diff --git a/Dockerfile b/Dockerfile index 8677b54de..21432f89f 100644 --- a/Dockerfile +++ b/Dockerfile @@ -1,4 +1,4 @@ -FROM python:3.7.4-slim-stretch +FROM python:3.7.5-slim-stretch RUN apt-get update \ && apt-get -y install curl build-essential libssl-dev \ @@ -16,9 +16,9 @@ RUN cd /tmp && /tmp/install_ta-lib.sh && rm -r /tmp/*ta-lib* ENV LD_LIBRARY_PATH /usr/local/lib # Install dependencies -COPY requirements.txt requirements-common.txt /freqtrade/ +COPY requirements.txt requirements-common.txt requirements-hyperopt.txt /freqtrade/ RUN pip install numpy --no-cache-dir \ - && pip install -r requirements.txt --no-cache-dir + && pip install -r requirements-hyperopt.txt --no-cache-dir # Install and execute COPY . /freqtrade/ diff --git a/config_kraken.json.example b/config_kraken.json.example index 51aa9a8e9..5a36941d8 100644 --- a/config_kraken.json.example +++ b/config_kraken.json.example @@ -70,5 +70,6 @@ "forcebuy_enable": false, "internals": { "process_throttle_secs": 5 - } + }, + "download_trades": true } diff --git a/docs/backtesting.md b/docs/backtesting.md index d8d4cf00d..837fcfa3b 100644 --- a/docs/backtesting.md +++ b/docs/backtesting.md @@ -103,12 +103,6 @@ The full timerange specification: - Use tickframes since 2018/01/31 till 2018/03/01 : `--timerange=20180131-20180301` - Use tickframes between POSIX timestamps 1527595200 1527618600: `--timerange=1527595200-1527618600` -- Use last 123 tickframes of data: `--timerange=-123` -- Use first 123 tickframes of data: `--timerange=123-` -- Use tickframes from line 123 through 456: `--timerange=123-456` - -!!! warning - Be carefull when using non-date functions - these do not allow you to specify precise dates, so if you updated the test-data it will probably use a different dataset. ## Understand the backtesting result @@ -195,6 +189,7 @@ Hence, keep in mind that your performance is an integral mix of all different el Since backtesting lacks some detailed information about what happens within a candle, it needs to take a few assumptions: - Buys happen at open-price +- Sell signal sells happen at open-price of the following candle - Low happens before high for stoploss, protecting capital first. - ROI sells are compared to high - but the ROI value is used (e.g. ROI = 2%, high=5% - so the sell will be at 2%) - Stoploss sells happen exactly at stoploss price, even if low was lower @@ -203,6 +198,9 @@ Since backtesting lacks some detailed information about what happens within a ca - Low uses the adjusted stoploss (so sells with large high-low difference are backtested correctly) - Sell-reason does not explain if a trade was positive or negative, just what triggered the sell (this can look odd if negative ROI values are used) +Taking these assumptions, backtesting tries to mirror real trading as closely as possible. However, backtesting will **never** replace running a strategy in dry-run mode. +Also, keep in mind that past results don't guarantee future success. + ### Further backtest-result analysis To further analyze your backtest results, you can [export the trades](#exporting-trades-to-file). diff --git a/docs/bot-usage.md b/docs/bot-usage.md index 7da0d029b..a0437976f 100644 --- a/docs/bot-usage.md +++ b/docs/bot-usage.md @@ -106,7 +106,7 @@ user_data/ ├── backtest_results ├── data ├── hyperopts -├── hyperopts_results +├── hyperopt_results ├── plot └── strategies ``` @@ -256,7 +256,7 @@ optional arguments: entry and exit). --customhyperopt NAME Specify hyperopt class name (default: - `DefaultHyperOpts`). + `DefaultHyperOpt`). --hyperopt-path PATH Specify additional lookup path for Hyperopts and Hyperopt Loss functions. --eps, --enable-position-stacking diff --git a/docs/data-download.md b/docs/data-download.md index 244acb153..bf4792ea3 100644 --- a/docs/data-download.md +++ b/docs/data-download.md @@ -38,7 +38,7 @@ Mixing different stake-currencies is allowed for this file, since it's only used ] ``` -### start download +### Start download Then run: @@ -57,6 +57,32 @@ This will download ticker data for all the currency pairs you defined in `pairs. - Use `--timeframes` to specify which tickers to download. Default is `--timeframes 1m 5m` which will download 1-minute and 5-minute tickers. - To use exchange, timeframe and list of pairs as defined in your configuration file, use the `-c/--config` option. With this, the script uses the whitelist defined in the config as the list of currency pairs to download data for and does not require the pairs.json file. You can combine `-c/--config` with most other options. +### Trades (tick) data + +By default, `download-data` subcommand downloads Candles (OHLCV) data. Some exchanges also provide historic trade-data via their API. +This data can be useful if you need many different timeframes, since it is only downloaded once, and then resampled locally to the desired timeframes. + +Since this data is large by default, the files use gzip by default. They are stored in your data-directory with the naming convention of `-trades.json.gz` (`ETH_BTC-trades.json.gz`). Incremental mode is also supported, as for historic OHLCV data, so downloading the data once per week with `--days 8` will create an incremental data-repository. + +To use this mode, simply add `--dl-trades` to your call. This will swap the download method to download trades, and resamples the data locally. + +Example call: + +```bash +freqtrade download-data --exchange binance --pairs XRP/ETH ETH/BTC --days 20 --dl-trades +``` + +!!! Note + While this method uses async calls, it will be slow, since it requires the result of the previous call to generate the next request to the exchange. + +!!! Warning + The historic trades are not available during Freqtrade dry-run and live trade modes because all exchanges tested provide this data with a delay of few 100 candles, so it's not suitable for real-time trading. + +### Historic Kraken data + +The Kraken API does only provide 720 historic candles, which is sufficient for FreqTrade dry-run and live trade modes, but is a problem for backtesting. +To download data for the Kraken exchange, using `--dl-trades` is mandatory, otherwise the bot will download the same 720 candles over and over, and you'll not have enough backtest data. + ## Next step Great, you now have backtest data downloaded, so you can now start [backtesting](backtesting.md) your strategy. diff --git a/docs/edge.md b/docs/edge.md index d91522770..6374da9e6 100644 --- a/docs/edge.md +++ b/docs/edge.md @@ -249,13 +249,10 @@ freqtrade edge --stoplosses=-0.01,-0.1,-0.001 #min,max,step freqtrade edge --timerange=20181110-20181113 ``` -Doing `--timerange=-200` will get the last 200 timeframes from your inputdata. You can also specify specific dates, or a range span indexed by start and stop. +Doing `--timerange=-20190901` will get all available data until September 1st (excluding September 1st 2019). The full timerange specification: -* Use last 123 tickframes of data: `--timerange=-123` -* Use first 123 tickframes of data: `--timerange=123-` -* Use tickframes from line 123 through 456: `--timerange=123-456` * Use tickframes till 2018/01/31: `--timerange=-20180131` * Use tickframes since 2018/01/31: `--timerange=20180131-` * Use tickframes since 2018/01/31 till 2018/03/01 : `--timerange=20180131-20180301` diff --git a/docs/faq.md b/docs/faq.md index a441ffacd..dd92d310e 100644 --- a/docs/faq.md +++ b/docs/faq.md @@ -38,7 +38,7 @@ like pauses. You can stop your bot, adjust settings and start it again. ### I want to improve the bot with a new strategy -That's great. We have a nice backtesting and hyperoptimizing setup. See +That's great. We have a nice backtesting and hyperoptimization setup. See the tutorial [here|Testing-new-strategies-with-Hyperopt](bot-usage.md#hyperopt-commands). ### Is there a setting to only SELL the coins being held and not perform anymore BUYS? @@ -59,7 +59,7 @@ If you're a US customer, the bot will fail to create orders for these pairs, and ### How many epoch do I need to get a good Hyperopt result? -Per default Hyperopts without `-e` or `--epochs` parameter will only +Per default Hyperopt called without the `-e`/`--epochs` command line option will only run 100 epochs, means 100 evals of your triggers, guards, ... Too few to find a great result (unless if you are very lucky), so you probably have to run it for 10.000 or more. But it will take an eternity to diff --git a/docs/hyperopt.md b/docs/hyperopt.md index 1ca371e3d..99331707f 100644 --- a/docs/hyperopt.md +++ b/docs/hyperopt.md @@ -10,12 +10,12 @@ Hyperopt requires historic data to be available, just as backtesting does. To learn how to get data for the pairs and exchange you're interrested in, head over to the [Data Downloading](data-download.md) section of the documentation. !!! Bug - Hyperopt will crash when used with only 1 CPU Core as found out in [Issue #1133](https://github.com/freqtrade/freqtrade/issues/1133) + Hyperopt can crash when used with only 1 CPU Core as found out in [Issue #1133](https://github.com/freqtrade/freqtrade/issues/1133) ## Prepare Hyperopting Before we start digging into Hyperopt, we recommend you to take a look at -an example hyperopt file located into [user_data/hyperopts/](https://github.com/freqtrade/freqtrade/blob/develop/user_data/hyperopts/sample_hyperopt.py) +the sample hyperopt file located in [user_data/hyperopts/](https://github.com/freqtrade/freqtrade/blob/develop/user_data/hyperopts/sample_hyperopt.py). Configuring hyperopt is similar to writing your own strategy, and many tasks will be similar and a lot of code can be copied across from the strategy. @@ -64,9 +64,9 @@ multiple guards. The constructed strategy will be something like "*buy exactly when close price touches lower bollinger band, BUT only if ADX > 10*". -If you have updated the buy strategy, ie. changed the contents of -`populate_buy_trend()` method you have to update the `guards` and -`triggers` hyperopts must use. +If you have updated the buy strategy, i.e. changed the contents of +`populate_buy_trend()` method, you have to update the `guards` and +`triggers` your hyperopt must use correspondingly. #### Sell optimization @@ -82,7 +82,7 @@ To avoid naming collisions in the search-space, please prefix all sell-spaces wi #### Using ticker-interval as part of the Strategy The Strategy exposes the ticker-interval as `self.ticker_interval`. The same value is available as class-attribute `HyperoptName.ticker_interval`. -In the case of the linked sample-value this would be `SampleHyperOpts.ticker_interval`. +In the case of the linked sample-value this would be `SampleHyperOpt.ticker_interval`. ## Solving a Mystery diff --git a/docs/requirements-docs.txt b/docs/requirements-docs.txt index 0be47081c..5e7fe7084 100644 --- a/docs/requirements-docs.txt +++ b/docs/requirements-docs.txt @@ -1 +1,2 @@ -mkdocs-material==4.4.3 \ No newline at end of file +mkdocs-material==4.4.3 +mdx_truly_sane_lists==1.2 diff --git a/docs/strategy-customization.md b/docs/strategy-customization.md index adcdf0208..ca76071af 100644 --- a/docs/strategy-customization.md +++ b/docs/strategy-customization.md @@ -138,15 +138,19 @@ def populate_buy_trend(self, dataframe: DataFrame, metadata: dict) -> DataFrame: """ dataframe.loc[ ( - (dataframe['adx'] > 30) & - (dataframe['tema'] <= dataframe['bb_middleband']) & - (dataframe['tema'] > dataframe['tema'].shift(1)) + (qtpylib.crossed_above(dataframe['rsi'], 30)) & # Signal: RSI crosses above 30 + (dataframe['tema'] <= dataframe['bb_middleband']) & # Guard + (dataframe['tema'] > dataframe['tema'].shift(1)) & # Guard + (dataframe['volume'] > 0) # Make sure Volume is not 0 ), 'buy'] = 1 return dataframe ``` +!!! Note + Buying requires sellers to buy from - therefore volume needs to be > 0 (`dataframe['volume'] > 0`) to make sure that the bot does not buy/sell in no-activity periods. + ### Sell signal rules Edit the method `populate_sell_trend()` into your strategy file to update your sell strategy. @@ -168,9 +172,10 @@ def populate_sell_trend(self, dataframe: DataFrame, metadata: dict) -> DataFrame """ dataframe.loc[ ( - (dataframe['adx'] > 70) & - (dataframe['tema'] > dataframe['bb_middleband']) & - (dataframe['tema'] < dataframe['tema'].shift(1)) + (qtpylib.crossed_above(dataframe['rsi'], 70)) & # Signal: RSI crosses above 70 + (dataframe['tema'] > dataframe['bb_middleband']) & # Guard + (dataframe['tema'] < dataframe['tema'].shift(1)) & # Guard + (dataframe['volume'] > 0) # Make sure Volume is not 0 ), 'sell'] = 1 return dataframe diff --git a/freqtrade/configuration/arguments.py b/freqtrade/configuration/arguments.py index 07813b104..b0156fcd1 100644 --- a/freqtrade/configuration/arguments.py +++ b/freqtrade/configuration/arguments.py @@ -39,7 +39,8 @@ ARGS_LIST_PAIRS = ["exchange", "print_list", "list_pairs_print_json", "print_one ARGS_CREATE_USERDIR = ["user_data_dir"] -ARGS_DOWNLOAD_DATA = ["pairs", "pairs_file", "days", "exchange", "timeframes", "erase"] +ARGS_DOWNLOAD_DATA = ["pairs", "pairs_file", "days", "download_trades", "exchange", + "timeframes", "erase"] ARGS_PLOT_DATAFRAME = ["pairs", "indicators1", "indicators2", "plot_limit", "db_url", "trade_source", "export", "exportfilename", "timerange", "ticker_interval"] diff --git a/freqtrade/configuration/cli_options.py b/freqtrade/configuration/cli_options.py index cb6dece5c..697e048db 100644 --- a/freqtrade/configuration/cli_options.py +++ b/freqtrade/configuration/cli_options.py @@ -2,7 +2,6 @@ Definition of cli arguments used in arguments.py """ import argparse -import os from freqtrade import __version__, constants @@ -141,8 +140,6 @@ AVAILABLE_CLI_OPTIONS = { 'Requires `--export` to be set as well. ' 'Example: `--export-filename=user_data/backtest_results/backtest_today.json`', metavar='PATH', - default=os.path.join('user_data', 'backtest_results', - 'backtest-result.json'), ), "fee": Arg( '--fee', @@ -309,6 +306,12 @@ AVAILABLE_CLI_OPTIONS = { type=check_int_positive, metavar='INT', ), + "download_trades": Arg( + '--dl-trades', + help='Download trades instead of OHLCV data. The bot will resample trades to the ' + 'desired timeframe as specified as --timeframes/-t.', + action='store_true', + ), "exchange": Arg( '--exchange', help=f'Exchange name (default: `{constants.DEFAULT_EXCHANGE}`). ' diff --git a/freqtrade/configuration/configuration.py b/freqtrade/configuration/configuration.py index 665999efb..034f8d386 100644 --- a/freqtrade/configuration/configuration.py +++ b/freqtrade/configuration/configuration.py @@ -192,6 +192,13 @@ class Configuration: config.update({'datadir': create_datadir(config, self.args.get("datadir", None))}) logger.info('Using data directory: %s ...', config.get('datadir')) + if self.args.get('exportfilename'): + self._args_to_config(config, argname='exportfilename', + logstring='Storing backtest results to {} ...') + else: + config['exportfilename'] = (config['user_data_dir'] + / 'backtest_results/backtest-result.json') + def _process_optimize_options(self, config: Dict[str, Any]) -> None: # This will override the strategy configuration @@ -235,9 +242,6 @@ class Configuration: self._args_to_config(config, argname='export', logstring='Parameter --export detected: {} ...') - self._args_to_config(config, argname='exportfilename', - logstring='Storing backtest results to {} ...') - # Edge section: if 'stoploss_range' in self.args and self.args["stoploss_range"]: txt_range = eval(self.args["stoploss_range"]) @@ -312,6 +316,8 @@ class Configuration: self._args_to_config(config, argname='days', logstring='Detected --days: {}') + self._args_to_config(config, argname='download_trades', + logstring='Detected --dl-trades: {}') def _process_runmode(self, config: Dict[str, Any]) -> None: diff --git a/freqtrade/configuration/timerange.py b/freqtrade/configuration/timerange.py index ec6eb75e6..fc759ab6e 100644 --- a/freqtrade/configuration/timerange.py +++ b/freqtrade/configuration/timerange.py @@ -42,9 +42,10 @@ class TimeRange: (r'^-(\d{10})$', (None, 'date')), (r'^(\d{10})-$', ('date', None)), (r'^(\d{10})-(\d{10})$', ('date', 'date')), - (r'^(-\d+)$', (None, 'line')), - (r'^(\d+)-$', ('line', None)), - (r'^(\d+)-(\d+)$', ('index', 'index'))] + (r'^-(\d{13})$', (None, 'date')), + (r'^(\d{13})-$', ('date', None)), + (r'^(\d{13})-(\d{13})$', ('date', 'date')), + ] for rex, stype in syntax: # Apply the regular expression to text match = re.match(rex, text) @@ -57,6 +58,8 @@ class TimeRange: starts = rvals[index] if stype[0] == 'date' and len(starts) == 8: start = arrow.get(starts, 'YYYYMMDD').timestamp + elif len(starts) == 13: + start = int(starts) // 1000 else: start = int(starts) index += 1 @@ -64,6 +67,8 @@ class TimeRange: stops = rvals[index] if stype[1] == 'date' and len(stops) == 8: stop = arrow.get(stops, 'YYYYMMDD').timestamp + elif len(stops) == 13: + stop = int(stops) // 1000 else: stop = int(stops) return TimeRange(stype[0], stype[1], start, stop) diff --git a/freqtrade/constants.py b/freqtrade/constants.py index 697bc280f..e8f3f5783 100644 --- a/freqtrade/constants.py +++ b/freqtrade/constants.py @@ -10,7 +10,7 @@ DEFAULT_TICKER_INTERVAL = 5 # min HYPEROPT_EPOCH = 100 # epochs RETRY_TIMEOUT = 30 # sec DEFAULT_STRATEGY = 'DefaultStrategy' -DEFAULT_HYPEROPT = 'DefaultHyperOpts' +DEFAULT_HYPEROPT = 'DefaultHyperOpt' DEFAULT_HYPEROPT_LOSS = 'DefaultHyperOptLoss' DEFAULT_DB_PROD_URL = 'sqlite:///tradesv3.sqlite' DEFAULT_DB_DRYRUN_URL = 'sqlite://' @@ -266,6 +266,6 @@ CONF_SCHEMA = { 'stake_amount', 'dry_run', 'bid_strategy', - 'telegram' + 'unfilledtimeout', ] } diff --git a/freqtrade/data/btanalysis.py b/freqtrade/data/btanalysis.py index b03bdb74d..17abae3b6 100644 --- a/freqtrade/data/btanalysis.py +++ b/freqtrade/data/btanalysis.py @@ -93,7 +93,7 @@ def load_trades_from_db(db_url: str) -> pd.DataFrame: t.close_date.replace(tzinfo=pytz.UTC) if t.close_date else None, t.calc_profit(), t.calc_profit_percent(), t.open_rate, t.close_rate, t.amount, - (t.close_date.timestamp() - t.open_date.timestamp() + (round((t.close_date.timestamp() - t.open_date.timestamp()) / 60, 2) if t.close_date else None), t.sell_reason, t.fee_open, t.fee_close, diff --git a/freqtrade/data/converter.py b/freqtrade/data/converter.py index b530b3bce..1ef224978 100644 --- a/freqtrade/data/converter.py +++ b/freqtrade/data/converter.py @@ -114,3 +114,25 @@ def order_book_to_dataframe(bids: list, asks: list) -> DataFrame: keys=['b_sum', 'b_size', 'bids', 'asks', 'a_size', 'a_sum']) # logger.info('order book %s', frame ) return frame + + +def trades_to_ohlcv(trades: list, timeframe: str) -> list: + """ + Converts trades list to ohlcv list + :param trades: List of trades, as returned by ccxt.fetch_trades. + :param timeframe: Ticker timeframe to resample data to + :return: ohlcv timeframe as list (as returned by ccxt.fetch_ohlcv) + """ + from freqtrade.exchange import timeframe_to_minutes + ticker_minutes = timeframe_to_minutes(timeframe) + df = pd.DataFrame(trades) + df['datetime'] = pd.to_datetime(df['datetime']) + df = df.set_index('datetime') + + df_new = df['price'].resample(f'{ticker_minutes}min').ohlc() + df_new['volume'] = df['amount'].resample(f'{ticker_minutes}min').sum() + df_new['date'] = df_new.index.astype("int64") // 10 ** 6 + # Drop 0 volume rows + df_new = df_new.dropna() + columns = ["date", "open", "high", "low", "close", "volume"] + return list(zip(*[df_new[x].values.tolist() for x in columns])) diff --git a/freqtrade/data/history.py b/freqtrade/data/history.py index 991a639ca..ed5d80b0e 100644 --- a/freqtrade/data/history.py +++ b/freqtrade/data/history.py @@ -17,7 +17,7 @@ from pandas import DataFrame from freqtrade import OperationalException, misc from freqtrade.configuration import TimeRange -from freqtrade.data.converter import parse_ticker_dataframe +from freqtrade.data.converter import parse_ticker_dataframe, trades_to_ohlcv from freqtrade.exchange import Exchange, timeframe_to_minutes logger = logging.getLogger(__name__) @@ -33,20 +33,12 @@ def trim_tickerlist(tickerlist: List[Dict], timerange: TimeRange) -> List[Dict]: start_index = 0 stop_index = len(tickerlist) - if timerange.starttype == 'line': - stop_index = timerange.startts - if timerange.starttype == 'index': - start_index = timerange.startts - elif timerange.starttype == 'date': + if timerange.starttype == 'date': while (start_index < len(tickerlist) and tickerlist[start_index][0] < timerange.startts * 1000): start_index += 1 - if timerange.stoptype == 'line': - start_index = max(len(tickerlist) + timerange.stopts, 0) - if timerange.stoptype == 'index': - stop_index = timerange.stopts - elif timerange.stoptype == 'date': + if timerange.stoptype == 'date': while (stop_index > 0 and tickerlist[stop_index-1][0] > timerange.stopts * 1000): stop_index -= 1 @@ -82,6 +74,29 @@ def store_tickerdata_file(datadir: Path, pair: str, misc.file_dump_json(filename, data, is_zip=is_zip) +def load_trades_file(datadir: Path, pair: str, + timerange: Optional[TimeRange] = None) -> List[Dict]: + """ + Load a pair from file, either .json.gz or .json + :return: tradelist or empty list if unsuccesful + """ + filename = pair_trades_filename(datadir, pair) + tradesdata = misc.file_load_json(filename) + if not tradesdata: + return [] + + return tradesdata + + +def store_trades_file(datadir: Path, pair: str, + data: list, is_zip: bool = True): + """ + Stores tickerdata to file + """ + filename = pair_trades_filename(datadir, pair) + misc.file_dump_json(filename, data, is_zip=is_zip) + + def _validate_pairdata(pair, pairdata, timerange: TimeRange): if timerange.starttype == 'date' and pairdata[0][0] > timerange.startts * 1000: logger.warning('Missing data at start for pair %s, data starts at %s', @@ -173,6 +188,12 @@ def pair_data_filename(datadir: Path, pair: str, ticker_interval: str) -> Path: return filename +def pair_trades_filename(datadir: Path, pair: str) -> Path: + pair_s = pair.replace("/", "_") + filename = datadir.joinpath(f'{pair_s}-trades.json.gz') + return filename + + def _load_cached_data_for_updating(datadir: Path, pair: str, ticker_interval: str, timerange: Optional[TimeRange]) -> Tuple[List[Any], Optional[int]]: @@ -299,6 +320,92 @@ def refresh_backtest_ohlcv_data(exchange: Exchange, pairs: List[str], timeframes return pairs_not_available +def download_trades_history(datadir: Path, + exchange: Exchange, + pair: str, + timerange: Optional[TimeRange] = None) -> bool: + """ + Download trade history from the exchange. + Appends to previously downloaded trades data. + """ + try: + + since = timerange.startts * 1000 if timerange and timerange.starttype == 'date' else None + + trades = load_trades_file(datadir, pair) + + from_id = trades[-1]['id'] if trades else None + + logger.debug("Current Start: %s", trades[0]['datetime'] if trades else 'None') + logger.debug("Current End: %s", trades[-1]['datetime'] if trades else 'None') + + new_trades = exchange.get_historic_trades(pair=pair, + since=since if since else + int(arrow.utcnow().shift( + days=-30).float_timestamp) * 1000, + # until=xxx, + from_id=from_id, + ) + trades.extend(new_trades[1]) + store_trades_file(datadir, pair, trades) + + logger.debug("New Start: %s", trades[0]['datetime']) + logger.debug("New End: %s", trades[-1]['datetime']) + logger.info(f"New Amount of trades: {len(trades)}") + return True + + except Exception as e: + logger.error( + f'Failed to download historic trades for pair: "{pair}". ' + f'Error: {e}' + ) + return False + + +def refresh_backtest_trades_data(exchange: Exchange, pairs: List[str], datadir: Path, + timerange: TimeRange, erase=False) -> List[str]: + """ + Refresh stored trades data. + Used by freqtrade download-data + :return: Pairs not available + """ + pairs_not_available = [] + for pair in pairs: + if pair not in exchange.markets: + pairs_not_available.append(pair) + logger.info(f"Skipping pair {pair}...") + continue + + dl_file = pair_trades_filename(datadir, pair) + if erase and dl_file.exists(): + logger.info( + f'Deleting existing data for pair {pair}.') + dl_file.unlink() + + logger.info(f'Downloading trades for pair {pair}.') + download_trades_history(datadir=datadir, exchange=exchange, + pair=pair, + timerange=timerange) + return pairs_not_available + + +def convert_trades_to_ohlcv(pairs: List[str], timeframes: List[str], + datadir: Path, timerange: TimeRange, erase=False) -> None: + """ + Convert stored trades data to ohlcv data + """ + for pair in pairs: + trades = load_trades_file(datadir, pair) + for timeframe in timeframes: + ohlcv_file = pair_data_filename(datadir, pair, timeframe) + if erase and ohlcv_file.exists(): + logger.info(f'Deleting existing data for pair {pair}, interval {timeframe}.') + ohlcv_file.unlink() + ohlcv = trades_to_ohlcv(trades, timeframe) + # Store ohlcv + store_tickerdata_file(datadir, pair, timeframe, data=ohlcv) + + def get_timeframe(data: Dict[str, DataFrame]) -> Tuple[arrow.Arrow, arrow.Arrow]: """ Get the maximum timeframe for the given backtest data diff --git a/freqtrade/exchange/__init__.py b/freqtrade/exchange/__init__.py index 7545bff6a..0948692f1 100644 --- a/freqtrade/exchange/__init__.py +++ b/freqtrade/exchange/__init__.py @@ -1,4 +1,4 @@ -from freqtrade.exchange.exchange import Exchange # noqa: F401 +from freqtrade.exchange.exchange import Exchange, MAP_EXCHANGE_CHILDCLASS # noqa: F401 from freqtrade.exchange.exchange import (get_exchange_bad_reason, # noqa: F401 is_exchange_bad, is_exchange_known_ccxt, diff --git a/freqtrade/exchange/binance.py b/freqtrade/exchange/binance.py index 14f409659..b5507981f 100644 --- a/freqtrade/exchange/binance.py +++ b/freqtrade/exchange/binance.py @@ -16,6 +16,8 @@ class Binance(Exchange): _ft_has: Dict = { "stoploss_on_exchange": True, "order_time_in_force": ['gtc', 'fok', 'ioc'], + "trades_pagination": "id", + "trades_pagination_arg": "fromId", } def get_order_book(self, pair: str, limit: int = 100) -> dict: diff --git a/freqtrade/exchange/exchange.py b/freqtrade/exchange/exchange.py index 9e3406428..4720fcd48 100644 --- a/freqtrade/exchange/exchange.py +++ b/freqtrade/exchange/exchange.py @@ -103,6 +103,11 @@ BAD_EXCHANGES = { ], "Does not provide timeframes. ccxt fetchOHLCV: emulated"), } +MAP_EXCHANGE_CHILDCLASS = { + 'binanceus': 'binance', + 'binanceje': 'binance', +} + def retrier_async(f): async def wrapper(*args, **kwargs): @@ -143,6 +148,8 @@ def retrier(f): class Exchange: _config: Dict = {} + + # Parameters to add directly to buy/sell calls (like agreeing to trading agreement) _params: Dict = {} # Dict to specify which options each exchange implements @@ -153,6 +160,9 @@ class Exchange: "order_time_in_force": ["gtc"], "ohlcv_candle_limit": 500, "ohlcv_partial_candle": True, + "trades_pagination": "time", # Possible are "time" or "id" + "trades_pagination_arg": "since", + } _ft_has: Dict = {} @@ -196,6 +206,9 @@ class Exchange: self._ohlcv_candle_limit = self._ft_has['ohlcv_candle_limit'] self._ohlcv_partial_candle = self._ft_has['ohlcv_partial_candle'] + self._trades_pagination = self._ft_has['trades_pagination'] + self._trades_pagination_arg = self._ft_has['trades_pagination_arg'] + # Initialize ccxt objects self._api = self._init_ccxt( exchange_config, ccxt_kwargs=exchange_config.get('ccxt_config')) @@ -760,6 +773,154 @@ class Exchange: except ccxt.BaseError as e: raise OperationalException(f'Could not fetch ticker data. Msg: {e}') from e + @retrier_async + async def _async_fetch_trades(self, pair: str, + since: Optional[int] = None, + params: Optional[dict] = None) -> List[Dict]: + """ + Asyncronously gets trade history using fetch_trades. + Handles exchange errors, does one call to the exchange. + :param pair: Pair to fetch trade data for + :param since: Since as integer timestamp in milliseconds + returns: List of dicts containing trades + """ + try: + # fetch trades asynchronously + if params: + logger.debug("Fetching trades for pair %s, params: %s ", pair, params) + trades = await self._api_async.fetch_trades(pair, params=params, limit=1000) + else: + logger.debug( + "Fetching trades for pair %s, since %s %s...", + pair, since, + '(' + arrow.get(since // 1000).isoformat() + ') ' if since is not None else '' + ) + trades = await self._api_async.fetch_trades(pair, since=since, limit=1000) + return trades + except ccxt.NotSupported as e: + raise OperationalException( + f'Exchange {self._api.name} does not support fetching historical trade data.' + f'Message: {e}') from e + except (ccxt.NetworkError, ccxt.ExchangeError) as e: + raise TemporaryError(f'Could not load trade history due to {e.__class__.__name__}. ' + f'Message: {e}') from e + except ccxt.BaseError as e: + raise OperationalException(f'Could not fetch trade data. Msg: {e}') from e + + async def _async_get_trade_history_id(self, pair: str, + until: int, + since: Optional[int] = None, + from_id: Optional[str] = None) -> Tuple[str, List[Dict]]: + """ + Asyncronously gets trade history using fetch_trades + use this when exchange uses id-based iteration (check `self._trades_pagination`) + :param pair: Pair to fetch trade data for + :param since: Since as integer timestamp in milliseconds + :param until: Until as integer timestamp in milliseconds + :param from_id: Download data starting with ID (if id is known). Ignores "since" if set. + returns tuple: (pair, trades-list) + """ + + trades: List[Dict] = [] + + if not from_id: + # Fetch first elements using timebased method to get an ID to paginate on + # Depending on the Exchange, this can introduce a drift at the start of the interval + # of up to an hour. + # e.g. Binance returns the "last 1000" candles within a 1h time interval + # - so we will miss the first trades. + t = await self._async_fetch_trades(pair, since=since) + from_id = t[-1]['id'] + trades.extend(t[:-1]) + while True: + t = await self._async_fetch_trades(pair, + params={self._trades_pagination_arg: from_id}) + if len(t): + # Skip last id since its the key for the next call + trades.extend(t[:-1]) + if from_id == t[-1]['id'] or t[-1]['timestamp'] > until: + logger.debug(f"Stopping because from_id did not change. " + f"Reached {t[-1]['timestamp']} > {until}") + # Reached the end of the defined-download period - add last trade as well. + trades.extend(t[-1:]) + break + + from_id = t[-1]['id'] + else: + break + + return (pair, trades) + + async def _async_get_trade_history_time(self, pair: str, until: int, + since: Optional[int] = None) -> Tuple[str, List]: + """ + Asyncronously gets trade history using fetch_trades, + when the exchange uses time-based iteration (check `self._trades_pagination`) + :param pair: Pair to fetch trade data for + :param since: Since as integer timestamp in milliseconds + :param until: Until as integer timestamp in milliseconds + returns tuple: (pair, trades-list) + """ + + trades: List[Dict] = [] + while True: + t = await self._async_fetch_trades(pair, since=since) + if len(t): + since = t[-1]['timestamp'] + trades.extend(t) + # Reached the end of the defined-download period + if until and t[-1]['timestamp'] > until: + logger.debug( + f"Stopping because until was reached. {t[-1]['timestamp']} > {until}") + break + else: + break + + return (pair, trades) + + async def _async_get_trade_history(self, pair: str, + since: Optional[int] = None, + until: Optional[int] = None, + from_id: Optional[str] = None) -> Tuple[str, List[Dict]]: + """ + Async wrapper handling downloading trades using either time or id based methods. + """ + + if self._trades_pagination == 'time': + return await self._async_get_trade_history_time( + pair=pair, since=since, + until=until or ccxt.Exchange.milliseconds()) + elif self._trades_pagination == 'id': + return await self._async_get_trade_history_id( + pair=pair, since=since, + until=until or ccxt.Exchange.milliseconds(), from_id=from_id + ) + else: + raise OperationalException(f"Exchange {self.name} does use neither time, " + f"nor id based pagination") + + def get_historic_trades(self, pair: str, + since: Optional[int] = None, + until: Optional[int] = None, + from_id: Optional[str] = None) -> Tuple[str, List]: + """ + Gets candle history using asyncio and returns the list of candles. + Handles all async doing. + Async over one pair, assuming we get `_ohlcv_candle_limit` candles per call. + :param pair: Pair to download + :param ticker_interval: Interval to get + :param since: Timestamp in milliseconds to get history from + :param until: Timestamp in milliseconds. Defaults to current timestamp if not defined. + :param from_id: Download data starting with ID (if id is known) + :returns List of tickers + """ + if not self.exchange_has("fetchTrades"): + raise OperationalException("This exchange does not suport downloading Trades.") + + return asyncio.get_event_loop().run_until_complete( + self._async_get_trade_history(pair=pair, since=since, + until=until, from_id=from_id)) + @retrier def cancel_order(self, order_id: str, pair: str) -> None: if self._config['dry_run']: diff --git a/freqtrade/exchange/kraken.py b/freqtrade/exchange/kraken.py index 6d3e82eca..f548489bc 100644 --- a/freqtrade/exchange/kraken.py +++ b/freqtrade/exchange/kraken.py @@ -14,6 +14,10 @@ logger = logging.getLogger(__name__) class Kraken(Exchange): _params: Dict = {"trading_agreement": "agree"} + _ft_has: Dict = { + "trades_pagination": "id", + "trades_pagination_arg": "since", + } @retrier def get_balances(self) -> dict: diff --git a/freqtrade/freqtradebot.py b/freqtrade/freqtradebot.py index d62c6a912..ed5116b08 100644 --- a/freqtrade/freqtradebot.py +++ b/freqtrade/freqtradebot.py @@ -11,7 +11,7 @@ from typing import Any, Dict, List, Optional, Tuple import arrow from requests.exceptions import RequestException -from freqtrade import (DependencyException, OperationalException, InvalidOrderException, +from freqtrade import (DependencyException, InvalidOrderException, __version__, constants, persistence) from freqtrade.data.converter import order_book_to_dataframe from freqtrade.data.dataprovider import DataProvider @@ -466,12 +466,13 @@ class FreqtradeBot: if result: self.wallets.update() - def get_real_amount(self, trade: Trade, order: Dict) -> float: + def get_real_amount(self, trade: Trade, order: Dict, order_amount: float = None) -> float: """ Get real amount for the trade Necessary for exchanges which charge fees in base currency (e.g. binance) """ - order_amount = order['amount'] + if order_amount is None: + order_amount = order['amount'] # Only run for closed orders if trade.fee_open == 0 or order['status'] == 'open': return order_amount @@ -508,7 +509,7 @@ class FreqtradeBot: if not isclose(amount, order_amount, abs_tol=constants.MATH_CLOSE_PREC): logger.warning(f"Amount {amount} does not match amount {trade.amount}") - raise OperationalException("Half bought? Amounts don't match") + raise DependencyException("Half bought? Amounts don't match") real_amount = amount - fee_abs if fee_abs != 0: logger.info(f"Applying fee on amount for {trade} " @@ -536,7 +537,7 @@ class FreqtradeBot: # Fee was applied, so set to 0 trade.fee_open = 0 - except OperationalException as exception: + except DependencyException as exception: logger.warning("Could not update trade amount: %s", exception) trade.update(order) @@ -705,7 +706,7 @@ class FreqtradeBot: if trade.stop_loss > float(order['info']['stopPrice']): # we check if the update is neccesary update_beat = self.strategy.order_types.get('stoploss_on_exchange_interval', 60) - if (datetime.utcnow() - trade.stoploss_last_update).total_seconds() > update_beat: + if (datetime.utcnow() - trade.stoploss_last_update).total_seconds() >= update_beat: # cancelling the current stoploss on exchange first logger.info('Trailing stoploss: cancelling current stoploss on exchange (id:{%s})' 'in order to add another one ...', order['id']) @@ -747,8 +748,8 @@ class FreqtradeBot: """ buy_timeout = self.config['unfilledtimeout']['buy'] sell_timeout = self.config['unfilledtimeout']['sell'] - buy_timeoutthreashold = arrow.utcnow().shift(minutes=-buy_timeout).datetime - sell_timeoutthreashold = arrow.utcnow().shift(minutes=-sell_timeout).datetime + buy_timeout_threshold = arrow.utcnow().shift(minutes=-buy_timeout).datetime + sell_timeout_threshold = arrow.utcnow().shift(minutes=-sell_timeout).datetime for trade in Trade.query.filter(Trade.open_order_id.isnot(None)).all(): try: @@ -772,21 +773,18 @@ class FreqtradeBot: self.wallets.update() continue - # Handle cancelled on exchange - if order['status'] == 'canceled': - if order['side'] == 'buy': - self.handle_buy_order_full_cancel(trade, "canceled on Exchange") - elif order['side'] == 'sell': - self.handle_timedout_limit_sell(trade, order) - self.wallets.update() - # Check if order is still actually open - elif order['status'] == 'open': - if order['side'] == 'buy' and ordertime < buy_timeoutthreashold: - self.handle_timedout_limit_buy(trade, order) - self.wallets.update() - elif order['side'] == 'sell' and ordertime < sell_timeoutthreashold: - self.handle_timedout_limit_sell(trade, order) - self.wallets.update() + if ((order['side'] == 'buy' and order['status'] == 'canceled') + or (order['status'] == 'open' + and order['side'] == 'buy' and ordertime < buy_timeout_threshold)): + + self.handle_timedout_limit_buy(trade, order) + self.wallets.update() + + elif ((order['side'] == 'sell' and order['status'] == 'canceled') + or (order['status'] == 'open' + and order['side'] == 'sell' and ordertime < sell_timeout_threshold)): + self.handle_timedout_limit_sell(trade, order) + self.wallets.update() def handle_buy_order_full_cancel(self, trade: Trade, reason: str) -> None: """Close trade in database and send message""" @@ -802,16 +800,33 @@ class FreqtradeBot: """Buy timeout - cancel order :return: True if order was fully cancelled """ - self.exchange.cancel_order(trade.open_order_id, trade.pair) - if order['remaining'] == order['amount']: + reason = "cancelled due to timeout" + if order['status'] != 'canceled': + corder = self.exchange.cancel_order(trade.open_order_id, trade.pair) + else: + # Order was cancelled already, so we can reuse the existing dict + corder = order + reason = "canceled on Exchange" + + if corder['remaining'] == corder['amount']: # if trade is not partially completed, just delete the trade - self.handle_buy_order_full_cancel(trade, "cancelled due to timeout") + self.handle_buy_order_full_cancel(trade, reason) return True # if trade is partially complete, edit the stake details for the trade # and close the order - trade.amount = order['amount'] - order['remaining'] + trade.amount = corder['amount'] - corder['remaining'] trade.stake_amount = trade.amount * trade.open_rate + # verify if fees were taken from amount to avoid problems during selling + try: + new_amount = self.get_real_amount(trade, corder, trade.amount) + if not isclose(order['amount'], new_amount, abs_tol=constants.MATH_CLOSE_PREC): + trade.amount = new_amount + # Fee was applied, so set to 0 + trade.fee_open = 0 + except DependencyException as e: + logger.warning("Could not update trade amount: %s", e) + trade.open_order_id = None logger.info('Partial buy order timeout for %s.', trade) self.rpc.send_msg({ diff --git a/freqtrade/misc.py b/freqtrade/misc.py index 387e8a42f..7682b5285 100644 --- a/freqtrade/misc.py +++ b/freqtrade/misc.py @@ -72,8 +72,10 @@ def json_load(datafile: IO): def file_load_json(file): - gzipfile = file.with_suffix(file.suffix + '.gz') - + if file.suffix != ".gz": + gzipfile = file.with_suffix(file.suffix + '.gz') + else: + gzipfile = file # Try gzip file first, otherwise regular json file. if gzipfile.is_file(): logger.debug('Loading ticker data from file %s', gzipfile) diff --git a/freqtrade/optimize/default_hyperopt.py b/freqtrade/optimize/default_hyperopt.py index 2554982ad..2e2bca3d0 100644 --- a/freqtrade/optimize/default_hyperopt.py +++ b/freqtrade/optimize/default_hyperopt.py @@ -11,7 +11,7 @@ import freqtrade.vendor.qtpylib.indicators as qtpylib from freqtrade.optimize.hyperopt_interface import IHyperOpt -class DefaultHyperOpts(IHyperOpt): +class DefaultHyperOpt(IHyperOpt): """ Default hyperopt provided by the Freqtrade bot. You can override it with your own Hyperopt diff --git a/freqtrade/resolvers/exchange_resolver.py b/freqtrade/resolvers/exchange_resolver.py index 6fb12a65f..8ae40d971 100644 --- a/freqtrade/resolvers/exchange_resolver.py +++ b/freqtrade/resolvers/exchange_resolver.py @@ -3,7 +3,7 @@ This module loads custom exchanges """ import logging -from freqtrade.exchange import Exchange +from freqtrade.exchange import Exchange, MAP_EXCHANGE_CHILDCLASS import freqtrade.exchange as exchanges from freqtrade.resolvers import IResolver @@ -22,6 +22,8 @@ class ExchangeResolver(IResolver): Load the custom class from config parameter :param config: configuration dictionary """ + # Map exchange name to avoid duplicate classes for identical exchanges + exchange_name = MAP_EXCHANGE_CHILDCLASS.get(exchange_name, exchange_name) exchange_name = exchange_name.title() try: self.exchange = self._load_exchange(exchange_name, kwargs={'config': config}) diff --git a/freqtrade/resolvers/hyperopt_resolver.py b/freqtrade/resolvers/hyperopt_resolver.py index e96394d69..db51c3ca5 100644 --- a/freqtrade/resolvers/hyperopt_resolver.py +++ b/freqtrade/resolvers/hyperopt_resolver.py @@ -52,14 +52,8 @@ class HyperOptResolver(IResolver): """ current_path = Path(__file__).parent.parent.joinpath('optimize').resolve() - abs_paths = [ - config['user_data_dir'].joinpath('hyperopts'), - current_path, - ] - - if extra_dir: - # Add extra hyperopt directory on top of search paths - abs_paths.insert(0, Path(extra_dir).resolve()) + abs_paths = self.build_search_paths(config, current_path=current_path, + user_subdir='hyperopts', extra_dir=extra_dir) hyperopt = self._load_object(paths=abs_paths, object_type=IHyperOpt, object_name=hyperopt_name, kwargs={'config': config}) @@ -109,14 +103,8 @@ class HyperOptLossResolver(IResolver): """ current_path = Path(__file__).parent.parent.joinpath('optimize').resolve() - abs_paths = [ - config['user_data_dir'].joinpath('hyperopts'), - current_path, - ] - - if extra_dir: - # Add extra hyperopt directory on top of search paths - abs_paths.insert(0, Path(extra_dir).resolve()) + abs_paths = self.build_search_paths(config, current_path=current_path, + user_subdir='hyperopts', extra_dir=extra_dir) hyperoptloss = self._load_object(paths=abs_paths, object_type=IHyperOptLoss, object_name=hyper_loss_name) diff --git a/freqtrade/resolvers/iresolver.py b/freqtrade/resolvers/iresolver.py index 6303d4801..51c4f7dba 100644 --- a/freqtrade/resolvers/iresolver.py +++ b/freqtrade/resolvers/iresolver.py @@ -7,7 +7,7 @@ import importlib.util import inspect import logging from pathlib import Path -from typing import Any, List, Optional, Tuple, Type, Union +from typing import Any, List, Optional, Tuple, Union, Generator logger = logging.getLogger(__name__) @@ -17,15 +17,29 @@ class IResolver: This class contains all the logic to load custom classes """ + def build_search_paths(self, config, current_path: Path, user_subdir: str, + extra_dir: Optional[str] = None) -> List[Path]: + + abs_paths = [ + config['user_data_dir'].joinpath(user_subdir), + current_path, + ] + + if extra_dir: + # Add extra directory to the top of the search paths + abs_paths.insert(0, Path(extra_dir).resolve()) + + return abs_paths + @staticmethod def _get_valid_object(object_type, module_path: Path, - object_name: str) -> Optional[Type[Any]]: + object_name: str) -> Generator[Any, None, None]: """ - Returns the first object with matching object_type and object_name in the path given. + Generator returning objects with matching object_type and object_name in the path given. :param object_type: object_type (class) :param module_path: absolute path to the module :param object_name: Class name of the object - :return: class or None + :return: generator containing matching objects """ # Generate spec based on absolute path @@ -42,7 +56,7 @@ class IResolver: obj for name, obj in inspect.getmembers(module, inspect.isclass) if object_name == name and object_type in obj.__bases__ ) - return next(valid_objects_gen, None) + return valid_objects_gen @staticmethod def _search_object(directory: Path, object_type, object_name: str, @@ -59,9 +73,9 @@ class IResolver: logger.debug('Ignoring %s', entry) continue module_path = entry.resolve() - obj = IResolver._get_valid_object( - object_type, module_path, object_name - ) + + obj = next(IResolver._get_valid_object(object_type, module_path, object_name), None) + if obj: return (obj(**kwargs), module_path) return (None, None) diff --git a/freqtrade/resolvers/pairlist_resolver.py b/freqtrade/resolvers/pairlist_resolver.py index f38253155..c2782a219 100644 --- a/freqtrade/resolvers/pairlist_resolver.py +++ b/freqtrade/resolvers/pairlist_resolver.py @@ -1,7 +1,7 @@ # pragma pylint: disable=attribute-defined-outside-init """ -This module load custom hyperopts +This module load custom pairlists """ import logging from pathlib import Path @@ -15,7 +15,7 @@ logger = logging.getLogger(__name__) class PairListResolver(IResolver): """ - This class contains all the logic to load custom hyperopt class + This class contains all the logic to load custom PairList class """ __slots__ = ['pairlist'] @@ -39,10 +39,8 @@ class PairListResolver(IResolver): """ current_path = Path(__file__).parent.parent.joinpath('pairlist').resolve() - abs_paths = [ - config['user_data_dir'].joinpath('pairlist'), - current_path, - ] + abs_paths = self.build_search_paths(config, current_path=current_path, + user_subdir='pairlist', extra_dir=None) pairlist = self._load_object(paths=abs_paths, object_type=IPairList, object_name=pairlist_name, kwargs=kwargs) diff --git a/freqtrade/resolvers/strategy_resolver.py b/freqtrade/resolvers/strategy_resolver.py index 43197e5bc..d6fbe9a7a 100644 --- a/freqtrade/resolvers/strategy_resolver.py +++ b/freqtrade/resolvers/strategy_resolver.py @@ -95,7 +95,10 @@ class StrategyResolver(IResolver): logger.info("Override strategy '%s' with value in config file: %s.", attribute, config[attribute]) elif hasattr(self.strategy, attribute): - config[attribute] = getattr(self.strategy, attribute) + val = getattr(self.strategy, attribute) + # None's cannot exist in the config, so do not copy them + if val is not None: + config[attribute] = val # Explicitly check for None here as other "falsy" values are possible elif default is not None: setattr(self.strategy, attribute, default) @@ -121,14 +124,8 @@ class StrategyResolver(IResolver): """ current_path = Path(__file__).parent.parent.joinpath('strategy').resolve() - abs_paths = [ - config['user_data_dir'].joinpath('strategies'), - current_path, - ] - - if extra_dir: - # Add extra strategy directory on top of search paths - abs_paths.insert(0, Path(extra_dir).resolve()) + abs_paths = self.build_search_paths(config, current_path=current_path, + user_subdir='strategies', extra_dir=extra_dir) if ":" in strategy_name: logger.info("loading base64 encoded strategy") diff --git a/freqtrade/rpc/rpc_manager.py b/freqtrade/rpc/rpc_manager.py index 802550b94..cb9e697e9 100644 --- a/freqtrade/rpc/rpc_manager.py +++ b/freqtrade/rpc/rpc_manager.py @@ -18,7 +18,7 @@ class RPCManager: self.registered_modules: List[RPC] = [] # Enable telegram - if freqtrade.config['telegram'].get('enabled', False): + if freqtrade.config.get('telegram', {}).get('enabled', False): logger.info('Enabling rpc.telegram ...') from freqtrade.rpc.telegram import Telegram self.registered_modules.append(Telegram(freqtrade)) diff --git a/freqtrade/strategy/interface.py b/freqtrade/strategy/interface.py index b35ebabbb..014ca9968 100644 --- a/freqtrade/strategy/interface.py +++ b/freqtrade/strategy/interface.py @@ -78,8 +78,8 @@ class IStrategy(ABC): # trailing stoploss trailing_stop: bool = False - trailing_stop_positive: float - trailing_stop_positive_offset: float + trailing_stop_positive: Optional[float] = None + trailing_stop_positive_offset: float = 0.0 trailing_only_offset_is_reached = False # associated ticker interval @@ -347,26 +347,23 @@ class IStrategy(ABC): decides to sell or not :param current_profit: current profit in percent """ - trailing_stop = self.config.get('trailing_stop', False) stop_loss_value = force_stoploss if force_stoploss else self.stoploss # Initiate stoploss with open_rate. Does nothing if stoploss is already set. trade.adjust_stop_loss(trade.open_rate, stop_loss_value, initial=True) - if trailing_stop: + if self.trailing_stop: # trailing stoploss handling - sl_offset = self.config.get('trailing_stop_positive_offset') or 0.0 - tsl_only_offset = self.config.get('trailing_only_offset_is_reached', False) + sl_offset = self.trailing_stop_positive_offset # Make sure current_profit is calculated using high for backtesting. high_profit = current_profit if not high else trade.calc_profit_percent(high) # Don't update stoploss if trailing_only_offset_is_reached is true. - if not (tsl_only_offset and high_profit < sl_offset): + if not (self.trailing_only_offset_is_reached and high_profit < sl_offset): # Specific handling for trailing_stop_positive - if 'trailing_stop_positive' in self.config and high_profit > sl_offset: - # Ignore mypy error check in configuration that this is a float - stop_loss_value = self.config.get('trailing_stop_positive') # type: ignore + if self.trailing_stop_positive is not None and high_profit > sl_offset: + stop_loss_value = self.trailing_stop_positive logger.debug(f"{trade.pair} - Using positive stoploss: {stop_loss_value} " f"offset: {sl_offset:.4g} profit: {current_profit:.4f}%") diff --git a/freqtrade/utils.py b/freqtrade/utils.py index 1f7650420..f68f6efa1 100644 --- a/freqtrade/utils.py +++ b/freqtrade/utils.py @@ -12,7 +12,9 @@ from tabulate import tabulate from freqtrade import OperationalException from freqtrade.configuration import Configuration, TimeRange from freqtrade.configuration.directory_operations import create_userdata_dir -from freqtrade.data.history import refresh_backtest_ohlcv_data +from freqtrade.data.history import (convert_trades_to_ohlcv, + refresh_backtest_ohlcv_data, + refresh_backtest_trades_data) from freqtrade.exchange import (available_exchanges, ccxt_exchanges, market_is_active, symbol_is_pair) from freqtrade.misc import plural @@ -94,9 +96,19 @@ def start_download_data(args: Dict[str, Any]) -> None: # Init exchange exchange = ExchangeResolver(config['exchange']['name'], config).exchange - pairs_not_available = refresh_backtest_ohlcv_data( - exchange, pairs=config["pairs"], timeframes=config["timeframes"], - dl_path=Path(config['datadir']), timerange=timerange, erase=config.get("erase")) + if config.get('download_trades'): + pairs_not_available = refresh_backtest_trades_data( + exchange, pairs=config["pairs"], datadir=Path(config['datadir']), + timerange=timerange, erase=config.get("erase")) + + # Convert downloaded trade data to different timeframes + convert_trades_to_ohlcv( + pairs=config["pairs"], timeframes=config["timeframes"], + datadir=Path(config['datadir']), timerange=timerange, erase=config.get("erase")) + else: + pairs_not_available = refresh_backtest_ohlcv_data( + exchange, pairs=config["pairs"], timeframes=config["timeframes"], + dl_path=Path(config['datadir']), timerange=timerange, erase=config.get("erase")) except KeyboardInterrupt: sys.exit("SIGINT received, aborting ...") diff --git a/mkdocs.yml b/mkdocs.yml index 197df7dc8..863731873 100644 --- a/mkdocs.yml +++ b/mkdocs.yml @@ -52,3 +52,4 @@ markdown_extensions: - pymdownx.tasklist: custom_checkbox: true - pymdownx.tilde + - mdx_truly_sane_lists diff --git a/requirements-common.txt b/requirements-common.txt index 872ebec62..c2c5317dc 100644 --- a/requirements-common.txt +++ b/requirements-common.txt @@ -1,14 +1,14 @@ # requirements without requirements installable via conda # mainly used for Raspberry pi installs -ccxt==1.18.1225 -SQLAlchemy==1.3.9 +ccxt==1.18.1260 +SQLAlchemy==1.3.10 python-telegram-bot==12.1.1 arrow==0.15.2 cachetools==3.1.1 requests==2.22.0 urllib3==1.25.6 wrapt==1.11.2 -jsonschema==3.0.2 +jsonschema==3.1.1 TA-Lib==0.4.17 tabulate==0.8.5 coinmarketcap==5.0.3 diff --git a/requirements-hyperopt.txt b/requirements-hyperopt.txt index 709c43d92..f5dae7332 100644 --- a/requirements-hyperopt.txt +++ b/requirements-hyperopt.txt @@ -1,5 +1,5 @@ # Include all requirements to run the bot. -# -r requirements.txt +-r requirements.txt # Required for hyperopt scipy==1.3.1 diff --git a/tests/conftest.py b/tests/conftest.py index f21d61ee3..305221d6d 100644 --- a/tests/conftest.py +++ b/tests/conftest.py @@ -9,8 +9,8 @@ from pathlib import Path from unittest.mock import MagicMock, PropertyMock import arrow -import pytest import numpy as np +import pytest from telegram import Chat, Message, Update from freqtrade import constants, persistence @@ -19,10 +19,10 @@ from freqtrade.data.converter import parse_ticker_dataframe from freqtrade.edge import Edge, PairInfo from freqtrade.exchange import Exchange from freqtrade.freqtradebot import FreqtradeBot +from freqtrade.persistence import Trade from freqtrade.resolvers import ExchangeResolver from freqtrade.worker import Worker - logging.getLogger('').setLevel(logging.INFO) @@ -653,6 +653,14 @@ def limit_buy_order_old_partial(): } +@pytest.fixture +def limit_buy_order_old_partial_canceled(limit_buy_order_old_partial): + res = deepcopy(limit_buy_order_old_partial) + res['status'] = 'canceled' + res['fee'] = {'cost': 0.0001, 'currency': 'ETH'} + return res + + @pytest.fixture def limit_sell_order(): return { @@ -941,12 +949,6 @@ def result(testdatadir): return parse_ticker_dataframe(json.load(data_file), '1m', pair="UNITTEST/BTC", fill_missing=True) -# FIX: -# Create an fixture/function -# that inserts a trade of some type and open-status -# return the open-order-id -# See tests in rpc/main that could use this - @pytest.fixture(scope="function") def trades_for_order(): @@ -973,6 +975,110 @@ def trades_for_order(): 'fee': {'cost': 0.008, 'currency': 'LTC'}}] +@pytest.fixture(scope="function") +def trades_history(): + return [{'info': {'a': 126181329, + 'p': '0.01962700', + 'q': '0.04000000', + 'f': 138604155, + 'l': 138604155, + 'T': 1565798399463, + 'm': False, + 'M': True}, + 'timestamp': 1565798399463, + 'datetime': '2019-08-14T15:59:59.463Z', + 'symbol': 'ETH/BTC', + 'id': '126181329', + 'order': None, + 'type': None, + 'takerOrMaker': None, + 'side': 'buy', + 'price': 0.019627, + 'amount': 0.04, + 'cost': 0.00078508, + 'fee': None}, + {'info': {'a': 126181330, + 'p': '0.01962700', + 'q': '0.24400000', + 'f': 138604156, + 'l': 138604156, + 'T': 1565798399629, + 'm': False, + 'M': True}, + 'timestamp': 1565798399629, + 'datetime': '2019-08-14T15:59:59.629Z', + 'symbol': 'ETH/BTC', + 'id': '126181330', + 'order': None, + 'type': None, + 'takerOrMaker': None, + 'side': 'buy', + 'price': 0.019627, + 'amount': 0.244, + 'cost': 0.004788987999999999, + 'fee': None}, + {'info': {'a': 126181331, + 'p': '0.01962600', + 'q': '0.01100000', + 'f': 138604157, + 'l': 138604157, + 'T': 1565798399752, + 'm': True, + 'M': True}, + 'timestamp': 1565798399752, + 'datetime': '2019-08-14T15:59:59.752Z', + 'symbol': 'ETH/BTC', + 'id': '126181331', + 'order': None, + 'type': None, + 'takerOrMaker': None, + 'side': 'sell', + 'price': 0.019626, + 'amount': 0.011, + 'cost': 0.00021588599999999999, + 'fee': None}, + {'info': {'a': 126181332, + 'p': '0.01962600', + 'q': '0.01100000', + 'f': 138604158, + 'l': 138604158, + 'T': 1565798399862, + 'm': True, + 'M': True}, + 'timestamp': 1565798399862, + 'datetime': '2019-08-14T15:59:59.862Z', + 'symbol': 'ETH/BTC', + 'id': '126181332', + 'order': None, + 'type': None, + 'takerOrMaker': None, + 'side': 'sell', + 'price': 0.019626, + 'amount': 0.011, + 'cost': 0.00021588599999999999, + 'fee': None}, + {'info': {'a': 126181333, + 'p': '0.01952600', + 'q': '0.01200000', + 'f': 138604158, + 'l': 138604158, + 'T': 1565798399872, + 'm': True, + 'M': True}, + 'timestamp': 1565798399872, + 'datetime': '2019-08-14T15:59:59.872Z', + 'symbol': 'ETH/BTC', + 'id': '126181333', + 'order': None, + 'type': None, + 'takerOrMaker': None, + 'side': 'sell', + 'price': 0.019626, + 'amount': 0.011, + 'cost': 0.00021588599999999999, + 'fee': None}] + + @pytest.fixture(scope="function") def trades_for_order2(): return [{'info': {'id': 34567, @@ -1120,3 +1226,19 @@ def import_fails() -> None: # restore previous importfunction builtins.__import__ = realimport + + +@pytest.fixture(scope="function") +def open_trade(): + return Trade( + pair='ETH/BTC', + open_rate=0.00001099, + exchange='bittrex', + open_order_id='123456789', + amount=90.99181073, + fee_open=0.0, + fee_close=0.0, + stake_amount=1, + open_date=arrow.utcnow().shift(minutes=-601).datetime, + is_open=True + ) diff --git a/tests/data/test_btanalysis.py b/tests/data/test_btanalysis.py index 27a8ee02e..4068e00e4 100644 --- a/tests/data/test_btanalysis.py +++ b/tests/data/test_btanalysis.py @@ -53,12 +53,12 @@ def test_load_trades_db(default_conf, fee, mocker): def test_extract_trades_of_period(testdatadir): pair = "UNITTEST/BTC" - timerange = TimeRange(None, 'line', 0, -1000) + # 2018-11-14 06:07:00 + timerange = TimeRange('date', None, 1510639620, 0) data = load_pair_history(pair=pair, ticker_interval='1m', datadir=testdatadir, timerange=timerange) - # timerange = 2017-11-14 06:07 - 2017-11-14 22:58:00 trades = DataFrame( {'pair': [pair, pair, pair, pair], 'profit_percent': [0.0, 0.1, -0.2, -0.5], diff --git a/tests/data/test_history.py b/tests/data/test_history.py index 96bc0da56..95382768a 100644 --- a/tests/data/test_history.py +++ b/tests/data/test_history.py @@ -13,15 +13,20 @@ from pandas import DataFrame from freqtrade import OperationalException from freqtrade.configuration import TimeRange from freqtrade.data import history -from freqtrade.data.history import (download_pair_history, - _load_cached_data_for_updating, - load_tickerdata_file, +from freqtrade.data.history import (_load_cached_data_for_updating, + convert_trades_to_ohlcv, + download_pair_history, + download_trades_history, + load_tickerdata_file, pair_data_filename, + pair_trades_filename, refresh_backtest_ohlcv_data, + refresh_backtest_trades_data, trim_tickerlist) from freqtrade.exchange import timeframe_to_minutes from freqtrade.misc import file_dump_json from freqtrade.strategy.default_strategy import DefaultStrategy -from tests.conftest import get_patched_exchange, log_has, log_has_re, patch_exchange +from tests.conftest import (get_patched_exchange, log_has, log_has_re, + patch_exchange) # Change this if modifying UNITTEST/BTC testdatafile _BTC_UNITTEST_LENGTH = 13681 @@ -134,6 +139,18 @@ def test_testdata_path(testdatadir) -> None: assert str(Path('tests') / 'testdata') in str(testdatadir) +def test_pair_data_filename(): + fn = pair_data_filename(Path('freqtrade/hello/world'), 'ETH/BTC', '5m') + assert isinstance(fn, Path) + assert fn == Path('freqtrade/hello/world/ETH_BTC-5m.json') + + +def test_pair_trades_filename(): + fn = pair_trades_filename(Path('freqtrade/hello/world'), 'ETH/BTC') + assert isinstance(fn, Path) + assert fn == Path('freqtrade/hello/world/ETH_BTC-trades.json.gz') + + def test_load_cached_data_for_updating(mocker) -> None: datadir = Path(__file__).parent.parent.joinpath('testdata') @@ -364,37 +381,6 @@ def test_trim_tickerlist(testdatadir) -> None: ticker_list = json.load(data_file) ticker_list_len = len(ticker_list) - # Test the pattern ^(-\d+)$ - # This pattern uses the latest N elements - timerange = TimeRange(None, 'line', 0, -5) - ticker = trim_tickerlist(ticker_list, timerange) - ticker_len = len(ticker) - - assert ticker_len == 5 - assert ticker_list[0] is not ticker[0] # The first element should be different - assert ticker_list[-1] is ticker[-1] # The last element must be the same - - # Test the pattern ^(\d+)-$ - # This pattern keep X element from the end - timerange = TimeRange('line', None, 5, 0) - ticker = trim_tickerlist(ticker_list, timerange) - ticker_len = len(ticker) - - assert ticker_len == 5 - assert ticker_list[0] is ticker[0] # The first element must be the same - assert ticker_list[-1] is not ticker[-1] # The last element should be different - - # Test the pattern ^(\d+)-(\d+)$ - # This pattern extract a window - timerange = TimeRange('index', 'index', 5, 10) - ticker = trim_tickerlist(ticker_list, timerange) - ticker_len = len(ticker) - - assert ticker_len == 5 - assert ticker_list[0] is not ticker[0] # The first element should be different - assert ticker_list[5] is ticker[0] # The list starts at the index 5 - assert ticker_list[9] is ticker[-1] # The list ends at the index 9 (5 elements) - # Test the pattern ^(\d{8})-(\d{8})$ # This pattern extract a window between the dates timerange = TimeRange('date', 'date', ticker_list[5][0] / 1000, ticker_list[10][0] / 1000 - 1) @@ -434,13 +420,6 @@ def test_trim_tickerlist(testdatadir) -> None: assert ticker_list_len == ticker_len - # Test invalid timerange (start after stop) - timerange = TimeRange('index', 'index', 10, 5) - with pytest.raises(ValueError, match=r'The timerange .* is incorrect'): - trim_tickerlist(ticker_list, timerange) - - assert ticker_list_len == ticker_len - # passing empty list timerange = TimeRange(None, None, None, 5) ticker = trim_tickerlist([], timerange) @@ -569,3 +548,92 @@ def test_download_data_no_markets(mocker, default_conf, caplog, testdatadir): assert "ETH/BTC" in unav_pairs assert "XRP/BTC" in unav_pairs assert log_has("Skipping pair ETH/BTC...", caplog) + + +def test_refresh_backtest_trades_data(mocker, default_conf, markets, caplog, testdatadir): + dl_mock = mocker.patch('freqtrade.data.history.download_trades_history', MagicMock()) + mocker.patch( + 'freqtrade.exchange.Exchange.markets', PropertyMock(return_value=markets) + ) + mocker.patch.object(Path, "exists", MagicMock(return_value=True)) + mocker.patch.object(Path, "unlink", MagicMock()) + + ex = get_patched_exchange(mocker, default_conf) + timerange = TimeRange.parse_timerange("20190101-20190102") + unavailable_pairs = refresh_backtest_trades_data(exchange=ex, + pairs=["ETH/BTC", "XRP/BTC", "XRP/ETH"], + datadir=testdatadir, + timerange=timerange, erase=True + ) + + assert dl_mock.call_count == 2 + assert dl_mock.call_args[1]['timerange'].starttype == 'date' + + assert log_has("Downloading trades for pair ETH/BTC.", caplog) + assert unavailable_pairs == ["XRP/ETH"] + assert log_has("Skipping pair XRP/ETH...", caplog) + + +def test_download_trades_history(trades_history, mocker, default_conf, testdatadir, caplog) -> None: + + ght_mock = MagicMock(side_effect=lambda pair, *args, **kwargs: (pair, trades_history)) + mocker.patch('freqtrade.exchange.Exchange.get_historic_trades', + ght_mock) + exchange = get_patched_exchange(mocker, default_conf) + file1 = testdatadir / 'ETH_BTC-trades.json.gz' + + _backup_file(file1) + + assert not file1.is_file() + + assert download_trades_history(datadir=testdatadir, exchange=exchange, + pair='ETH/BTC') + assert log_has("New Amount of trades: 5", caplog) + assert file1.is_file() + + # clean files freshly downloaded + _clean_test_file(file1) + + mocker.patch('freqtrade.exchange.Exchange.get_historic_trades', + MagicMock(side_effect=ValueError)) + + assert not download_trades_history(datadir=testdatadir, exchange=exchange, + pair='ETH/BTC') + assert log_has_re('Failed to download historic trades for pair: "ETH/BTC".*', caplog) + + +def test_convert_trades_to_ohlcv(mocker, default_conf, testdatadir, caplog): + + pair = 'XRP/ETH' + file1 = testdatadir / 'XRP_ETH-1m.json' + file5 = testdatadir / 'XRP_ETH-5m.json' + # Compare downloaded dataset with converted dataset + dfbak_1m = history.load_pair_history(datadir=testdatadir, + ticker_interval="1m", + pair=pair) + dfbak_5m = history.load_pair_history(datadir=testdatadir, + ticker_interval="5m", + pair=pair) + + _backup_file(file1, copy_file=True) + _backup_file(file5) + + tr = TimeRange.parse_timerange('20191011-20191012') + + convert_trades_to_ohlcv([pair], timeframes=['1m', '5m'], + datadir=testdatadir, timerange=tr, erase=True) + + assert log_has("Deleting existing data for pair XRP/ETH, interval 1m.", caplog) + # Load new data + df_1m = history.load_pair_history(datadir=testdatadir, + ticker_interval="1m", + pair=pair) + df_5m = history.load_pair_history(datadir=testdatadir, + ticker_interval="5m", + pair=pair) + + assert df_1m.equals(dfbak_1m) + assert df_5m.equals(dfbak_5m) + + _clean_test_file(file1) + _clean_test_file(file5) diff --git a/tests/exchange/test_exchange.py b/tests/exchange/test_exchange.py index a3135415c..1e0a5fdc3 100644 --- a/tests/exchange/test_exchange.py +++ b/tests/exchange/test_exchange.py @@ -144,6 +144,12 @@ def test_exchange_resolver(default_conf, mocker, caplog): assert not log_has_re(r"No .* specific subclass found. Using the generic class instead.", caplog) + # Test mapping + exchange = ExchangeResolver('binanceus', default_conf).exchange + assert isinstance(exchange, Exchange) + assert isinstance(exchange, Binance) + assert not isinstance(exchange, Kraken) + def test_validate_order_time_in_force(default_conf, mocker, caplog): caplog.set_level(logging.INFO) @@ -1138,6 +1144,13 @@ async def test__async_get_candle_history(default_conf, mocker, caplog, exchange_ await exchange._async_get_candle_history(pair, "5m", (arrow.utcnow().timestamp - 2000) * 1000) + with pytest.raises(OperationalException, match=r'Exchange.* does not support fetching ' + r'historical candlestick data\..*'): + api_mock.fetch_ohlcv = MagicMock(side_effect=ccxt.NotSupported("Not supported")) + exchange = get_patched_exchange(mocker, default_conf, api_mock, id=exchange_name) + await exchange._async_get_candle_history(pair, "5m", + (arrow.utcnow().timestamp - 2000) * 1000) + @pytest.mark.asyncio async def test__async_get_candle_history_empty(default_conf, mocker, caplog): @@ -1309,6 +1322,196 @@ async def test___async_get_candle_history_sort(default_conf, mocker, exchange_na assert ticks[9][5] == 2.31452783 +@pytest.mark.asyncio +@pytest.mark.parametrize("exchange_name", EXCHANGES) +async def test__async_fetch_trades(default_conf, mocker, caplog, exchange_name, + trades_history): + + caplog.set_level(logging.DEBUG) + exchange = get_patched_exchange(mocker, default_conf, id=exchange_name) + # Monkey-patch async function + exchange._api_async.fetch_trades = get_mock_coro(trades_history) + + pair = 'ETH/BTC' + res = await exchange._async_fetch_trades(pair, since=None, params=None) + assert type(res) is list + assert isinstance(res[0], dict) + assert isinstance(res[1], dict) + + assert exchange._api_async.fetch_trades.call_count == 1 + assert exchange._api_async.fetch_trades.call_args[0][0] == pair + assert exchange._api_async.fetch_trades.call_args[1]['limit'] == 1000 + + assert log_has_re(f"Fetching trades for pair {pair}, since .*", caplog) + caplog.clear() + exchange._api_async.fetch_trades.reset_mock() + res = await exchange._async_fetch_trades(pair, since=None, params={'from': '123'}) + assert exchange._api_async.fetch_trades.call_count == 1 + assert exchange._api_async.fetch_trades.call_args[0][0] == pair + assert exchange._api_async.fetch_trades.call_args[1]['limit'] == 1000 + assert exchange._api_async.fetch_trades.call_args[1]['params'] == {'from': '123'} + assert log_has_re(f"Fetching trades for pair {pair}, params: .*", caplog) + + exchange = Exchange(default_conf) + await async_ccxt_exception(mocker, default_conf, MagicMock(), + "_async_fetch_trades", "fetch_trades", + pair='ABCD/BTC', since=None) + + api_mock = MagicMock() + with pytest.raises(OperationalException, match=r'Could not fetch trade data*'): + api_mock.fetch_trades = MagicMock(side_effect=ccxt.BaseError("Unknown error")) + exchange = get_patched_exchange(mocker, default_conf, api_mock, id=exchange_name) + await exchange._async_fetch_trades(pair, since=(arrow.utcnow().timestamp - 2000) * 1000) + + with pytest.raises(OperationalException, match=r'Exchange.* does not support fetching ' + r'historical trade data\..*'): + api_mock.fetch_trades = MagicMock(side_effect=ccxt.NotSupported("Not supported")) + exchange = get_patched_exchange(mocker, default_conf, api_mock, id=exchange_name) + await exchange._async_fetch_trades(pair, since=(arrow.utcnow().timestamp - 2000) * 1000) + + +@pytest.mark.asyncio +@pytest.mark.parametrize("exchange_name", EXCHANGES) +async def test__async_get_trade_history_id(default_conf, mocker, caplog, exchange_name, + trades_history): + + exchange = get_patched_exchange(mocker, default_conf, id=exchange_name) + pagination_arg = exchange._trades_pagination_arg + + async def mock_get_trade_hist(pair, *args, **kwargs): + if 'since' in kwargs: + # Return first 3 + return trades_history[:-2] + elif kwargs.get('params', {}).get(pagination_arg) == trades_history[-3]['id']: + # Return 2 + return trades_history[-3:-1] + else: + # Return last 2 + return trades_history[-2:] + # Monkey-patch async function + exchange._async_fetch_trades = MagicMock(side_effect=mock_get_trade_hist) + + pair = 'ETH/BTC' + ret = await exchange._async_get_trade_history_id(pair, since=trades_history[0]["timestamp"], + until=trades_history[-1]["timestamp"]-1) + assert type(ret) is tuple + assert ret[0] == pair + assert type(ret[1]) is list + assert len(ret[1]) == len(trades_history) + assert exchange._async_fetch_trades.call_count == 3 + fetch_trades_cal = exchange._async_fetch_trades.call_args_list + # first call (using since, not fromId) + assert fetch_trades_cal[0][0][0] == pair + assert fetch_trades_cal[0][1]['since'] == trades_history[0]["timestamp"] + + # 2nd call + assert fetch_trades_cal[1][0][0] == pair + assert 'params' in fetch_trades_cal[1][1] + assert exchange._ft_has['trades_pagination_arg'] in fetch_trades_cal[1][1]['params'] + + +@pytest.mark.asyncio +@pytest.mark.parametrize("exchange_name", EXCHANGES) +async def test__async_get_trade_history_time(default_conf, mocker, caplog, exchange_name, + trades_history): + + caplog.set_level(logging.DEBUG) + + async def mock_get_trade_hist(pair, *args, **kwargs): + if kwargs['since'] == trades_history[0]["timestamp"]: + return trades_history[:-1] + else: + return trades_history[-1:] + + caplog.set_level(logging.DEBUG) + exchange = get_patched_exchange(mocker, default_conf, id=exchange_name) + # Monkey-patch async function + exchange._async_fetch_trades = MagicMock(side_effect=mock_get_trade_hist) + pair = 'ETH/BTC' + ret = await exchange._async_get_trade_history_time(pair, since=trades_history[0]["timestamp"], + until=trades_history[-1]["timestamp"]-1) + assert type(ret) is tuple + assert ret[0] == pair + assert type(ret[1]) is list + assert len(ret[1]) == len(trades_history) + assert exchange._async_fetch_trades.call_count == 2 + fetch_trades_cal = exchange._async_fetch_trades.call_args_list + # first call (using since, not fromId) + assert fetch_trades_cal[0][0][0] == pair + assert fetch_trades_cal[0][1]['since'] == trades_history[0]["timestamp"] + + # 2nd call + assert fetch_trades_cal[1][0][0] == pair + assert fetch_trades_cal[0][1]['since'] == trades_history[0]["timestamp"] + assert log_has_re(r"Stopping because until was reached.*", caplog) + + +@pytest.mark.asyncio +@pytest.mark.parametrize("exchange_name", EXCHANGES) +async def test__async_get_trade_history_time_empty(default_conf, mocker, caplog, exchange_name, + trades_history): + + caplog.set_level(logging.DEBUG) + + async def mock_get_trade_hist(pair, *args, **kwargs): + if kwargs['since'] == trades_history[0]["timestamp"]: + return trades_history[:-1] + else: + return [] + + caplog.set_level(logging.DEBUG) + exchange = get_patched_exchange(mocker, default_conf, id=exchange_name) + # Monkey-patch async function + exchange._async_fetch_trades = MagicMock(side_effect=mock_get_trade_hist) + pair = 'ETH/BTC' + ret = await exchange._async_get_trade_history_time(pair, since=trades_history[0]["timestamp"], + until=trades_history[-1]["timestamp"]-1) + assert type(ret) is tuple + assert ret[0] == pair + assert type(ret[1]) is list + assert len(ret[1]) == len(trades_history) - 1 + assert exchange._async_fetch_trades.call_count == 2 + fetch_trades_cal = exchange._async_fetch_trades.call_args_list + # first call (using since, not fromId) + assert fetch_trades_cal[0][0][0] == pair + assert fetch_trades_cal[0][1]['since'] == trades_history[0]["timestamp"] + + +@pytest.mark.parametrize("exchange_name", EXCHANGES) +def test_get_historic_trades(default_conf, mocker, caplog, exchange_name, trades_history): + mocker.patch('freqtrade.exchange.Exchange.exchange_has', return_value=True) + exchange = get_patched_exchange(mocker, default_conf, id=exchange_name) + + pair = 'ETH/BTC' + + exchange._async_get_trade_history_id = get_mock_coro((pair, trades_history)) + exchange._async_get_trade_history_time = get_mock_coro((pair, trades_history)) + ret = exchange.get_historic_trades(pair, since=trades_history[0]["timestamp"], + until=trades_history[-1]["timestamp"]) + + # Depending on the exchange, one or the other method should be called + assert sum([exchange._async_get_trade_history_id.call_count, + exchange._async_get_trade_history_time.call_count]) == 1 + + assert len(ret) == 2 + assert ret[0] == pair + assert len(ret[1]) == len(trades_history) + + +@pytest.mark.parametrize("exchange_name", EXCHANGES) +def test_get_historic_trades_notsupported(default_conf, mocker, caplog, exchange_name, + trades_history): + mocker.patch('freqtrade.exchange.Exchange.exchange_has', return_value=False) + exchange = get_patched_exchange(mocker, default_conf, id=exchange_name) + + pair = 'ETH/BTC' + + with pytest.raises(OperationalException, + match="This exchange does not suport downloading Trades."): + exchange.get_historic_trades(pair, since=trades_history[0]["timestamp"], + until=trades_history[-1]["timestamp"]) + + @pytest.mark.parametrize("exchange_name", EXCHANGES) def test_cancel_order_dry_run(default_conf, mocker, exchange_name): default_conf['dry_run'] = True @@ -1455,13 +1658,17 @@ def test_merge_ft_has_dict(default_conf, mocker): assert ex._ft_has == Exchange._ft_has_default ex = Kraken(default_conf) - assert ex._ft_has == Exchange._ft_has_default + assert ex._ft_has != Exchange._ft_has_default + assert ex._ft_has['trades_pagination'] == 'id' + assert ex._ft_has['trades_pagination_arg'] == 'since' # Binance defines different values ex = Binance(default_conf) assert ex._ft_has != Exchange._ft_has_default assert ex._ft_has['stoploss_on_exchange'] assert ex._ft_has['order_time_in_force'] == ['gtc', 'fok', 'ioc'] + assert ex._ft_has['trades_pagination'] == 'id' + assert ex._ft_has['trades_pagination_arg'] == 'fromId' conf = copy.deepcopy(default_conf) conf['exchange']['_ft_has_params'] = {"DeadBeef": 20, diff --git a/tests/optimize/test_backtesting.py b/tests/optimize/test_backtesting.py index 2b6f63516..998edda8a 100644 --- a/tests/optimize/test_backtesting.py +++ b/tests/optimize/test_backtesting.py @@ -49,7 +49,7 @@ def trim_dictlist(dict_list, num): def load_data_test(what, testdatadir): - timerange = TimeRange(None, 'line', 0, -101) + timerange = TimeRange.parse_timerange('1510694220-1510700340') pair = history.load_tickerdata_file(testdatadir, ticker_interval='1m', pair='UNITTEST/BTC', timerange=timerange) datalen = len(pair) @@ -342,7 +342,8 @@ def test_tickerdata_with_fee(default_conf, mocker, testdatadir) -> None: def test_tickerdata_to_dataframe_bt(default_conf, mocker, testdatadir) -> None: patch_exchange(mocker) - timerange = TimeRange(None, 'line', 0, -100) + # timerange = TimeRange(None, 'line', 0, -100) + timerange = TimeRange.parse_timerange('1510694220-1510700340') tick = history.load_tickerdata_file(testdatadir, 'UNITTEST/BTC', '1m', timerange=timerange) tickerlist = {'UNITTEST/BTC': parse_ticker_dataframe(tick, '1m', pair="UNITTEST/BTC", fill_missing=True)} @@ -474,7 +475,7 @@ def test_backtesting_start(default_conf, mocker, testdatadir, caplog) -> None: default_conf['ticker_interval'] = '1m' default_conf['datadir'] = testdatadir default_conf['export'] = None - default_conf['timerange'] = '-100' + default_conf['timerange'] = '-1510694220' backtesting = Backtesting(default_conf) backtesting.start() @@ -522,7 +523,7 @@ def test_backtest(default_conf, fee, mocker, testdatadir) -> None: patch_exchange(mocker) backtesting = Backtesting(default_conf) pair = 'UNITTEST/BTC' - timerange = TimeRange(None, 'line', 0, -201) + timerange = TimeRange('date', None, 1517227800, 0) data = history.load_data(datadir=testdatadir, ticker_interval='5m', pairs=['UNITTEST/BTC'], timerange=timerange) data_processed = backtesting.strategy.tickerdata_to_dataframe(data) @@ -578,7 +579,7 @@ def test_backtest_1min_ticker_interval(default_conf, fee, mocker, testdatadir) - backtesting = Backtesting(default_conf) # Run a backtesting for an exiting 1min ticker_interval - timerange = TimeRange(None, 'line', 0, -200) + timerange = TimeRange.parse_timerange('1510688220-1510700340') data = history.load_data(datadir=testdatadir, ticker_interval='1m', pairs=['UNITTEST/BTC'], timerange=timerange) processed = backtesting.strategy.tickerdata_to_dataframe(data) @@ -823,7 +824,7 @@ def test_backtest_start_timerange(default_conf, mocker, caplog, testdatadir): '--datadir', str(testdatadir), 'backtesting', '--ticker-interval', '1m', - '--timerange', '-100', + '--timerange', '1510694220-1510700340', '--enable-position-stacking', '--disable-max-market-positions' ] @@ -833,7 +834,7 @@ def test_backtest_start_timerange(default_conf, mocker, caplog, testdatadir): exists = [ 'Parameter -i/--ticker-interval detected ... Using ticker_interval: 1m ...', 'Ignoring max_open_trades (--disable-max-market-positions was used) ...', - 'Parameter --timerange detected: -100 ...', + 'Parameter --timerange detected: 1510694220-1510700340 ...', f'Using data directory: {testdatadir} ...', 'Using stake_currency: BTC ...', 'Using stake_amount: 0.001 ...', @@ -869,7 +870,7 @@ def test_backtest_start_multi_strat(default_conf, mocker, caplog, testdatadir): '--datadir', str(testdatadir), 'backtesting', '--ticker-interval', '1m', - '--timerange', '-100', + '--timerange', '1510694220-1510700340', '--enable-position-stacking', '--disable-max-market-positions', '--strategy-list', @@ -887,7 +888,7 @@ def test_backtest_start_multi_strat(default_conf, mocker, caplog, testdatadir): exists = [ 'Parameter -i/--ticker-interval detected ... Using ticker_interval: 1m ...', 'Ignoring max_open_trades (--disable-max-market-positions was used) ...', - 'Parameter --timerange detected: -100 ...', + 'Parameter --timerange detected: 1510694220-1510700340 ...', f'Using data directory: {testdatadir} ...', 'Using stake_currency: BTC ...', 'Using stake_amount: 0.001 ...', diff --git a/tests/optimize/test_hyperopt.py b/tests/optimize/test_hyperopt.py index c9a112422..052c3ba77 100644 --- a/tests/optimize/test_hyperopt.py +++ b/tests/optimize/test_hyperopt.py @@ -12,7 +12,7 @@ from freqtrade import OperationalException from freqtrade.data.converter import parse_ticker_dataframe from freqtrade.data.history import load_tickerdata_file from freqtrade.optimize import setup_configuration, start_hyperopt -from freqtrade.optimize.default_hyperopt import DefaultHyperOpts +from freqtrade.optimize.default_hyperopt import DefaultHyperOpt from freqtrade.optimize.default_hyperopt_loss import DefaultHyperOptLoss from freqtrade.optimize.hyperopt import Hyperopt from freqtrade.resolvers.hyperopt_resolver import (HyperOptLossResolver, @@ -148,12 +148,12 @@ def test_setup_hyperopt_configuration_with_arguments(mocker, default_conf, caplo def test_hyperoptresolver(mocker, default_conf, caplog) -> None: patched_configuration_load_config_file(mocker, default_conf) - hyperopts = DefaultHyperOpts - delattr(hyperopts, 'populate_buy_trend') - delattr(hyperopts, 'populate_sell_trend') + hyperopt = DefaultHyperOpt + delattr(hyperopt, 'populate_buy_trend') + delattr(hyperopt, 'populate_sell_trend') mocker.patch( 'freqtrade.resolvers.hyperopt_resolver.HyperOptResolver._load_hyperopt', - MagicMock(return_value=hyperopts(default_conf)) + MagicMock(return_value=hyperopt(default_conf)) ) x = HyperOptResolver(default_conf, ).hyperopt assert not hasattr(x, 'populate_buy_trend') diff --git a/tests/strategy/test_interface.py b/tests/strategy/test_interface.py index 094cd41a1..5519b1a34 100644 --- a/tests/strategy/test_interface.py +++ b/tests/strategy/test_interface.py @@ -106,7 +106,7 @@ def test_get_signal_handles_exceptions(mocker, default_conf): def test_tickerdata_to_dataframe(default_conf, testdatadir) -> None: strategy = DefaultStrategy(default_conf) - timerange = TimeRange(None, 'line', 0, -100) + timerange = TimeRange.parse_timerange('1510694220-1510700340') tick = load_tickerdata_file(testdatadir, 'UNITTEST/BTC', '1m', timerange=timerange) tickerlist = {'UNITTEST/BTC': parse_ticker_dataframe(tick, '1m', pair="UNITTEST/BTC", fill_missing=True)} diff --git a/tests/strategy/test_strategy.py b/tests/strategy/test_strategy.py index 88e29b40e..12770f2c7 100644 --- a/tests/strategy/test_strategy.py +++ b/tests/strategy/test_strategy.py @@ -1,6 +1,5 @@ # pragma pylint: disable=missing-docstring, protected-access, C0103 import logging -import tempfile import warnings from base64 import urlsafe_b64encode from os import path @@ -39,7 +38,7 @@ def test_search_strategy(): def test_load_strategy(default_conf, result): default_conf.update({'strategy': 'SampleStrategy'}) resolver = StrategyResolver(default_conf) - assert 'adx' in resolver.strategy.advise_indicators(result, {'pair': 'ETH/BTC'}) + assert 'rsi' in resolver.strategy.advise_indicators(result, {'pair': 'ETH/BTC'}) def test_load_strategy_base64(result, caplog, default_conf): @@ -48,10 +47,10 @@ def test_load_strategy_base64(result, caplog, default_conf): default_conf.update({'strategy': 'SampleStrategy:{}'.format(encoded_string)}) resolver = StrategyResolver(default_conf) - assert 'adx' in resolver.strategy.advise_indicators(result, {'pair': 'ETH/BTC'}) + assert 'rsi' in resolver.strategy.advise_indicators(result, {'pair': 'ETH/BTC'}) # Make sure strategy was loaded from base64 (using temp directory)!! assert log_has_re(r"Using resolved strategy SampleStrategy from '" - + tempfile.gettempdir() + r"/.*/SampleStrategy\.py'\.\.\.", caplog) + r".*(/|\\).*(/|\\)SampleStrategy\.py'\.\.\.", caplog) def test_load_strategy_invalid_directory(result, caplog, default_conf): diff --git a/tests/test_configuration.py b/tests/test_configuration.py index b133c3609..2aa805fe6 100644 --- a/tests/test_configuration.py +++ b/tests/test_configuration.py @@ -399,7 +399,7 @@ def test_setup_configuration_with_arguments(mocker, default_conf, caplog) -> Non assert 'pair_whitelist' in config['exchange'] assert 'datadir' in config assert log_has('Using data directory: {} ...'.format("/foo/bar"), caplog) - assert log_has('Using user-data directory: {} ...'.format("/tmp/freqtrade"), caplog) + assert log_has('Using user-data directory: {} ...'.format(Path("/tmp/freqtrade")), caplog) assert 'user_data_dir' in config assert 'ticker_interval' in config @@ -652,9 +652,9 @@ def test_create_userdata_dir(mocker, default_conf, caplog) -> None: x = create_userdata_dir('/tmp/bar', create_dir=True) assert md.call_count == 7 assert md.call_args[1]['parents'] is False - assert log_has('Created user-data directory: /tmp/bar', caplog) + assert log_has(f'Created user-data directory: {Path("/tmp/bar")}', caplog) assert isinstance(x, Path) - assert str(x) == "/tmp/bar" + assert str(x) == str(Path("/tmp/bar")) def test_create_userdata_dir_exists(mocker, default_conf, caplog) -> None: @@ -669,7 +669,8 @@ def test_create_userdata_dir_exists_exception(mocker, default_conf, caplog) -> N mocker.patch.object(Path, "is_dir", MagicMock(return_value=False)) md = mocker.patch.object(Path, 'mkdir', MagicMock()) - with pytest.raises(OperationalException, match=r'Directory `/tmp/bar` does not exist.*'): + with pytest.raises(OperationalException, + match=r'Directory `.{1,2}tmp.{1,2}bar` does not exist.*'): create_userdata_dir('/tmp/bar', create_dir=False) assert md.call_count == 0 diff --git a/tests/test_freqtradebot.py b/tests/test_freqtradebot.py index 7fb84f078..f1533d867 100644 --- a/tests/test_freqtradebot.py +++ b/tests/test_freqtradebot.py @@ -1449,7 +1449,7 @@ def test_tsl_on_exchange_compatible_with_edge(mocker, edge_conf, fee, caplog, # setting stoploss freqtrade.strategy.stoploss = -0.02 - # setting stoploss_on_exchange_interval to 0 second + # setting stoploss_on_exchange_interval to 0 seconds freqtrade.strategy.order_types['stoploss_on_exchange_interval'] = 0 patch_get_signal(freqtrade) @@ -1678,7 +1678,7 @@ def test_update_trade_state_exception(mocker, default_conf, # Test raise of OperationalException exception mocker.patch( 'freqtrade.freqtradebot.FreqtradeBot.get_real_amount', - side_effect=OperationalException() + side_effect=DependencyException() ) freqtrade.update_trade_state(trade) assert log_has('Could not update trade amount: ', caplog) @@ -1916,7 +1916,8 @@ def test_close_trade(default_conf, ticker, limit_buy_order, limit_sell_order, freqtrade.handle_trade(trade) -def test_check_handle_timedout_buy(default_conf, ticker, limit_buy_order_old, fee, mocker) -> None: +def test_check_handle_timedout_buy(default_conf, ticker, limit_buy_order_old, open_trade, + fee, mocker) -> None: rpc_mock = patch_RPCManager(mocker) cancel_order_mock = MagicMock() patch_exchange(mocker) @@ -1929,31 +1930,18 @@ def test_check_handle_timedout_buy(default_conf, ticker, limit_buy_order_old, fe ) freqtrade = FreqtradeBot(default_conf) - trade_buy = Trade( - pair='ETH/BTC', - open_rate=0.00001099, - exchange='bittrex', - open_order_id='123456789', - amount=90.99181073, - fee_open=0.0, - fee_close=0.0, - stake_amount=1, - open_date=arrow.utcnow().shift(minutes=-601).datetime, - is_open=True - ) - - Trade.session.add(trade_buy) + Trade.session.add(open_trade) # check it does cancel buy orders over the time limit freqtrade.check_handle_timedout() assert cancel_order_mock.call_count == 1 assert rpc_mock.call_count == 1 - trades = Trade.query.filter(Trade.open_order_id.is_(trade_buy.open_order_id)).all() + trades = Trade.query.filter(Trade.open_order_id.is_(open_trade.open_order_id)).all() nb_trades = len(trades) assert nb_trades == 0 -def test_check_handle_cancelled_buy(default_conf, ticker, limit_buy_order_old, +def test_check_handle_cancelled_buy(default_conf, ticker, limit_buy_order_old, open_trade, fee, mocker, caplog) -> None: """ Handle Buy order cancelled on exchange""" rpc_mock = patch_RPCManager(mocker) @@ -1969,32 +1957,19 @@ def test_check_handle_cancelled_buy(default_conf, ticker, limit_buy_order_old, ) freqtrade = FreqtradeBot(default_conf) - trade_buy = Trade( - pair='ETH/BTC', - open_rate=0.00001099, - exchange='bittrex', - open_order_id='123456789', - amount=90.99181073, - fee_open=0.0, - fee_close=0.0, - stake_amount=1, - open_date=arrow.utcnow().shift(minutes=-601).datetime, - is_open=True - ) - - Trade.session.add(trade_buy) + Trade.session.add(open_trade) # check it does cancel buy orders over the time limit freqtrade.check_handle_timedout() assert cancel_order_mock.call_count == 0 assert rpc_mock.call_count == 1 - trades = Trade.query.filter(Trade.open_order_id.is_(trade_buy.open_order_id)).all() + trades = Trade.query.filter(Trade.open_order_id.is_(open_trade.open_order_id)).all() nb_trades = len(trades) assert nb_trades == 0 assert log_has_re("Buy order canceled on Exchange for Trade.*", caplog) -def test_check_handle_timedout_buy_exception(default_conf, ticker, limit_buy_order_old, +def test_check_handle_timedout_buy_exception(default_conf, ticker, limit_buy_order_old, open_trade, fee, mocker) -> None: rpc_mock = patch_RPCManager(mocker) cancel_order_mock = MagicMock() @@ -2009,31 +1984,19 @@ def test_check_handle_timedout_buy_exception(default_conf, ticker, limit_buy_ord ) freqtrade = FreqtradeBot(default_conf) - trade_buy = Trade( - pair='ETH/BTC', - open_rate=0.00001099, - exchange='bittrex', - open_order_id='123456789', - amount=90.99181073, - fee_open=0.0, - fee_close=0.0, - stake_amount=1, - open_date=arrow.utcnow().shift(minutes=-601).datetime, - is_open=True - ) - - Trade.session.add(trade_buy) + Trade.session.add(open_trade) # check it does cancel buy orders over the time limit freqtrade.check_handle_timedout() assert cancel_order_mock.call_count == 0 assert rpc_mock.call_count == 0 - trades = Trade.query.filter(Trade.open_order_id.is_(trade_buy.open_order_id)).all() + trades = Trade.query.filter(Trade.open_order_id.is_(open_trade.open_order_id)).all() nb_trades = len(trades) assert nb_trades == 1 -def test_check_handle_timedout_sell(default_conf, ticker, limit_sell_order_old, mocker) -> None: +def test_check_handle_timedout_sell(default_conf, ticker, limit_sell_order_old, mocker, + open_trade) -> None: rpc_mock = patch_RPCManager(mocker) cancel_order_mock = MagicMock() patch_exchange(mocker) @@ -2045,30 +2008,20 @@ def test_check_handle_timedout_sell(default_conf, ticker, limit_sell_order_old, ) freqtrade = FreqtradeBot(default_conf) - trade_sell = Trade( - pair='ETH/BTC', - open_rate=0.00001099, - exchange='bittrex', - open_order_id='123456789', - amount=90.99181073, - fee_open=0.0, - fee_close=0.0, - stake_amount=1, - open_date=arrow.utcnow().shift(hours=-5).datetime, - close_date=arrow.utcnow().shift(minutes=-601).datetime, - is_open=False - ) + open_trade.open_date = arrow.utcnow().shift(hours=-5).datetime + open_trade.close_date = arrow.utcnow().shift(minutes=-601).datetime + open_trade.is_open = False - Trade.session.add(trade_sell) + Trade.session.add(open_trade) # check it does cancel sell orders over the time limit freqtrade.check_handle_timedout() assert cancel_order_mock.call_count == 1 assert rpc_mock.call_count == 1 - assert trade_sell.is_open is True + assert open_trade.is_open is True -def test_check_handle_cancelled_sell(default_conf, ticker, limit_sell_order_old, +def test_check_handle_cancelled_sell(default_conf, ticker, limit_sell_order_old, open_trade, mocker, caplog) -> None: """ Handle sell order cancelled on exchange""" rpc_mock = patch_RPCManager(mocker) @@ -2083,34 +2036,24 @@ def test_check_handle_cancelled_sell(default_conf, ticker, limit_sell_order_old, ) freqtrade = FreqtradeBot(default_conf) - trade_sell = Trade( - pair='ETH/BTC', - open_rate=0.00001099, - exchange='bittrex', - open_order_id='123456789', - amount=90.99181073, - fee_open=0.0, - fee_close=0.0, - stake_amount=1, - open_date=arrow.utcnow().shift(hours=-5).datetime, - close_date=arrow.utcnow().shift(minutes=-601).datetime, - is_open=False - ) + open_trade.open_date = arrow.utcnow().shift(hours=-5).datetime + open_trade.close_date = arrow.utcnow().shift(minutes=-601).datetime + open_trade.is_open = False - Trade.session.add(trade_sell) + Trade.session.add(open_trade) # check it does cancel sell orders over the time limit freqtrade.check_handle_timedout() assert cancel_order_mock.call_count == 0 assert rpc_mock.call_count == 1 - assert trade_sell.is_open is True + assert open_trade.is_open is True assert log_has_re("Sell order canceled on exchange for Trade.*", caplog) def test_check_handle_timedout_partial(default_conf, ticker, limit_buy_order_old_partial, - mocker) -> None: + open_trade, mocker) -> None: rpc_mock = patch_RPCManager(mocker) - cancel_order_mock = MagicMock() + cancel_order_mock = MagicMock(return_value=limit_buy_order_old_partial) patch_exchange(mocker) mocker.patch.multiple( 'freqtrade.exchange.Exchange', @@ -2120,33 +2063,97 @@ def test_check_handle_timedout_partial(default_conf, ticker, limit_buy_order_old ) freqtrade = FreqtradeBot(default_conf) - trade_buy = Trade( - pair='ETH/BTC', - open_rate=0.00001099, - exchange='bittrex', - open_order_id='123456789', - amount=90.99181073, - fee_open=0.0, - fee_close=0.0, - stake_amount=1, - open_date=arrow.utcnow().shift(minutes=-601).datetime, - is_open=True - ) - - Trade.session.add(trade_buy) + Trade.session.add(open_trade) # check it does cancel buy orders over the time limit # note this is for a partially-complete buy order freqtrade.check_handle_timedout() assert cancel_order_mock.call_count == 1 assert rpc_mock.call_count == 1 - trades = Trade.query.filter(Trade.open_order_id.is_(trade_buy.open_order_id)).all() + trades = Trade.query.filter(Trade.open_order_id.is_(open_trade.open_order_id)).all() assert len(trades) == 1 assert trades[0].amount == 23.0 - assert trades[0].stake_amount == trade_buy.open_rate * trades[0].amount + assert trades[0].stake_amount == open_trade.open_rate * trades[0].amount -def test_check_handle_timedout_exception(default_conf, ticker, mocker, caplog) -> None: +def test_check_handle_timedout_partial_fee(default_conf, ticker, open_trade, caplog, fee, + limit_buy_order_old_partial, trades_for_order, + limit_buy_order_old_partial_canceled, mocker) -> None: + rpc_mock = patch_RPCManager(mocker) + cancel_order_mock = MagicMock(return_value=limit_buy_order_old_partial_canceled) + patch_exchange(mocker) + mocker.patch.multiple( + 'freqtrade.exchange.Exchange', + get_ticker=ticker, + get_order=MagicMock(return_value=limit_buy_order_old_partial), + cancel_order=cancel_order_mock, + get_trades_for_order=MagicMock(return_value=trades_for_order), + ) + freqtrade = FreqtradeBot(default_conf) + + assert open_trade.amount == limit_buy_order_old_partial['amount'] + + open_trade.fee_open = fee() + open_trade.fee_close = fee() + Trade.session.add(open_trade) + # cancelling a half-filled order should update the amount to the bought amount + # and apply fees if necessary. + freqtrade.check_handle_timedout() + + assert log_has_re(r"Applying fee on amount for Trade.* Order", caplog) + + assert cancel_order_mock.call_count == 1 + assert rpc_mock.call_count == 1 + trades = Trade.query.filter(Trade.open_order_id.is_(open_trade.open_order_id)).all() + assert len(trades) == 1 + # Verify that tradehas been updated + assert trades[0].amount == (limit_buy_order_old_partial['amount'] - + limit_buy_order_old_partial['remaining']) - 0.0001 + assert trades[0].open_order_id is None + assert trades[0].fee_open == 0 + + +def test_check_handle_timedout_partial_except(default_conf, ticker, open_trade, caplog, fee, + limit_buy_order_old_partial, trades_for_order, + limit_buy_order_old_partial_canceled, mocker) -> None: + rpc_mock = patch_RPCManager(mocker) + cancel_order_mock = MagicMock(return_value=limit_buy_order_old_partial_canceled) + patch_exchange(mocker) + mocker.patch.multiple( + 'freqtrade.exchange.Exchange', + get_ticker=ticker, + get_order=MagicMock(return_value=limit_buy_order_old_partial), + cancel_order=cancel_order_mock, + get_trades_for_order=MagicMock(return_value=trades_for_order), + ) + mocker.patch('freqtrade.freqtradebot.FreqtradeBot.get_real_amount', + MagicMock(side_effect=DependencyException)) + freqtrade = FreqtradeBot(default_conf) + + assert open_trade.amount == limit_buy_order_old_partial['amount'] + + open_trade.fee_open = fee() + open_trade.fee_close = fee() + Trade.session.add(open_trade) + # cancelling a half-filled order should update the amount to the bought amount + # and apply fees if necessary. + freqtrade.check_handle_timedout() + + assert log_has_re(r"Could not update trade amount: .*", caplog) + + assert cancel_order_mock.call_count == 1 + assert rpc_mock.call_count == 1 + trades = Trade.query.filter(Trade.open_order_id.is_(open_trade.open_order_id)).all() + assert len(trades) == 1 + # Verify that tradehas been updated + + assert trades[0].amount == (limit_buy_order_old_partial['amount'] - + limit_buy_order_old_partial['remaining']) + assert trades[0].open_order_id is None + assert trades[0].fee_open == fee() + + +def test_check_handle_timedout_exception(default_conf, ticker, open_trade, mocker, caplog) -> None: patch_RPCManager(mocker) patch_exchange(mocker) cancel_order_mock = MagicMock() @@ -2164,34 +2171,20 @@ def test_check_handle_timedout_exception(default_conf, ticker, mocker, caplog) - ) freqtrade = FreqtradeBot(default_conf) - open_date = arrow.utcnow().shift(minutes=-601) - trade_buy = Trade( - pair='ETH/BTC', - open_rate=0.00001099, - exchange='bittrex', - open_order_id='123456789', - amount=90.99181073, - fee_open=0.0, - fee_close=0.0, - stake_amount=1, - open_date=open_date.datetime, - is_open=True - ) - - Trade.session.add(trade_buy) + Trade.session.add(open_trade) freqtrade.check_handle_timedout() assert log_has_re(r"Cannot query order for Trade\(id=1, pair=ETH/BTC, amount=90.99181073, " r"open_rate=0.00001099, open_since=" - f"{open_date.strftime('%Y-%m-%d %H:%M:%S')}" + f"{open_trade.open_date.strftime('%Y-%m-%d %H:%M:%S')}" r"\) due to Traceback \(most recent call last\):\n*", caplog) -def test_handle_timedout_limit_buy(mocker, default_conf) -> None: +def test_handle_timedout_limit_buy(mocker, default_conf, limit_buy_order) -> None: patch_RPCManager(mocker) patch_exchange(mocker) - cancel_order_mock = MagicMock() + cancel_order_mock = MagicMock(return_value=limit_buy_order) mocker.patch.multiple( 'freqtrade.exchange.Exchange', cancel_order=cancel_order_mock @@ -2201,13 +2194,14 @@ def test_handle_timedout_limit_buy(mocker, default_conf) -> None: Trade.session = MagicMock() trade = MagicMock() - order = {'remaining': 1, - 'amount': 1} - assert freqtrade.handle_timedout_limit_buy(trade, order) + limit_buy_order['remaining'] = limit_buy_order['amount'] + assert freqtrade.handle_timedout_limit_buy(trade, limit_buy_order) + assert cancel_order_mock.call_count == 1 + + cancel_order_mock.reset_mock() + limit_buy_order['amount'] = 2 + assert not freqtrade.handle_timedout_limit_buy(trade, limit_buy_order) assert cancel_order_mock.call_count == 1 - order['amount'] = 2 - assert not freqtrade.handle_timedout_limit_buy(trade, order) - assert cancel_order_mock.call_count == 2 def test_handle_timedout_limit_sell(mocker, default_conf) -> None: @@ -3361,7 +3355,7 @@ def test_get_real_amount_wrong_amount(default_conf, trades_for_order, buy_order_ patch_get_signal(freqtrade) # Amount does not change - with pytest.raises(OperationalException, match=r"Half bought\? Amounts don't match"): + with pytest.raises(DependencyException, match=r"Half bought\? Amounts don't match"): freqtrade.get_real_amount(trade, limit_buy_order) diff --git a/tests/test_plotting.py b/tests/test_plotting.py index 86f5610da..a39b2b76e 100644 --- a/tests/test_plotting.py +++ b/tests/test_plotting.py @@ -214,11 +214,12 @@ def test_generate_plot_file(mocker, caplog): store_plot_file(fig, filename="freqtrade-plot-UNITTEST_BTC-5m.html", directory=Path("user_data/plots")) + expected_fn = str(Path("user_data/plots/freqtrade-plot-UNITTEST_BTC-5m.html")) assert plot_mock.call_count == 1 assert plot_mock.call_args[0][0] == fig assert (plot_mock.call_args_list[0][1]['filename'] - == "user_data/plots/freqtrade-plot-UNITTEST_BTC-5m.html") - assert log_has("Stored plot as user_data/plots/freqtrade-plot-UNITTEST_BTC-5m.html", + == expected_fn) + assert log_has(f"Stored plot as {expected_fn}", caplog) diff --git a/tests/test_timerange.py b/tests/test_timerange.py index 6599472fb..4851cbebd 100644 --- a/tests/test_timerange.py +++ b/tests/test_timerange.py @@ -5,9 +5,6 @@ from freqtrade.configuration import TimeRange def test_parse_timerange_incorrect() -> None: - assert TimeRange(None, 'line', 0, -200) == TimeRange.parse_timerange('-200') - assert TimeRange('line', None, 200, 0) == TimeRange.parse_timerange('200-') - assert TimeRange('index', 'index', 200, 500) == TimeRange.parse_timerange('200-500') assert TimeRange('date', None, 1274486400, 0) == TimeRange.parse_timerange('20100522-') assert TimeRange(None, 'date', 0, 1274486400) == TimeRange.parse_timerange('-20100522') @@ -20,9 +17,14 @@ def test_parse_timerange_incorrect() -> None: timerange = TimeRange.parse_timerange('1231006505-1233360000') assert TimeRange('date', 'date', 1231006505, 1233360000) == timerange - # TODO: Find solution for the following case (passing timestamp in ms) timerange = TimeRange.parse_timerange('1231006505000-1233360000000') - assert TimeRange('date', 'date', 1231006505, 1233360000) != timerange + assert TimeRange('date', 'date', 1231006505, 1233360000) == timerange + + timerange = TimeRange.parse_timerange('1231006505000-') + assert TimeRange('date', None, 1231006505, 0) == timerange + + timerange = TimeRange.parse_timerange('-1231006505000') + assert TimeRange(None, 'date', 0, 1231006505) == timerange with pytest.raises(Exception, match=r'Incorrect syntax.*'): TimeRange.parse_timerange('-') diff --git a/tests/test_utils.py b/tests/test_utils.py index 3993787a6..35e18246c 100644 --- a/tests/test_utils.py +++ b/tests/test_utils.py @@ -497,3 +497,25 @@ def test_download_data_no_pairs(mocker, caplog): with pytest.raises(OperationalException, match=r"Downloading data requires a list of pairs\..*"): start_download_data(pargs) + + +def test_download_data_trades(mocker, caplog): + dl_mock = mocker.patch('freqtrade.utils.refresh_backtest_trades_data', + MagicMock(return_value=[])) + convert_mock = mocker.patch('freqtrade.utils.convert_trades_to_ohlcv', + MagicMock(return_value=[])) + patch_exchange(mocker) + mocker.patch( + 'freqtrade.exchange.Exchange.markets', PropertyMock(return_value={}) + ) + args = [ + "download-data", + "--exchange", "kraken", + "--pairs", "ETH/BTC", "XRP/BTC", + "--days", "20", + "--dl-trades" + ] + start_download_data(get_args(args)) + assert dl_mock.call_args[1]['timerange'].starttype == "date" + assert dl_mock.call_count == 1 + assert convert_mock.call_count == 1 diff --git a/tests/testdata/XRP_ETH-1m.json b/tests/testdata/XRP_ETH-1m.json new file mode 100644 index 000000000..4ec7c15ab --- /dev/null +++ b/tests/testdata/XRP_ETH-1m.json @@ -0,0 +1 @@ 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diff --git a/tests/testdata/XRP_ETH-5m.json b/tests/testdata/XRP_ETH-5m.json new file mode 100644 index 000000000..92da3c17d --- /dev/null +++ b/tests/testdata/XRP_ETH-5m.json @@ -0,0 +1 @@ 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diff --git a/tests/testdata/XRP_ETH-trades.json.gz b/tests/testdata/XRP_ETH-trades.json.gz new file mode 100644 index 000000000..69b92cac8 Binary files /dev/null and b/tests/testdata/XRP_ETH-trades.json.gz differ diff --git a/user_data/strategies/sample_strategy.py b/user_data/strategies/sample_strategy.py index 623addb1e..80c30283d 100644 --- a/user_data/strategies/sample_strategy.py +++ b/user_data/strategies/sample_strategy.py @@ -34,9 +34,8 @@ class SampleStrategy(IStrategy): # Minimal ROI designed for the strategy. # This attribute will be overridden if the config file contains "minimal_roi". minimal_roi = { - "40": 0.0, - "30": 0.01, - "20": 0.02, + "60": 0.01, + "30": 0.02, "0": 0.04 } @@ -99,13 +98,16 @@ class SampleStrategy(IStrategy): :return: a Dataframe with all mandatory indicators for the strategies """ - # Momentum Indicator + # Momentum Indicators # ------------------------------------ + # RSI + dataframe['rsi'] = ta.RSI(dataframe) + + """ # ADX dataframe['adx'] = ta.ADX(dataframe) - """ # Awesome oscillator dataframe['ao'] = qtpylib.awesome_oscillator(dataframe) @@ -133,9 +135,6 @@ class SampleStrategy(IStrategy): # ROC dataframe['roc'] = ta.ROC(dataframe) - # RSI - dataframe['rsi'] = ta.RSI(dataframe) - # Inverse Fisher transform on RSI, values [-1.0, 1.0] (https://goo.gl/2JGGoy) rsi = 0.1 * (dataframe['rsi'] - 50) dataframe['fisher_rsi'] = (numpy.exp(2 * rsi) - 1) / (numpy.exp(2 * rsi) + 1) @@ -255,7 +254,7 @@ class SampleStrategy(IStrategy): dataframe['ha_low'] = heikinashi['low'] """ - # Retrieve best bid and best ask + # Retrieve best bid and best ask from the orderbook # ------------------------------------ """ # first check if dataprovider is available @@ -277,9 +276,9 @@ class SampleStrategy(IStrategy): """ dataframe.loc[ ( - (dataframe['adx'] > 30) & - (dataframe['tema'] <= dataframe['bb_middleband']) & - (dataframe['tema'] > dataframe['tema'].shift(1)) & + (qtpylib.crossed_above(dataframe['rsi'], 30)) & # Signal: RSI crosses above 30 + (dataframe['tema'] <= dataframe['bb_middleband']) & # Guard: tema below BB middle + (dataframe['tema'] > dataframe['tema'].shift(1)) & # Guard: tema is raising (dataframe['volume'] > 0) # Make sure Volume is not 0 ), 'buy'] = 1 @@ -295,9 +294,9 @@ class SampleStrategy(IStrategy): """ dataframe.loc[ ( - (dataframe['adx'] > 70) & - (dataframe['tema'] > dataframe['bb_middleband']) & - (dataframe['tema'] < dataframe['tema'].shift(1)) & + (qtpylib.crossed_above(dataframe['rsi'], 70)) & # Signal: RSI crosses above 70 + (dataframe['tema'] > dataframe['bb_middleband']) & # Guard: tema above BB middle + (dataframe['tema'] < dataframe['tema'].shift(1)) & # Guard: tema is falling (dataframe['volume'] > 0) # Make sure Volume is not 0 ), 'sell'] = 1