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added test_VolumePairList_range to test_pairlist.py

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This commit is contained in:
nightshift2k 2021-07-05 20:59:27 +02:00
parent 85c7b55750
commit 1e87225e91
2 changed files with 96 additions and 2 deletions
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3
freqtrade/plugins/pairlist/VolumePairList.py
View File

@ -171,13 +171,12 @@ class VolumePairList(IPairList):
candles = self._exchange.refresh_latest_ohlcv(
needed_pairs, since_ms=since_ms, cache=False
)
for i, p in enumerate(filtered_tickers):
pair_candles = candles[
(p['symbol'], self._lookback_timeframe)
] if (p['symbol'], self._lookback_timeframe) in candles else None
# in case of candle data calculate typical price and quoteVolume for candle
if not pair_candles.empty:
if pair_candles is not None and not pair_candles.empty:
pair_candles['typical_price'] = (pair_candles['high'] + pair_candles['low']
+ pair_candles['close']) / 3
pair_candles['quoteVolume'] = (

95
tests/plugins/test_pairlist.py
View File

@ -507,6 +507,101 @@ def test_VolumePairList_whitelist_gen(mocker, whitelist_conf, shitcoinmarkets, t
assert log_has_re(r'^Removed .* from whitelist, because volatility.*$', caplog)
@pytest.mark.parametrize("pairlists,base_currency,volumefilter_result", [
# default refresh of 1800 to small for daily candle lookback
([{"method": "VolumePairList", "number_assets": 5, "sort_key": "quoteVolume",
"lookback_days": 1}],
"BTC", "default_refresh_too_short"), # OperationalException expected
# ambigous configuration with lookback days and period
([{"method": "VolumePairList", "number_assets": 5, "sort_key": "quoteVolume",
"lookback_days": 1, "lookback_period": 1}],
"BTC", "lookback_days_and_period"), # OperationalException expected
# negative lookback period
([{"method": "VolumePairList", "number_assets": 5, "sort_key": "quoteVolume",
"lookback_timeframe": "1d", "lookback_period": -1}],
"BTC", "lookback_period_negative"), # OperationalException expected
# lookback range exceedes exchange limit
([{"method": "VolumePairList", "number_assets": 5, "sort_key": "quoteVolume",
"lookback_timeframe": "1m", "lookback_period": 2000, "refresh_period": 3600}],
"BTC", 'lookback_exceeds_exchange_request_size'), # OperationalException expected
# expecing pairs as given
([{"method": "VolumePairList", "number_assets": 5, "sort_key": "quoteVolume",
"lookback_timeframe": "1d", "lookback_period": 1, "refresh_period": 86400}],
"BTC", ['LTC/BTC', 'XRP/BTC', 'ETH/BTC', 'TKN/BTC', 'HOT/BTC']),
# expecting pairs from default tickers, because 1h candles are not available
([{"method": "VolumePairList", "number_assets": 5, "sort_key": "quoteVolume",
"lookback_timeframe": "1h", "lookback_period": 2, "refresh_period": 3600}],
"BTC", ['ETH/BTC', 'TKN/BTC', 'LTC/BTC', 'HOT/BTC', 'FUEL/BTC']),
])
def test_VolumePairList_range(mocker, whitelist_conf, shitcoinmarkets, tickers, ohlcv_history,
pairlists, base_currency, volumefilter_result, caplog) -> None:
whitelist_conf['pairlists'] = pairlists
whitelist_conf['stake_currency'] = base_currency
ohlcv_history_high_vola = ohlcv_history.copy()
ohlcv_history_high_vola.loc[ohlcv_history_high_vola.index == 1, 'close'] = 0.00090
# create candles for high volume
ohlcv_history_high_volume = ohlcv_history.copy()
ohlcv_history_high_volume.loc[ohlcv_history_high_volume.index == 1, 'volume'] = 10
ohlcv_data = {
('ETH/BTC', '1d'): ohlcv_history,
('TKN/BTC', '1d'): ohlcv_history,
('LTC/BTC', '1d'): ohlcv_history_high_volume,
('XRP/BTC', '1d'): ohlcv_history_high_vola,
('HOT/BTC', '1d'): ohlcv_history,
}
mocker.patch('freqtrade.exchange.Exchange.exchange_has', MagicMock(return_value=True))
if volumefilter_result == 'default_refresh_too_short':
with pytest.raises(OperationalException,
match=r'Refresh period of [0-9]+ seconds is smaller than one timeframe '
r'of [0-9]+.*\. Please adjust refresh_period to at least [0-9]+ '
r'and restart the bot\.'):
freqtrade = get_patched_freqtradebot(mocker, whitelist_conf)
return
elif volumefilter_result == 'lookback_days_and_period':
with pytest.raises(OperationalException,
match=r'Ambigous configuration: lookback_days and lookback_period both '
r'set in pairlist config\..*'):
freqtrade = get_patched_freqtradebot(mocker, whitelist_conf)
elif volumefilter_result == 'lookback_period_negative':
with pytest.raises(OperationalException,
match=r'VolumeFilter requires lookback_period to be >= 0'):
freqtrade = get_patched_freqtradebot(mocker, whitelist_conf)
elif volumefilter_result == 'lookback_exceeds_exchange_request_size':
with pytest.raises(OperationalException,
match=r'VolumeFilter requires lookback_period to not exceed '
r'exchange max request size \([0-9]+\)'):
freqtrade = get_patched_freqtradebot(mocker, whitelist_conf)
else:
freqtrade = get_patched_freqtradebot(mocker, whitelist_conf)
mocker.patch.multiple(
'freqtrade.exchange.Exchange',
get_tickers=tickers,
markets=PropertyMock(return_value=shitcoinmarkets)
)
# remove ohlcv when looback_timeframe != 1d
# to enforce fallback to ticker data
if 'lookback_timeframe' in pairlists[0]:
if pairlists[0]['lookback_timeframe'] != '1d':
ohlcv_data = []
mocker.patch.multiple(
'freqtrade.exchange.Exchange',
refresh_latest_ohlcv=MagicMock(return_value=ohlcv_data),
)
freqtrade.pairlists.refresh_pairlist()
whitelist = freqtrade.pairlists.whitelist
assert isinstance(whitelist, list)
assert whitelist == volumefilter_result
def test_PrecisionFilter_error(mocker, whitelist_conf) -> None:
whitelist_conf['pairlists'] = [{"method": "StaticPairList"}, {"method": "PrecisionFilter"}]
del whitelist_conf['stoploss']