @@ from unittest.mock import MagicMock
ticker_start_time = arrow.get(2018, 10, 3)
ticker_interval_in_minute = 60
_ohlc = {'date': 0, 'buy': 1, 'open': 2, 'high': 3, 'low': 4, 'close': 5, 'sell': 6, 'volume': 7}
_pair_info = namedtuple(
'pair_info', 'stoploss, winrate, risk_reward_ratio, required_risk_reward, expectancy')
def test_filter(mocker, default_conf):
exchange = get_patched_exchange(mocker, default_conf)
edge = Edge(default_conf, exchange)
mocker.patch('freqtrade.edge.Edge._cached_pairs', mocker.PropertyMock(
return_value=[
['E/F', -0.01, 0.66, 3.71, 0.50, 1.71],
['C/D', -0.01, 0.66, 3.71, 0.50, 1.71],
['N/O', -0.01, 0.66, 3.71, 0.50, 1.71]
]
return_value={
'E/F': _pair_info(-0.01, 0.66, 3.71, 0.50, 1.71),
'C/D': _pair_info(-0.01, 0.66, 3.71, 0.50, 1.71),
'N/O': _pair_info(-0.01, 0.66, 3.71, 0.50, 1.71)
}
))
pairs = ['A/B', 'C/D', 'E/F', 'G/H']
@@ -41,11 +44,11 @@ def test_stoploss(mocker, default_conf):
exchange = get_patched_exchange(mocker, default_conf)
edge = Edge(default_conf, exchange)
mocker.patch('freqtrade.edge.Edge._cached_pairs', mocker.PropertyMock(
return_value=[
['E/F', -0.01, 0.66, 3.71, 0.50, 1.71],
['C/D', -0.01, 0.66, 3.71, 0.50, 1.71],
['N/O', -0.01, 0.66, 3.71, 0.50, 1.71]
]
return_value={
'E/F': _pair_info(-0.01, 0.66, 3.71, 0.50, 1.71),
'C/D': _pair_info(-0.01, 0.66, 3.71, 0.50, 1.71),
'N/O': _pair_info(-0.01, 0.66, 3.71, 0.50, 1.71)
}
))
assert edge.stoploss('E/F') == -0.01
@@ -61,7 +64,7 @@ def _validate_ohlc(buy_ohlc_sell_matrice):
def _build_dataframe(buy_ohlc_sell_matrice):
_validate_ohlc(buy_ohlc_sell_matrice)
tickers = []
tickers= []
for ohlc in buy_ohlc_sell_matrice:
ticker = {
'date': ticker_start_time.shift(
@@ -79,9 +82,9 @@ def _build_dataframe(buy_ohlc_sell_matrice):
frame = DataFrame(tickers)
frame['date'] = to_datetime(frame['date'],
unit='ms',
utc=True,
infer_datetime_format=True)
unit = 'ms',
utc = True,
infer_datetime_format = True)
return frame
@@ -92,17 +95,17 @@ def _time_on_candle(number):
def test_edge_heartbeat_calculate(mocker, default_conf):
exchange = get_patched_exchange(mocker, default_conf)
edge = Edge(default_conf, exchange)
heartbeat = default_conf['edge']['process_throttle_secs']
exchange=get_patched_exchange(mocker, default_conf)
edge=Edge(default_conf, exchange)
heartbeat=default_conf['edge']['process_throttle_secs']
# should not recalculate if heartbeat not reached
edge._last_updated = arrow.utcnow().timestamp - heartbeat + 1
edge._last_updated=arrow.utcnow().timestamp - heartbeat + 1
assert edge.calculate() is False
def mocked_load_data(datadir, pairs=[], ticker_interval='0m', refresh_pairs=False,
def mocked_load_data(datadir, pairs = [], ticker_interval = '0m', refresh_pairs = False,
timerange=None, exchange=None):
hz = 0.1
base = 0.001
@@ -202,13 +205,12 @@ def test_process_expectancy(mocker, default_conf):
final = edge._process_expectancy(trades_df)
assert len(final) == 1
assert final[0][0] == 'TEST/BTC'
assert final[0][1] == -0.9
assert round(final[0][2], 10) == 0.3333333333
assert round(final[0][3], 10) == 306.5384615384
assert round(final[0][4], 10) == 2.0
assert round(final[0][5], 10) == 101.5128205128
assert 'TEST/BTC' in final
assert final['TEST/BTC'].stoploss == -0.9
assert round(final['TEST/BTC'].winrate, 10) == 0.3333333333
assert round(final['TEST/BTC'].risk_reward_ratio, 10) == 306.5384615384
assert round(final['TEST/BTC'].required_risk_reward, 10) == 2.0
assert round(final['TEST/BTC'].expectancy, 10) == 101.5128205128
# 1) Open trade should be removed from the end
def test_case_1(mocker, default_conf):