Merge branch 'freqtrade:develop' into bt-metrics

docs/hyperopt.md

@@ -365,7 +365,7 @@ class MyAwesomeStrategy(IStrategy):
     timeframe = '15m'
     minimal_roi = {
         "0":  0.10
-    },
+    }
     # Define the parameter spaces
     buy_ema_short = IntParameter(3, 50, default=5)
     buy_ema_long = IntParameter(15, 200, default=50)
@@ -400,7 +400,7 @@ class MyAwesomeStrategy(IStrategy):
         return dataframe
 
     def populate_exit_trend(self, dataframe: DataFrame, metadata: dict) -> DataFrame:
-          conditions = []
+        conditions = []
         conditions.append(qtpylib.crossed_above(
                 dataframe[f'ema_long_{self.buy_ema_long.value}'], dataframe[f'ema_short_{self.buy_ema_short.value}']
             ))

docs/leverage.md

@@ -92,6 +92,8 @@ One account is used to share collateral between markets (trading pairs). Margin
 "margin_mode": "cross"
 ```
 
+Please read the [exchange specific notes](exchanges.md) for exchanges that support this mode and how they differ.
+
 ## Set leverage to use
 
 Different strategies and risk profiles will require different levels of leverage.

freqtrade/data/entryexitanalysis.py

@@ -52,7 +52,7 @@ def _process_candles_and_indicators(pairlist, strategy_name, trades, signal_cand
     return analysed_trades_dict
 
 
-def _analyze_candles_and_indicators(pair, trades, signal_candles):
+def _analyze_candles_and_indicators(pair, trades: pd.DataFrame, signal_candles: pd.DataFrame):
     buyf = signal_candles
 
     if len(buyf) > 0:
@@ -120,7 +120,7 @@ def _do_group_table_output(bigdf, glist):
 
         else:
             agg_mask = {'profit_abs': ['count', 'sum', 'median', 'mean'],
-                        'profit_ratio': ['sum', 'median', 'mean']}
+                        'profit_ratio': ['median', 'mean', 'sum']}
             agg_cols = ['num_buys', 'profit_abs_sum', 'profit_abs_median',
                         'profit_abs_mean', 'median_profit_pct', 'mean_profit_pct',
                         'total_profit_pct']

freqtrade/data/metrics.py

@@ -239,7 +239,7 @@ def calculate_sortino(trades: pd.DataFrame, min_date: datetime, max_date: dateti
 
     down_stdev = np.std(trades.loc[trades['profit_abs'] < 0, 'profit_abs'] / starting_balance)
 
-    if down_stdev != 0:
+    if down_stdev != 0 and not np.isnan(down_stdev):
         sortino_ratio = expected_returns_mean / down_stdev * np.sqrt(365)
     else:
         # Define high (negative) sortino ratio to be clear that this is NOT optimal.

freqtrade/exchange/binance.py

@@ -11,7 +11,7 @@ from freqtrade.enums import CandleType, MarginMode, TradingMode
 from freqtrade.exceptions import DDosProtection, OperationalException, TemporaryError
 from freqtrade.exchange import Exchange
 from freqtrade.exchange.common import retrier
-from freqtrade.exchange.types import Tickers
+from freqtrade.exchange.types import OHLCVResponse, Tickers
 from freqtrade.misc import deep_merge_dicts, json_load
 
 
@@ -112,7 +112,7 @@ class Binance(Exchange):
                                         since_ms: int, candle_type: CandleType,
                                         is_new_pair: bool = False, raise_: bool = False,
                                         until_ms: Optional[int] = None
-                                        ) -> Tuple[str, str, str, List]:
+                                        ) -> OHLCVResponse:
         """
         Overwrite to introduce "fast new pair" functionality by detecting the pair's listing date
         Does not work for other exchanges, which don't return the earliest data when called with "0"

freqtrade/exchange/exchange.py

@@ -36,7 +36,7 @@ from freqtrade.exchange.exchange_utils import (CcxtModuleType, amount_to_contrac
                                                price_to_precision, timeframe_to_minutes,
                                                timeframe_to_msecs, timeframe_to_next_date,
                                                timeframe_to_prev_date, timeframe_to_seconds)
-from freqtrade.exchange.types import Ticker, Tickers
+from freqtrade.exchange.types import OHLCVResponse, Ticker, Tickers
 from freqtrade.misc import (chunks, deep_merge_dicts, file_dump_json, file_load_json,
                             safe_value_fallback2)
 from freqtrade.plugins.pairlist.pairlist_helpers import expand_pairlist
@@ -1813,32 +1813,18 @@ class Exchange:
         :param candle_type: '', mark, index, premiumIndex, or funding_rate
         :return: List with candle (OHLCV) data
         """
-        pair, _, _, data = self.loop.run_until_complete(
+        pair, _, _, data, _ = self.loop.run_until_complete(
             self._async_get_historic_ohlcv(pair=pair, timeframe=timeframe,
                                            since_ms=since_ms, until_ms=until_ms,
                                            is_new_pair=is_new_pair, candle_type=candle_type))
         logger.info(f"Downloaded data for {pair} with length {len(data)}.")
         return data
 
-    def get_historic_ohlcv_as_df(self, pair: str, timeframe: str,
-                                 since_ms: int, candle_type: CandleType) -> DataFrame:
-        """
-        Minimal wrapper around get_historic_ohlcv - converting the result into a dataframe
-        :param pair: Pair to download
-        :param timeframe: Timeframe to get data for
-        :param since_ms: Timestamp in milliseconds to get history from
-        :param candle_type: Any of the enum CandleType (must match trading mode!)
-        :return: OHLCV DataFrame
-        """
-        ticks = self.get_historic_ohlcv(pair, timeframe, since_ms=since_ms, candle_type=candle_type)
-        return ohlcv_to_dataframe(ticks, timeframe, pair=pair, fill_missing=True,
-                                  drop_incomplete=self._ohlcv_partial_candle)
-
     async def _async_get_historic_ohlcv(self, pair: str, timeframe: str,
                                         since_ms: int, candle_type: CandleType,
                                         is_new_pair: bool = False, raise_: bool = False,
                                         until_ms: Optional[int] = None
-                                        ) -> Tuple[str, str, str, List]:
+                                        ) -> OHLCVResponse:
         """
         Download historic ohlcv
         :param is_new_pair: used by binance subclass to allow "fast" new pair downloading
@@ -1869,15 +1855,16 @@ class Exchange:
                     continue
                 else:
                     # Deconstruct tuple if it's not an exception
-                    p, _, c, new_data = res
+                    p, _, c, new_data, _ = res
                     if p == pair and c == candle_type:
                         data.extend(new_data)
         # Sort data again after extending the result - above calls return in "async order"
         data = sorted(data, key=lambda x: x[0])
-        return pair, timeframe, candle_type, data
+        return pair, timeframe, candle_type, data, self._ohlcv_partial_candle
 
-    def _build_coroutine(self, pair: str, timeframe: str, candle_type: CandleType,
+    def _build_coroutine(
-                         since_ms: Optional[int], cache: bool) -> Coroutine:
+            self, pair: str, timeframe: str, candle_type: CandleType,
+            since_ms: Optional[int], cache: bool) -> Coroutine[Any, Any, OHLCVResponse]:
         not_all_data = cache and self.required_candle_call_count > 1
         if cache and (pair, timeframe, candle_type) in self._klines:
             candle_limit = self.ohlcv_candle_limit(timeframe, candle_type)
@@ -1914,7 +1901,7 @@ class Exchange:
         """
         Build Coroutines to execute as part of refresh_latest_ohlcv
         """
-        input_coroutines = []
+        input_coroutines: List[Coroutine[Any, Any, OHLCVResponse]] = []
         cached_pairs = []
         for pair, timeframe, candle_type in set(pair_list):
             if (timeframe not in self.timeframes
@@ -1978,7 +1965,6 @@ class Exchange:
         :return: Dict of [{(pair, timeframe): Dataframe}]
         """
         logger.debug("Refreshing candle (OHLCV) data for %d pairs", len(pair_list))
-        drop_incomplete = self._ohlcv_partial_candle if drop_incomplete is None else drop_incomplete
 
         # Gather coroutines to run
         input_coroutines, cached_pairs = self._build_ohlcv_dl_jobs(pair_list, since_ms, cache)
@@ -1996,8 +1982,9 @@ class Exchange:
                 if isinstance(res, Exception):
                     logger.warning(f"Async code raised an exception: {repr(res)}")
                     continue
-                # Deconstruct tuple (has 4 elements)
+                # Deconstruct tuple (has 5 elements)
-                pair, timeframe, c_type, ticks = res
+                pair, timeframe, c_type, ticks, drop_hint = res
+                drop_incomplete = drop_hint if drop_incomplete is None else drop_incomplete
                 ohlcv_df = self._process_ohlcv_df(
                     pair, timeframe, c_type, ticks, cache, drop_incomplete)
 
@@ -2025,7 +2012,7 @@ class Exchange:
         timeframe: str,
         candle_type: CandleType,
         since_ms: Optional[int] = None,
-    ) -> Tuple[str, str, str, List]:
+    ) -> OHLCVResponse:
         """
         Asynchronously get candle history data using fetch_ohlcv
         :param candle_type: '', mark, index, premiumIndex, or funding_rate
@@ -2065,9 +2052,9 @@ class Exchange:
                     data = sorted(data, key=lambda x: x[0])
             except IndexError:
                 logger.exception("Error loading %s. Result was %s.", pair, data)
-                return pair, timeframe, candle_type, []
+                return pair, timeframe, candle_type, [], self._ohlcv_partial_candle
             logger.debug("Done fetching pair %s, interval %s ...", pair, timeframe)
-            return pair, timeframe, candle_type, data
+            return pair, timeframe, candle_type, data, self._ohlcv_partial_candle
 
         except ccxt.NotSupported as e:
             raise OperationalException(
@@ -2764,11 +2751,16 @@ class Exchange:
         """
         Important: Must be fetching data from cached values as this is used by backtesting!
         PERPETUAL:
-         gateio: https://www.gate.io/help/futures/perpetual/22160/calculation-of-liquidation-price
+         gateio: https://www.gate.io/help/futures/futures/27724/liquidation-price-bankruptcy-price
+         > Liquidation Price = (Entry Price ± Margin / Contract Multiplier / Size) /
+                                [ 1 ± (Maintenance Margin Ratio + Taker Rate)]
+            Wherein, "+" or "-" depends on whether the contract goes long or short:
+            "-" for long, and "+" for short.
+
          okex: https://www.okex.com/support/hc/en-us/articles/
             360053909592-VI-Introduction-to-the-isolated-mode-of-Single-Multi-currency-Portfolio-margin
 
-        :param exchange_name:
+        :param pair: Pair to calculate liquidation price for
         :param open_rate: Entry price of position
         :param is_short: True if the trade is a short, false otherwise
         :param amount: Absolute value of position size incl. leverage (in base currency)
@@ -2808,7 +2800,7 @@ class Exchange:
     def get_maintenance_ratio_and_amt(
         self,
         pair: str,
-        nominal_value: float = 0.0,
+        nominal_value: float,
     ) -> Tuple[float, Optional[float]]:
         """
         Important: Must be fetching data from cached values as this is used by backtesting!

freqtrade/exchange/types.py

@@ -1,4 +1,6 @@
-from typing import Dict, Optional, TypedDict
+from typing import Dict, List, Optional, Tuple, TypedDict
+
+from freqtrade.enums import CandleType
 
 
 class Ticker(TypedDict):
@@ -14,3 +16,6 @@ class Ticker(TypedDict):
 
 
 Tickers = Dict[str, Ticker]
+
+# pair, timeframe, candleType, OHLCV, drop last?,
+OHLCVResponse = Tuple[str, str, CandleType, List, bool]

freqtrade/optimize/backtesting.py

@@ -1177,6 +1177,7 @@ class Backtesting:
                         open_trade_count_start = self.backtest_loop(
                             row, pair, current_time, end_date, max_open_trades,
                             open_trade_count_start)
+                        continue
                     detail_data.loc[:, 'enter_long'] = row[LONG_IDX]
                     detail_data.loc[:, 'exit_long'] = row[ELONG_IDX]
                     detail_data.loc[:, 'enter_short'] = row[SHORT_IDX]

freqtrade/templates/FreqaiExampleStrategy.py

@@ -28,7 +28,7 @@ class FreqaiExampleStrategy(IStrategy):
     plot_config = {
         "main_plot": {},
         "subplots": {
-            "prediction": {"prediction": {"color": "blue"}},
+            "&-s_close": {"prediction": {"color": "blue"}},
             "do_predict": {
                 "do_predict": {"color": "brown"},
             },
@@ -140,7 +140,8 @@ class FreqaiExampleStrategy(IStrategy):
             # If user wishes to use multiple targets, they can add more by
             # appending more columns with '&'. User should keep in mind that multi targets
             # requires a multioutput prediction model such as
-            # templates/CatboostPredictionMultiModel.py,
+            # freqai/prediction_models/CatboostRegressorMultiTarget.py,
+            # freqtrade trade --freqaimodel CatboostRegressorMultiTarget
 
             # df["&-s_range"] = (
             #     df["close"]

requirements-dev.txt

@@ -18,7 +18,7 @@ pytest-mock==3.10.0
 pytest-random-order==1.1.0
 isort==5.11.4
 # For datetime mocking
-time-machine==2.8.2
+time-machine==2.9.0
 # fastapi testing
 httpx==0.23.1
 

requirements-hyperopt.txt

@@ -5,5 +5,5 @@
 scipy==1.9.3
 scikit-learn==1.1.3
 scikit-optimize==0.9.0
-filelock==3.8.2
+filelock==3.9.0
 progressbar2==4.2.0

requirements.txt

@@ -37,7 +37,7 @@ sdnotify==0.3.2
 
 # API Server
 fastapi==0.88.0
-pydantic==1.10.2
+pydantic==1.10.4
 uvicorn==0.20.0
 pyjwt==2.6.0
 aiofiles==22.1.0

tests/commands/test_commands.py

@@ -746,9 +746,7 @@ def test_download_data_no_exchange(mocker, caplog):
         start_download_data(pargs)
 
 
-def test_download_data_no_pairs(mocker, caplog):
+def test_download_data_no_pairs(mocker):
-
-    mocker.patch.object(Path, "exists", MagicMock(return_value=False))
 
     mocker.patch('freqtrade.commands.data_commands.refresh_backtest_ohlcv_data',
                  MagicMock(return_value=["ETH/BTC", "XRP/BTC"]))
@@ -770,8 +768,6 @@ def test_download_data_no_pairs(mocker, caplog):
 
 def test_download_data_all_pairs(mocker, markets):
 
-    mocker.patch.object(Path, "exists", MagicMock(return_value=False))
-
     dl_mock = mocker.patch('freqtrade.commands.data_commands.refresh_backtest_ohlcv_data',
                            MagicMock(return_value=["ETH/BTC", "XRP/BTC"]))
     patch_exchange(mocker)

tests/exchange/test_binance.py

@@ -557,7 +557,7 @@ async def test__async_get_historic_ohlcv_binance(default_conf, mocker, caplog, c
     exchange._api_async.fetch_ohlcv = get_mock_coro(ohlcv)
 
     pair = 'ETH/BTC'
-    respair, restf, restype, res = await exchange._async_get_historic_ohlcv(
+    respair, restf, restype, res, _ = await exchange._async_get_historic_ohlcv(
         pair, "5m", 1500000000000, is_new_pair=False, candle_type=candle_type)
     assert respair == pair
     assert restf == '5m'
@@ -566,7 +566,7 @@ async def test__async_get_historic_ohlcv_binance(default_conf, mocker, caplog, c
     assert exchange._api_async.fetch_ohlcv.call_count > 400
     # assert res == ohlcv
     exchange._api_async.fetch_ohlcv.reset_mock()
-    _, _, _, res = await exchange._async_get_historic_ohlcv(
+    _, _, _, res, _ = await exchange._async_get_historic_ohlcv(
         pair, "5m", 1500000000000, is_new_pair=True, candle_type=candle_type)
 
     # Called twice - one "init" call - and one to get the actual data.

tests/exchange/test_ccxt_compat.py

@@ -8,16 +8,19 @@ suitable to run with freqtrade.
 from copy import deepcopy
 from datetime import datetime, timedelta, timezone
 from pathlib import Path
+from typing import Tuple
 
 import pytest
 
 from freqtrade.enums import CandleType
 from freqtrade.exchange import timeframe_to_minutes, timeframe_to_prev_date
-from freqtrade.exchange.exchange import timeframe_to_msecs
+from freqtrade.exchange.exchange import Exchange, timeframe_to_msecs
 from freqtrade.resolvers.exchange_resolver import ExchangeResolver
 from tests.conftest import get_default_conf_usdt
 
 
+EXCHANGE_FIXTURE_TYPE = Tuple[Exchange, str]
+
 # Exchanges that should be tested
 EXCHANGES = {
     'bittrex': {
@@ -141,19 +144,19 @@ def exchange_futures(request, exchange_conf, class_mocker):
 @pytest.mark.longrun
 class TestCCXTExchange():
 
-    def test_load_markets(self, exchange):
+    def test_load_markets(self, exchange: EXCHANGE_FIXTURE_TYPE):
-        exchange, exchangename = exchange
+        exch, exchangename = exchange
         pair = EXCHANGES[exchangename]['pair']
-        markets = exchange.markets
+        markets = exch.markets
         assert pair in markets
         assert isinstance(markets[pair], dict)
-        assert exchange.market_is_spot(markets[pair])
+        assert exch.market_is_spot(markets[pair])
 
-    def test_has_validations(self, exchange):
+    def test_has_validations(self, exchange: EXCHANGE_FIXTURE_TYPE):
 
-        exchange, exchangename = exchange
+        exch, exchangename = exchange
 
-        exchange.validate_ordertypes({
+        exch.validate_ordertypes({
             'entry': 'limit',
             'exit': 'limit',
             'stoploss': 'limit',
@@ -162,13 +165,13 @@ class TestCCXTExchange():
         if exchangename == 'gateio':
             # gateio doesn't have market orders on spot
             return
-        exchange.validate_ordertypes({
+        exch.validate_ordertypes({
             'entry': 'market',
             'exit': 'market',
             'stoploss': 'market',
             })
 
-    def test_load_markets_futures(self, exchange_futures):
+    def test_load_markets_futures(self, exchange_futures: EXCHANGE_FIXTURE_TYPE):
         exchange, exchangename = exchange_futures
         if not exchange:
             # exchange_futures only returns values for supported exchanges
@@ -181,11 +184,11 @@ class TestCCXTExchange():
 
         assert exchange.market_is_future(markets[pair])
 
-    def test_ccxt_fetch_tickers(self, exchange):
+    def test_ccxt_fetch_tickers(self, exchange: EXCHANGE_FIXTURE_TYPE):
-        exchange, exchangename = exchange
+        exch, exchangename = exchange
         pair = EXCHANGES[exchangename]['pair']
 
-        tickers = exchange.get_tickers()
+        tickers = exch.get_tickers()
         assert pair in tickers
         assert 'ask' in tickers[pair]
         assert tickers[pair]['ask'] is not None
@@ -195,11 +198,11 @@ class TestCCXTExchange():
         if EXCHANGES[exchangename].get('hasQuoteVolume'):
             assert tickers[pair]['quoteVolume'] is not None
 
-    def test_ccxt_fetch_ticker(self, exchange):
+    def test_ccxt_fetch_ticker(self, exchange: EXCHANGE_FIXTURE_TYPE):
-        exchange, exchangename = exchange
+        exch, exchangename = exchange
         pair = EXCHANGES[exchangename]['pair']
 
-        ticker = exchange.fetch_ticker(pair)
+        ticker = exch.fetch_ticker(pair)
         assert 'ask' in ticker
         assert ticker['ask'] is not None
         assert 'bid' in ticker
@@ -208,21 +211,21 @@ class TestCCXTExchange():
         if EXCHANGES[exchangename].get('hasQuoteVolume'):
             assert ticker['quoteVolume'] is not None
 
-    def test_ccxt_fetch_l2_orderbook(self, exchange):
+    def test_ccxt_fetch_l2_orderbook(self, exchange: EXCHANGE_FIXTURE_TYPE):
-        exchange, exchangename = exchange
+        exch, exchangename = exchange
         pair = EXCHANGES[exchangename]['pair']
-        l2 = exchange.fetch_l2_order_book(pair)
+        l2 = exch.fetch_l2_order_book(pair)
         assert 'asks' in l2
         assert 'bids' in l2
         assert len(l2['asks']) >= 1
         assert len(l2['bids']) >= 1
-        l2_limit_range = exchange._ft_has['l2_limit_range']
+        l2_limit_range = exch._ft_has['l2_limit_range']
-        l2_limit_range_required = exchange._ft_has['l2_limit_range_required']
+        l2_limit_range_required = exch._ft_has['l2_limit_range_required']
         if exchangename == 'gateio':
             # TODO: Gateio is unstable here at the moment, ignoring the limit partially.
             return
         for val in [1, 2, 5, 25, 100]:
-            l2 = exchange.fetch_l2_order_book(pair, val)
+            l2 = exch.fetch_l2_order_book(pair, val)
             if not l2_limit_range or val in l2_limit_range:
                 if val > 50:
                     # Orderbooks are not always this deep.
@@ -232,7 +235,7 @@ class TestCCXTExchange():
                     assert len(l2['asks']) == val
                     assert len(l2['bids']) == val
             else:
-                next_limit = exchange.get_next_limit_in_list(
+                next_limit = exch.get_next_limit_in_list(
                     val, l2_limit_range, l2_limit_range_required)
                 if next_limit is None:
                     assert len(l2['asks']) > 100
@@ -245,23 +248,23 @@ class TestCCXTExchange():
                     assert len(l2['asks']) == next_limit
                     assert len(l2['asks']) == next_limit
 
-    def test_ccxt_fetch_ohlcv(self, exchange):
+    def test_ccxt_fetch_ohlcv(self, exchange: EXCHANGE_FIXTURE_TYPE):
-        exchange, exchangename = exchange
+        exch, exchangename = exchange
         pair = EXCHANGES[exchangename]['pair']
         timeframe = EXCHANGES[exchangename]['timeframe']
 
         pair_tf = (pair, timeframe, CandleType.SPOT)
 
-        ohlcv = exchange.refresh_latest_ohlcv([pair_tf])
+        ohlcv = exch.refresh_latest_ohlcv([pair_tf])
         assert isinstance(ohlcv, dict)
-        assert len(ohlcv[pair_tf]) == len(exchange.klines(pair_tf))
+        assert len(ohlcv[pair_tf]) == len(exch.klines(pair_tf))
-        # assert len(exchange.klines(pair_tf)) > 200
+        # assert len(exch.klines(pair_tf)) > 200
         # Assume 90% uptime ...
-        assert len(exchange.klines(pair_tf)) > exchange.ohlcv_candle_limit(
+        assert len(exch.klines(pair_tf)) > exch.ohlcv_candle_limit(
             timeframe, CandleType.SPOT) * 0.90
         # Check if last-timeframe is within the last 2 intervals
         now = datetime.now(timezone.utc) - timedelta(minutes=(timeframe_to_minutes(timeframe) * 2))
-        assert exchange.klines(pair_tf).iloc[-1]['date'] >= timeframe_to_prev_date(timeframe, now)
+        assert exch.klines(pair_tf).iloc[-1]['date'] >= timeframe_to_prev_date(timeframe, now)
 
     def ccxt__async_get_candle_history(self, exchange, exchangename, pair, timeframe, candle_type):
 
@@ -289,17 +292,17 @@ class TestCCXTExchange():
             assert len(candles) >= min(candle_count, candle_count1)
             assert candles[0][0] == since_ms or (since_ms + timeframe_ms)
 
-    def test_ccxt__async_get_candle_history(self, exchange):
+    def test_ccxt__async_get_candle_history(self, exchange: EXCHANGE_FIXTURE_TYPE):
-        exchange, exchangename = exchange
+        exc, exchangename = exchange
         # For some weired reason, this test returns random lengths for bittrex.
-        if not exchange._ft_has['ohlcv_has_history'] or exchangename in ('bittrex'):
+        if not exc._ft_has['ohlcv_has_history'] or exchangename in ('bittrex'):
             return
         pair = EXCHANGES[exchangename]['pair']
         timeframe = EXCHANGES[exchangename]['timeframe']
         self.ccxt__async_get_candle_history(
-            exchange, exchangename, pair, timeframe, CandleType.SPOT)
+            exc, exchangename, pair, timeframe, CandleType.SPOT)
 
-    def test_ccxt__async_get_candle_history_futures(self, exchange_futures):
+    def test_ccxt__async_get_candle_history_futures(self, exchange_futures: EXCHANGE_FIXTURE_TYPE):
         exchange, exchangename = exchange_futures
         if not exchange:
             # exchange_futures only returns values for supported exchanges
@@ -309,7 +312,7 @@ class TestCCXTExchange():
         self.ccxt__async_get_candle_history(
             exchange, exchangename, pair, timeframe, CandleType.FUTURES)
 
-    def test_ccxt_fetch_funding_rate_history(self, exchange_futures):
+    def test_ccxt_fetch_funding_rate_history(self, exchange_futures: EXCHANGE_FIXTURE_TYPE):
         exchange, exchangename = exchange_futures
         if not exchange:
             # exchange_futures only returns values for supported exchanges
@@ -347,7 +350,7 @@ class TestCCXTExchange():
             (rate['open'].min() != rate['open'].max())
         )
 
-    def test_ccxt_fetch_mark_price_history(self, exchange_futures):
+    def test_ccxt_fetch_mark_price_history(self, exchange_futures: EXCHANGE_FIXTURE_TYPE):
         exchange, exchangename = exchange_futures
         if not exchange:
             # exchange_futures only returns values for supported exchanges
@@ -371,7 +374,7 @@ class TestCCXTExchange():
         assert mark_candles[mark_candles['date'] == prev_hour].iloc[0]['open'] != 0.0
         assert mark_candles[mark_candles['date'] == this_hour].iloc[0]['open'] != 0.0
 
-    def test_ccxt__calculate_funding_fees(self, exchange_futures):
+    def test_ccxt__calculate_funding_fees(self, exchange_futures: EXCHANGE_FIXTURE_TYPE):
         exchange, exchangename = exchange_futures
         if not exchange:
             # exchange_futures only returns values for supported exchanges
@@ -387,16 +390,16 @@ class TestCCXTExchange():
 
     # TODO: tests fetch_trades (?)
 
-    def test_ccxt_get_fee(self, exchange):
+    def test_ccxt_get_fee(self, exchange: EXCHANGE_FIXTURE_TYPE):
-        exchange, exchangename = exchange
+        exch, exchangename = exchange
         pair = EXCHANGES[exchangename]['pair']
         threshold = 0.01
-        assert 0 < exchange.get_fee(pair, 'limit', 'buy') < threshold
+        assert 0 < exch.get_fee(pair, 'limit', 'buy') < threshold
-        assert 0 < exchange.get_fee(pair, 'limit', 'sell') < threshold
+        assert 0 < exch.get_fee(pair, 'limit', 'sell') < threshold
-        assert 0 < exchange.get_fee(pair, 'market', 'buy') < threshold
+        assert 0 < exch.get_fee(pair, 'market', 'buy') < threshold
-        assert 0 < exchange.get_fee(pair, 'market', 'sell') < threshold
+        assert 0 < exch.get_fee(pair, 'market', 'sell') < threshold
 
-    def test_ccxt_get_max_leverage_spot(self, exchange):
+    def test_ccxt_get_max_leverage_spot(self, exchange: EXCHANGE_FIXTURE_TYPE):
         spot, spot_name = exchange
         if spot:
             leverage_in_market_spot = EXCHANGES[spot_name].get('leverage_in_spot_market')
@@ -406,7 +409,7 @@ class TestCCXTExchange():
                 assert (isinstance(spot_leverage, float) or isinstance(spot_leverage, int))
                 assert spot_leverage >= 1.0
 
-    def test_ccxt_get_max_leverage_futures(self, exchange_futures):
+    def test_ccxt_get_max_leverage_futures(self, exchange_futures: EXCHANGE_FIXTURE_TYPE):
         futures, futures_name = exchange_futures
         if futures:
             leverage_tiers_public = EXCHANGES[futures_name].get('leverage_tiers_public')
@@ -419,7 +422,7 @@ class TestCCXTExchange():
                 assert (isinstance(futures_leverage, float) or isinstance(futures_leverage, int))
                 assert futures_leverage >= 1.0
 
-    def test_ccxt_get_contract_size(self, exchange_futures):
+    def test_ccxt_get_contract_size(self, exchange_futures: EXCHANGE_FIXTURE_TYPE):
         futures, futures_name = exchange_futures
         if futures:
             futures_pair = EXCHANGES[futures_name].get(
@@ -430,7 +433,7 @@ class TestCCXTExchange():
             assert (isinstance(contract_size, float) or isinstance(contract_size, int))
             assert contract_size >= 0.0
 
-    def test_ccxt_load_leverage_tiers(self, exchange_futures):
+    def test_ccxt_load_leverage_tiers(self, exchange_futures: EXCHANGE_FIXTURE_TYPE):
         futures, futures_name = exchange_futures
         if futures and EXCHANGES[futures_name].get('leverage_tiers_public'):
             leverage_tiers = futures.load_leverage_tiers()
@@ -463,7 +466,7 @@ class TestCCXTExchange():
                 oldminNotional = tier['minNotional']
                 oldmaxNotional = tier['maxNotional']
 
-    def test_ccxt_dry_run_liquidation_price(self, exchange_futures):
+    def test_ccxt_dry_run_liquidation_price(self, exchange_futures: EXCHANGE_FIXTURE_TYPE):
         futures, futures_name = exchange_futures
         if futures and EXCHANGES[futures_name].get('leverage_tiers_public'):
 
@@ -494,7 +497,7 @@ class TestCCXTExchange():
             assert (isinstance(liquidation_price, float))
             assert liquidation_price >= 0.0
 
-    def test_ccxt_get_max_pair_stake_amount(self, exchange_futures):
+    def test_ccxt_get_max_pair_stake_amount(self, exchange_futures: EXCHANGE_FIXTURE_TYPE):
         futures, futures_name = exchange_futures
         if futures:
             futures_pair = EXCHANGES[futures_name].get(

tests/exchange/test_exchange.py

@@ -1955,7 +1955,7 @@ def test_get_historic_ohlcv(default_conf, mocker, caplog, exchange_name, candle_
     pair = 'ETH/BTC'
 
     async def mock_candle_hist(pair, timeframe, candle_type, since_ms):
-        return pair, timeframe, candle_type, ohlcv
+        return pair, timeframe, candle_type, ohlcv, True
 
     exchange._async_get_candle_history = Mock(wraps=mock_candle_hist)
     # one_call calculation * 1.8 should do 2 calls
@@ -1988,62 +1988,6 @@ def test_get_historic_ohlcv(default_conf, mocker, caplog, exchange_name, candle_
     assert log_has_re(r"Async code raised an exception: .*", caplog)
 
 
-@pytest.mark.parametrize("exchange_name", EXCHANGES)
-@pytest.mark.parametrize('candle_type', ['mark', ''])
-def test_get_historic_ohlcv_as_df(default_conf, mocker, exchange_name, candle_type):
-    exchange = get_patched_exchange(mocker, default_conf, id=exchange_name)
-    ohlcv = [
-        [
-            arrow.utcnow().int_timestamp * 1000,  # unix timestamp ms
-            1,  # open
-            2,  # high
-            3,  # low
-            4,  # close
-            5,  # volume (in quote currency)
-        ],
-        [
-            arrow.utcnow().shift(minutes=5).int_timestamp * 1000,  # unix timestamp ms
-            1,  # open
-            2,  # high
-            3,  # low
-            4,  # close
-            5,  # volume (in quote currency)
-        ],
-        [
-            arrow.utcnow().shift(minutes=10).int_timestamp * 1000,  # unix timestamp ms
-            1,  # open
-            2,  # high
-            3,  # low
-            4,  # close
-            5,  # volume (in quote currency)
-        ]
-    ]
-    pair = 'ETH/BTC'
-
-    async def mock_candle_hist(pair, timeframe, candle_type, since_ms):
-        return pair, timeframe, candle_type, ohlcv
-
-    exchange._async_get_candle_history = Mock(wraps=mock_candle_hist)
-    # one_call calculation * 1.8 should do 2 calls
-
-    since = 5 * 60 * exchange.ohlcv_candle_limit('5m', CandleType.SPOT) * 1.8
-    ret = exchange.get_historic_ohlcv_as_df(
-        pair,
-        "5m",
-        int((arrow.utcnow().int_timestamp - since) * 1000),
-        candle_type=candle_type
-    )
-
-    assert exchange._async_get_candle_history.call_count == 2
-    # Returns twice the above OHLCV data
-    assert len(ret) == 2
-    assert isinstance(ret, DataFrame)
-    assert 'date' in ret.columns
-    assert 'open' in ret.columns
-    assert 'close' in ret.columns
-    assert 'high' in ret.columns
-
-
 @pytest.mark.asyncio
 @pytest.mark.parametrize("exchange_name", EXCHANGES)
 @pytest.mark.parametrize('candle_type', [CandleType.MARK, CandleType.SPOT])
@@ -2063,7 +2007,7 @@ async def test__async_get_historic_ohlcv(default_conf, mocker, caplog, exchange_
     exchange._api_async.fetch_ohlcv = get_mock_coro(ohlcv)
 
     pair = 'ETH/USDT'
-    respair, restf, _, res = await exchange._async_get_historic_ohlcv(
+    respair, restf, _, res, _ = await exchange._async_get_historic_ohlcv(
         pair, "5m", 1500000000000, candle_type=candle_type, is_new_pair=False)
     assert respair == pair
     assert restf == '5m'
@@ -2074,7 +2018,7 @@ async def test__async_get_historic_ohlcv(default_conf, mocker, caplog, exchange_
     exchange._api_async.fetch_ohlcv.reset_mock()
     end_ts = 1_500_500_000_000
     start_ts = 1_500_000_000_000
-    respair, restf, _, res = await exchange._async_get_historic_ohlcv(
+    respair, restf, _, res, _ = await exchange._async_get_historic_ohlcv(
         pair, "5m", since_ms=start_ts, candle_type=candle_type, is_new_pair=False,
         until_ms=end_ts
         )
@@ -2306,7 +2250,7 @@ async def test__async_get_candle_history(default_conf, mocker, caplog, exchange_
     pair = 'ETH/BTC'
     res = await exchange._async_get_candle_history(pair, "5m", CandleType.SPOT)
     assert type(res) is tuple
-    assert len(res) == 4
+    assert len(res) == 5
     assert res[0] == pair
     assert res[1] == "5m"
     assert res[2] == CandleType.SPOT
@@ -2393,7 +2337,7 @@ async def test__async_get_candle_history_empty(default_conf, mocker, caplog):
     pair = 'ETH/BTC'
     res = await exchange._async_get_candle_history(pair, "5m", CandleType.SPOT)
     assert type(res) is tuple
-    assert len(res) == 4
+    assert len(res) == 5
     assert res[0] == pair
     assert res[1] == "5m"
     assert res[2] == CandleType.SPOT