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Convert limit orders to market orders if they cross a threshold

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closes #7786
This commit is contained in:
Matthias
2023-02-16 20:20:06 +01:00
parent 9600039686
commit 22700527ac
2 changed files with 31 additions and 13 deletions
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27
tests/exchange/test_exchange.py
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@@ -1248,18 +1248,20 @@ def test_create_dry_run_order_fees(
assert order1['fee']['rate'] == fee
@pytest.mark.parametrize("side,price,filled", [
@pytest.mark.parametrize("side,price,filled,converted", [
# order_book_l2_usd spread:
# best ask: 25.566
# best bid: 25.563
("buy", 25.563, False),
("buy", 25.566, True),
("sell", 25.566, False),
("sell", 25.563, True),
("buy", 25.563, False, False),
("buy", 25.566, True, False),
("sell", 25.566, False, False),
("sell", 25.563, True, False),
("buy", 29.563, True, True),
("sell", 21.563, True, True),
])
@pytest.mark.parametrize("exchange_name", EXCHANGES)
def test_create_dry_run_order_limit_fill(default_conf, mocker, side, price, filled,
exchange_name, order_book_l2_usd):
def test_create_dry_run_order_limit_fill(default_conf, mocker, side, price, filled, caplog,
exchange_name, order_book_l2_usd, converted):
default_conf['dry_run'] = True
exchange = get_patched_exchange(mocker, default_conf, id=exchange_name)
mocker.patch.multiple('freqtrade.exchange.Exchange',
@@ -1279,9 +1281,16 @@ def test_create_dry_run_order_limit_fill(default_conf, mocker, side, price, fill
assert 'id' in order
assert f'dry_run_{side}_' in order["id"]
assert order["side"] == side
assert order["type"] == "limit"
if not converted:
assert order["average"] == price
assert order["type"] == "limit"
else:
# Converted to market order
assert order["type"] == "market"
assert 25.5 < order["average"] < 25.6
assert log_has_re(r"Converted .* to market order.*", caplog)
assert order["symbol"] == "LTC/USDT"
assert order["average"] == price
assert order['status'] == 'open' if not filled else 'closed'
order_book_l2_usd.reset_mock()