adelorenzo/stable
1
0
Fork 0
Code Issues Pull Requests Packages Projects Releases Wiki Activity

Merge pull request #6825 from freqtrade/okx_history

Browse Source 
Okx history
This commit is contained in:
Matthias
2022-05-15 19:27:45 +02:00
committed by GitHub
parent a0b25938f4 706994340f
commit 3d36d35e30
12 changed files with 204 additions and 36 deletions
Download Patch File Download Diff File Expand all files Collapse all files

17
tests/commands/test_commands.py
View File

@@ -835,6 +835,23 @@ def test_download_data_trades(mocker, caplog):
start_download_data(pargs)
def test_download_data_data_invalid(mocker):
patch_exchange(mocker, id="kraken")
mocker.patch(
'freqtrade.exchange.Exchange.markets', PropertyMock(return_value={})
)
args = [
"download-data",
"--exchange", "kraken",
"--pairs", "ETH/BTC", "XRP/BTC",
"--days", "20",
]
pargs = get_args(args)
pargs['config'] = None
with pytest.raises(OperationalException, match=r"Historic klines not available for .*"):
start_download_data(pargs)
def test_start_convert_trades(mocker, caplog):
convert_mock = mocker.patch('freqtrade.commands.data_commands.convert_trades_to_ohlcv',
MagicMock(return_value=[]))

38
tests/exchange/test_ccxt_compat.py
View File

@@ -13,6 +13,7 @@ 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.resolvers.exchange_resolver import ExchangeResolver
from tests.conftest import get_default_conf_usdt
@@ -219,7 +220,7 @@ class TestCCXTExchange():
assert len(l2['asks']) == next_limit
assert len(l2['asks']) == next_limit
def test_fetch_ohlcv(self, exchange):
def test_ccxt_fetch_ohlcv(self, exchange):
exchange, exchangename = exchange
pair = EXCHANGES[exchangename]['pair']
timeframe = EXCHANGES[exchangename]['timeframe']
@@ -231,11 +232,44 @@ class TestCCXTExchange():
assert len(ohlcv[pair_tf]) == len(exchange.klines(pair_tf))
# assert len(exchange.klines(pair_tf)) > 200
# Assume 90% uptime ...
assert len(exchange.klines(pair_tf)) > exchange.ohlcv_candle_limit(timeframe) * 0.90
assert len(exchange.klines(pair_tf)) > exchange.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)
def test_ccxt__async_get_candle_history(self, exchange):
exchange, exchangename = exchange
# For some weired reason, this test returns random lengths for bittrex.
if not exchange._ft_has['ohlcv_has_history'] or exchangename == 'bittrex':
return
pair = EXCHANGES[exchangename]['pair']
timeframe = EXCHANGES[exchangename]['timeframe']
candle_type = CandleType.SPOT
timeframe_ms = timeframe_to_msecs(timeframe)
now = timeframe_to_prev_date(
timeframe, datetime.now(timezone.utc))
for offset in (360, 120, 30, 10, 5, 2):
since = now - timedelta(days=offset)
since_ms = int(since.timestamp() * 1000)
res = exchange.loop.run_until_complete(exchange._async_get_candle_history(
pair=pair,
timeframe=timeframe,
since_ms=since_ms,
candle_type=candle_type
)
)
assert res
assert res[0] == pair
assert res[1] == timeframe
assert res[2] == candle_type
candles = res[3]
candle_count = exchange.ohlcv_candle_limit(timeframe, candle_type, since_ms) * 0.9
candle_count1 = (now.timestamp() * 1000 - since_ms) // timeframe_ms
assert len(candles) >= min(candle_count, candle_count1)
assert candles[0][0] == since_ms or (since_ms + timeframe_ms)
def test_ccxt_fetch_funding_rate_history(self, exchange_futures):
exchange, exchangename = exchange_futures
if not exchange:

34
tests/exchange/test_exchange.py
View File

@@ -17,9 +17,9 @@ from freqtrade.exceptions import (DDosProtection, DependencyException, InvalidOr
from freqtrade.exchange import Binance, Bittrex, Exchange, Kraken
from freqtrade.exchange.common import (API_FETCH_ORDER_RETRY_COUNT, API_RETRY_COUNT,
calculate_backoff, remove_credentials)
from freqtrade.exchange.exchange import (market_is_active, timeframe_to_minutes, timeframe_to_msecs,
timeframe_to_next_date, timeframe_to_prev_date,
timeframe_to_seconds)
from freqtrade.exchange.exchange import (date_minus_candles, market_is_active, timeframe_to_minutes,
timeframe_to_msecs, timeframe_to_next_date,
timeframe_to_prev_date, timeframe_to_seconds)
from freqtrade.resolvers.exchange_resolver import ExchangeResolver
from tests.conftest import get_mock_coro, get_patched_exchange, log_has, log_has_re, num_log_has_re
@@ -939,6 +939,7 @@ def test_validate_timeframes_emulated_ohlcvi_2(default_conf, mocker):
def test_validate_timeframes_not_in_config(default_conf, mocker):
# TODO: this test does not assert ...
del default_conf["timeframe"]
api_mock = MagicMock()
id_mock = PropertyMock(return_value='test_exchange')
@@ -954,6 +955,7 @@ def test_validate_timeframes_not_in_config(default_conf, mocker):
mocker.patch('freqtrade.exchange.Exchange.validate_pairs')
mocker.patch('freqtrade.exchange.Exchange.validate_stakecurrency')
mocker.patch('freqtrade.exchange.Exchange.validate_pricing')
mocker.patch('freqtrade.exchange.Exchange.validate_required_startup_candles')
Exchange(default_conf)
@@ -1084,6 +1086,13 @@ def test_validate_required_startup_candles(default_conf, mocker, caplog):
with pytest.raises(OperationalException, match=r'This strategy requires 6000.*'):
Exchange(default_conf)
# Emulate kraken mode
ex._ft_has['ohlcv_has_history'] = False
with pytest.raises(OperationalException,
match=r'This strategy requires 2500.*, '
r'which is more than the amount.*'):
ex.validate_required_startup_candles(2500, '5m')
def test_exchange_has(default_conf, mocker):
exchange = get_patched_exchange(mocker, default_conf)
@@ -1875,7 +1884,7 @@ def test_get_historic_ohlcv(default_conf, mocker, caplog, exchange_name, candle_
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') * 1.8
since = 5 * 60 * exchange.ohlcv_candle_limit('5m', CandleType.SPOT) * 1.8
ret = exchange.get_historic_ohlcv(
pair,
"5m",
@@ -1941,7 +1950,7 @@ def test_get_historic_ohlcv_as_df(default_conf, mocker, exchange_name, candle_ty
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') * 1.8
since = 5 * 60 * exchange.ohlcv_candle_limit('5m', CandleType.SPOT) * 1.8
ret = exchange.get_historic_ohlcv_as_df(
pair,
"5m",
@@ -1995,7 +2004,7 @@ async def test__async_get_historic_ohlcv(default_conf, mocker, caplog, exchange_
)
# Required candles
candles = (end_ts - start_ts) / 300_000
exp = candles // exchange.ohlcv_candle_limit('5m') + 1
exp = candles // exchange.ohlcv_candle_limit('5m', CandleType.SPOT) + 1
# Depending on the exchange, this should be called between 1 and 6 times.
assert exchange._api_async.fetch_ohlcv.call_count == exp
@@ -3342,7 +3351,7 @@ def test_ohlcv_candle_limit(default_conf, mocker, exchange_name):
expected = exchange._ft_has['ohlcv_candle_limit_per_timeframe'][timeframe]
# This should only run for bittrex
assert exchange_name == 'bittrex'
assert exchange.ohlcv_candle_limit(timeframe) == expected
assert exchange.ohlcv_candle_limit(timeframe, CandleType.SPOT) == expected
def test_timeframe_to_minutes():
@@ -3424,6 +3433,17 @@ def test_timeframe_to_next_date():
assert timeframe_to_next_date("5m", date) == date + timedelta(minutes=5)
def test_date_minus_candles():
date = datetime(2019, 8, 12, 13, 25, 0, tzinfo=timezone.utc)
assert date_minus_candles("5m", 3, date) == date - timedelta(minutes=15)
assert date_minus_candles("5m", 5, date) == date - timedelta(minutes=25)
assert date_minus_candles("1m", 6, date) == date - timedelta(minutes=6)
assert date_minus_candles("1h", 3, date) == date - timedelta(hours=3, minutes=25)
assert date_minus_candles("1h", 3) == timeframe_to_prev_date('1h') - timedelta(hours=3)
@pytest.mark.parametrize(
"market_symbol,base,quote,exchange,spot,margin,futures,trademode,add_dict,expected_result",
[

30
tests/exchange/test_okx.py
View File

@@ -1,12 +1,42 @@
from datetime import datetime, timedelta, timezone
from unittest.mock import MagicMock, PropertyMock
import pytest
from freqtrade.enums import MarginMode, TradingMode
from freqtrade.enums.candletype import CandleType
from freqtrade.exchange.exchange import timeframe_to_minutes
from tests.conftest import get_patched_exchange
from tests.exchange.test_exchange import ccxt_exceptionhandlers
def test_okx_ohlcv_candle_limit(default_conf, mocker):
exchange = get_patched_exchange(mocker, default_conf, id='okx')
timeframes = ('1m', '5m', '1h')
start_time = int(datetime(2021, 1, 1, tzinfo=timezone.utc).timestamp() * 1000)
for timeframe in timeframes:
assert exchange.ohlcv_candle_limit(timeframe, CandleType.SPOT) == 300
assert exchange.ohlcv_candle_limit(timeframe, CandleType.FUTURES) == 300
assert exchange.ohlcv_candle_limit(timeframe, CandleType.MARK) == 100
assert exchange.ohlcv_candle_limit(timeframe, CandleType.FUNDING_RATE) == 100
assert exchange.ohlcv_candle_limit(timeframe, CandleType.SPOT, start_time) == 100
assert exchange.ohlcv_candle_limit(timeframe, CandleType.FUTURES, start_time) == 100
assert exchange.ohlcv_candle_limit(timeframe, CandleType.MARK, start_time) == 100
assert exchange.ohlcv_candle_limit(timeframe, CandleType.FUNDING_RATE, start_time) == 100
one_call = int((datetime.now(timezone.utc) - timedelta(
minutes=290 * timeframe_to_minutes(timeframe))).timestamp() * 1000)
assert exchange.ohlcv_candle_limit(timeframe, CandleType.SPOT, one_call) == 300
assert exchange.ohlcv_candle_limit(timeframe, CandleType.FUTURES, one_call) == 300
one_call = int((datetime.now(timezone.utc) - timedelta(
minutes=320 * timeframe_to_minutes(timeframe))).timestamp() * 1000)
assert exchange.ohlcv_candle_limit(timeframe, CandleType.SPOT, one_call) == 100
assert exchange.ohlcv_candle_limit(timeframe, CandleType.FUTURES, one_call) == 100
def test_get_maintenance_ratio_and_amt_okx(
default_conf,
mocker,