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Merge branch 'develop' into backtest_live_models

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This commit is contained in:
Wagner Costa Santos
2022-11-03 13:29:25 -03:00
parent 356d79b38a 0aff8c4823
commit 17798b3397
68 changed files with 1232 additions and 606 deletions
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81
tests/data/test_datahandler.py
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@@ -15,7 +15,7 @@ from freqtrade.data.history.idatahandler import IDataHandler, get_datahandler, g
from freqtrade.data.history.jsondatahandler import JsonDataHandler, JsonGzDataHandler
from freqtrade.data.history.parquetdatahandler import ParquetDataHandler
from freqtrade.enums import CandleType, TradingMode
from tests.conftest import log_has
from tests.conftest import log_has, log_has_re
def test_datahandler_ohlcv_get_pairs(testdatadir):
@@ -154,6 +154,85 @@ def test_jsondatahandler_ohlcv_load(testdatadir, caplog):
assert df.columns.equals(df1.columns)
def test_datahandler__check_empty_df(testdatadir, caplog):
dh = JsonDataHandler(testdatadir)
expected_text = r"Price jump in UNITTEST/USDT, 1h, spot between"
df = DataFrame([
[
1511686200000, # 8:50:00
8.794, # open
8.948, # high
8.794, # low
8.88, # close
2255, # volume (in quote currency)
],
[
1511686500000, # 8:55:00
8.88,
8.942,
8.88,
8.893,
9911,
],
[
1511687100000, # 9:05:00
8.891,
8.893,
8.875,
8.877,
2251
],
[
1511687400000, # 9:10:00
8.877,
8.883,
8.895,
8.817,
123551
]
], columns=['date', 'open', 'high', 'low', 'close', 'volume'])
dh._check_empty_df(df, 'UNITTEST/USDT', '1h', CandleType.SPOT, True, True)
assert not log_has_re(expected_text, caplog)
df = DataFrame([
[
1511686200000, # 8:50:00
8.794, # open
8.948, # high
8.794, # low
8.88, # close
2255, # volume (in quote currency)
],
[
1511686500000, # 8:55:00
8.88,
8.942,
8.88,
8.893,
9911,
],
[
1511687100000, # 9:05:00
889.1, # Price jump by several decimals
889.3,
887.5,
887.7,
2251
],
[
1511687400000, # 9:10:00
8.877,
8.883,
8.895,
8.817,
123551
]
], columns=['date', 'open', 'high', 'low', 'close', 'volume'])
dh._check_empty_df(df, 'UNITTEST/USDT', '1h', CandleType.SPOT, True, True)
assert log_has_re(expected_text, caplog)
@pytest.mark.parametrize('datahandler', ['feather', 'parquet'])
def test_datahandler_trades_not_supported(datahandler, testdatadir, ):
dh = get_datahandler(testdatadir, datahandler)

3
tests/exchange/test_binance.py
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@@ -162,9 +162,6 @@ def test_stoploss_adjust_binance(mocker, default_conf, sl1, sl2, sl3, side):
}
assert exchange.stoploss_adjust(sl1, order, side=side)
assert not exchange.stoploss_adjust(sl2, order, side=side)
# Test with invalid order case
order['type'] = 'stop_loss'
assert not exchange.stoploss_adjust(sl3, order, side=side)
def test_fill_leverage_tiers_binance(default_conf, mocker):

3
tests/exchange/test_huobi.py
View File

@@ -113,5 +113,4 @@ def test_stoploss_adjust_huobi(mocker, default_conf):
assert exchange.stoploss_adjust(1501, order, 'sell')
assert not exchange.stoploss_adjust(1499, order, 'sell')
# Test with invalid order case
order['type'] = 'stop_loss'
assert not exchange.stoploss_adjust(1501, order, 'sell')
assert exchange.stoploss_adjust(1501, order, 'sell')

3
tests/freqai/test_freqai_datakitchen.py
View File

@@ -130,7 +130,8 @@ def test_normalize_data(mocker, freqai_conf):
freqai = make_data_dictionary(mocker, freqai_conf)
data_dict = freqai.dk.data_dictionary
freqai.dk.normalize_data(data_dict)
assert len(freqai.dk.data) == 32
assert any('_max' in entry for entry in freqai.dk.data.keys())
assert any('_min' in entry for entry in freqai.dk.data.keys())
def test_filter_features(mocker, freqai_conf):

15
tests/freqai/test_freqai_interface.py
View File

@@ -27,13 +27,13 @@ def is_mac() -> bool:
return "Darwin" in machine
@pytest.mark.parametrize('model', [
'LightGBMRegressor',
'XGBoostRegressor',
'XGBoostRFRegressor',
'CatboostRegressor',
@pytest.mark.parametrize('model, pca, dbscan', [
('LightGBMRegressor', True, False),
('XGBoostRegressor', False, True),
('XGBoostRFRegressor', False, False),
('CatboostRegressor', False, False),
])
def test_extract_data_and_train_model_Standard(mocker, freqai_conf, model):
def test_extract_data_and_train_model_Standard(mocker, freqai_conf, model, pca, dbscan):
if is_arm() and model == 'CatboostRegressor':
pytest.skip("CatBoost is not supported on ARM")
@@ -41,6 +41,8 @@ def test_extract_data_and_train_model_Standard(mocker, freqai_conf, model):
freqai_conf.update({"freqaimodel": model})
freqai_conf.update({"timerange": "20180110-20180130"})
freqai_conf.update({"strategy": "freqai_test_strat"})
freqai_conf['freqai']['feature_parameters'].update({"principal_component_analysis": pca})
freqai_conf['freqai']['feature_parameters'].update({"use_DBSCAN_to_remove_outliers": dbscan})
strategy = get_patched_freqai_strategy(mocker, freqai_conf)
exchange = get_patched_exchange(mocker, freqai_conf)
@@ -234,6 +236,7 @@ def test_start_backtesting_subdaily_backtest_period(mocker, freqai_conf):
metadata = {"pair": "LTC/BTC"}
freqai.start_backtesting(df, metadata, freqai.dk)
model_folders = [x for x in freqai.dd.full_path.iterdir() if x.is_dir()]
assert len(model_folders) == 9
shutil.rmtree(Path(freqai.dk.full_path))

0
tests/persistence/__init__.py Normal file
View File

2
tests/test_persistence.py → tests/persistence/test_persistence.py
View File

@@ -2404,7 +2404,7 @@ def test_Trade_object_idem():
'get_enter_tag_performance',
'get_mix_tag_performance',
'get_trading_volume',
'from_json',
)
EXCLUDES2 = ('trades', 'trades_open', 'bt_trades_open_pp', 'bt_open_open_trade_count',
'total_profit')

181
tests/persistence/test_trade_fromjson.py Normal file
View File

@@ -0,0 +1,181 @@
from datetime import datetime, timezone
from freqtrade.persistence.trade_model import Trade
def test_trade_fromjson():
"""Test the Trade.from_json() method."""
trade_string = """{
"trade_id": 25,
"pair": "ETH/USDT",
"base_currency": "ETH",
"quote_currency": "USDT",
"is_open": false,
"exchange": "binance",
"amount": 407.0,
"amount_requested": 102.92547026,
"stake_amount": 102.7494348,
"strategy": "SampleStrategy55",
"buy_tag": "Strategy2",
"enter_tag": "Strategy2",
"timeframe": 5,
"fee_open": 0.001,
"fee_open_cost": 0.1027494,
"fee_open_currency": "ETH",
"fee_close": 0.001,
"fee_close_cost": 0.1054944,
"fee_close_currency": "USDT",
"open_date": "2022-10-18 09:12:42",
"open_timestamp": 1666084362912,
"open_rate": 0.2518998249562391,
"open_rate_requested": 0.2516,
"open_trade_value": 102.62575199,
"close_date": "2022-10-18 09:45:22",
"close_timestamp": 1666086322208,
"realized_profit": 2.76315361,
"close_rate": 0.2592,
"close_rate_requested": 0.2592,
"close_profit": 0.026865,
"close_profit_pct": 2.69,
"close_profit_abs": 2.76315361,
"trade_duration_s": 1959,
"trade_duration": 32,
"profit_ratio": 0.02686,
"profit_pct": 2.69,
"profit_abs": 2.76315361,
"sell_reason": "no longer good",
"exit_reason": "no longer good",
"exit_order_status": "closed",
"stop_loss_abs": 0.1981,
"stop_loss_ratio": -0.216,
"stop_loss_pct": -21.6,
"stoploss_order_id": null,
"stoploss_last_update": null,
"stoploss_last_update_timestamp": null,
"initial_stop_loss_abs": 0.1981,
"initial_stop_loss_ratio": -0.216,
"initial_stop_loss_pct": -21.6,
"min_rate": 0.2495,
"max_rate": 0.2592,
"leverage": 1.0,
"interest_rate": 0.0,
"liquidation_price": null,
"is_short": false,
"trading_mode": "spot",
"funding_fees": 0.0,
"open_order_id": null,
"orders": [
{
"amount": 102.0,
"safe_price": 0.2526,
"ft_order_side": "buy",
"order_filled_timestamp": 1666084370887,
"ft_is_entry": true,
"pair": "ETH/USDT",
"order_id": "78404228",
"status": "closed",
"average": 0.2526,
"cost": 25.7652,
"filled": 102.0,
"is_open": false,
"order_date": "2022-10-18 09:12:42",
"order_timestamp": 1666084362684,
"order_filled_date": "2022-10-18 09:12:50",
"order_type": "limit",
"price": 0.2526,
"remaining": 0.0
},
{
"amount": 102.0,
"safe_price": 0.2517,
"ft_order_side": "buy",
"order_filled_timestamp": 1666084379056,
"ft_is_entry": true,
"pair": "ETH/USDT",
"order_id": "78405139",
"status": "closed",
"average": 0.2517,
"cost": 25.6734,
"filled": 102.0,
"is_open": false,
"order_date": "2022-10-18 09:12:57",
"order_timestamp": 1666084377681,
"order_filled_date": "2022-10-18 09:12:59",
"order_type": "limit",
"price": 0.2517,
"remaining": 0.0
},
{
"amount": 102.0,
"safe_price": 0.2517,
"ft_order_side": "buy",
"order_filled_timestamp": 1666084389644,
"ft_is_entry": true,
"pair": "ETH/USDT",
"order_id": "78405265",
"status": "closed",
"average": 0.2517,
"cost": 25.6734,
"filled": 102.0,
"is_open": false,
"order_date": "2022-10-18 09:13:03",
"order_timestamp": 1666084383295,
"order_filled_date": "2022-10-18 09:13:09",
"order_type": "limit",
"price": 0.2517,
"remaining": 0.0
},
{
"amount": 102.0,
"safe_price": 0.2516,
"ft_order_side": "buy",
"order_filled_timestamp": 1666084723521,
"ft_is_entry": true,
"pair": "ETH/USDT",
"order_id": "78405395",
"status": "closed",
"average": 0.2516,
"cost": 25.6632,
"filled": 102.0,
"is_open": false,
"order_date": "2022-10-18 09:13:13",
"order_timestamp": 1666084393920,
"order_filled_date": "2022-10-18 09:18:43",
"order_type": "limit",
"price": 0.2516,
"remaining": 0.0
},
{
"amount": 407.0,
"safe_price": 0.2592,
"ft_order_side": "sell",
"order_filled_timestamp": 1666086322198,
"ft_is_entry": false,
"pair": "ETH/USDT",
"order_id": "78432649",
"status": "closed",
"average": 0.2592,
"cost": 105.4944,
"filled": 407.0,
"is_open": false,
"order_date": "2022-10-18 09:45:21",
"order_timestamp": 1666086321435,
"order_filled_date": "2022-10-18 09:45:22",
"order_type": "market",
"price": 0.2592,
"remaining": 0.0
}
]
}"""
trade = Trade.from_json(trade_string)
assert trade.id == 25
assert trade.pair == 'ETH/USDT'
assert trade.open_date == datetime(2022, 10, 18, 9, 12, 42, tzinfo=timezone.utc)
assert isinstance(trade.open_date, datetime)
assert trade.exit_reason == 'no longer good'
assert len(trade.orders) == 5
last_o = trade.orders[-1]
assert last_o.order_filled_date == datetime(2022, 10, 18, 9, 45, 22, tzinfo=timezone.utc)
assert isinstance(last_o.order_date, datetime)

21
tests/plugins/test_pairlist.py
View File

@@ -2,6 +2,8 @@
import logging
import time
from copy import deepcopy
from datetime import timedelta
from unittest.mock import MagicMock, PropertyMock
import pandas as pd
@@ -719,15 +721,26 @@ def test_PerformanceFilter_error(mocker, whitelist_conf, caplog) -> None:
def test_ShuffleFilter_init(mocker, whitelist_conf, caplog) -> None:
whitelist_conf['pairlists'] = [
{"method": "StaticPairList"},
{"method": "ShuffleFilter", "seed": 42}
{"method": "ShuffleFilter", "seed": 43}
]
exchange = get_patched_exchange(mocker, whitelist_conf)
PairListManager(exchange, whitelist_conf)
assert log_has("Backtesting mode detected, applying seed value: 42", caplog)
plm = PairListManager(exchange, whitelist_conf)
assert log_has("Backtesting mode detected, applying seed value: 43", caplog)
with time_machine.travel("2021-09-01 05:01:00 +00:00") as t:
plm.refresh_pairlist()
pl1 = deepcopy(plm.whitelist)
plm.refresh_pairlist()
assert plm.whitelist == pl1
t.shift(timedelta(minutes=10))
plm.refresh_pairlist()
assert plm.whitelist != pl1
caplog.clear()
whitelist_conf['runmode'] = RunMode.DRY_RUN
PairListManager(exchange, whitelist_conf)
plm = PairListManager(exchange, whitelist_conf)
assert not log_has("Backtesting mode detected, applying seed value: 42", caplog)
assert log_has("Live mode detected, not applying seed.", caplog)

8
tests/test_freqtradebot.py
View File

@@ -3969,15 +3969,17 @@ def test__safe_exit_amount(default_conf_usdt, fee, caplog, mocker, amount_wallet
patch_get_signal(freqtrade)
if has_err:
with pytest.raises(DependencyException, match=r"Not enough amount to exit trade."):
assert freqtrade._safe_exit_amount(trade.pair, trade.amount)
assert freqtrade._safe_exit_amount(trade, trade.pair, trade.amount)
else:
wallet_update.reset_mock()
assert freqtrade._safe_exit_amount(trade.pair, trade.amount) == amount_wallet
assert trade.amount != amount_wallet
assert freqtrade._safe_exit_amount(trade, trade.pair, trade.amount) == amount_wallet
assert log_has_re(r'.*Falling back to wallet-amount.', caplog)
assert trade.amount == amount_wallet
assert wallet_update.call_count == 1
caplog.clear()
wallet_update.reset_mock()
assert freqtrade._safe_exit_amount(trade.pair, amount_wallet) == amount_wallet
assert freqtrade._safe_exit_amount(trade, trade.pair, amount_wallet) == amount_wallet
assert not log_has_re(r'.*Falling back to wallet-amount.', caplog)
assert wallet_update.call_count == 1

4
tests/test_integration.py
View File

@@ -420,7 +420,7 @@ def test_dca_order_adjust(default_conf_usdt, ticker_usdt, leverage, fee, mocker)
assert trade.open_order_id is None
# Open rate is not adjusted yet
assert trade.open_rate == 1.99
assert trade.stake_amount == 60
assert pytest.approx(trade.stake_amount) == 60
assert trade.stop_loss_pct == -0.1
assert pytest.approx(trade.stop_loss) == 1.99 * (1 - 0.1 / leverage)
assert pytest.approx(trade.initial_stop_loss) == 1.99 * (1 - 0.1 / leverage)
@@ -446,7 +446,7 @@ def test_dca_order_adjust(default_conf_usdt, ticker_usdt, leverage, fee, mocker)
assert len(trade.orders) == 4
assert trade.open_order_id is not None
assert trade.open_rate == 1.99
assert trade.stake_amount == 60
assert pytest.approx(trade.stake_amount) == 60
assert trade.orders[-1].price == 1.95
assert pytest.approx(trade.orders[-1].cost) == 120 * leverage

50
tests/test_worker.py
View File

@@ -1,7 +1,10 @@
import logging
import time
from datetime import timedelta
from unittest.mock import MagicMock, PropertyMock
import time_machine
from freqtrade.data.dataprovider import DataProvider
from freqtrade.enums import State
from freqtrade.worker import Worker
@@ -59,13 +62,58 @@ def test_throttle(mocker, default_conf, caplog) -> None:
end = time.time()
assert result == 42
assert end - start > 0.1
assert 0.3 > end - start > 0.1
assert log_has_re(r"Throttling with 'throttled_func\(\)': sleep for \d\.\d{2} s.*", caplog)
result = worker._throttle(throttled_func, throttle_secs=-1)
assert result == 42
def test_throttle_sleep_time(mocker, default_conf, caplog) -> None:
caplog.set_level(logging.DEBUG)
worker = get_patched_worker(mocker, default_conf)
sleep_mock = mocker.patch("freqtrade.worker.Worker._sleep")
with time_machine.travel("2022-09-01 05:00:00 +00:00") as t:
def throttled_func(x=1):
t.shift(timedelta(seconds=x))
return 42
assert worker._throttle(throttled_func, throttle_secs=5) == 42
# This moves the clock by 1 second
assert sleep_mock.call_count == 1
assert 3.8 < sleep_mock.call_args[0][0] < 4.1
sleep_mock.reset_mock()
# This moves the clock by 1 second
assert worker._throttle(throttled_func, throttle_secs=10) == 42
assert sleep_mock.call_count == 1
assert 8.8 < sleep_mock.call_args[0][0] < 9.1
sleep_mock.reset_mock()
# This moves the clock by 5 second, so we only throttle by 5s
assert worker._throttle(throttled_func, throttle_secs=10, x=5) == 42
assert sleep_mock.call_count == 1
assert 4.8 < sleep_mock.call_args[0][0] < 5.1
t.move_to("2022-09-01 05:01:00 +00:00")
sleep_mock.reset_mock()
# Throttle for more than 5m (1 timeframe)
assert worker._throttle(throttled_func, throttle_secs=400, x=5) == 42
assert sleep_mock.call_count == 1
assert 394.8 < sleep_mock.call_args[0][0] < 395.1
t.move_to("2022-09-01 05:01:00 +00:00")
sleep_mock.reset_mock()
# Throttle for more than 5m (1 timeframe)
assert worker._throttle(throttled_func, throttle_secs=400, timeframe='5m',
timeframe_offset=0.4, x=5) == 42
assert sleep_mock.call_count == 1
# 300 (5m) - 60 (1m - see set time above) - 5 (duration of throttled_func) = 235
assert 235.2 < sleep_mock.call_args[0][0] < 235.6
def test_throttle_with_assets(mocker, default_conf) -> None:
def throttled_func(nb_assets=-1):
return nb_assets