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Rename get_order_book to fetch_l2_order_book (aligning to ccxt)

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This commit is contained in:
Matthias
2020-05-26 20:27:35 +02:00
parent d09a347853
commit 16cd1f06b2
6 changed files with 24 additions and 23 deletions
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5
freqtrade/data/dataprovider.py
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@@ -110,12 +110,13 @@ class DataProvider:
def orderbook(self, pair: str, maximum: int) -> Dict[str, List]:
"""
fetch latest orderbook data
Fetch latest l2 orderbook data
Warning: Does a network request - so use with common sense.
:param pair: pair to get the data for
:param maximum: Maximum number of orderbook entries to query
:return: dict including bids/asks with a total of `maximum` entries.
"""
return self._exchange.get_order_book(pair, maximum)
return self._exchange.fetch_l2_order_book(pair, maximum)
@property
def runmode(self) -> RunMode:

4
freqtrade/exchange/binance.py
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@@ -20,7 +20,7 @@ class Binance(Exchange):
"trades_pagination_arg": "fromId",
}
def get_order_book(self, pair: str, limit: int = 100) -> dict:
def fetch_l2_order_book(self, pair: str, limit: int = 100) -> dict:
"""
get order book level 2 from exchange
@@ -30,7 +30,7 @@ class Binance(Exchange):
# get next-higher step in the limit_range list
limit = min(list(filter(lambda x: limit <= x, limit_range)))
return super().get_order_book(pair, limit)
return super().fetch_l2_order_book(pair, limit)
def stoploss_adjust(self, stop_loss: float, order: Dict) -> bool:
"""

2
freqtrade/exchange/exchange.py
View File

@@ -998,7 +998,7 @@ class Exchange:
raise OperationalException(e) from e
@retrier
def get_order_book(self, pair: str, limit: int = 100) -> dict:
def fetch_l2_order_book(self, pair: str, limit: int = 100) -> dict:
"""
get order book level 2 from exchange

6
freqtrade/freqtradebot.py
View File

@@ -260,7 +260,7 @@ class FreqtradeBot:
f"Getting price from order book {bid_strategy['price_side'].capitalize()} side."
)
order_book_top = bid_strategy.get('order_book_top', 1)
order_book = self.exchange.get_order_book(pair, order_book_top)
order_book = self.exchange.fetch_l2_order_book(pair, order_book_top)
logger.debug('order_book %s', order_book)
# top 1 = index 0
try:
@@ -453,7 +453,7 @@ class FreqtradeBot:
"""
conf_bids_to_ask_delta = conf.get('bids_to_ask_delta', 0)
logger.info(f"Checking depth of market for {pair} ...")
order_book = self.exchange.get_order_book(pair, 1000)
order_book = self.exchange.fetch_l2_order_book(pair, 1000)
order_book_data_frame = order_book_to_dataframe(order_book['bids'], order_book['asks'])
order_book_bids = order_book_data_frame['b_size'].sum()
order_book_asks = order_book_data_frame['a_size'].sum()
@@ -642,7 +642,7 @@ class FreqtradeBot:
"""
Helper generator to query orderbook in loop (used for early sell-order placing)
"""
order_book = self.exchange.get_order_book(pair, order_book_max)
order_book = self.exchange.fetch_l2_order_book(pair, order_book_max)
for i in range(order_book_min, order_book_max + 1):
yield order_book[side][i - 1][0]

12
tests/exchange/test_exchange.py
View File

@@ -1413,13 +1413,13 @@ def test_refresh_latest_ohlcv_inv_result(default_conf, mocker, caplog):
@pytest.mark.parametrize("exchange_name", EXCHANGES)
def test_get_order_book(default_conf, mocker, order_book_l2, exchange_name):
def test_fetch_l2_order_book(default_conf, mocker, order_book_l2, exchange_name):
default_conf['exchange']['name'] = exchange_name
api_mock = MagicMock()
api_mock.fetch_l2_order_book = order_book_l2
exchange = get_patched_exchange(mocker, default_conf, api_mock, id=exchange_name)
order_book = exchange.get_order_book(pair='ETH/BTC', limit=10)
order_book = exchange.fetch_l2_order_book(pair='ETH/BTC', limit=10)
assert 'bids' in order_book
assert 'asks' in order_book
assert len(order_book['bids']) == 10
@@ -1427,20 +1427,20 @@ def test_get_order_book(default_conf, mocker, order_book_l2, exchange_name):
@pytest.mark.parametrize("exchange_name", EXCHANGES)
def test_get_order_book_exception(default_conf, mocker, exchange_name):
def test_fetch_l2_order_book_exception(default_conf, mocker, exchange_name):
api_mock = MagicMock()
with pytest.raises(OperationalException):
api_mock.fetch_l2_order_book = MagicMock(side_effect=ccxt.NotSupported("Not supported"))
exchange = get_patched_exchange(mocker, default_conf, api_mock, id=exchange_name)
exchange.get_order_book(pair='ETH/BTC', limit=50)
exchange.fetch_l2_order_book(pair='ETH/BTC', limit=50)
with pytest.raises(TemporaryError):
api_mock.fetch_l2_order_book = MagicMock(side_effect=ccxt.NetworkError("DeadBeef"))
exchange = get_patched_exchange(mocker, default_conf, api_mock, id=exchange_name)
exchange.get_order_book(pair='ETH/BTC', limit=50)
exchange.fetch_l2_order_book(pair='ETH/BTC', limit=50)
with pytest.raises(OperationalException):
api_mock.fetch_l2_order_book = MagicMock(side_effect=ccxt.BaseError("DeadBeef"))
exchange = get_patched_exchange(mocker, default_conf, api_mock, id=exchange_name)
exchange.get_order_book(pair='ETH/BTC', limit=50)
exchange.fetch_l2_order_book(pair='ETH/BTC', limit=50)
def make_fetch_ohlcv_mock(data):

18
tests/test_freqtradebot.py
View File

@@ -3698,7 +3698,7 @@ def test_order_book_depth_of_market(default_conf, ticker, limit_buy_order, fee,
default_conf['bid_strategy']['check_depth_of_market']['bids_to_ask_delta'] = 0.1
patch_RPCManager(mocker)
patch_exchange(mocker)
mocker.patch('freqtrade.exchange.Exchange.get_order_book', order_book_l2)
mocker.patch('freqtrade.exchange.Exchange.fetch_l2_order_book', order_book_l2)
mocker.patch.multiple(
'freqtrade.exchange.Exchange',
fetch_ticker=ticker,
@@ -3735,7 +3735,7 @@ def test_order_book_depth_of_market_high_delta(default_conf, ticker, limit_buy_o
default_conf['bid_strategy']['check_depth_of_market']['bids_to_ask_delta'] = 100
patch_RPCManager(mocker)
patch_exchange(mocker)
mocker.patch('freqtrade.exchange.Exchange.get_order_book', order_book_l2)
mocker.patch('freqtrade.exchange.Exchange.fetch_l2_order_book', order_book_l2)
mocker.patch.multiple(
'freqtrade.exchange.Exchange',
fetch_ticker=ticker,
@@ -3760,7 +3760,7 @@ def test_order_book_bid_strategy1(mocker, default_conf, order_book_l2) -> None:
ticker_mock = MagicMock(return_value={'ask': 0.045, 'last': 0.046})
mocker.patch.multiple(
'freqtrade.exchange.Exchange',
get_order_book=order_book_l2,
fetch_l2_order_book=order_book_l2,
fetch_ticker=ticker_mock,
)
@@ -3780,7 +3780,7 @@ def test_order_book_bid_strategy_exception(mocker, default_conf, caplog) -> None
ticker_mock = MagicMock(return_value={'ask': 0.042, 'last': 0.046})
mocker.patch.multiple(
'freqtrade.exchange.Exchange',
get_order_book=MagicMock(return_value={'bids': [[]], 'asks': [[]]}),
fetch_l2_order_book=MagicMock(return_value={'bids': [[]], 'asks': [[]]}),
fetch_ticker=ticker_mock,
)
@@ -3804,7 +3804,7 @@ def test_check_depth_of_market_buy(default_conf, mocker, order_book_l2) -> None:
patch_exchange(mocker)
mocker.patch.multiple(
'freqtrade.exchange.Exchange',
get_order_book=order_book_l2
fetch_l2_order_book=order_book_l2
)
default_conf['telegram']['enabled'] = False
default_conf['exchange']['name'] = 'binance'
@@ -3822,7 +3822,7 @@ def test_order_book_ask_strategy(default_conf, limit_buy_order, limit_sell_order
"""
test order book ask strategy
"""
mocker.patch('freqtrade.exchange.Exchange.get_order_book', order_book_l2)
mocker.patch('freqtrade.exchange.Exchange.fetch_l2_order_book', order_book_l2)
default_conf['exchange']['name'] = 'binance'
default_conf['ask_strategy']['use_order_book'] = True
default_conf['ask_strategy']['order_book_min'] = 1
@@ -3858,7 +3858,7 @@ def test_order_book_ask_strategy(default_conf, limit_buy_order, limit_sell_order
assert freqtrade.handle_trade(trade) is True
assert trade.close_rate_requested == order_book_l2.return_value['asks'][0][0]
mocker.patch('freqtrade.exchange.Exchange.get_order_book',
mocker.patch('freqtrade.exchange.Exchange.fetch_l2_order_book',
return_value={'bids': [[]], 'asks': [[]]})
with pytest.raises(PricingException):
freqtrade.handle_trade(trade)
@@ -3904,7 +3904,7 @@ def test_get_sell_rate_orderbook(default_conf, mocker, caplog, side, expected, o
default_conf['ask_strategy']['order_book_min'] = 1
default_conf['ask_strategy']['order_book_max'] = 2
pair = "ETH/BTC"
mocker.patch('freqtrade.exchange.Exchange.get_order_book', order_book_l2)
mocker.patch('freqtrade.exchange.Exchange.fetch_l2_order_book', order_book_l2)
ft = get_patched_freqtradebot(mocker, default_conf)
rate = ft.get_sell_rate(pair, True)
assert not log_has("Using cached sell rate for ETH/BTC.", caplog)
@@ -3923,7 +3923,7 @@ def test_get_sell_rate_orderbook_exception(default_conf, mocker, caplog):
default_conf['ask_strategy']['order_book_max'] = 2
pair = "ETH/BTC"
# Test What happens if the exchange returns an empty orderbook.
mocker.patch('freqtrade.exchange.Exchange.get_order_book',
mocker.patch('freqtrade.exchange.Exchange.fetch_l2_order_book',
return_value={'bids': [[]], 'asks': [[]]})
ft = get_patched_freqtradebot(mocker, default_conf)
with pytest.raises(PricingException):