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Merge branch 'feat/short' into futures_pairlist

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This commit is contained in:
Matthias 2021-11-15 19:12:36 +01:00
commit 4e9b83e170
25 changed files with 966 additions and 244 deletions
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6
freqtrade/enums/collateral.py
View File

@ -3,9 +3,9 @@ from enum import Enum
class Collateral(Enum):
"""
Enum to distinguish between
cross margin/futures collateral and
isolated margin/futures collateral
Enum to distinguish between
cross margin/futures collateral and
isolated margin/futures collateral
"""
CROSS = "cross"
ISOLATED = "isolated"

4
freqtrade/enums/tradingmode.py
View File

@ -3,8 +3,8 @@ from enum import Enum
class TradingMode(Enum):
"""
Enum to distinguish between
spot, margin, futures or any other trading method
Enum to distinguish between
spot, margin, futures or any other trading method
"""
SPOT = "spot"
MARGIN = "margin"

8
freqtrade/exchange/bibox.py
View File

@ -1,6 +1,6 @@
""" Bibox exchange subclass """
import logging
from typing import Dict, List
from typing import Dict
from freqtrade.exchange import Exchange
@ -23,6 +23,6 @@ class Bibox(Exchange):
@property
def _ccxt_config(self) -> Dict:
# Parameters to add directly to ccxt sync/async initialization.
return {"has": {"fetchCurrencies": False}}
funding_fee_times: List[int] = [0, 8, 16] # hours of the day
config = {"has": {"fetchCurrencies": False}}
config.update(super()._ccxt_config)
return config

51
freqtrade/exchange/binance.py
View File

@ -1,6 +1,7 @@
""" Binance exchange subclass """
import json
import logging
from datetime import datetime
from pathlib import Path
from typing import Dict, List, Optional, Tuple
@ -27,35 +28,17 @@ class Binance(Exchange):
"trades_pagination": "id",
"trades_pagination_arg": "fromId",
"l2_limit_range": [5, 10, 20, 50, 100, 500, 1000],
"ccxt_futures_name": "future"
}
funding_fee_times: List[int] = [0, 8, 16] # hours of the day
# but the schedule won't check within this timeframe
_supported_trading_mode_collateral_pairs: List[Tuple[TradingMode, Collateral]] = [
# TradingMode.SPOT always supported and not required in this list
# (TradingMode.MARGIN, Collateral.CROSS), # TODO-lev: Uncomment once supported
# (TradingMode.FUTURES, Collateral.CROSS), # TODO-lev: Uncomment once supported
# (TradingMode.FUTURES, Collateral.ISOLATED) # TODO-lev: Uncomment once supported
# TODO-lev: Uncomment once supported
# (TradingMode.MARGIN, Collateral.CROSS),
# (TradingMode.FUTURES, Collateral.CROSS),
# (TradingMode.FUTURES, Collateral.ISOLATED)
]
@property
def _ccxt_config(self) -> Dict:
# Parameters to add directly to ccxt sync/async initialization.
if self.trading_mode == TradingMode.MARGIN:
return {
"options": {
"defaultType": "margin"
}
}
elif self.trading_mode == TradingMode.FUTURES:
return {
"options": {
"defaultType": "future"
}
}
else:
return {}
def stoploss_adjust(self, stop_loss: float, order: Dict, side: str) -> bool:
"""
Verify stop_loss against stoploss-order value (limit or price)
@ -139,8 +122,8 @@ class Binance(Exchange):
@retrier
def fill_leverage_brackets(self):
"""
Assigns property _leverage_brackets to a dictionary of information about the leverage
allowed on each pair
Assigns property _leverage_brackets to a dictionary of information about the leverage
allowed on each pair
"""
if self.trading_mode == TradingMode.FUTURES:
try:
@ -174,9 +157,9 @@ class Binance(Exchange):
def get_max_leverage(self, pair: Optional[str], nominal_value: Optional[float]) -> float:
"""
Returns the maximum leverage that a pair can be traded at
:param pair: The base/quote currency pair being traded
:nominal_value: The total value of the trade in quote currency (collateral + debt)
Returns the maximum leverage that a pair can be traded at
:param pair: The base/quote currency pair being traded
:nominal_value: The total value of the trade in quote currency (collateral + debt)
"""
if pair not in self._leverage_brackets:
return 1.0
@ -195,8 +178,8 @@ class Binance(Exchange):
trading_mode: Optional[TradingMode] = None
):
"""
Set's the leverage before making a trade, in order to not
have the same leverage on every trade
Set's the leverage before making a trade, in order to not
have the same leverage on every trade
"""
trading_mode = trading_mode or self.trading_mode
@ -229,3 +212,11 @@ class Binance(Exchange):
f"{arrow.get(since_ms // 1000).isoformat()}.")
return await super()._async_get_historic_ohlcv(
pair=pair, timeframe=timeframe, since_ms=since_ms, is_new_pair=is_new_pair)
def funding_fee_cutoff(self, open_date: datetime):
"""
# TODO-lev: Double check that gateio, ftx, and kraken don't also have this
:param open_date: The open date for a trade
:return: The cutoff open time for when a funding fee is charged
"""
return open_date.minute > 0 or (open_date.minute == 0 and open_date.second > 15)

8
freqtrade/exchange/bybit.py
View File

@ -21,12 +21,12 @@ class Bybit(Exchange):
_ft_has: Dict = {
"ohlcv_candle_limit": 200,
"ccxt_futures_name": "linear"
}
funding_fee_times: List[int] = [0, 8, 16] # hours of the day
_supported_trading_mode_collateral_pairs: List[Tuple[TradingMode, Collateral]] = [
# TradingMode.SPOT always supported and not required in this list
# (TradingMode.FUTURES, Collateral.CROSS), # TODO-lev: Uncomment once supported
# (TradingMode.FUTURES, Collateral.ISOLATED) # TODO-lev: Uncomment once supported
# TODO-lev: Uncomment once supported
# (TradingMode.FUTURES, Collateral.CROSS),
# (TradingMode.FUTURES, Collateral.ISOLATED)
]

243
freqtrade/exchange/exchange.py
View File

@ -7,7 +7,7 @@ import http
import inspect
import logging
from copy import deepcopy
from datetime import datetime, timezone
from datetime import datetime, timedelta, timezone
from math import ceil
from typing import Any, Dict, List, Optional, Tuple, Union
@ -69,13 +69,11 @@ class Exchange:
"trades_pagination_arg": "since",
"l2_limit_range": None,
"l2_limit_range_required": True, # Allow Empty L2 limit (kucoin)
"mark_ohlcv_price": "mark",
"ccxt_futures_name": "swap"
}
_ft_has: Dict = {}
# funding_fee_times is currently unused, but should ideally be used to properly
# schedule refresh times
funding_fee_times: List[int] = [] # hours of the day
_supported_trading_mode_collateral_pairs: List[Tuple[TradingMode, Collateral]] = [
# TradingMode.SPOT always supported and not required in this list
]
@ -89,6 +87,7 @@ class Exchange:
self._api: ccxt.Exchange = None
self._api_async: ccxt_async.Exchange = None
self._markets: Dict = {}
self._leverage_brackets: Dict = {}
self._config.update(config)
@ -179,7 +178,6 @@ class Exchange:
self.markets_refresh_interval: int = exchange_config.get(
"markets_refresh_interval", 60) * 60
self._leverage_brackets: Dict = {}
if self.trading_mode != TradingMode.SPOT:
self.fill_leverage_brackets()
@ -234,7 +232,20 @@ class Exchange:
@property
def _ccxt_config(self) -> Dict:
# Parameters to add directly to ccxt sync/async initialization.
return {}
if self.trading_mode == TradingMode.MARGIN:
return {
"options": {
"defaultType": "margin"
}
}
elif self.trading_mode == TradingMode.FUTURES:
return {
"options": {
"defaultType": self._ft_has["ccxt_futures_name"]
}
}
else:
return {}
@property
def name(self) -> str:
@ -532,10 +543,10 @@ class Exchange:
collateral: Optional[Collateral] # Only None when trading_mode = TradingMode.SPOT
):
"""
Checks if freqtrade can perform trades using the configured
trading mode(Margin, Futures) and Collateral(Cross, Isolated)
Throws OperationalException:
If the trading_mode/collateral type are not supported by freqtrade on this exchange
Checks if freqtrade can perform trades using the configured
trading mode(Margin, Futures) and Collateral(Cross, Isolated)
Throws OperationalException:
If the trading_mode/collateral type are not supported by freqtrade on this exchange
"""
if trading_mode != TradingMode.SPOT and (
(trading_mode, collateral) not in self._supported_trading_mode_collateral_pairs
@ -1622,18 +1633,18 @@ class Exchange:
until=until, from_id=from_id))
@retrier
def get_funding_fees_from_exchange(self, pair: str, since: Union[datetime, int]) -> float:
def _get_funding_fees_from_exchange(self, pair: str, since: Union[datetime, int]) -> float:
"""
Returns the sum of all funding fees that were exchanged for a pair within a timeframe
:param pair: (e.g. ADA/USDT)
:param since: The earliest time of consideration for calculating funding fees,
in unix time or as a datetime
Returns the sum of all funding fees that were exchanged for a pair within a timeframe
Dry-run handling happens as part of _calculate_funding_fees.
:param pair: (e.g. ADA/USDT)
:param since: The earliest time of consideration for calculating funding fees,
in unix time or as a datetime
"""
# TODO-lev: Add dry-run handling for this.
if not self.exchange_has("fetchFundingHistory"):
raise OperationalException(
f"fetch_funding_history() has not been implemented on ccxt.{self.name}")
f"fetch_funding_history() is not available using {self.name}"
)
if type(since) is datetime:
since = int(since.timestamp()) * 1000 # * 1000 for ms
@ -1654,17 +1665,17 @@ class Exchange:
def fill_leverage_brackets(self):
"""
Assigns property _leverage_brackets to a dictionary of information about the leverage
allowed on each pair
Not used if the exchange has a static max leverage value for the account or each pair
Assigns property _leverage_brackets to a dictionary of information about the leverage
allowed on each pair
Not used if the exchange has a static max leverage value for the account or each pair
"""
return
def get_max_leverage(self, pair: Optional[str], nominal_value: Optional[float]) -> float:
"""
Returns the maximum leverage that a pair can be traded at
:param pair: The base/quote currency pair being traded
:nominal_value: The total value of the trade in quote currency (collateral + debt)
Returns the maximum leverage that a pair can be traded at
:param pair: The base/quote currency pair being traded
:param nominal_value: The total value of the trade in quote currency (collateral + debt)
"""
market = self.markets[pair]
if (
@ -1676,6 +1687,25 @@ class Exchange:
else:
return 1.0
def _get_funding_fee(
self,
size: float,
funding_rate: float,
mark_price: float,
time_in_ratio: Optional[float] = None
) -> float:
"""
Calculates a single funding fee
:param size: contract size * number of contracts
:param mark_price: The price of the asset that the contract is based off of
:param funding_rate: the interest rate and the premium
- interest rate:
- premium: varies by price difference between the perpetual contract and mark price
:param time_in_ratio: Not used by most exchange classes
"""
nominal_value = mark_price * size
return nominal_value * funding_rate
@retrier
def _set_leverage(
self,
@ -1684,8 +1714,8 @@ class Exchange:
trading_mode: Optional[TradingMode] = None
):
"""
Set's the leverage before making a trade, in order to not
have the same leverage on every trade
Set's the leverage before making a trade, in order to not
have the same leverage on every trade
"""
if self._config['dry_run'] or not self.exchange_has("setLeverage"):
# Some exchanges only support one collateral type
@ -1701,12 +1731,19 @@ class Exchange:
except ccxt.BaseError as e:
raise OperationalException(e) from e
def funding_fee_cutoff(self, open_date: datetime):
"""
:param open_date: The open date for a trade
:return: The cutoff open time for when a funding fee is charged
"""
return open_date.minute > 0 or open_date.second > 0
@retrier
def set_margin_mode(self, pair: str, collateral: Collateral, params: dict = {}):
'''
Set's the margin mode on the exchange to cross or isolated for a specific pair
:param symbol: base/quote currency pair (e.g. "ADA/USDT")
'''
"""
Set's the margin mode on the exchange to cross or isolated for a specific pair
:param pair: base/quote currency pair (e.g. "ADA/USDT")
"""
if self._config['dry_run'] or not self.exchange_has("setMarginMode"):
# Some exchanges only support one collateral type
return
@ -1721,6 +1758,150 @@ class Exchange:
except ccxt.BaseError as e:
raise OperationalException(e) from e
@retrier
def _get_mark_price_history(self, pair: str, since: int) -> Dict:
"""
Get's the mark price history for a pair
:param pair: The quote/base pair of the trade
:param since: The earliest time to start downloading candles, in ms.
"""
try:
candles = self._api.fetch_ohlcv(
pair,
timeframe="1h",
since=since,
params={
'price': self._ft_has["mark_ohlcv_price"]
}
)
history = {}
for candle in candles:
d = datetime.fromtimestamp(int(candle[0] / 1000), timezone.utc)
# Round down to the nearest hour, in case of a delayed timestamp
# The millisecond timestamps can be delayed ~20ms
time = timeframe_to_prev_date('1h', d).timestamp() * 1000
opening_mark_price = candle[1]
history[time] = opening_mark_price
return history
except ccxt.NotSupported as e:
raise OperationalException(
f'Exchange {self._api.name} does not support fetching historical '
f'mark price candle (OHLCV) data. Message: {e}') from e
except ccxt.DDoSProtection as e:
raise DDosProtection(e) from e
except (ccxt.NetworkError, ccxt.ExchangeError) as e:
raise TemporaryError(f'Could not fetch historical mark price candle (OHLCV) data '
f'for pair {pair} due to {e.__class__.__name__}. '
f'Message: {e}') from e
except ccxt.BaseError as e:
raise OperationalException(f'Could not fetch historical mark price candle (OHLCV) data '
f'for pair {pair}. Message: {e}') from e
def _calculate_funding_fees(
self,
pair: str,
amount: float,
open_date: datetime,
close_date: Optional[datetime] = None
) -> float:
"""
calculates the sum of all funding fees that occurred for a pair during a futures trade
Only used during dry-run or if the exchange does not provide a funding_rates endpoint.
:param pair: The quote/base pair of the trade
:param amount: The quantity of the trade
:param open_date: The date and time that the trade started
:param close_date: The date and time that the trade ended
"""
if self.funding_fee_cutoff(open_date):
open_date += timedelta(hours=1)
open_date = timeframe_to_prev_date('1h', open_date)
fees: float = 0
if not close_date:
close_date = datetime.now(timezone.utc)
open_timestamp = int(open_date.timestamp()) * 1000
# close_timestamp = int(close_date.timestamp()) * 1000
funding_rate_history = self.get_funding_rate_history(
pair,
open_timestamp
)
mark_price_history = self._get_mark_price_history(
pair,
open_timestamp
)
for timestamp in funding_rate_history.keys():
funding_rate = funding_rate_history[timestamp]
if timestamp in mark_price_history:
mark_price = mark_price_history[timestamp]
fees += self._get_funding_fee(
size=amount,
mark_price=mark_price,
funding_rate=funding_rate
)
else:
logger.warning(
f"Mark price for {pair} at timestamp {timestamp} not found in "
f"funding_rate_history Funding fee calculation may be incorrect"
)
return fees
def get_funding_fees(self, pair: str, amount: float, open_date: datetime) -> float:
"""
Fetch funding fees, either from the exchange (live) or calculates them
based on funding rate/mark price history
:param pair: The quote/base pair of the trade
:param amount: Trade amount
:param open_date: Open date of the trade
"""
if self.trading_mode == TradingMode.FUTURES:
if self._config['dry_run']:
funding_fees = self._calculate_funding_fees(pair, amount, open_date)
else:
funding_fees = self._get_funding_fees_from_exchange(pair, open_date)
return funding_fees
else:
return 0.0
@retrier
def get_funding_rate_history(self, pair: str, since: int) -> Dict:
"""
:param pair: quote/base currency pair
:param since: timestamp in ms of the beginning time
:param end: timestamp in ms of the end time
"""
if not self.exchange_has("fetchFundingRateHistory"):
raise ExchangeError(
f"fetch_funding_rate_history is not available using {self.name}"
)
# TODO-lev: Gateio has a max limit into the past of 333 days, okex has a limit of 3 months
try:
funding_history: Dict = {}
response = self._api.fetch_funding_rate_history(
pair,
limit=1000,
since=since
)
for fund in response:
d = datetime.fromtimestamp(int(fund['timestamp'] / 1000), timezone.utc)
# Round down to the nearest hour, in case of a delayed timestamp
# The millisecond timestamps can be delayed ~20ms
time = int(timeframe_to_prev_date('1h', d).timestamp() * 1000)
funding_history[time] = fund['fundingRate']
return funding_history
except ccxt.DDoSProtection as e:
raise DDosProtection(e) from e
except (ccxt.NetworkError, ccxt.ExchangeError) as e:
raise TemporaryError(
f'Could not set margin mode due to {e.__class__.__name__}. Message: {e}') from e
except ccxt.BaseError as e:
raise OperationalException(e) from e
def is_exchange_known_ccxt(exchange_name: str, ccxt_module: CcxtModuleType = None) -> bool:
return exchange_name in ccxt_exchanges(ccxt_module)

7
freqtrade/exchange/ftx.py
View File

@ -20,13 +20,14 @@ class Ftx(Exchange):
_ft_has: Dict = {
"stoploss_on_exchange": True,
"ohlcv_candle_limit": 1500,
"mark_ohlcv_price": "index"
}
funding_fee_times: List[int] = list(range(0, 24))
_supported_trading_mode_collateral_pairs: List[Tuple[TradingMode, Collateral]] = [
# TradingMode.SPOT always supported and not required in this list
# (TradingMode.MARGIN, Collateral.CROSS), # TODO-lev: Uncomment once supported
# (TradingMode.FUTURES, Collateral.CROSS) # TODO-lev: Uncomment once supported
# TODO-lev: Uncomment once supported
# (TradingMode.MARGIN, Collateral.CROSS),
# (TradingMode.FUTURES, Collateral.CROSS)
]
def stoploss_adjust(self, stop_loss: float, order: Dict, side: str) -> bool:

27
freqtrade/exchange/gateio.py
View File

@ -26,33 +26,14 @@ class Gateio(Exchange):
_headers = {'X-Gate-Channel-Id': 'freqtrade'}
funding_fee_times: List[int] = [0, 8, 16] # hours of the day
_supported_trading_mode_collateral_pairs: List[Tuple[TradingMode, Collateral]] = [
# TradingMode.SPOT always supported and not required in this list
# (TradingMode.MARGIN, Collateral.CROSS), # TODO-lev: Uncomment once supported
# (TradingMode.FUTURES, Collateral.CROSS), # TODO-lev: Uncomment once supported
# (TradingMode.FUTURES, Collateral.ISOLATED) # TODO-lev: Uncomment once supported
# TODO-lev: Uncomment once supported
# (TradingMode.MARGIN, Collateral.CROSS),
# (TradingMode.FUTURES, Collateral.CROSS),
# (TradingMode.FUTURES, Collateral.ISOLATED)
]
@property
def _ccxt_config(self) -> Dict:
# Parameters to add directly to ccxt sync/async initialization.
if self.trading_mode == TradingMode.MARGIN:
return {
"options": {
"defaultType": "margin"
}
}
elif self.trading_mode == TradingMode.FUTURES:
return {
"options": {
"defaultType": "swap"
}
}
else:
return {}
def validate_ordertypes(self, order_types: Dict) -> None:
super().validate_ordertypes(order_types)

4
freqtrade/exchange/hitbtc.py
View File

@ -1,5 +1,5 @@
import logging
from typing import Dict, List
from typing import Dict
from freqtrade.exchange import Exchange
@ -21,5 +21,3 @@ class Hitbtc(Exchange):
"ohlcv_candle_limit": 1000,
"ohlcv_params": {"sort": "DESC"}
}
funding_fee_times: List[int] = [0, 8, 16] # hours of the day

36
freqtrade/exchange/kraken.py
View File

@ -23,12 +23,12 @@ class Kraken(Exchange):
"trades_pagination": "id",
"trades_pagination_arg": "since",
}
funding_fee_times: List[int] = [0, 4, 8, 12, 16, 20] # hours of the day
_supported_trading_mode_collateral_pairs: List[Tuple[TradingMode, Collateral]] = [
# TradingMode.SPOT always supported and not required in this list
# (TradingMode.MARGIN, Collateral.CROSS), # TODO-lev: Uncomment once supported
# (TradingMode.FUTURES, Collateral.CROSS) # TODO-lev: No CCXT support
# TODO-lev: Uncomment once supported
# (TradingMode.MARGIN, Collateral.CROSS),
# (TradingMode.FUTURES, Collateral.CROSS)
]
def market_is_tradable(self, market: Dict[str, Any]) -> bool:
@ -146,8 +146,8 @@ class Kraken(Exchange):
trading_mode: Optional[TradingMode] = None
):
"""
Kraken set's the leverage as an option in the order object, so we need to
add it to params
Kraken set's the leverage as an option in the order object, so we need to
add it to params
"""
return
@ -156,3 +156,29 @@ class Kraken(Exchange):
if leverage > 1.0:
params['leverage'] = leverage
return params
def _get_funding_fee(
self,
size: float,
funding_rate: float,
mark_price: float,
time_in_ratio: Optional[float] = None
) -> float:
"""
# ! This method will always error when run by Freqtrade because time_in_ratio is never
# ! passed to _get_funding_fee. For kraken futures to work in dry run and backtesting
# ! functionality must be added that passes the parameter time_in_ratio to
# ! _get_funding_fee when using Kraken
Calculates a single funding fee
:param size: contract size * number of contracts
:param mark_price: The price of the asset that the contract is based off of
:param funding_rate: the interest rate and the premium
- interest rate:
- premium: varies by price difference between the perpetual contract and mark price
:param time_in_ratio: time elapsed within funding period without position alteration
"""
if not time_in_ratio:
raise OperationalException(
f"time_in_ratio is required for {self.name}._get_funding_fee")
nominal_value = mark_price * size
return nominal_value * funding_rate * time_in_ratio

4
freqtrade/exchange/kucoin.py
View File

@ -1,6 +1,6 @@
""" Kucoin exchange subclass """
import logging
from typing import Dict, List
from typing import Dict
from freqtrade.exchange import Exchange
@ -24,5 +24,3 @@ class Kucoin(Exchange):
"order_time_in_force": ['gtc', 'fok', 'ioc'],
"time_in_force_parameter": "timeInForce",
}
funding_fee_times: List[int] = [4, 12, 20] # hours of the day

26
freqtrade/exchange/okex.py
View File

@ -17,29 +17,11 @@ class Okex(Exchange):
_ft_has: Dict = {
"ohlcv_candle_limit": 100,
}
funding_fee_times: List[int] = [0, 8, 16] # hours of the day
_supported_trading_mode_collateral_pairs: List[Tuple[TradingMode, Collateral]] = [
# TradingMode.SPOT always supported and not required in this list
# (TradingMode.MARGIN, Collateral.CROSS), # TODO-lev: Uncomment once supported
# (TradingMode.FUTURES, Collateral.CROSS), # TODO-lev: Uncomment once supported
# (TradingMode.FUTURES, Collateral.ISOLATED) # TODO-lev: Uncomment once supported
# TODO-lev: Uncomment once supported
# (TradingMode.MARGIN, Collateral.CROSS),
# (TradingMode.FUTURES, Collateral.CROSS),
# (TradingMode.FUTURES, Collateral.ISOLATED)
]
@property
def _ccxt_config(self) -> Dict:
# Parameters to add directly to ccxt sync/async initialization.
if self.trading_mode == TradingMode.MARGIN:
return {
"options": {
"defaultType": "margin"
}
}
elif self.trading_mode == TradingMode.FUTURES:
return {
"options": {
"defaultType": "swap"
}
}
else:
return {}

29
freqtrade/freqtradebot.py
View File

@ -268,12 +268,16 @@ class FreqtradeBot(LoggingMixin):
def update_funding_fees(self):
if self.trading_mode == TradingMode.FUTURES:
for trade in Trade.get_open_trades():
funding_fees = self.exchange.get_funding_fees_from_exchange(
trades = Trade.get_open_trades()
for trade in trades:
funding_fees = self.exchange.get_funding_fees(
trade.pair,
trade.amount,
trade.open_date
)
trade.funding_fees = funding_fees
else:
return 0.0
def startup_update_open_orders(self):
"""
@ -617,8 +621,9 @@ class FreqtradeBot(LoggingMixin):
default_retval=stake_amount)(
pair=pair, current_time=datetime.now(timezone.utc),
current_rate=enter_limit_requested, proposed_stake=stake_amount,
min_stake=min_stake_amount, max_stake=max_stake_amount, side='long')
# TODO-lev: Add non-hardcoded "side" parameter
min_stake=min_stake_amount, max_stake=max_stake_amount,
side='short' if is_short else 'long'
)
stake_amount = self.wallets._validate_stake_amount(pair, stake_amount, min_stake_amount)
@ -638,7 +643,6 @@ class FreqtradeBot(LoggingMixin):
order_type = self.strategy.order_types.get('forcebuy', order_type)
# TODO-lev: Will this work for shorting?
# TODO-lev: Add non-hardcoded "side" parameter
if not strategy_safe_wrapper(self.strategy.confirm_trade_entry, default_retval=True)(
pair=pair, order_type=order_type, amount=amount, rate=enter_limit_requested,
time_in_force=time_in_force, current_time=datetime.now(timezone.utc),
@ -703,10 +707,7 @@ class FreqtradeBot(LoggingMixin):
# Fee is applied twice because we make a LIMIT_BUY and LIMIT_SELL
fee = self.exchange.get_fee(symbol=pair, taker_or_maker='maker')
open_date = datetime.now(timezone.utc)
if self.trading_mode == TradingMode.FUTURES:
funding_fees = self.exchange.get_funding_fees_from_exchange(pair, open_date)
else:
funding_fees = 0.0
funding_fees = self.exchange.get_funding_fees(pair, amount, open_date)
trade = Trade(
pair=pair,
@ -922,8 +923,7 @@ class FreqtradeBot(LoggingMixin):
Check if trade is fulfilled in which case the stoploss
on exchange should be added immediately if stoploss on exchange
is enabled.
# TODO-lev: liquidation price will always be on exchange, even though
# TODO-lev: stoploss_on_exchange might not be enabled
# TODO-lev: liquidation price always on exchange, even without stoploss_on_exchange
"""
logger.debug('Handling stoploss on exchange %s ...', trade)
@ -1261,6 +1261,11 @@ class FreqtradeBot(LoggingMixin):
:param sell_reason: Reason the sell was triggered
:return: True if it succeeds (supported) False (not supported)
"""
trade.funding_fees = self.exchange.get_funding_fees(
trade.pair,
trade.amount,
trade.open_date
)
exit_type = 'sell' # TODO-lev: Update to exit
if sell_reason.sell_type in (SellType.STOP_LOSS, SellType.TRAILING_STOP_LOSS):
exit_type = 'stoploss'
@ -1517,7 +1522,7 @@ class FreqtradeBot(LoggingMixin):
self.wallets.update()
if fee_abs != 0 and self.wallets.get_free(trade_base_currency) >= amount:
# Eat into dust if we own more than base currency
# TODO-lev: won't be in base currency for shorts
# TODO-lev: settle currency for futures
logger.info(f"Fee amount for {trade} was in base currency - "
f"Eating Fee {fee_abs} into dust.")
elif fee_abs != 0:

18
freqtrade/leverage/interest.py
View File

@ -16,18 +16,18 @@ def interest(
hours: Decimal
) -> Decimal:
"""
Equation to calculate interest on margin trades
Equation to calculate interest on margin trades
:param exchange_name: The exchanged being trading on
:param borrowed: The amount of currency being borrowed
:param rate: The rate of interest (i.e daily interest rate)
:param hours: The time in hours that the currency has been borrowed for
:param exchange_name: The exchanged being trading on
:param borrowed: The amount of currency being borrowed
:param rate: The rate of interest (i.e daily interest rate)
:param hours: The time in hours that the currency has been borrowed for
Raises:
OperationalException: Raised if freqtrade does
not support margin trading for this exchange
Raises:
OperationalException: Raised if freqtrade does
not support margin trading for this exchange
Returns: The amount of interest owed (currency matches borrowed)
Returns: The amount of interest owed (currency matches borrowed)
"""
exchange_name = exchange_name.lower()
if exchange_name == "binance":

26
freqtrade/persistence/models.py
View File

@ -30,13 +30,13 @@ _SQL_DOCS_URL = 'http://docs.sqlalchemy.org/en/latest/core/engines.html#database
def init_db(db_url: str, clean_open_orders: bool = False) -> None:
"""
Initializes this module with the given config,
registers all known command handlers
and starts polling for message updates
:param db_url: Database to use
:param clean_open_orders: Remove open orders from the database.
Useful for dry-run or if all orders have been reset on the exchange.
:return: None
Initializes this module with the given config,
registers all known command handlers
and starts polling for message updates
:param db_url: Database to use
:param clean_open_orders: Remove open orders from the database.
Useful for dry-run or if all orders have been reset on the exchange.
:return: None
"""
kwargs = {}
@ -329,8 +329,8 @@ class LocalTrade():
def _set_stop_loss(self, stop_loss: float, percent: float):
"""
Method you should use to set self.stop_loss.
Assures stop_loss is not passed the liquidation price
Method you should use to set self.stop_loss.
Assures stop_loss is not passed the liquidation price
"""
if self.isolated_liq is not None:
if self.is_short:
@ -352,8 +352,8 @@ class LocalTrade():
def set_isolated_liq(self, isolated_liq: float):
"""
Method you should use to set self.liquidation price.
Assures stop_loss is not passed the liquidation price
Method you should use to set self.liquidation price.
Assures stop_loss is not passed the liquidation price
"""
if self.stop_loss is not None:
if self.is_short:
@ -916,8 +916,8 @@ class Trade(_DECL_BASE, LocalTrade):
max_rate = Column(Float, nullable=True, default=0.0)
# Lowest price reached
min_rate = Column(Float, nullable=True)
sell_reason = Column(String(100), nullable=True) # TODO-lev: Change to close_reason
sell_order_status = Column(String(100), nullable=True) # TODO-lev: Change to close_order_status
sell_reason = Column(String(100), nullable=True)
sell_order_status = Column(String(100), nullable=True)
strategy = Column(String(100), nullable=True)
buy_tag = Column(String(100), nullable=True)
timeframe = Column(Integer, nullable=True)

2
freqtrade/plugins/protections/stoploss_guard.py
View File

@ -32,7 +32,7 @@ class StoplossGuard(IProtection):
def _reason(self) -> str:
"""
LockReason to use
#TODO-lev: check if min is the right word for shorts
# TODO-lev: check if min is the right word for shorts
"""
return (f'{self._trade_limit} stoplosses in {self._lookback_period} min, '
f'locking for {self._stop_duration} min.')

128
tests/conftest.py
View File

@ -2404,3 +2404,131 @@ def limit_order_open(limit_buy_order_usdt_open, limit_sell_order_usdt_open):
'buy': limit_buy_order_usdt_open,
'sell': limit_sell_order_usdt_open
}
@pytest.fixture(scope='function')
def mark_ohlcv():
return [
[1630454400000, 2.77, 2.77, 2.73, 2.73, 0],
[1630458000000, 2.73, 2.76, 2.72, 2.74, 0],
[1630461600000, 2.74, 2.76, 2.74, 2.76, 0],
[1630465200000, 2.76, 2.76, 2.74, 2.76, 0],
[1630468800000, 2.76, 2.77, 2.75, 2.77, 0],
[1630472400000, 2.77, 2.79, 2.75, 2.78, 0],
[1630476000000, 2.78, 2.80, 2.77, 2.77, 0],
[1630479600000, 2.78, 2.79, 2.77, 2.77, 0],
[1630483200000, 2.77, 2.79, 2.77, 2.78, 0],
[1630486800000, 2.77, 2.84, 2.77, 2.84, 0],
[1630490400000, 2.84, 2.85, 2.81, 2.81, 0],
[1630494000000, 2.81, 2.83, 2.81, 2.81, 0],
[1630497600000, 2.81, 2.84, 2.81, 2.82, 0],
[1630501200000, 2.82, 2.83, 2.81, 2.81, 0],
]
@pytest.fixture(scope='function')
def funding_rate_history_hourly():
return [
{
"symbol": "ADA/USDT",
"fundingRate": -0.000008,
"timestamp": 1630454400000,
"datetime": "2021-09-01T00:00:00.000Z"
},
{
"symbol": "ADA/USDT",
"fundingRate": -0.000004,
"timestamp": 1630458000000,
"datetime": "2021-09-01T01:00:00.000Z"
},
{
"symbol": "ADA/USDT",
"fundingRate": 0.000012,
"timestamp": 1630461600000,
"datetime": "2021-09-01T02:00:00.000Z"
},
{
"symbol": "ADA/USDT",
"fundingRate": -0.000003,
"timestamp": 1630465200000,
"datetime": "2021-09-01T03:00:00.000Z"
},
{
"symbol": "ADA/USDT",
"fundingRate": -0.000007,
"timestamp": 1630468800000,
"datetime": "2021-09-01T04:00:00.000Z"
},
{
"symbol": "ADA/USDT",
"fundingRate": 0.000003,
"timestamp": 1630472400000,
"datetime": "2021-09-01T05:00:00.000Z"
},
{
"symbol": "ADA/USDT",
"fundingRate": 0.000019,
"timestamp": 1630476000000,
"datetime": "2021-09-01T06:00:00.000Z"
},
{
"symbol": "ADA/USDT",
"fundingRate": 0.000003,
"timestamp": 1630479600000,
"datetime": "2021-09-01T07:00:00.000Z"
},
{
"symbol": "ADA/USDT",
"fundingRate": -0.000003,
"timestamp": 1630483200000,
"datetime": "2021-09-01T08:00:00.000Z"
},
{
"symbol": "ADA/USDT",
"fundingRate": 0,
"timestamp": 1630486800000,
"datetime": "2021-09-01T09:00:00.000Z"
},
{
"symbol": "ADA/USDT",
"fundingRate": 0.000013,
"timestamp": 1630490400000,
"datetime": "2021-09-01T10:00:00.000Z"
},
{
"symbol": "ADA/USDT",
"fundingRate": 0.000077,
"timestamp": 1630494000000,
"datetime": "2021-09-01T11:00:00.000Z"
},
{
"symbol": "ADA/USDT",
"fundingRate": 0.000072,
"timestamp": 1630497600000,
"datetime": "2021-09-01T12:00:00.000Z"
},
{
"symbol": "ADA/USDT",
"fundingRate": 0.000097,
"timestamp": 1630501200000,
"datetime": "2021-09-01T13:00:00.000Z"
},
]
@pytest.fixture(scope='function')
def funding_rate_history_octohourly():
return [
{
"symbol": "ADA/USDT",
"fundingRate": -0.000008,
"timestamp": 1630454400000,
"datetime": "2021-09-01T00:00:00.000Z"
},
{
"symbol": "ADA/USDT",
"fundingRate": -0.000003,
"timestamp": 1630483200000,
"datetime": "2021-09-01T08:00:00.000Z"
}
]

2
tests/conftest_trades.py
View File

@ -488,7 +488,7 @@ def leverage_trade(fee):
open_order_id='dry_run_leverage_buy_12368',
strategy='DefaultStrategy',
timeframe=5,
sell_reason='sell_signal', # TODO-lev: Update to exit/close reason
sell_reason='sell_signal',
open_date=datetime.now(tz=timezone.utc) - timedelta(minutes=300),
close_date=datetime.now(tz=timezone.utc),
interest_rate=0.0005

46
tests/exchange/test_ccxt_compat.py
View File

@ -12,7 +12,7 @@ import pytest
from freqtrade.exchange import timeframe_to_minutes, timeframe_to_prev_date
from freqtrade.resolvers.exchange_resolver import ExchangeResolver
from tests.conftest import get_default_conf
from tests.conftest import get_default_conf_usdt
# Exchanges that should be tested
@ -33,9 +33,11 @@ EXCHANGES = {
'timeframe': '5m',
},
'ftx': {
'pair': 'BTC/USDT',
'pair': 'BTC/USD',
'hasQuoteVolume': True,
'timeframe': '5m',
'futures_pair': 'BTC-PERP',
'futures': True,
},
'kucoin': {
'pair': 'BTC/USDT',
@ -46,18 +48,24 @@ EXCHANGES = {
'pair': 'BTC/USDT',
'hasQuoteVolume': True,
'timeframe': '5m',
'futures': True,
'futures_fundingrate_tf': '8h',
'futures_pair': 'BTC/USDT:USDT',
},
'okex': {
'pair': 'BTC/USDT',
'hasQuoteVolume': True,
'timeframe': '5m',
'futures_fundingrate_tf': '8h',
'futures_pair': 'BTC/USDT:USDT',
'futures': True,
},
}
@pytest.fixture(scope="class")
def exchange_conf():
config = get_default_conf((Path(__file__).parent / "testdata").resolve())
config = get_default_conf_usdt((Path(__file__).parent / "testdata").resolve())
config['exchange']['pair_whitelist'] = []
config['exchange']['key'] = ''
config['exchange']['secret'] = ''
@ -73,6 +81,19 @@ def exchange(request, exchange_conf):
yield exchange, request.param
@pytest.fixture(params=EXCHANGES, scope="class")
def exchange_futures(request, exchange_conf):
if not EXCHANGES[request.param].get('futures') is True:
yield None, request.param
else:
exchange_conf['exchange']['name'] = request.param
exchange_conf['trading_mode'] = 'futures'
exchange_conf['collateral'] = 'cross'
exchange = ExchangeResolver.load_exchange(request.param, exchange_conf, validate=True)
yield exchange, request.param
@pytest.mark.longrun
class TestCCXTExchange():
@ -149,6 +170,25 @@ class TestCCXTExchange():
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)
@pytest.mark.skip("No futures support yet")
def test_ccxt_fetch_funding_rate_history(self, exchange_futures):
# TODO-lev: enable this test once Futures mode is enabled.
exchange, exchangename = exchange_futures
if not exchange:
# exchange_futures only returns values for supported exchanges
return
pair = EXCHANGES[exchangename].get('futures_pair', EXCHANGES[exchangename]['pair'])
since = int((datetime.now(timezone.utc) - timedelta(days=5)).timestamp() * 1000)
rate = exchange.get_funding_rate_history(pair, since)
assert isinstance(rate, dict)
expected_tf = EXCHANGES[exchangename].get('futures_fundingrate_tf', '1h')
this_hour = timeframe_to_prev_date(expected_tf)
prev_tick = timeframe_to_prev_date(expected_tf, this_hour - timedelta(minutes=1))
assert rate[int(this_hour.timestamp() * 1000)] != 0.0
assert rate[int(prev_tick.timestamp() * 1000)] != 0.0
# TODO: tests fetch_trades (?)
def test_ccxt_get_fee(self, exchange):

251
tests/exchange/test_exchange.py
View File

@ -2916,6 +2916,8 @@ def test_timeframe_to_prev_date():
# Does not round
time = datetime(2019, 8, 12, 13, 20, 0, tzinfo=timezone.utc)
assert timeframe_to_prev_date('5m', time) == time
time = datetime(2019, 8, 12, 13, 0, 0, tzinfo=timezone.utc)
assert timeframe_to_prev_date('1h', time) == time
def test_timeframe_to_next_date():
@ -3097,7 +3099,7 @@ def test_calculate_backoff(retrycount, max_retries, expected):
@pytest.mark.parametrize("exchange_name", ['binance', 'ftx'])
def test_get_funding_fees_from_exchange(default_conf, mocker, exchange_name):
def test__get_funding_fees_from_exchange(default_conf, mocker, exchange_name):
api_mock = MagicMock()
api_mock.fetch_funding_history = MagicMock(return_value=[
{
@ -3140,11 +3142,11 @@ def test_get_funding_fees_from_exchange(default_conf, mocker, exchange_name):
date_time = datetime.strptime("2021-09-01T00:00:01.000Z", '%Y-%m-%dT%H:%M:%S.%fZ')
unix_time = int(date_time.timestamp())
expected_fees = -0.001 # 0.14542341 + -0.14642341
fees_from_datetime = exchange.get_funding_fees_from_exchange(
fees_from_datetime = exchange._get_funding_fees_from_exchange(
pair='XRP/USDT',
since=date_time
)
fees_from_unix_time = exchange.get_funding_fees_from_exchange(
fees_from_unix_time = exchange._get_funding_fees_from_exchange(
pair='XRP/USDT',
since=unix_time
)
@ -3157,7 +3159,7 @@ def test_get_funding_fees_from_exchange(default_conf, mocker, exchange_name):
default_conf,
api_mock,
exchange_name,
"get_funding_fees_from_exchange",
"_get_funding_fees_from_exchange",
"fetch_funding_history",
pair="XRP/USDT",
since=unix_time
@ -3292,16 +3294,16 @@ def test_validate_trading_mode_and_collateral(
("binance", "spot", {}),
("binance", "margin", {"options": {"defaultType": "margin"}}),
("binance", "futures", {"options": {"defaultType": "future"}}),
("kraken", "spot", {}),
("kraken", "margin", {}),
("kraken", "futures", {}),
("ftx", "spot", {}),
("ftx", "margin", {}),
("ftx", "futures", {}),
("bittrex", "spot", {}),
("gateio", "spot", {}),
("gateio", "margin", {"options": {"defaultType": "margin"}}),
("bibox", "spot", {"has": {"fetchCurrencies": False}}),
("bibox", "margin", {"has": {"fetchCurrencies": False}, "options": {"defaultType": "margin"}}),
("bibox", "futures", {"has": {"fetchCurrencies": False}, "options": {"defaultType": "swap"}}),
("bybit", "futures", {"options": {"defaultType": "linear"}}),
("ftx", "futures", {"options": {"defaultType": "swap"}}),
("gateio", "futures", {"options": {"defaultType": "swap"}}),
("hitbtc", "futures", {"options": {"defaultType": "swap"}}),
("kraken", "futures", {"options": {"defaultType": "swap"}}),
("kucoin", "futures", {"options": {"defaultType": "swap"}}),
("okex", "futures", {"options": {"defaultType": "swap"}}),
])
def test__ccxt_config(
default_conf,
@ -3327,3 +3329,226 @@ def test_get_max_leverage(default_conf, mocker, pair, nominal_value, max_lev):
# Binance has a different method of getting the max leverage
exchange = get_patched_exchange(mocker, default_conf, id="kraken")
assert exchange.get_max_leverage(pair, nominal_value) == max_lev
@pytest.mark.parametrize(
'size,funding_rate,mark_price,time_in_ratio,funding_fee,kraken_fee', [
(10, 0.0001, 2.0, 1.0, 0.002, 0.002),
(10, 0.0002, 2.0, 0.01, 0.004, 0.00004),
(10, 0.0002, 2.5, None, 0.005, None),
])
def test__get_funding_fee(
default_conf,
mocker,
size,
funding_rate,
mark_price,
funding_fee,
kraken_fee,
time_in_ratio
):
exchange = get_patched_exchange(mocker, default_conf)
kraken = get_patched_exchange(mocker, default_conf, id="kraken")
assert exchange._get_funding_fee(size, funding_rate, mark_price, time_in_ratio) == funding_fee
if (kraken_fee is None):
with pytest.raises(OperationalException):
kraken._get_funding_fee(size, funding_rate, mark_price, time_in_ratio)
else:
assert kraken._get_funding_fee(size, funding_rate, mark_price, time_in_ratio) == kraken_fee
def test__get_mark_price_history(mocker, default_conf, mark_ohlcv):
api_mock = MagicMock()
api_mock.fetch_ohlcv = MagicMock(return_value=mark_ohlcv)
type(api_mock).has = PropertyMock(return_value={'fetchOHLCV': True})
# mocker.patch('freqtrade.exchange.Exchange.get_funding_fees', lambda pair, since: y)
exchange = get_patched_exchange(mocker, default_conf, api_mock)
mark_prices = exchange._get_mark_price_history("ADA/USDT", 1630454400000)
assert mark_prices == {
1630454400000: 2.77,
1630458000000: 2.73,
1630461600000: 2.74,
1630465200000: 2.76,
1630468800000: 2.76,
1630472400000: 2.77,
1630476000000: 2.78,
1630479600000: 2.78,
1630483200000: 2.77,
1630486800000: 2.77,
1630490400000: 2.84,
1630494000000: 2.81,
1630497600000: 2.81,
1630501200000: 2.82,
}
ccxt_exceptionhandlers(
mocker,
default_conf,
api_mock,
"binance",
"_get_mark_price_history",
"fetch_ohlcv",
pair="ADA/USDT",
since=1635580800001
)
def test_get_funding_rate_history(mocker, default_conf, funding_rate_history_hourly):
api_mock = MagicMock()
api_mock.fetch_funding_rate_history = MagicMock(return_value=funding_rate_history_hourly)
type(api_mock).has = PropertyMock(return_value={'fetchFundingRateHistory': True})
# mocker.patch('freqtrade.exchange.Exchange.get_funding_fees', lambda pair, since: y)
exchange = get_patched_exchange(mocker, default_conf, api_mock)
funding_rates = exchange.get_funding_rate_history('ADA/USDT', 1635580800001)
assert funding_rates == {
1630454400000: -0.000008,
1630458000000: -0.000004,
1630461600000: 0.000012,
1630465200000: -0.000003,
1630468800000: -0.000007,
1630472400000: 0.000003,
1630476000000: 0.000019,
1630479600000: 0.000003,
1630483200000: -0.000003,
1630486800000: 0,
1630490400000: 0.000013,
1630494000000: 0.000077,
1630497600000: 0.000072,
1630501200000: 0.000097,
}
ccxt_exceptionhandlers(
mocker,
default_conf,
api_mock,
"binance",
"get_funding_rate_history",
"fetch_funding_rate_history",
pair="ADA/USDT",
since=1630454400000
)
@pytest.mark.parametrize('exchange,rate_start,rate_end,d1,d2,amount,expected_fees', [
('binance', 0, 2, "2021-09-01 00:00:00", "2021-09-01 08:00:00", 30.0, -0.0009140999999999999),
('binance', 0, 2, "2021-09-01 00:00:15", "2021-09-01 08:00:00", 30.0, -0.0009140999999999999),
('binance', 1, 2, "2021-09-01 01:00:14", "2021-09-01 08:00:00", 30.0, -0.0002493),
('binance', 1, 2, "2021-09-01 00:00:16", "2021-09-01 08:00:00", 30.0, -0.0002493),
('binance', 0, 1, "2021-09-01 00:00:00", "2021-09-01 07:59:59", 30.0, -0.0006647999999999999),
('binance', 0, 2, "2021-09-01 00:00:00", "2021-09-01 12:00:00", 30.0, -0.0009140999999999999),
('binance', 0, 2, "2021-09-01 00:00:01", "2021-09-01 08:00:00", 30.0, -0.0009140999999999999),
# TODO: Uncoment once _calculate_funding_fees can pas time_in_ratio to exchange._get_funding_fee
# ('kraken', "2021-09-01 00:00:00", "2021-09-01 08:00:00", 30.0, -0.0014937),
# ('kraken', "2021-09-01 00:00:15", "2021-09-01 08:00:00", 30.0, -0.0008289),
# ('kraken', "2021-09-01 01:00:14", "2021-09-01 08:00:00", 30.0, -0.0008289),
# ('kraken', "2021-09-01 00:00:00", "2021-09-01 07:59:59", 30.0, -0.0012443999999999999),
# ('kraken', "2021-09-01 00:00:00", "2021-09-01 12:00:00", 30.0, 0.0045759),
# ('kraken', "2021-09-01 00:00:01", "2021-09-01 08:00:00", 30.0, -0.0008289),
('ftx', 0, 9, "2021-09-01 00:00:00", "2021-09-01 08:00:00", 30.0, 0.0010008000000000003),
('ftx', 0, 13, "2021-09-01 00:00:00", "2021-09-01 12:00:00", 30.0, 0.0146691),
('ftx', 1, 9, "2021-09-01 00:00:01", "2021-09-01 08:00:00", 30.0, 0.0016656000000000002),
('gateio', 0, 2, "2021-09-01 00:00:00", "2021-09-01 08:00:00", 30.0, -0.0009140999999999999),
('gateio', 0, 2, "2021-09-01 00:00:00", "2021-09-01 12:00:00", 30.0, -0.0009140999999999999),
('gateio', 1, 2, "2021-09-01 00:00:01", "2021-09-01 08:00:00", 30.0, -0.0002493),
('binance', 0, 2, "2021-09-01 00:00:00", "2021-09-01 08:00:00", 50.0, -0.0015235000000000001),
# TODO: Uncoment once _calculate_funding_fees can pas time_in_ratio to exchange._get_funding_fee
# ('kraken', "2021-09-01 00:00:00", "2021-09-01 08:00:00", 50.0, -0.0024895),
('ftx', 0, 9, "2021-09-01 00:00:00", "2021-09-01 08:00:00", 50.0, 0.0016680000000000002),
])
def test__calculate_funding_fees(
mocker,
default_conf,
funding_rate_history_hourly,
funding_rate_history_octohourly,
rate_start,
rate_end,
mark_ohlcv,
exchange,
d1,
d2,
amount,
expected_fees
):
'''
nominal_value = mark_price * size
funding_fee = nominal_value * funding_rate
size: 30
time: 0, mark: 2.77, nominal_value: 83.1, fundRate: -0.000008, fundFee: -0.0006648
time: 1, mark: 2.73, nominal_value: 81.9, fundRate: -0.000004, fundFee: -0.0003276
time: 2, mark: 2.74, nominal_value: 82.2, fundRate: 0.000012, fundFee: 0.0009864
time: 3, mark: 2.76, nominal_value: 82.8, fundRate: -0.000003, fundFee: -0.0002484
time: 4, mark: 2.76, nominal_value: 82.8, fundRate: -0.000007, fundFee: -0.0005796
time: 5, mark: 2.77, nominal_value: 83.1, fundRate: 0.000003, fundFee: 0.0002493
time: 6, mark: 2.78, nominal_value: 83.4, fundRate: 0.000019, fundFee: 0.0015846
time: 7, mark: 2.78, nominal_value: 83.4, fundRate: 0.000003, fundFee: 0.0002502
time: 8, mark: 2.77, nominal_value: 83.1, fundRate: -0.000003, fundFee: -0.0002493
time: 9, mark: 2.77, nominal_value: 83.1, fundRate: 0, fundFee: 0.0
time: 10, mark: 2.84, nominal_value: 85.2, fundRate: 0.000013, fundFee: 0.0011076
time: 11, mark: 2.81, nominal_value: 84.3, fundRate: 0.000077, fundFee: 0.0064911
time: 12, mark: 2.81, nominal_value: 84.3, fundRate: 0.000072, fundFee: 0.0060696
time: 13, mark: 2.82, nominal_value: 84.6, fundRate: 0.000097, fundFee: 0.0082062
size: 50
time: 0, mark: 2.77, nominal_value: 138.5, fundRate: -0.000008, fundFee: -0.001108
time: 1, mark: 2.73, nominal_value: 136.5, fundRate: -0.000004, fundFee: -0.000546
time: 2, mark: 2.74, nominal_value: 137.0, fundRate: 0.000012, fundFee: 0.001644
time: 3, mark: 2.76, nominal_value: 138.0, fundRate: -0.000003, fundFee: -0.000414
time: 4, mark: 2.76, nominal_value: 138.0, fundRate: -0.000007, fundFee: -0.000966
time: 5, mark: 2.77, nominal_value: 138.5, fundRate: 0.000003, fundFee: 0.0004155
time: 6, mark: 2.78, nominal_value: 139.0, fundRate: 0.000019, fundFee: 0.002641
time: 7, mark: 2.78, nominal_value: 139.0, fundRate: 0.000003, fundFee: 0.000417
time: 8, mark: 2.77, nominal_value: 138.5, fundRate: -0.000003, fundFee: -0.0004155
time: 9, mark: 2.77, nominal_value: 138.5, fundRate: 0, fundFee: 0.0
time: 10, mark: 2.84, nominal_value: 142.0, fundRate: 0.000013, fundFee: 0.001846
time: 11, mark: 2.81, nominal_value: 140.5, fundRate: 0.000077, fundFee: 0.0108185
time: 12, mark: 2.81, nominal_value: 140.5, fundRate: 0.000072, fundFee: 0.010116
time: 13, mark: 2.82, nominal_value: 141.0, fundRate: 0.000097, fundFee: 0.013677
'''
d1 = datetime.strptime(f"{d1} +0000", '%Y-%m-%d %H:%M:%S %z')
d2 = datetime.strptime(f"{d2} +0000", '%Y-%m-%d %H:%M:%S %z')
funding_rate_history = {
'binance': funding_rate_history_octohourly,
'ftx': funding_rate_history_hourly,
'gateio': funding_rate_history_octohourly,
}[exchange][rate_start:rate_end]
api_mock = MagicMock()
api_mock.fetch_funding_rate_history = MagicMock(return_value=funding_rate_history)
api_mock.fetch_ohlcv = MagicMock(return_value=mark_ohlcv)
type(api_mock).has = PropertyMock(return_value={'fetchOHLCV': True})
type(api_mock).has = PropertyMock(return_value={'fetchFundingRateHistory': True})
exchange = get_patched_exchange(mocker, default_conf, api_mock, id=exchange)
funding_fees = exchange._calculate_funding_fees('ADA/USDT', amount, d1, d2)
assert funding_fees == expected_fees
@ pytest.mark.parametrize('exchange,expected_fees', [
('binance', -0.0009140999999999999),
('gateio', -0.0009140999999999999),
])
def test__calculate_funding_fees_datetime_called(
mocker,
default_conf,
funding_rate_history_octohourly,
mark_ohlcv,
exchange,
time_machine,
expected_fees
):
api_mock = MagicMock()
api_mock.fetch_ohlcv = MagicMock(return_value=mark_ohlcv)
api_mock.fetch_funding_rate_history = MagicMock(return_value=funding_rate_history_octohourly)
type(api_mock).has = PropertyMock(return_value={'fetchOHLCV': True})
type(api_mock).has = PropertyMock(return_value={'fetchFundingRateHistory': True})
exchange = get_patched_exchange(mocker, default_conf, api_mock, id=exchange)
d1 = datetime.strptime("2021-09-01 00:00:00 +0000", '%Y-%m-%d %H:%M:%S %z')
time_machine.move_to("2021-09-01 08:00:00 +00:00")
funding_fees = exchange._calculate_funding_fees('ADA/USDT', 30.0, d1)
assert funding_fees == expected_fees

22
tests/rpc/test_rpc_apiserver.py
View File

@ -586,10 +586,10 @@ def test_api_trades(botclient, mocker, fee, markets, is_short):
assert rc.json()['total_trades'] == 2
# TODO-lev: @pytest.mark.parametrize('is_short', [True, False])
def test_api_trade_single(botclient, mocker, fee, ticker, markets):
@pytest.mark.parametrize('is_short', [True, False])
def test_api_trade_single(botclient, mocker, fee, ticker, markets, is_short):
ftbot, client = botclient
patch_get_signal(ftbot)
patch_get_signal(ftbot, enter_long=not is_short, enter_short=is_short)
mocker.patch.multiple(
'freqtrade.exchange.Exchange',
markets=PropertyMock(return_value=markets),
@ -599,7 +599,7 @@ def test_api_trade_single(botclient, mocker, fee, ticker, markets):
assert_response(rc, 404)
assert rc.json()['detail'] == 'Trade not found.'
create_mock_trades(fee, False)
create_mock_trades(fee, is_short=is_short)
Trade.query.session.flush()
rc = client_get(client, f"{BASE_URI}/trade/3")
@ -607,10 +607,10 @@ def test_api_trade_single(botclient, mocker, fee, ticker, markets):
assert rc.json()['trade_id'] == 3
# TODO-lev: @pytest.mark.parametrize('is_short', [True, False])
def test_api_delete_trade(botclient, mocker, fee, markets):
@pytest.mark.parametrize('is_short', [True, False])
def test_api_delete_trade(botclient, mocker, fee, markets, is_short):
ftbot, client = botclient
patch_get_signal(ftbot)
patch_get_signal(ftbot, enter_long=not is_short, enter_short=is_short)
stoploss_mock = MagicMock()
cancel_mock = MagicMock()
mocker.patch.multiple(
@ -749,10 +749,10 @@ def test_api_profit(botclient, mocker, ticker, fee, markets):
}
# TODO-lev: @pytest.mark.parametrize('is_short', [True, False])
def test_api_stats(botclient, mocker, ticker, fee, markets,):
@pytest.mark.parametrize('is_short', [True, False])
def test_api_stats(botclient, mocker, ticker, fee, markets, is_short):
ftbot, client = botclient
patch_get_signal(ftbot)
patch_get_signal(ftbot, enter_long=not is_short, enter_short=is_short)
mocker.patch.multiple(
'freqtrade.exchange.Exchange',
get_balances=MagicMock(return_value=ticker),
@ -766,7 +766,7 @@ def test_api_stats(botclient, mocker, ticker, fee, markets,):
assert 'durations' in rc.json()
assert 'sell_reasons' in rc.json()
create_mock_trades(fee, False)
create_mock_trades(fee, is_short=is_short)
rc = client_get(client, f"{BASE_URI}/stats")
assert_response(rc, 200)

6
tests/rpc/test_rpc_telegram.py
View File

@ -1294,8 +1294,8 @@ def test_telegram_trades(mocker, update, default_conf, fee):
msg_mock.call_args_list[0][0][0]))
# TODO-lev: @pytest.mark.parametrize('is_short', [True, False])
def test_telegram_delete_trade(mocker, update, default_conf, fee):
@pytest.mark.parametrize('is_short', [True, False])
def test_telegram_delete_trade(mocker, update, default_conf, fee, is_short):
telegram, _, msg_mock = get_telegram_testobject(mocker, default_conf)
context = MagicMock()
@ -1305,7 +1305,7 @@ def test_telegram_delete_trade(mocker, update, default_conf, fee):
assert "Trade-id not set." in msg_mock.call_args_list[0][0][0]
msg_mock.reset_mock()
create_mock_trades(fee, False)
create_mock_trades(fee, is_short)
context = MagicMock()
context.args = [1]

19
tests/strategy/test_default_strategy.py
View File

@ -1,5 +1,6 @@
from datetime import datetime
import pytest
from pandas import DataFrame
from freqtrade.persistence.models import Trade
@ -7,7 +8,7 @@ from freqtrade.persistence.models import Trade
from .strats.strategy_test_v3 import StrategyTestV3
def test_strategy_test_v2_structure():
def test_strategy_test_v3_structure():
assert hasattr(StrategyTestV3, 'minimal_roi')
assert hasattr(StrategyTestV3, 'stoploss')
assert hasattr(StrategyTestV3, 'timeframe')
@ -16,7 +17,11 @@ def test_strategy_test_v2_structure():
assert hasattr(StrategyTestV3, 'populate_sell_trend')
def test_strategy_test_v2(result, fee):
@pytest.mark.parametrize('is_short,side', [
(True, 'short'),
(False, 'long'),
])
def test_strategy_test_v3(result, fee, is_short, side):
strategy = StrategyTestV3({})
metadata = {'pair': 'ETH/BTC'}
@ -32,16 +37,18 @@ def test_strategy_test_v2(result, fee):
open_rate=19_000,
amount=0.1,
pair='ETH/BTC',
fee_open=fee.return_value
fee_open=fee.return_value,
is_short=is_short
)
assert strategy.confirm_trade_entry(pair='ETH/BTC', order_type='limit', amount=0.1,
rate=20000, time_in_force='gtc',
current_time=datetime.utcnow(), side='long') is True
current_time=datetime.utcnow(),
side=side) is True
assert strategy.confirm_trade_exit(pair='ETH/BTC', trade=trade, order_type='limit', amount=0.1,
rate=20000, time_in_force='gtc', sell_reason='roi',
current_time=datetime.utcnow()) is True
current_time=datetime.utcnow(),
side=side) is True
# TODO-lev: Test for shorts?
assert strategy.custom_stoploss(pair='ETH/BTC', trade=trade, current_time=datetime.now(),
current_rate=20_000, current_profit=0.05) == strategy.stoploss

197
tests/test_freqtradebot.py
View File

@ -906,7 +906,6 @@ def test_execute_entry_confirm_error(mocker, default_conf_usdt, fee, limit_order
pair = 'ETH/USDT'
freqtrade.strategy.confirm_trade_entry = MagicMock(side_effect=ValueError)
# TODO-lev: KeyError happens on short, why?
assert freqtrade.execute_entry(pair, stake_amount)
limit_order[enter_side(is_short)]['id'] = '222'
@ -1228,7 +1227,6 @@ def test_create_stoploss_order_insufficient_funds(
def test_handle_stoploss_on_exchange_trailing(
mocker, default_conf_usdt, fee, is_short, bid, ask, limit_order, stop_price, amt, hang_price
) -> None:
# TODO-lev: test for short
# When trailing stoploss is set
enter_order = limit_order[enter_side(is_short)]
exit_order = limit_order[exit_side(is_short)]
@ -1435,7 +1433,6 @@ def test_handle_stoploss_on_exchange_custom_stop(
enter_order = limit_order[enter_side(is_short)]
exit_order = limit_order[exit_side(is_short)]
# When trailing stoploss is set
# TODO-lev: test for short
stoploss = MagicMock(return_value={'id': 13434334})
patch_RPCManager(mocker)
mocker.patch.multiple(
@ -2973,9 +2970,11 @@ def test_execute_trade_exit_custom_exit_price(
# Set a custom exit price
freqtrade.strategy.custom_exit_price = lambda **kwargs: 2.25
# TODO-lev: side="buy"
freqtrade.execute_trade_exit(trade=trade, limit=ticker_usdt_sell_up()['bid'],
sell_reason=SellCheckTuple(sell_type=SellType.SELL_SIGNAL))
freqtrade.execute_trade_exit(
trade=trade,
limit=ticker_usdt_sell_up()['ask' if is_short else 'bid'],
sell_reason=SellCheckTuple(sell_type=SellType.SELL_SIGNAL)
)
# Sell price must be different to default bid price
@ -3098,7 +3097,6 @@ def test_execute_trade_exit_sloe_cancel_exception(
freqtrade.config['dry_run'] = False
trade.stoploss_order_id = "abcd"
# TODO-lev: side="buy"
freqtrade.execute_trade_exit(trade=trade, limit=1234,
sell_reason=SellCheckTuple(sell_type=SellType.STOP_LOSS))
assert create_order_mock.call_count == 2
@ -3152,9 +3150,11 @@ def test_execute_trade_exit_with_stoploss_on_exchange(
fetch_ticker=ticker_usdt_sell_up
)
# TODO-lev: side="buy"
freqtrade.execute_trade_exit(trade=trade, limit=ticker_usdt_sell_up()['bid'],
sell_reason=SellCheckTuple(sell_type=SellType.STOP_LOSS))
freqtrade.execute_trade_exit(
trade=trade,
limit=ticker_usdt_sell_up()['ask' if is_short else 'bid'],
sell_reason=SellCheckTuple(sell_type=SellType.STOP_LOSS)
)
trade = Trade.query.first()
trade.is_short = is_short
@ -3288,7 +3288,6 @@ def test_execute_trade_exit_market_order(
)
freqtrade.config['order_types']['sell'] = 'market'
# TODO-lev: side="buy"
freqtrade.execute_trade_exit(
trade=trade,
limit=ticker_usdt_sell_up()['ask' if is_short else 'bid'],
@ -3354,9 +3353,11 @@ def test_execute_trade_exit_insufficient_funds_error(default_conf_usdt, ticker_u
)
sell_reason = SellCheckTuple(sell_type=SellType.ROI)
# TODO-lev: side="buy"
assert not freqtrade.execute_trade_exit(trade=trade, limit=ticker_usdt_sell_up()['bid'],
sell_reason=sell_reason)
assert not freqtrade.execute_trade_exit(
trade=trade,
limit=ticker_usdt_sell_up()['ask' if is_short else 'bid'],
sell_reason=sell_reason
)
assert mock_insuf.call_count == 1
@ -3517,9 +3518,11 @@ def test_locked_pairs(default_conf_usdt, ticker_usdt, fee,
fetch_ticker=ticker_usdt_sell_down
)
# TODO-lev: side="buy"
freqtrade.execute_trade_exit(trade=trade, limit=ticker_usdt_sell_down()['bid'],
sell_reason=SellCheckTuple(sell_type=SellType.STOP_LOSS))
freqtrade.execute_trade_exit(
trade=trade,
limit=ticker_usdt_sell_down()['ask' if is_short else 'bid'],
sell_reason=SellCheckTuple(sell_type=SellType.STOP_LOSS)
)
trade.close(ticker_usdt_sell_down()['bid'])
assert freqtrade.strategy.is_pair_locked(trade.pair)
@ -4697,8 +4700,8 @@ def test_leverage_prep():
('futures', 33, "2021-08-31 23:59:59", "2021-09-01 08:00:07"),
('futures', 33, "2021-08-31 23:59:58", "2021-09-01 08:00:07"),
])
def test_update_funding_fees(mocker, default_conf, trading_mode, calls, time_machine,
t1, t2):
def test_update_funding_fees_schedule(mocker, default_conf, trading_mode, calls, time_machine,
t1, t2):
time_machine.move_to(f"{t1} +00:00")
patch_RPCManager(mocker)
@ -4713,3 +4716,159 @@ def test_update_funding_fees(mocker, default_conf, trading_mode, calls, time_mac
freqtrade._schedule.run_pending()
assert freqtrade.update_funding_fees.call_count == calls
@pytest.mark.parametrize('schedule_off', [False, True])
@pytest.mark.parametrize('is_short', [True, False])
def test_update_funding_fees(
mocker,
default_conf,
time_machine,
fee,
ticker_usdt_sell_up,
is_short,
limit_order_open,
schedule_off
):
'''
nominal_value = mark_price * size
funding_fee = nominal_value * funding_rate
size = 123
"LTC/BTC"
time: 0, mark: 3.3, fundRate: 0.00032583, nominal_value: 405.9, fundFee: 0.132254397
time: 8, mark: 3.2, fundRate: 0.00024472, nominal_value: 393.6, fundFee: 0.096321792
"ETH/BTC"
time: 0, mark: 2.4, fundRate: 0.0001, nominal_value: 295.2, fundFee: 0.02952
time: 8, mark: 2.5, fundRate: 0.0001, nominal_value: 307.5, fundFee: 0.03075
"ETC/BTC"
time: 0, mark: 4.3, fundRate: 0.00031077, nominal_value: 528.9, fundFee: 0.164366253
time: 8, mark: 4.1, fundRate: 0.00022655, nominal_value: 504.3, fundFee: 0.114249165
"XRP/BTC"
time: 0, mark: 1.2, fundRate: 0.00049426, nominal_value: 147.6, fundFee: 0.072952776
time: 8, mark: 1.2, fundRate: 0.00032715, nominal_value: 147.6, fundFee: 0.04828734
'''
# SETUP
time_machine.move_to("2021-09-01 00:00:00 +00:00")
open_order = limit_order_open[enter_side(is_short)]
open_exit_order = limit_order_open[exit_side(is_short)]
bid = 0.11
enter_rate_mock = MagicMock(return_value=bid)
enter_mm = MagicMock(return_value=open_order)
patch_RPCManager(mocker)
patch_exchange(mocker)
default_conf['trading_mode'] = 'futures'
default_conf['collateral'] = 'isolated'
default_conf['dry_run'] = True
timestamp_midnight = 1630454400000
timestamp_eight = 1630483200000
funding_rates_midnight = {
"LTC/BTC": {
timestamp_midnight: 0.00032583,
},
"ETH/BTC": {
timestamp_midnight: 0.0001,
},
"XRP/BTC": {
timestamp_midnight: 0.00049426,
}
}
funding_rates_eight = {
"LTC/BTC": {
timestamp_midnight: 0.00032583,
timestamp_eight: 0.00024472,
},
"ETH/BTC": {
timestamp_midnight: 0.0001,
timestamp_eight: 0.0001,
},
"XRP/BTC": {
timestamp_midnight: 0.00049426,
timestamp_eight: 0.00032715,
}
}
mark_prices = {
"LTC/BTC": {
timestamp_midnight: 3.3,
timestamp_eight: 3.2,
},
"ETH/BTC": {
timestamp_midnight: 2.4,
timestamp_eight: 2.5,
},
"XRP/BTC": {
timestamp_midnight: 1.2,
timestamp_eight: 1.2,
}
}
mocker.patch(
'freqtrade.exchange.Exchange._get_mark_price_history',
side_effect=lambda pair, since: mark_prices[pair]
)
mocker.patch(
'freqtrade.exchange.Exchange.get_funding_rate_history',
side_effect=lambda pair, since: funding_rates_midnight[pair]
)
mocker.patch.multiple(
'freqtrade.exchange.Exchange',
get_rate=enter_rate_mock,
fetch_ticker=MagicMock(return_value={
'bid': 1.9,
'ask': 2.2,
'last': 1.9
}),
create_order=enter_mm,
get_min_pair_stake_amount=MagicMock(return_value=1),
get_fee=fee,
)
freqtrade = get_patched_freqtradebot(mocker, default_conf)
# initial funding fees,
freqtrade.execute_entry('ETH/BTC', 123)
freqtrade.execute_entry('LTC/BTC', 2.0)
freqtrade.execute_entry('XRP/BTC', 123)
trades = Trade.get_open_trades()
assert len(trades) == 3
for trade in trades:
assert trade.funding_fees == (
trade.amount *
mark_prices[trade.pair][timestamp_midnight] *
funding_rates_midnight[trade.pair][timestamp_midnight]
)
mocker.patch('freqtrade.exchange.Exchange.create_order', return_value=open_exit_order)
# create_mock_trades(fee, False)
time_machine.move_to("2021-09-01 08:00:00 +00:00")
mocker.patch(
'freqtrade.exchange.Exchange.get_funding_rate_history',
side_effect=lambda pair, since: funding_rates_eight[pair]
)
if schedule_off:
for trade in trades:
assert trade.funding_fees == (
trade.amount *
mark_prices[trade.pair][timestamp_midnight] *
funding_rates_eight[trade.pair][timestamp_midnight]
)
freqtrade.execute_trade_exit(
trade=trade,
# The values of the next 2 params are irrelevant for this test
limit=ticker_usdt_sell_up()['bid'],
sell_reason=SellCheckTuple(sell_type=SellType.ROI)
)
else:
freqtrade._schedule.run_pending()
# Funding fees for 00:00 and 08:00
for trade in trades:
assert trade.funding_fees == sum([
trade.amount *
mark_prices[trade.pair][time] *
funding_rates_eight[trade.pair][time] for time in mark_prices[trade.pair].keys()
])

40
tests/test_persistence.py
View File

@ -1907,12 +1907,12 @@ def test_get_total_closed_profit(fee, use_db):
@pytest.mark.usefixtures("init_persistence")
# TODO-lev: @pytest.mark.parametrize('is_short', [True, False])
@pytest.mark.parametrize('is_short', [True, False])
@pytest.mark.parametrize('use_db', [True, False])
def test_get_trades_proxy(fee, use_db):
def test_get_trades_proxy(fee, use_db, is_short):
Trade.use_db = use_db
Trade.reset_trades()
create_mock_trades(fee, False, use_db)
create_mock_trades(fee, is_short, use_db)
trades = Trade.get_trades_proxy()
assert len(trades) == 6
@ -2042,48 +2042,48 @@ def test_update_order_from_ccxt(caplog):
@pytest.mark.usefixtures("init_persistence")
# TODO-lev: @pytest.mark.parametrize('is_short', [True, False])
def test_select_order(fee):
create_mock_trades(fee, False)
@pytest.mark.parametrize('is_short', [True, False])
def test_select_order(fee, is_short):
create_mock_trades(fee, is_short)
trades = Trade.get_trades().all()
# Open buy order, no sell order
order = trades[0].select_order('buy', True)
order = trades[0].select_order(trades[0].enter_side, True)
assert order is None
order = trades[0].select_order('buy', False)
order = trades[0].select_order(trades[0].enter_side, False)
assert order is not None
order = trades[0].select_order('sell', None)
order = trades[0].select_order(trades[0].exit_side, None)
assert order is None
# closed buy order, and open sell order
order = trades[1].select_order('buy', True)
order = trades[1].select_order(trades[1].enter_side, True)
assert order is None
order = trades[1].select_order('buy', False)
order = trades[1].select_order(trades[1].enter_side, False)
assert order is not None
order = trades[1].select_order('buy', None)
order = trades[1].select_order(trades[1].enter_side, None)
assert order is not None
order = trades[1].select_order('sell', True)
order = trades[1].select_order(trades[1].exit_side, True)
assert order is None
order = trades[1].select_order('sell', False)
order = trades[1].select_order(trades[1].exit_side, False)
assert order is not None
# Has open buy order
order = trades[3].select_order('buy', True)
order = trades[3].select_order(trades[3].enter_side, True)
assert order is not None
order = trades[3].select_order('buy', False)
order = trades[3].select_order(trades[3].enter_side, False)
assert order is None
# Open sell order
order = trades[4].select_order('buy', True)
order = trades[4].select_order(trades[4].enter_side, True)
assert order is None
order = trades[4].select_order('buy', False)
order = trades[4].select_order(trades[4].enter_side, False)
assert order is not None
order = trades[4].select_order('sell', True)
order = trades[4].select_order(trades[4].exit_side, True)
assert order is not None
assert order.ft_order_side == 'stoploss'
order = trades[4].select_order('sell', False)
order = trades[4].select_order(trades[4].exit_side, False)
assert order is None