Merge pull request #817 from gcarq/feature/gdax

Enable Backtesting with GDAX and allow trading with EUR/USD
2018-06-03 17:49:20 +03:00 · 2018-06-03 17:49:20 +03:00 · 20815771ab
commit 20815771ab
parent b6754601ef e8a59f4c20
5 changed files with 103 additions and 5 deletions
--- a/freqtrade/constants.py
+++ b/freqtrade/constants.py
@ -37,7 +37,7 @@ CONF_SCHEMA = {
    'properties': {
        'max_open_trades': {'type': 'integer', 'minimum': 0},
        'ticker_interval': {'type': 'string', 'enum': list(TICKER_INTERVAL_MINUTES.keys())},
-        'stake_currency': {'type': 'string', 'enum': ['BTC', 'ETH', 'USDT']},
+        'stake_currency': {'type': 'string', 'enum': ['BTC', 'ETH', 'USDT', 'EUR', 'USD']},
        'stake_amount': {'type': 'number', 'minimum': 0.0005},
        'fiat_display_currency': {'type': 'string', 'enum': SUPPORTED_FIAT},
        'dry_run': {'type': 'boolean'},
--- a/freqtrade/exchange/init.py
+++ b/freqtrade/exchange/init.py
@ -294,6 +294,11 @@ def get_ticker_history(pair: str, tick_interval: str, since_ms: Optional[int] =
        while not since_ms or since_ms < till_time_ms:
            data_part = _API.fetch_ohlcv(pair, timeframe=tick_interval, since=since_ms)

+            # Because some exchange sort Tickers ASC and other DESC.
+            # Ex: Bittrex returns a list of tickers ASC (oldest first, newest last)
+            # when GDAX returns a list of tickers DESC (newest first, oldest last)
+            data_part = sorted(data_part, key=lambda x: x[0])
+
            if not data_part:
                break

--- a/freqtrade/fiat_convert.py
+++ b/freqtrade/fiat_convert.py
@ -88,8 +88,11 @@ class CryptoToFiatConverter(object):
            coinlistings = self._coinmarketcap.listings()
            self._cryptomap = dict(map(lambda coin: (coin["symbol"], str(coin["id"])),
                                       coinlistings["data"]))
-        except (ValueError, RequestException) as e:
-            logger.error("Could not load FIAT Cryptocurrency map for the following problem: %s", e)
+        except (ValueError, RequestException) as exception:
+            logger.error(
+                "Could not load FIAT Cryptocurrency map for the following problem: %s",
+                exception
+            )

    def convert_amount(self, crypto_amount: float, crypto_symbol: str, fiat_symbol: str) -> float:
        """
@ -181,6 +184,10 @@ class CryptoToFiatConverter(object):
        if not self._is_supported_fiat(fiat=fiat_symbol):
            raise ValueError('The fiat {} is not supported.'.format(fiat_symbol))

+        # No need to convert if both crypto and fiat are the same
+        if crypto_symbol == fiat_symbol:
+            return 1.0
+
        if crypto_symbol not in self._cryptomap:
            # return 0 for unsupported stake currencies (fiat-convert should not break the bot)
            logger.warning("unsupported crypto-symbol %s - returning 0.0", crypto_symbol)
@ -192,6 +199,6 @@ class CryptoToFiatConverter(object):
                    convert=fiat_symbol
                )['data']['quotes'][fiat_symbol.upper()]['price']
            )
-        except BaseException as ex:
-            logger.error("Error in _find_price: %s", ex)
+        except BaseException as exception:
+            logger.error("Error in _find_price: %s", exception)
            return 0.0
--- a/freqtrade/tests/exchange/test_exchange.py
+++ b/freqtrade/tests/exchange/test_exchange.py
@ -393,6 +393,78 @@ def test_get_ticker_history(default_conf, mocker):
        get_ticker_history('EFGH/BTC', default_conf['ticker_interval'])


+def test_get_ticker_history_sort(default_conf, mocker):
+    api_mock = MagicMock()
+
+    # GDAX use-case (real data from GDAX)
+    # This ticker history is ordered DESC (newest first, oldest last)
+    tick = [
+        [1527833100000, 0.07666, 0.07671, 0.07666, 0.07668, 16.65244264],
+        [1527832800000, 0.07662, 0.07666, 0.07662, 0.07666, 1.30051526],
+        [1527832500000, 0.07656, 0.07661, 0.07656, 0.07661, 12.034778840000001],
+        [1527832200000, 0.07658, 0.07658, 0.07655, 0.07656, 0.59780186],
+        [1527831900000, 0.07658, 0.07658, 0.07658, 0.07658, 1.76278136],
+        [1527831600000, 0.07658, 0.07658, 0.07658, 0.07658, 2.22646521],
+        [1527831300000, 0.07655, 0.07657, 0.07655, 0.07657, 1.1753],
+        [1527831000000, 0.07654, 0.07654, 0.07651, 0.07651, 0.8073060299999999],
+        [1527830700000, 0.07652, 0.07652, 0.07651, 0.07652, 10.04822687],
+        [1527830400000, 0.07649, 0.07651, 0.07649, 0.07651, 2.5734867]
+    ]
+    type(api_mock).has = PropertyMock(return_value={'fetchOHLCV': True})
+    api_mock.fetch_ohlcv = MagicMock(side_effect=make_fetch_ohlcv_mock(tick))
+    mocker.patch('freqtrade.exchange._API', api_mock)
+
+    # Test the ticker history sort
+    ticks = get_ticker_history('ETH/BTC', default_conf['ticker_interval'])
+    assert ticks[0][0] == 1527830400000
+    assert ticks[0][1] == 0.07649
+    assert ticks[0][2] == 0.07651
+    assert ticks[0][3] == 0.07649
+    assert ticks[0][4] == 0.07651
+    assert ticks[0][5] == 2.5734867
+
+    assert ticks[9][0] == 1527833100000
+    assert ticks[9][1] == 0.07666
+    assert ticks[9][2] == 0.07671
+    assert ticks[9][3] == 0.07666
+    assert ticks[9][4] == 0.07668
+    assert ticks[9][5] == 16.65244264
+
+    # Bittrex use-case (real data from Bittrex)
+    # This ticker history is ordered ASC (oldest first, newest last)
+    tick = [
+        [1527827700000, 0.07659999, 0.0766, 0.07627, 0.07657998, 1.85216924],
+        [1527828000000, 0.07657995, 0.07657995, 0.0763, 0.0763, 26.04051037],
+        [1527828300000, 0.0763, 0.07659998, 0.0763, 0.0764, 10.36434124],
+        [1527828600000, 0.0764, 0.0766, 0.0764, 0.0766, 5.71044773],
+        [1527828900000, 0.0764, 0.07666998, 0.0764, 0.07666998, 47.48888565],
+        [1527829200000, 0.0765, 0.07672999, 0.0765, 0.07672999, 3.37640326],
+        [1527829500000, 0.0766, 0.07675, 0.0765, 0.07675, 8.36203831],
+        [1527829800000, 0.07675, 0.07677999, 0.07620002, 0.076695, 119.22963884],
+        [1527830100000, 0.076695, 0.07671, 0.07624171, 0.07671, 1.80689244],
+        [1527830400000, 0.07671, 0.07674399, 0.07629216, 0.07655213, 2.31452783]
+    ]
+    type(api_mock).has = PropertyMock(return_value={'fetchOHLCV': True})
+    api_mock.fetch_ohlcv = MagicMock(side_effect=make_fetch_ohlcv_mock(tick))
+    mocker.patch('freqtrade.exchange._API', api_mock)
+
+    # Test the ticker history sort
+    ticks = get_ticker_history('ETH/BTC', default_conf['ticker_interval'])
+    assert ticks[0][0] == 1527827700000
+    assert ticks[0][1] == 0.07659999
+    assert ticks[0][2] == 0.0766
+    assert ticks[0][3] == 0.07627
+    assert ticks[0][4] == 0.07657998
+    assert ticks[0][5] == 1.85216924
+
+    assert ticks[9][0] == 1527830400000
+    assert ticks[9][1] == 0.07671
+    assert ticks[9][2] == 0.07674399
+    assert ticks[9][3] == 0.07629216
+    assert ticks[9][4] == 0.07655213
+    assert ticks[9][5] == 2.31452783
+
+
 def test_cancel_order_dry_run(default_conf, mocker):
    default_conf['dry_run'] = True
    mocker.patch.dict('freqtrade.exchange._CONF', default_conf)
--- a/freqtrade/tests/test_fiat_convert.py
+++ b/freqtrade/tests/test_fiat_convert.py
@ -126,6 +126,20 @@ def test_fiat_convert_get_price(mocker):
    assert fiat_convert._pairs[0]._expiration is not expiration


+def test_fiat_convert_same_currencies(mocker):
+    patch_coinmarketcap(mocker)
+    fiat_convert = CryptoToFiatConverter()
+
+    assert fiat_convert.get_price(crypto_symbol='USD', fiat_symbol='USD') == 1.0
+
+
+def test_fiat_convert_two_FIAT(mocker):
+    patch_coinmarketcap(mocker)
+    fiat_convert = CryptoToFiatConverter()
+
+    assert fiat_convert.get_price(crypto_symbol='USD', fiat_symbol='EUR') == 0.0
+
+
 def test_loadcryptomap(mocker):
    patch_coinmarketcap(mocker)