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Merge branch 'develop' into time_in_force

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This commit is contained in:
misagh 2018-11-26 19:20:01 +01:00
commit 3131788639
8 changed files with 47 additions and 139 deletions
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49
freqtrade/exchange/__init__.py
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@ -499,7 +499,9 @@ class Exchange(object):
# 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 = sorted(data, key=lambda x: x[0])
# Only sort if necessary to save computing time
if data and data[0][0] > data[-1][0]:
data = sorted(data, key=lambda x: x[0])
# keeping last candle time as last refreshed time of the pair
if data:
@ -521,51 +523,6 @@ class Exchange(object):
except ccxt.BaseError as e:
raise OperationalException(f'Could not fetch ticker data. Msg: {e}')
@retrier
def get_candle_history(self, pair: str, tick_interval: str,
since_ms: Optional[int] = None) -> List[Dict]:
try:
# last item should be in the time interval [now - tick_interval, now]
till_time_ms = arrow.utcnow().shift(
minutes=-constants.TICKER_INTERVAL_MINUTES[tick_interval]
).timestamp * 1000
# it looks as if some exchanges return cached data
# and they update it one in several minute, so 10 mins interval
# is necessary to skeep downloading of an empty array when all
# chached data was already downloaded
till_time_ms = min(till_time_ms, arrow.utcnow().shift(minutes=-10).timestamp * 1000)
data: List[Dict[Any, Any]] = []
while not since_ms or since_ms < till_time_ms:
data_part = self._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
logger.debug('Downloaded data for %s time range [%s, %s]',
pair,
arrow.get(data_part[0][0] / 1000).format(),
arrow.get(data_part[-1][0] / 1000).format())
data.extend(data_part)
since_ms = data[-1][0] + 1
return data
except ccxt.NotSupported as e:
raise OperationalException(
f'Exchange {self._api.name} does not support fetching historical candlestick data.'
f'Message: {e}')
except (ccxt.NetworkError, ccxt.ExchangeError) as e:
raise TemporaryError(
f'Could not load ticker history due to {e.__class__.__name__}. Message: {e}')
except ccxt.BaseError as e:
raise OperationalException(f'Could not fetch ticker data. Msg: {e}')
@retrier
def cancel_order(self, order_id: str, pair: str) -> None:
if self._conf['dry_run']:

2
freqtrade/exchange/exchange_helpers.py
View File

@ -11,7 +11,7 @@ logger = logging.getLogger(__name__)
def parse_ticker_dataframe(ticker: list) -> DataFrame:
"""
Analyses the trend for the given ticker history
:param ticker: See exchange.get_candle_history
:param ticker: ticker list, as returned by exchange.async_get_candle_history
:return: DataFrame
"""
cols = ['date', 'open', 'high', 'low', 'close', 'volume']

11
freqtrade/tests/conftest.py
View File

@ -4,7 +4,6 @@ import logging
from datetime import datetime
from functools import reduce
from typing import Dict, Optional
from collections import namedtuple
from unittest.mock import MagicMock, PropertyMock
import arrow
@ -13,7 +12,7 @@ from telegram import Chat, Message, Update
from freqtrade.exchange.exchange_helpers import parse_ticker_dataframe
from freqtrade.exchange import Exchange
from freqtrade.edge import Edge
from freqtrade.edge import Edge, PairInfo
from freqtrade.freqtradebot import FreqtradeBot
logging.getLogger('').setLevel(logging.INFO)
@ -56,13 +55,11 @@ def patch_edge(mocker) -> None:
# "LTC/BTC",
# "XRP/BTC",
# "NEO/BTC"
pair_info = namedtuple(
'pair_info',
'stoploss, winrate, risk_reward_ratio, required_risk_reward, expectancy')
mocker.patch('freqtrade.edge.Edge._cached_pairs', mocker.PropertyMock(
return_value={
'NEO/BTC': pair_info(-0.20, 0.66, 3.71, 0.50, 1.71),
'LTC/BTC': pair_info(-0.21, 0.66, 3.71, 0.50, 1.71),
'NEO/BTC': PairInfo(-0.20, 0.66, 3.71, 0.50, 1.71, 10, 25),
'LTC/BTC': PairInfo(-0.21, 0.66, 3.71, 0.50, 1.71, 11, 20),
}
))
mocker.patch('freqtrade.edge.Edge.stoploss', MagicMock(return_value=-0.20))

89
freqtrade/tests/exchange/test_exchange.py
View File

@ -875,65 +875,10 @@ def make_fetch_ohlcv_mock(data):
return fetch_ohlcv_mock
def test_get_candle_history(default_conf, mocker):
api_mock = MagicMock()
tick = [
[
1511686200000, # unix timestamp ms
1, # open
2, # high
3, # low
4, # close
5, # volume (in quote currency)
]
]
type(api_mock).has = PropertyMock(return_value={'fetchOHLCV': True})
api_mock.fetch_ohlcv = MagicMock(side_effect=make_fetch_ohlcv_mock(tick))
exchange = get_patched_exchange(mocker, default_conf, api_mock)
# retrieve original ticker
ticks = exchange.get_candle_history('ETH/BTC', default_conf['ticker_interval'])
assert ticks[0][0] == 1511686200000
assert ticks[0][1] == 1
assert ticks[0][2] == 2
assert ticks[0][3] == 3
assert ticks[0][4] == 4
assert ticks[0][5] == 5
# change ticker and ensure tick changes
new_tick = [
[
1511686210000, # unix timestamp ms
6, # open
7, # high
8, # low
9, # close
10, # volume (in quote currency)
]
]
api_mock.fetch_ohlcv = MagicMock(side_effect=make_fetch_ohlcv_mock(new_tick))
exchange = get_patched_exchange(mocker, default_conf, api_mock)
ticks = exchange.get_candle_history('ETH/BTC', default_conf['ticker_interval'])
assert ticks[0][0] == 1511686210000
assert ticks[0][1] == 6
assert ticks[0][2] == 7
assert ticks[0][3] == 8
assert ticks[0][4] == 9
assert ticks[0][5] == 10
ccxt_exceptionhandlers(mocker, default_conf, api_mock,
"get_candle_history", "fetch_ohlcv",
pair='ABCD/BTC', tick_interval=default_conf['ticker_interval'])
with pytest.raises(OperationalException, match=r'Exchange .* does not support.*'):
api_mock.fetch_ohlcv = MagicMock(side_effect=ccxt.NotSupported)
exchange = get_patched_exchange(mocker, default_conf, api_mock)
exchange.get_candle_history(pair='ABCD/BTC', tick_interval=default_conf['ticker_interval'])
def test_get_candle_history_sort(default_conf, mocker):
api_mock = MagicMock()
@pytest.mark.asyncio
async def test___async_get_candle_history_sort(default_conf, mocker):
def sort_data(data, key):
return sorted(data, key=key)
# GDAX use-case (real data from GDAX)
# This ticker history is ordered DESC (newest first, oldest last)
@ -949,13 +894,15 @@ def test_get_candle_history_sort(default_conf, mocker):
[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))
exchange = get_patched_exchange(mocker, default_conf, api_mock)
exchange = get_patched_exchange(mocker, default_conf)
exchange._api_async.fetch_ohlcv = get_mock_coro(tick)
sort_mock = mocker.patch('freqtrade.exchange.sorted', MagicMock(side_effect=sort_data))
# Test the ticker history sort
ticks = exchange.get_candle_history('ETH/BTC', default_conf['ticker_interval'])
res = await exchange._async_get_candle_history('ETH/BTC', default_conf['ticker_interval'])
assert res[0] == 'ETH/BTC'
ticks = res[1]
assert sort_mock.call_count == 1
assert ticks[0][0] == 1527830400000
assert ticks[0][1] == 0.07649
assert ticks[0][2] == 0.07651
@ -984,11 +931,15 @@ def test_get_candle_history_sort(default_conf, mocker):
[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))
exchange = get_patched_exchange(mocker, default_conf, api_mock)
exchange._api_async.fetch_ohlcv = get_mock_coro(tick)
# Reset sort mock
sort_mock = mocker.patch('freqtrade.exchange.sorted', MagicMock(side_effect=sort_data))
# Test the ticker history sort
ticks = exchange.get_candle_history('ETH/BTC', default_conf['ticker_interval'])
res = await exchange._async_get_candle_history('ETH/BTC', default_conf['ticker_interval'])
assert res[0] == 'ETH/BTC'
ticks = res[1]
# Sorted not called again - data is already in order
assert sort_mock.call_count == 0
assert ticks[0][0] == 1527827700000
assert ticks[0][1] == 0.07659999
assert ticks[0][2] == 0.0766

26
freqtrade/tests/test_freqtradebot.py
View File

@ -292,7 +292,7 @@ def test_edge_overrides_stoploss(limit_buy_order, fee, markets, caplog, mocker,
freqtrade = FreqtradeBot(edge_conf)
freqtrade.active_pair_whitelist = ['NEO/BTC']
patch_get_signal(freqtrade)
freqtrade.strategy.min_roi_reached = lambda trade, current_profit, current_time: False
freqtrade.strategy.min_roi_reached = MagicMock(return_value=False)
freqtrade.create_trade()
trade = Trade.query.first()
trade.update(limit_buy_order)
@ -332,7 +332,7 @@ def test_edge_should_ignore_strategy_stoploss(limit_buy_order, fee, markets,
freqtrade = FreqtradeBot(edge_conf)
freqtrade.active_pair_whitelist = ['NEO/BTC']
patch_get_signal(freqtrade)
freqtrade.strategy.min_roi_reached = lambda trade, current_profit, current_time: False
freqtrade.strategy.min_roi_reached = MagicMock(return_value=False)
freqtrade.create_trade()
trade = Trade.query.first()
trade.update(limit_buy_order)
@ -1010,7 +1010,7 @@ def test_handle_overlpapping_signals(default_conf, ticker, limit_buy_order,
freqtrade = FreqtradeBot(default_conf)
patch_get_signal(freqtrade, value=(True, True))
freqtrade.strategy.min_roi_reached = lambda trade, current_profit, current_time: False
freqtrade.strategy.min_roi_reached = MagicMock(return_value=False)
freqtrade.create_trade()
@ -1066,7 +1066,7 @@ def test_handle_trade_roi(default_conf, ticker, limit_buy_order,
freqtrade = FreqtradeBot(default_conf)
patch_get_signal(freqtrade, value=(True, False))
freqtrade.strategy.min_roi_reached = lambda trade, current_profit, current_time: True
freqtrade.strategy.min_roi_reached = MagicMock(return_value=True)
freqtrade.create_trade()
@ -1099,7 +1099,7 @@ def test_handle_trade_experimental(
freqtrade = FreqtradeBot(default_conf)
patch_get_signal(freqtrade)
freqtrade.strategy.min_roi_reached = lambda trade, current_profit, current_time: False
freqtrade.strategy.min_roi_reached = MagicMock(return_value=False)
freqtrade.create_trade()
trade = Trade.query.first()
@ -1580,7 +1580,7 @@ def test_sell_profit_only_enable_profit(default_conf, limit_buy_order,
}
freqtrade = FreqtradeBot(default_conf)
patch_get_signal(freqtrade)
freqtrade.strategy.min_roi_reached = lambda trade, current_profit, current_time: False
freqtrade.strategy.min_roi_reached = MagicMock(return_value=False)
freqtrade.create_trade()
@ -1612,7 +1612,7 @@ def test_sell_profit_only_disable_profit(default_conf, limit_buy_order,
}
freqtrade = FreqtradeBot(default_conf)
patch_get_signal(freqtrade)
freqtrade.strategy.min_roi_reached = lambda trade, current_profit, current_time: False
freqtrade.strategy.min_roi_reached = MagicMock(return_value=False)
freqtrade.create_trade()
trade = Trade.query.first()
@ -1674,7 +1674,7 @@ def test_sell_profit_only_disable_loss(default_conf, limit_buy_order, fee, marke
freqtrade = FreqtradeBot(default_conf)
patch_get_signal(freqtrade)
freqtrade.strategy.min_roi_reached = lambda trade, current_profit, current_time: False
freqtrade.strategy.min_roi_reached = MagicMock(return_value=False)
freqtrade.create_trade()
@ -1704,7 +1704,7 @@ def test_ignore_roi_if_buy_signal(default_conf, limit_buy_order, fee, markets, m
}
freqtrade = FreqtradeBot(default_conf)
patch_get_signal(freqtrade)
freqtrade.strategy.min_roi_reached = lambda trade, current_profit, current_time: True
freqtrade.strategy.min_roi_reached = MagicMock(return_value=True)
freqtrade.create_trade()
@ -1736,7 +1736,7 @@ def test_trailing_stop_loss(default_conf, limit_buy_order, fee, markets, caplog,
default_conf['trailing_stop'] = True
freqtrade = FreqtradeBot(default_conf)
patch_get_signal(freqtrade)
freqtrade.strategy.min_roi_reached = lambda trade, current_profit, current_time: False
freqtrade.strategy.min_roi_reached = MagicMock(return_value=False)
freqtrade.create_trade()
@ -1771,7 +1771,7 @@ def test_trailing_stop_loss_positive(default_conf, limit_buy_order, fee, markets
default_conf['trailing_stop_positive'] = 0.01
freqtrade = FreqtradeBot(default_conf)
patch_get_signal(freqtrade)
freqtrade.strategy.min_roi_reached = lambda trade, current_profit, current_time: False
freqtrade.strategy.min_roi_reached = MagicMock(return_value=False)
freqtrade.create_trade()
trade = Trade.query.first()
@ -1831,7 +1831,7 @@ def test_trailing_stop_loss_offset(default_conf, limit_buy_order, fee,
default_conf['trailing_stop_positive_offset'] = 0.011
freqtrade = FreqtradeBot(default_conf)
patch_get_signal(freqtrade)
freqtrade.strategy.min_roi_reached = lambda trade, current_profit, current_time: False
freqtrade.strategy.min_roi_reached = MagicMock(return_value=False)
freqtrade.create_trade()
trade = Trade.query.first()
@ -1890,7 +1890,7 @@ def test_disable_ignore_roi_if_buy_signal(default_conf, limit_buy_order,
}
freqtrade = FreqtradeBot(default_conf)
patch_get_signal(freqtrade)
freqtrade.strategy.min_roi_reached = lambda trade, current_profit, current_time: True
freqtrade.strategy.min_roi_reached = MagicMock(return_value=True)
freqtrade.create_trade()

3
freqtrade/tests/test_wallets.py
View File

@ -30,6 +30,7 @@ def test_sync_wallet_at_boot(mocker, default_conf):
assert freqtrade.wallets.wallets['GAS'].free == 0.260739
assert freqtrade.wallets.wallets['GAS'].used == 0.0
assert freqtrade.wallets.wallets['GAS'].total == 0.260739
assert freqtrade.wallets.get_free('BNT') == 1.0
mocker.patch.multiple(
'freqtrade.exchange.Exchange',
@ -56,6 +57,7 @@ def test_sync_wallet_at_boot(mocker, default_conf):
assert freqtrade.wallets.wallets['GAS'].free == 0.270739
assert freqtrade.wallets.wallets['GAS'].used == 0.1
assert freqtrade.wallets.wallets['GAS'].total == 0.260439
assert freqtrade.wallets.get_free('GAS') == 0.270739
def test_sync_wallet_missing_data(mocker, default_conf):
@ -84,3 +86,4 @@ def test_sync_wallet_missing_data(mocker, default_conf):
assert freqtrade.wallets.wallets['GAS'].free == 0.260739
assert freqtrade.wallets.wallets['GAS'].used is None
assert freqtrade.wallets.wallets['GAS'].total == 0.260739
assert freqtrade.wallets.get_free('GAS') == 0.260739

4
freqtrade/wallets.py
View File

@ -35,8 +35,8 @@ class Wallets(object):
return 999.9
balance = self.wallets.get(currency)
if balance and balance['free']:
return balance['free']
if balance and balance.free:
return balance.free
else:
return 0

2
requirements.txt
View File

@ -1,4 +1,4 @@
ccxt==1.17.536
ccxt==1.17.539
SQLAlchemy==1.2.14
python-telegram-bot==11.1.0
arrow==0.12.1