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Merge pull request #6316 from samgermain/max-amount

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exchange.get_max_pair_stake_amount
This commit is contained in:
Matthias
2022-02-06 07:44:29 +01:00
committed by GitHub
parent 2c5f7adf28 e0d42ad9a7
commit 412fe65344
11 changed files with 321 additions and 86 deletions
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12
tests/conftest.py
View File

@@ -587,7 +587,7 @@ def get_markets():
'limits': {
'amount': {
'min': 0.01,
'max': 1000,
'max': 100000000,
},
'price': {
'min': None,
@@ -622,7 +622,7 @@ def get_markets():
'limits': {
'amount': {
'min': 0.01,
'max': 1000,
'max': 100000000,
},
'price': {
'min': None,
@@ -690,7 +690,7 @@ def get_markets():
'limits': {
'amount': {
'min': 0.01,
'max': 1000,
'max': 100000000,
},
'price': {
'min': None,
@@ -725,7 +725,7 @@ def get_markets():
'limits': {
'amount': {
'min': 0.01,
'max': 1000,
'max': 100000000,
},
'price': {
'min': None,
@@ -760,7 +760,7 @@ def get_markets():
'limits': {
'amount': {
'min': 0.01,
'max': 1000,
'max': 100000000,
},
'price': {
'min': None,
@@ -988,7 +988,7 @@ def get_markets():
'limits': {
'amount': {
'min': 0.01,
'max': 1000,
'max': 100000000000,
},
'price': {
'min': None,

215
tests/exchange/test_exchange.py
View File

@@ -342,7 +342,7 @@ def test_price_get_one_pip(default_conf, mocker, price, precision_mode, precisio
assert pytest.approx(exchange.price_get_one_pip(pair, price)) == expected
def test_get_min_pair_stake_amount(mocker, default_conf) -> None:
def test__get_stake_amount_limit(mocker, default_conf) -> None:
exchange = get_patched_exchange(mocker, default_conf, id="binance")
stoploss = -0.05
@@ -356,7 +356,7 @@ def test_get_min_pair_stake_amount(mocker, default_conf) -> None:
with pytest.raises(ValueError, match=r'.*get market information.*'):
exchange.get_min_pair_stake_amount('BNB/BTC', 1, stoploss)
# no cost Min
# no cost/amount Min
markets["ETH/BTC"]["limits"] = {
'cost': {'min': None, 'max': None},
'amount': {'min': None, 'max': None},
@@ -367,51 +367,33 @@ def test_get_min_pair_stake_amount(mocker, default_conf) -> None:
)
result = exchange.get_min_pair_stake_amount('ETH/BTC', 1, stoploss)
assert result is None
result = exchange.get_max_pair_stake_amount('ETH/BTC', 1)
assert result == float('inf')
# no amount Min
# min/max cost is set
markets["ETH/BTC"]["limits"] = {
'cost': {'min': None, 'max': None},
'amount': {'min': None, 'max': None},
}
mocker.patch(
'freqtrade.exchange.Exchange.markets',
PropertyMock(return_value=markets)
)
result = exchange.get_min_pair_stake_amount('ETH/BTC', 1, stoploss)
assert result is None
# empty 'cost'/'amount' section
markets["ETH/BTC"]["limits"] = {
'cost': {'min': None, 'max': None},
'amount': {'min': None, 'max': None},
}
mocker.patch(
'freqtrade.exchange.Exchange.markets',
PropertyMock(return_value=markets)
)
result = exchange.get_min_pair_stake_amount('ETH/BTC', 1, stoploss)
assert result is None
# min cost is set
markets["ETH/BTC"]["limits"] = {
'cost': {'min': 2, 'max': None},
'cost': {'min': 2, 'max': 10000},
'amount': {'min': None, 'max': None},
}
mocker.patch(
'freqtrade.exchange.Exchange.markets',
PropertyMock(return_value=markets)
)
# min
result = exchange.get_min_pair_stake_amount('ETH/BTC', 1, stoploss)
expected_result = 2 * (1+0.05) / (1-abs(stoploss))
assert isclose(result, expected_result)
# With Leverage
result = exchange.get_min_pair_stake_amount('ETH/BTC', 1, stoploss, 3.0)
assert isclose(result, expected_result/3)
# max
result = exchange.get_max_pair_stake_amount('ETH/BTC', 2)
assert result == 10000
# min amount is set
markets["ETH/BTC"]["limits"] = {
'cost': {'min': None, 'max': None},
'amount': {'min': 2, 'max': None},
'amount': {'min': 2, 'max': 10000},
}
mocker.patch(
'freqtrade.exchange.Exchange.markets',
@@ -423,6 +405,9 @@ def test_get_min_pair_stake_amount(mocker, default_conf) -> None:
# With Leverage
result = exchange.get_min_pair_stake_amount('ETH/BTC', 2, stoploss, 5.0)
assert isclose(result, expected_result/5)
# max
result = exchange.get_max_pair_stake_amount('ETH/BTC', 2)
assert result == 20000
# min amount and cost are set (cost is minimal)
markets["ETH/BTC"]["limits"] = {
@@ -442,8 +427,8 @@ def test_get_min_pair_stake_amount(mocker, default_conf) -> None:
# min amount and cost are set (amount is minial)
markets["ETH/BTC"]["limits"] = {
'cost': {'min': 8, 'max': None},
'amount': {'min': 2, 'max': None},
'cost': {'min': 8, 'max': 10000},
'amount': {'min': 2, 'max': 500},
}
mocker.patch(
'freqtrade.exchange.Exchange.markets',
@@ -455,6 +440,9 @@ def test_get_min_pair_stake_amount(mocker, default_conf) -> None:
# With Leverage
result = exchange.get_min_pair_stake_amount('ETH/BTC', 2, stoploss, 7.0)
assert isclose(result, expected_result/7.0)
# Max
result = exchange.get_max_pair_stake_amount('ETH/BTC', 2)
assert result == 1000
result = exchange.get_min_pair_stake_amount('ETH/BTC', 2, -0.4)
expected_result = max(8, 2 * 2) * 1.5
@@ -462,6 +450,9 @@ def test_get_min_pair_stake_amount(mocker, default_conf) -> None:
# With Leverage
result = exchange.get_min_pair_stake_amount('ETH/BTC', 2, -0.4, 8.0)
assert isclose(result, expected_result/8.0)
# Max
result = exchange.get_max_pair_stake_amount('ETH/BTC', 2)
assert result == 1000
# Really big stoploss
result = exchange.get_min_pair_stake_amount('ETH/BTC', 2, -1)
@@ -470,6 +461,9 @@ def test_get_min_pair_stake_amount(mocker, default_conf) -> None:
# With Leverage
result = exchange.get_min_pair_stake_amount('ETH/BTC', 2, -1, 12.0)
assert isclose(result, expected_result/12)
# Max
result = exchange.get_max_pair_stake_amount('ETH/BTC', 2)
assert result == 1000
markets["ETH/BTC"]["contractSize"] = '0.01'
default_conf['trading_mode'] = 'futures'
@@ -483,6 +477,9 @@ def test_get_min_pair_stake_amount(mocker, default_conf) -> None:
# Contract size 0.01
result = exchange.get_min_pair_stake_amount('ETH/BTC', 2, -1)
assert isclose(result, expected_result * 0.01)
# Max
result = exchange.get_max_pair_stake_amount('ETH/BTC', 2)
assert result == 10
markets["ETH/BTC"]["contractSize"] = '10'
mocker.patch(
@@ -492,6 +489,9 @@ def test_get_min_pair_stake_amount(mocker, default_conf) -> None:
# With Leverage, Contract size 10
result = exchange.get_min_pair_stake_amount('ETH/BTC', 2, -1, 12.0)
assert isclose(result, (expected_result/12) * 10.0)
# Max
result = exchange.get_max_pair_stake_amount('ETH/BTC', 2)
assert result == 10000
def test_get_min_pair_stake_amount_real_data(mocker, default_conf) -> None:
@@ -499,10 +499,10 @@ def test_get_min_pair_stake_amount_real_data(mocker, default_conf) -> None:
stoploss = -0.05
markets = {'ETH/BTC': {'symbol': 'ETH/BTC'}}
# Real Binance data
# ~Real Binance data
markets["ETH/BTC"]["limits"] = {
'cost': {'min': 0.0001},
'amount': {'min': 0.001}
'cost': {'min': 0.0001, 'max': 4000},
'amount': {'min': 0.001, 'max': 10000},
}
mocker.patch(
'freqtrade.exchange.Exchange.markets',
@@ -511,9 +511,23 @@ def test_get_min_pair_stake_amount_real_data(mocker, default_conf) -> None:
result = exchange.get_min_pair_stake_amount('ETH/BTC', 0.020405, stoploss)
expected_result = max(0.0001, 0.001 * 0.020405) * (1+0.05) / (1-abs(stoploss))
assert round(result, 8) == round(expected_result, 8)
# Max
result = exchange.get_max_pair_stake_amount('ETH/BTC', 2.0)
assert result == 4000
# Leverage
result = exchange.get_min_pair_stake_amount('ETH/BTC', 0.020405, stoploss, 3.0)
assert round(result, 8) == round(expected_result/3, 8)
# Contract_size
markets["ETH/BTC"]["contractSize"] = 0.1
result = exchange.get_min_pair_stake_amount('ETH/BTC', 0.020405, stoploss, 3.0)
assert round(result, 8) == round((expected_result/3), 8)
# Max
result = exchange.get_max_pair_stake_amount('ETH/BTC', 12.0)
assert result == 4000
def test_set_sandbox(default_conf, mocker):
"""
@@ -2537,7 +2551,15 @@ def test_cancel_order_dry_run(default_conf, mocker, exchange_name):
assert exchange.cancel_order(order_id='123', pair='TKN/BTC') == {}
assert exchange.cancel_stoploss_order(order_id='123', pair='TKN/BTC') == {}
order = exchange.create_order('ETH/BTC', 'limit', "buy", 5, 0.55, 'gtc')
order = exchange.create_order(
pair='ETH/BTC',
ordertype='limit',
side='buy',
amount=5,
rate=0.55,
time_in_force='gtc',
leverage=1.0,
)
cancel_order = exchange.cancel_order(order_id=order['id'], pair='ETH/BTC')
assert order['id'] == cancel_order['id']
@@ -4062,3 +4084,126 @@ def test_liquidation_price(
upnl_ex_1=upnl_ex_1,
position=position,
), 2), expected)
def test_get_max_pair_stake_amount(
mocker,
default_conf,
):
api_mock = MagicMock()
default_conf['margin_mode'] = 'isolated'
default_conf['trading_mode'] = 'futures'
exchange = get_patched_exchange(mocker, default_conf, api_mock)
markets = {
'XRP/USDT:USDT': {
'limits': {
'amount': {
'min': 0.001,
'max': 10000
},
'cost': {
'min': 5,
'max': None
},
},
'contractSize': None,
'spot': False,
},
'LTC/USDT:USDT': {
'limits': {
'amount': {
'min': 0.001,
'max': None
},
'cost': {
'min': 5,
'max': None
},
},
'contractSize': 0.01,
'spot': False,
},
'ETH/USDT:USDT': {
'limits': {
'amount': {
'min': 0.001,
'max': 10000
},
'cost': {
'min': 5,
'max': 30000,
},
},
'contractSize': 0.01,
'spot': False,
},
'BTC/USDT': {
'limits': {
'amount': {
'min': 0.001,
'max': 10000
},
'cost': {
'min': 5,
'max': None
},
},
'contractSize': 0.01,
'spot': True,
},
'ADA/USDT': {
'limits': {
'amount': {
'min': 0.001,
'max': 10000
},
'cost': {
'min': 5,
'max': 500,
},
},
'contractSize': 0.01,
'spot': True,
},
'DOGE/USDT:USDT': {
'limits': {
'amount': {
'min': 0.001,
'max': 10000
},
'cost': {
'min': 5,
'max': 500
},
},
'contractSize': None,
'spot': False,
},
'LUNA/USDT:USDT': {
'limits': {
'amount': {
'min': 0.001,
'max': 10000
},
'cost': {
'min': 5,
'max': 500
},
},
'contractSize': 0.01,
'spot': False,
},
}
mocker.patch('freqtrade.exchange.Exchange.markets', markets)
assert exchange.get_max_pair_stake_amount('XRP/USDT:USDT', 2.0) == 20000
assert exchange.get_max_pair_stake_amount('LTC/USDT:USDT', 2.0) == float('inf')
assert exchange.get_max_pair_stake_amount('ETH/USDT:USDT', 2.0) == 200
assert exchange.get_max_pair_stake_amount('DOGE/USDT:USDT', 2.0) == 500
assert exchange.get_max_pair_stake_amount('LUNA/USDT:USDT', 2.0) == 5.0
default_conf['trading_mode'] = 'spot'
exchange = get_patched_exchange(mocker, default_conf, api_mock)
mocker.patch('freqtrade.exchange.Exchange.markets', markets)
assert exchange.get_max_pair_stake_amount('BTC/USDT', 2.0) == 20000
assert exchange.get_max_pair_stake_amount('ADA/USDT', 2.0) == 500

1
tests/optimize/test_backtest_detail.py
View File

@@ -609,6 +609,7 @@ def test_backtest_results(default_conf, fee, mocker, caplog, data) -> None:
mocker.patch("freqtrade.exchange.Exchange.get_fee", return_value=0.0)
mocker.patch("freqtrade.exchange.Exchange.get_min_pair_stake_amount", return_value=0.00001)
mocker.patch("freqtrade.exchange.Exchange.get_max_pair_stake_amount", return_value=float('inf'))
mocker.patch("freqtrade.exchange.Binance.get_max_leverage", return_value=100)
patch_exchange(mocker)
frame = _build_backtest_dataframe(data.data)

14
tests/optimize/test_backtesting.py
View File

@@ -497,9 +497,11 @@ def test_backtesting_pairlist_list(default_conf, mocker, caplog, testdatadir, ti
def test_backtest__enter_trade(default_conf, fee, mocker) -> None:
# TODO-lev: test max_pair_stake_amount
default_conf['use_sell_signal'] = False
mocker.patch('freqtrade.exchange.Exchange.get_fee', fee)
mocker.patch("freqtrade.exchange.Exchange.get_min_pair_stake_amount", return_value=0.00001)
mocker.patch("freqtrade.exchange.Exchange.get_max_pair_stake_amount", return_value=float('inf'))
patch_exchange(mocker)
default_conf['stake_amount'] = 'unlimited'
default_conf['max_open_trades'] = 2
@@ -546,6 +548,11 @@ def test_backtest__enter_trade(default_conf, fee, mocker) -> None:
assert trade.stake_amount == 495
assert trade.is_short is True
mocker.patch("freqtrade.exchange.Exchange.get_max_pair_stake_amount", return_value=300.0)
trade = backtesting._enter_trade(pair, row=row, direction='long')
assert trade
assert trade.stake_amount == 300.0
# Stake-amount too high!
mocker.patch("freqtrade.exchange.Exchange.get_min_pair_stake_amount", return_value=600.0)
@@ -566,6 +573,7 @@ def test_backtest__get_sell_trade_entry(default_conf, fee, mocker) -> None:
default_conf['use_sell_signal'] = False
mocker.patch('freqtrade.exchange.Exchange.get_fee', fee)
mocker.patch("freqtrade.exchange.Exchange.get_min_pair_stake_amount", return_value=0.00001)
mocker.patch("freqtrade.exchange.Exchange.get_max_pair_stake_amount", return_value=float('inf'))
patch_exchange(mocker)
default_conf['timeframe_detail'] = '1m'
default_conf['max_open_trades'] = 2
@@ -659,6 +667,7 @@ def test_backtest_one(default_conf, fee, mocker, testdatadir) -> None:
default_conf['use_sell_signal'] = False
mocker.patch('freqtrade.exchange.Exchange.get_fee', fee)
mocker.patch("freqtrade.exchange.Exchange.get_min_pair_stake_amount", return_value=0.00001)
mocker.patch("freqtrade.exchange.Exchange.get_max_pair_stake_amount", return_value=float('inf'))
patch_exchange(mocker)
backtesting = Backtesting(default_conf)
backtesting._set_strategy(backtesting.strategylist[0])
@@ -724,6 +733,7 @@ def test_backtest_1min_timeframe(default_conf, fee, mocker, testdatadir) -> None
default_conf['use_sell_signal'] = False
mocker.patch('freqtrade.exchange.Exchange.get_fee', fee)
mocker.patch("freqtrade.exchange.Exchange.get_min_pair_stake_amount", return_value=0.00001)
mocker.patch("freqtrade.exchange.Exchange.get_max_pair_stake_amount", return_value=float('inf'))
patch_exchange(mocker)
backtesting = Backtesting(default_conf)
backtesting._set_strategy(backtesting.strategylist[0])
@@ -772,6 +782,7 @@ def test_backtest_pricecontours_protections(default_conf, fee, mocker, testdatad
default_conf['enable_protections'] = True
mocker.patch('freqtrade.exchange.Exchange.get_fee', fee)
mocker.patch("freqtrade.exchange.Exchange.get_min_pair_stake_amount", return_value=0.00001)
mocker.patch("freqtrade.exchange.Exchange.get_max_pair_stake_amount", return_value=float('inf'))
tests = [
['sine', 9],
['raise', 10],
@@ -806,6 +817,7 @@ def test_backtest_pricecontours(default_conf, fee, mocker, testdatadir,
default_conf['enable_protections'] = True
mocker.patch("freqtrade.exchange.Exchange.get_min_pair_stake_amount", return_value=0.00001)
mocker.patch("freqtrade.exchange.Exchange.get_max_pair_stake_amount", return_value=float('inf'))
mocker.patch('freqtrade.exchange.Exchange.get_fee', fee)
# While buy-signals are unrealistic, running backtesting
# over and over again should not cause different results
@@ -846,6 +858,7 @@ def test_backtest_only_sell(mocker, default_conf, testdatadir):
def test_backtest_alternate_buy_sell(default_conf, fee, mocker, testdatadir):
mocker.patch("freqtrade.exchange.Exchange.get_min_pair_stake_amount", return_value=0.00001)
mocker.patch("freqtrade.exchange.Exchange.get_max_pair_stake_amount", return_value=float('inf'))
mocker.patch('freqtrade.exchange.Exchange.get_fee', fee)
backtest_conf = _make_backtest_conf(mocker, conf=default_conf,
pair='UNITTEST/BTC', datadir=testdatadir)
@@ -892,6 +905,7 @@ def test_backtest_multi_pair(default_conf, fee, mocker, tres, pair, testdatadir)
return dataframe
mocker.patch("freqtrade.exchange.Exchange.get_min_pair_stake_amount", return_value=0.00001)
mocker.patch("freqtrade.exchange.Exchange.get_max_pair_stake_amount", return_value=float('inf'))
mocker.patch('freqtrade.exchange.Exchange.get_fee', fee)
patch_exchange(mocker)

1
tests/optimize/test_backtesting_adjust_position.py
View File

@@ -17,6 +17,7 @@ def test_backtest_position_adjustment(default_conf, fee, mocker, testdatadir) ->
default_conf['use_sell_signal'] = False
mocker.patch('freqtrade.exchange.Exchange.get_fee', fee)
mocker.patch("freqtrade.exchange.Exchange.get_min_pair_stake_amount", return_value=0.00001)
mocker.patch("freqtrade.exchange.Exchange.get_max_pair_stake_amount", return_value=float('inf'))
patch_exchange(mocker)
default_conf.update({
"stake_amount": 100.0,

17
tests/test_freqtradebot.py
View File

@@ -743,6 +743,7 @@ def test_execute_entry(mocker, default_conf_usdt, fee, limit_order,
(open_rate - (wallet_balance / position)) / (1 - (mm_ratio + taker_fee_rate))
(10 - (2 / 1)) / (1 - (0.01 + 0.0006)) = 8.085708510208207
"""
# TODO: Split this test into multiple tests to improve readability
open_order = limit_order_open[enter_side(is_short)]
order = limit_order[enter_side(is_short)]
default_conf_usdt['trading_mode'] = trading_mode
@@ -932,6 +933,22 @@ def test_execute_entry(mocker, default_conf_usdt, fee, limit_order,
assert trade.open_rate_requested == 10
assert trade.isolated_liq == liq_price
# In case of too high stake amount
order['status'] = 'open'
order['id'] = '55672'
mocker.patch.multiple(
'freqtrade.exchange.Exchange',
get_max_pair_stake_amount=MagicMock(return_value=500),
)
freqtrade.exchange.get_max_pair_stake_amount = MagicMock(return_value=500)
assert freqtrade.execute_entry(pair, 2000, is_short=is_short)
trade = Trade.query.all()[9]
trade.is_short = is_short
assert trade.stake_amount == 500
@pytest.mark.parametrize("is_short", [False, True])
def test_execute_entry_confirm_error(mocker, default_conf_usdt, fee, limit_order, is_short) -> None:

32
tests/test_wallets.py
View File

@@ -180,23 +180,31 @@ def test_get_trade_stake_amount_unlimited_amount(default_conf, ticker, balance_r
assert result == 0
@pytest.mark.parametrize('stake_amount,min_stake_amount,max_stake_amount,expected', [
(22, 11, 50, 22),
(100, 11, 500, 100),
(1000, 11, 500, 500), # Above max-stake
(20, 15, 10, 0), # Minimum stake > max-stake
(9, 11, 100, 11), # Below min stake
(1, 15, 10, 0), # Below min stake and min_stake > max_stake
(20, 50, 100, 0), # Below min stake and stake * 1.3 > min_stake
@pytest.mark.parametrize('stake_amount,min_stake,stake_available,max_stake,expected', [
(22, 11, 50, 10000, 22),
(100, 11, 500, 10000, 100),
(1000, 11, 500, 10000, 500), # Above stake_available
(700, 11, 1000, 400, 400), # Above max_stake, below stake available
(20, 15, 10, 10000, 0), # Minimum stake > stake_available
(9, 11, 100, 10000, 11), # Below min stake
(1, 15, 10, 10000, 0), # Below min stake and min_stake > stake_available
(20, 50, 100, 10000, 0), # Below min stake and stake * 1.3 > min_stake
])
def test_validate_stake_amount(mocker, default_conf,
stake_amount, min_stake_amount, max_stake_amount, expected):
def test_validate_stake_amount(
mocker,
default_conf,
stake_amount,
min_stake,
stake_available,
max_stake,
expected,
):
freqtrade = get_patched_freqtradebot(mocker, default_conf)
mocker.patch("freqtrade.wallets.Wallets.get_available_stake_amount",
return_value=max_stake_amount)
res = freqtrade.wallets.validate_stake_amount('XRP/USDT', stake_amount, min_stake_amount)
return_value=stake_available)
res = freqtrade.wallets.validate_stake_amount('XRP/USDT', stake_amount, min_stake, max_stake)
assert res == expected