Merge branch 'develop' into pr/th0rntwig/7495
This commit is contained in:
robcaulk
commit
51556e08c3
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@ -60,11 +60,18 @@ Binance supports [time_in_force](configuration.md#understand-order_time_in_force
|
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Binance supports `stoploss_on_exchange` and uses `stop-loss-limit` orders. It provides great advantages, so we recommend to benefit from it by enabling stoploss on exchange.
|
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On futures, Binance supports both `stop-limit` as well as `stop-market` orders. You can use either `"limit"` or `"market"` in the `order_types.stoploss` configuration setting to decide which type to use.
|
||||
|
||||
### Binance Blacklist
|
||||
### Binance Blacklist recommendation
|
||||
|
||||
For Binance, it is suggested to add `"BNB/<STAKE>"` to your blacklist to avoid issues, unless you are willing to maintain enough extra `BNB` on the account or unless you're willing to disable using `BNB` for fees.
|
||||
Binance accounts may use `BNB` for fees, and if a trade happens to be on `BNB`, further trades may consume this position and make the initial BNB trade unsellable as the expected amount is not there anymore.
|
||||
|
||||
### Binance sites
|
||||
|
||||
Binance has been split into 2, and users must use the correct ccxt exchange ID for their exchange, otherwise API keys are not recognized.
|
||||
|
||||
* [binance.com](https://www.binance.com/) - International users. Use exchange id: `binance`.
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* [binance.us](https://www.binance.us/) - US based users. Use exchange id: `binanceus`.
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|
||||
### Binance Futures
|
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|
||||
Binance has specific (unfortunately complex) [Futures Trading Quantitative Rules](https://www.binance.com/en/support/faq/4f462ebe6ff445d4a170be7d9e897272) which need to be followed, and which prohibit a too low stake-amount (among others) for too many orders.
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|
@ -87,12 +94,14 @@ When trading on Binance Futures market, orderbook must be used because there is
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},
|
||||
```
|
||||
|
||||
### Binance sites
|
||||
#### Binance futures settings
|
||||
|
||||
Binance has been split into 2, and users must use the correct ccxt exchange ID for their exchange, otherwise API keys are not recognized.
|
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Users will also have to have the futures-setting "Position Mode" set to "One-way Mode", and "Asset Mode" set to "Single-Asset Mode".
|
||||
These settings will be checked on startup, and freqtrade will show an error if this setting is wrong.
|
||||
|
||||
* [binance.com](https://www.binance.com/) - International users. Use exchange id: `binance`.
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||||
* [binance.us](https://www.binance.us/) - US based users. Use exchange id: `binanceus`.
|
||||
|
||||
|
||||
Freqtrade will not attempt to change these settings.
|
||||
|
||||
## Kraken
|
||||
|
||||
|
|
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|
|
@ -22,6 +22,7 @@ You may also use something like `.*DOWN/BTC` or `.*UP/BTC` to exclude leveraged
|
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|
||||
* [`StaticPairList`](#static-pair-list) (default, if not configured differently)
|
||||
* [`VolumePairList`](#volume-pair-list)
|
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* [`ProducerPairList`](#producerpairlist)
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* [`AgeFilter`](#agefilter)
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* [`OffsetFilter`](#offsetfilter)
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* [`PerformanceFilter`](#performancefilter)
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|
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@ -84,7 +85,7 @@ Filtering instances (not the first position in the list) will not apply any cach
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|
||||
You can define a minimum volume with `min_value` - which will filter out pairs with a volume lower than the specified value in the specified timerange.
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|
||||
### VolumePairList Advanced mode
|
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##### VolumePairList Advanced mode
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|
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`VolumePairList` can also operate in an advanced mode to build volume over a given timerange of specified candle size. It utilizes exchange historical candle data, builds a typical price (calculated by (open+high+low)/3) and multiplies the typical price with every candle's volume. The sum is the `quoteVolume` over the given range. This allows different scenarios, for a more smoothened volume, when using longer ranges with larger candle sizes, or the opposite when using a short range with small candles.
|
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|
|
@ -146,6 +147,32 @@ More sophisticated approach can be used, by using `lookback_timeframe` for candl
|
|||
!!! Note
|
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`VolumePairList` does not support backtesting mode.
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|
||||
#### ProducerPairList
|
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|
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With `ProducerPairList`, you can reuse the pairlist from a [Producer](producer-consumer.md) without explicitly defining the pairlist on each consumer.
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|
||||
[Consumer mode](producer-consumer.md) is required for this pairlist to work.
|
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|
||||
The pairlist will perform a check on active pairs against the current exchange configuration to avoid attempting to trade on invalid markets.
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|
||||
You can limit the length of the pairlist with the optional parameter `number_assets`. Using `"number_assets"=0` or omitting this key will result in the reuse of all producer pairs valid for the current setup.
|
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|
||||
```json
|
||||
"pairlists": [
|
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{
|
||||
"method": "ProducerPairList",
|
||||
"number_assets": 5,
|
||||
"producer_name": "default",
|
||||
}
|
||||
],
|
||||
```
|
||||
|
||||
|
||||
!!! Tip "Combining pairlists"
|
||||
This pairlist can be combined with all other pairlists and filters for further pairlist reduction, and can also act as an "additional" pairlist, on top of already defined pairs.
|
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`ProducerPairList` can also be used multiple times in sequence, combining the pairs from multiple producers.
|
||||
Obviously in complex such configurations, the Producer may not provide data for all pairs, so the strategy must be fit for this.
|
||||
|
||||
#### AgeFilter
|
||||
|
||||
Removes pairs that have been listed on the exchange for less than `min_days_listed` days (defaults to `10`) or more than `max_days_listed` days (defaults `None` mean infinity).
|
||||
|
|
|
|||
|
|
@ -643,7 +643,7 @@ This callback is **not** called when there is an open order (either buy or sell)
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|||
|
||||
Additional Buys are ignored once you have reached the maximum amount of extra buys that you have set on `max_entry_position_adjustment`, but the callback is called anyway looking for partial exits.
|
||||
|
||||
Position adjustments will always be applied in the direction of the trade, so a positive value will always increase your position (negative values will decrease your position), no matter if it's a long or short trade. Modifications to leverage are not possible.
|
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Position adjustments will always be applied in the direction of the trade, so a positive value will always increase your position (negative values will decrease your position), no matter if it's a long or short trade. Modifications to leverage are not possible, and the stake-amount is assumed to be before applying leverage.
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|
||||
!!! Note "About stake size"
|
||||
Using fixed stake size means it will be the amount used for the first order, just like without position adjustment.
|
||||
|
|
|
|||
|
|
@ -37,3 +37,12 @@ pip install -e .
|
|||
# Ensure freqUI is at the latest version
|
||||
freqtrade install-ui
|
||||
```
|
||||
|
||||
### Problems updating
|
||||
|
||||
Update-problems usually come missing dependencies (you didn't follow the above instructions) - or from updated dependencies, which fail to install (for example TA-lib).
|
||||
Please refer to the corresponding installation sections (common problems linked below)
|
||||
|
||||
Common problems and their solutions:
|
||||
|
||||
* [ta-lib update on windows](windows_installation.md#2-install-ta-lib)
|
||||
|
|
|
|||
|
|
@ -34,7 +34,7 @@ python -m venv .env
|
|||
.env\Scripts\activate.ps1
|
||||
# optionally install ta-lib from wheel
|
||||
# Eventually adjust the below filename to match the downloaded wheel
|
||||
pip install --find-links build_helpers\ TA-Lib
|
||||
pip install --find-links build_helpers\ TA-Lib -U
|
||||
pip install -r requirements.txt
|
||||
pip install -e .
|
||||
freqtrade
|
||||
|
|
|
|||
|
|
@ -1,5 +1,5 @@
|
|||
""" Freqtrade bot """
|
||||
__version__ = '2022.9.dev'
|
||||
__version__ = '2022.10.dev'
|
||||
|
||||
if 'dev' in __version__:
|
||||
try:
|
||||
|
|
|
|||
|
|
@ -31,7 +31,7 @@ HYPEROPT_LOSS_BUILTIN = ['ShortTradeDurHyperOptLoss', 'OnlyProfitHyperOptLoss',
|
|||
'CalmarHyperOptLoss',
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||||
'MaxDrawDownHyperOptLoss', 'MaxDrawDownRelativeHyperOptLoss',
|
||||
'ProfitDrawDownHyperOptLoss']
|
||||
AVAILABLE_PAIRLISTS = ['StaticPairList', 'VolumePairList',
|
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AVAILABLE_PAIRLISTS = ['StaticPairList', 'VolumePairList', 'ProducerPairList',
|
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'AgeFilter', 'OffsetFilter', 'PerformanceFilter',
|
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'PrecisionFilter', 'PriceFilter', 'RangeStabilityFilter',
|
||||
'ShuffleFilter', 'SpreadFilter', 'VolatilityFilter']
|
||||
|
|
|
|||
|
|
@ -47,8 +47,7 @@ def ohlcv_to_dataframe(ohlcv: list, timeframe: str, pair: str, *,
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|||
|
||||
|
||||
def clean_ohlcv_dataframe(data: DataFrame, timeframe: str, pair: str, *,
|
||||
fill_missing: bool = True,
|
||||
drop_incomplete: bool = True) -> DataFrame:
|
||||
fill_missing: bool, drop_incomplete: bool) -> DataFrame:
|
||||
"""
|
||||
Cleanse a OHLCV dataframe by
|
||||
* Grouping it by date (removes duplicate tics)
|
||||
|
|
|
|||
|
|
@ -26,7 +26,7 @@ def load_pair_history(pair: str,
|
|||
datadir: Path, *,
|
||||
timerange: Optional[TimeRange] = None,
|
||||
fill_up_missing: bool = True,
|
||||
drop_incomplete: bool = True,
|
||||
drop_incomplete: bool = False,
|
||||
startup_candles: int = 0,
|
||||
data_format: str = None,
|
||||
data_handler: IDataHandler = None,
|
||||
|
|
|
|||
|
|
@ -275,7 +275,7 @@ class IDataHandler(ABC):
|
|||
candle_type: CandleType, *,
|
||||
timerange: Optional[TimeRange] = None,
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||||
fill_missing: bool = True,
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||||
drop_incomplete: bool = True,
|
||||
drop_incomplete: bool = False,
|
||||
startup_candles: int = 0,
|
||||
warn_no_data: bool = True,
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||||
) -> DataFrame:
|
||||
|
|
|
|||
|
|
@ -68,6 +68,37 @@ class Binance(Exchange):
|
|||
tickers = deep_merge_dicts(bidsasks, tickers, allow_null_overrides=False)
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return tickers
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||||
|
||||
@retrier
|
||||
def additional_exchange_init(self) -> None:
|
||||
"""
|
||||
Additional exchange initialization logic.
|
||||
.api will be available at this point.
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||||
Must be overridden in child methods if required.
|
||||
"""
|
||||
try:
|
||||
if self.trading_mode == TradingMode.FUTURES and not self._config['dry_run']:
|
||||
position_side = self._api.fapiPrivateGetPositionsideDual()
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||||
self._log_exchange_response('position_side_setting', position_side)
|
||||
assets_margin = self._api.fapiPrivateGetMultiAssetsMargin()
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self._log_exchange_response('multi_asset_margin', assets_margin)
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msg = ""
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||||
if position_side.get('dualSidePosition') is True:
|
||||
msg += (
|
||||
"\nHedge Mode is not supported by freqtrade. "
|
||||
"Please change 'Position Mode' on your binance futures account.")
|
||||
if assets_margin.get('multiAssetsMargin') is True:
|
||||
msg += ("\nMulti-Asset Mode is not supported by freqtrade. "
|
||||
"Please change 'Asset Mode' on your binance futures account.")
|
||||
if msg:
|
||||
raise OperationalException(msg)
|
||||
except ccxt.DDoSProtection as e:
|
||||
raise DDosProtection(e) from e
|
||||
except (ccxt.NetworkError, ccxt.ExchangeError) as e:
|
||||
raise TemporaryError(
|
||||
f'Could not set leverage due to {e.__class__.__name__}. Message: {e}') from e
|
||||
except ccxt.BaseError as e:
|
||||
raise OperationalException(e) from e
|
||||
|
||||
@retrier
|
||||
def _set_leverage(
|
||||
self,
|
||||
|
|
|
|||
|
|
@ -78,7 +78,8 @@ class Okx(Exchange):
|
|||
raise DDosProtection(e) from e
|
||||
except (ccxt.NetworkError, ccxt.ExchangeError) as e:
|
||||
raise TemporaryError(
|
||||
f'Could not set leverage due to {e.__class__.__name__}. Message: {e}') from e
|
||||
f'Error in additional_exchange_init due to {e.__class__.__name__}. Message: {e}'
|
||||
) from e
|
||||
except ccxt.BaseError as e:
|
||||
raise OperationalException(e) from e
|
||||
|
||||
|
|
|
|||
|
|
@ -204,7 +204,7 @@ class FreqaiDataKitchen:
|
|||
filtered_df = unfiltered_df.filter(training_feature_list, axis=1)
|
||||
filtered_df = filtered_df.replace([np.inf, -np.inf], np.nan)
|
||||
|
||||
drop_index = pd.isnull(filtered_df).any(1) # get the rows that have NaNs,
|
||||
drop_index = pd.isnull(filtered_df).any(axis=1) # get the rows that have NaNs,
|
||||
drop_index = drop_index.replace(True, 1).replace(False, 0) # pep8 requirement.
|
||||
if (training_filter):
|
||||
const_cols = list((filtered_df.nunique() == 1).loc[lambda x: x].index)
|
||||
|
|
@ -215,7 +215,7 @@ class FreqaiDataKitchen:
|
|||
# about removing any row with NaNs
|
||||
# if labels has multiple columns (user wants to train multiple modelEs), we detect here
|
||||
labels = unfiltered_df.filter(label_list, axis=1)
|
||||
drop_index_labels = pd.isnull(labels).any(1)
|
||||
drop_index_labels = pd.isnull(labels).any(axis=1)
|
||||
drop_index_labels = drop_index_labels.replace(True, 1).replace(False, 0)
|
||||
dates = unfiltered_df['date']
|
||||
filtered_df = filtered_df[
|
||||
|
|
@ -243,7 +243,7 @@ class FreqaiDataKitchen:
|
|||
else:
|
||||
# we are backtesting so we need to preserve row number to send back to strategy,
|
||||
# so now we use do_predict to avoid any prediction based on a NaN
|
||||
drop_index = pd.isnull(filtered_df).any(1)
|
||||
drop_index = pd.isnull(filtered_df).any(axis=1)
|
||||
self.data["filter_drop_index_prediction"] = drop_index
|
||||
filtered_df.fillna(0, inplace=True)
|
||||
# replacing all NaNs with zeros to avoid issues in 'prediction', but any prediction
|
||||
|
|
@ -802,7 +802,7 @@ class FreqaiDataKitchen:
|
|||
:, :no_prev_pts
|
||||
]
|
||||
distances = distances.replace([np.inf, -np.inf], np.nan)
|
||||
drop_index = pd.isnull(distances).any(1)
|
||||
drop_index = pd.isnull(distances).any(axis=1)
|
||||
distances = distances[drop_index == 0]
|
||||
|
||||
inliers = pd.DataFrame(index=distances.index)
|
||||
|
|
|
|||
|
|
@ -82,7 +82,10 @@ class FreqtradeBot(LoggingMixin):
|
|||
# Keep this at the end of this initialization method.
|
||||
self.rpc: RPCManager = RPCManager(self)
|
||||
|
||||
self.dataprovider = DataProvider(self.config, self.exchange, self.pairlists, self.rpc)
|
||||
self.dataprovider = DataProvider(self.config, self.exchange, rpc=self.rpc)
|
||||
self.pairlists = PairListManager(self.exchange, self.config, self.dataprovider)
|
||||
|
||||
self.dataprovider.add_pairlisthandler(self.pairlists)
|
||||
|
||||
# Attach Dataprovider to strategy instance
|
||||
self.strategy.dp = self.dataprovider
|
||||
|
|
@ -597,7 +600,7 @@ class FreqtradeBot(LoggingMixin):
|
|||
# We should decrease our position
|
||||
amount = self.exchange.amount_to_contract_precision(
|
||||
trade.pair,
|
||||
abs(float(FtPrecise(stake_amount) / FtPrecise(current_exit_rate))))
|
||||
abs(float(FtPrecise(stake_amount * trade.leverage) / FtPrecise(current_exit_rate))))
|
||||
if amount > trade.amount:
|
||||
# This is currently ineffective as remaining would become < min tradable
|
||||
# Fixing this would require checking for 0.0 there -
|
||||
|
|
@ -1340,11 +1343,12 @@ class FreqtradeBot(LoggingMixin):
|
|||
replacing: Optional[bool] = False
|
||||
) -> bool:
|
||||
"""
|
||||
Buy cancel - cancel order
|
||||
entry cancel - cancel order
|
||||
:param replacing: Replacing order - prevent trade deletion.
|
||||
:return: True if order was fully cancelled
|
||||
:return: True if trade was fully cancelled
|
||||
"""
|
||||
was_trade_fully_canceled = False
|
||||
side = trade.entry_side.capitalize()
|
||||
|
||||
# Cancelled orders may have the status of 'canceled' or 'closed'
|
||||
if order['status'] not in constants.NON_OPEN_EXCHANGE_STATES:
|
||||
|
|
@ -1371,7 +1375,6 @@ class FreqtradeBot(LoggingMixin):
|
|||
corder = order
|
||||
reason = constants.CANCEL_REASON['CANCELLED_ON_EXCHANGE']
|
||||
|
||||
side = trade.entry_side.capitalize()
|
||||
logger.info('%s order %s for %s.', side, reason, trade)
|
||||
|
||||
# Using filled to determine the filled amount
|
||||
|
|
@ -1385,24 +1388,13 @@ class FreqtradeBot(LoggingMixin):
|
|||
was_trade_fully_canceled = True
|
||||
reason += f", {constants.CANCEL_REASON['FULLY_CANCELLED']}"
|
||||
else:
|
||||
# FIXME TODO: This could possibly reworked to not duplicate the code 15 lines below.
|
||||
self.update_trade_state(trade, trade.open_order_id, corder)
|
||||
trade.open_order_id = None
|
||||
logger.info(f'{side} Order timeout for {trade}.')
|
||||
else:
|
||||
# if trade is partially complete, edit the stake details for the trade
|
||||
# and close the order
|
||||
# cancel_order may not contain the full order dict, so we need to fallback
|
||||
# to the order dict acquired before cancelling.
|
||||
# we need to fall back to the values from order if corder does not contain these keys.
|
||||
trade.amount = filled_amount
|
||||
# * Check edge cases, we don't want to make leverage > 1.0 if we don't have to
|
||||
# * (for leverage modes which aren't isolated futures)
|
||||
|
||||
trade.stake_amount = trade.amount * trade.open_rate / trade.leverage
|
||||
# update_trade_state (and subsequently recalc_trade_from_orders) will handle updates
|
||||
# to the trade object
|
||||
self.update_trade_state(trade, trade.open_order_id, corder)
|
||||
|
||||
trade.open_order_id = None
|
||||
logger.info(f'Partial {trade.entry_side} order timeout for {trade}.')
|
||||
reason += f", {constants.CANCEL_REASON['PARTIALLY_FILLED']}"
|
||||
|
||||
|
|
@ -1439,8 +1431,6 @@ class FreqtradeBot(LoggingMixin):
|
|||
trade.close_rate_requested = None
|
||||
trade.close_profit = None
|
||||
trade.close_profit_abs = None
|
||||
trade.close_date = None
|
||||
trade.is_open = True
|
||||
trade.open_order_id = None
|
||||
trade.exit_reason = None
|
||||
cancelled = True
|
||||
|
|
@ -1700,11 +1690,6 @@ class FreqtradeBot(LoggingMixin):
|
|||
'stake_amount': trade.stake_amount,
|
||||
}
|
||||
|
||||
if 'fiat_display_currency' in self.config:
|
||||
msg.update({
|
||||
'fiat_currency': self.config['fiat_display_currency'],
|
||||
})
|
||||
|
||||
# Send the message
|
||||
self.rpc.send_msg(msg)
|
||||
|
||||
|
|
|
|||
|
|
@ -110,7 +110,7 @@ class Backtesting:
|
|||
self.timeframe = str(self.config.get('timeframe'))
|
||||
self.timeframe_min = timeframe_to_minutes(self.timeframe)
|
||||
self.init_backtest_detail()
|
||||
self.pairlists = PairListManager(self.exchange, self.config)
|
||||
self.pairlists = PairListManager(self.exchange, self.config, self.dataprovider)
|
||||
if 'VolumePairList' in self.pairlists.name_list:
|
||||
raise OperationalException("VolumePairList not allowed for backtesting. "
|
||||
"Please use StaticPairList instead.")
|
||||
|
|
@ -540,7 +540,7 @@ class Backtesting:
|
|||
|
||||
if stake_amount is not None and stake_amount < 0.0:
|
||||
amount = amount_to_contract_precision(
|
||||
abs(stake_amount) / current_rate, trade.amount_precision,
|
||||
abs(stake_amount * trade.leverage) / current_rate, trade.amount_precision,
|
||||
self.precision_mode, trade.contract_size)
|
||||
if amount == 0.0:
|
||||
return trade
|
||||
|
|
|
|||
|
|
@ -0,0 +1,90 @@
|
|||
"""
|
||||
External Pair List provider
|
||||
|
||||
Provides pair list from Leader data
|
||||
"""
|
||||
import logging
|
||||
from typing import Any, Dict, List, Optional
|
||||
|
||||
from freqtrade.exceptions import OperationalException
|
||||
from freqtrade.plugins.pairlist.IPairList import IPairList
|
||||
|
||||
|
||||
logger = logging.getLogger(__name__)
|
||||
|
||||
|
||||
class ProducerPairList(IPairList):
|
||||
"""
|
||||
PairList plugin for use with external_message_consumer.
|
||||
Will use pairs given from leader data.
|
||||
|
||||
Usage:
|
||||
"pairlists": [
|
||||
{
|
||||
"method": "ProducerPairList",
|
||||
"number_assets": 5,
|
||||
"producer_name": "default",
|
||||
}
|
||||
],
|
||||
"""
|
||||
|
||||
def __init__(self, exchange, pairlistmanager,
|
||||
config: Dict[str, Any], pairlistconfig: Dict[str, Any],
|
||||
pairlist_pos: int) -> None:
|
||||
super().__init__(exchange, pairlistmanager, config, pairlistconfig, pairlist_pos)
|
||||
|
||||
self._num_assets: int = self._pairlistconfig.get('number_assets', 0)
|
||||
self._producer_name = self._pairlistconfig.get('producer_name', 'default')
|
||||
if not config.get('external_message_consumer', {}).get('enabled'):
|
||||
raise OperationalException(
|
||||
"ProducerPairList requires external_message_consumer to be enabled.")
|
||||
|
||||
@property
|
||||
def needstickers(self) -> bool:
|
||||
"""
|
||||
Boolean property defining if tickers are necessary.
|
||||
If no Pairlist requires tickers, an empty Dict is passed
|
||||
as tickers argument to filter_pairlist
|
||||
"""
|
||||
return False
|
||||
|
||||
def short_desc(self) -> str:
|
||||
"""
|
||||
Short whitelist method description - used for startup-messages
|
||||
-> Please overwrite in subclasses
|
||||
"""
|
||||
return f"{self.name} - {self._producer_name}"
|
||||
|
||||
def _filter_pairlist(self, pairlist: Optional[List[str]]):
|
||||
upstream_pairlist = self._pairlistmanager._dataprovider.get_producer_pairs(
|
||||
self._producer_name)
|
||||
|
||||
if pairlist is None:
|
||||
pairlist = self._pairlistmanager._dataprovider.get_producer_pairs(self._producer_name)
|
||||
|
||||
pairs = list(dict.fromkeys(pairlist + upstream_pairlist))
|
||||
if self._num_assets:
|
||||
pairs = pairs[:self._num_assets]
|
||||
|
||||
return pairs
|
||||
|
||||
def gen_pairlist(self, tickers: Dict) -> List[str]:
|
||||
"""
|
||||
Generate the pairlist
|
||||
:param tickers: Tickers (from exchange.get_tickers()). May be cached.
|
||||
:return: List of pairs
|
||||
"""
|
||||
pairs = self._filter_pairlist(None)
|
||||
self.log_once(f"Received pairs: {pairs}", logger.debug)
|
||||
pairs = self._whitelist_for_active_markets(self.verify_whitelist(pairs, logger.info))
|
||||
return pairs
|
||||
|
||||
def filter_pairlist(self, pairlist: List[str], tickers: Dict) -> List[str]:
|
||||
"""
|
||||
Filters and sorts pairlist and returns the whitelist again.
|
||||
Called on each bot iteration - please use internal caching if necessary
|
||||
:param pairlist: pairlist to filter or sort
|
||||
:param tickers: Tickers (from exchange.get_tickers()). May be cached.
|
||||
:return: new whitelist
|
||||
"""
|
||||
return self._filter_pairlist(pairlist)
|
||||
|
|
@ -232,6 +232,4 @@ class VolumePairList(IPairList):
|
|||
# Limit pairlist to the requested number of pairs
|
||||
pairs = pairs[:self._number_pairs]
|
||||
|
||||
self.log_once(f"Searching {self._number_pairs} pairs: {pairs}", logger.info)
|
||||
|
||||
return pairs
|
||||
|
|
|
|||
|
|
@ -3,11 +3,12 @@ PairList manager class
|
|||
"""
|
||||
import logging
|
||||
from functools import partial
|
||||
from typing import Dict, List
|
||||
from typing import Dict, List, Optional
|
||||
|
||||
from cachetools import TTLCache, cached
|
||||
|
||||
from freqtrade.constants import Config, ListPairsWithTimeframes
|
||||
from freqtrade.data.dataprovider import DataProvider
|
||||
from freqtrade.enums import CandleType
|
||||
from freqtrade.exceptions import OperationalException
|
||||
from freqtrade.mixins import LoggingMixin
|
||||
|
|
@ -21,13 +22,14 @@ logger = logging.getLogger(__name__)
|
|||
|
||||
class PairListManager(LoggingMixin):
|
||||
|
||||
def __init__(self, exchange, config: Config) -> None:
|
||||
def __init__(self, exchange, config: Config, dataprovider: DataProvider = None) -> None:
|
||||
self._exchange = exchange
|
||||
self._config = config
|
||||
self._whitelist = self._config['exchange'].get('pair_whitelist')
|
||||
self._blacklist = self._config['exchange'].get('pair_blacklist', [])
|
||||
self._pairlist_handlers: List[IPairList] = []
|
||||
self._tickers_needed = False
|
||||
self._dataprovider: Optional[DataProvider] = dataprovider
|
||||
for pairlist_handler_config in self._config.get('pairlists', []):
|
||||
pairlist_handler = PairListResolver.load_pairlist(
|
||||
pairlist_handler_config['method'],
|
||||
|
|
@ -96,6 +98,8 @@ class PairListManager(LoggingMixin):
|
|||
# to ensure blacklist is respected.
|
||||
pairlist = self.verify_blacklist(pairlist, logger.warning)
|
||||
|
||||
self.log_once(f"Whitelist with {len(pairlist)} pairs: {pairlist}", logger.info)
|
||||
|
||||
self._whitelist = pairlist
|
||||
|
||||
def verify_blacklist(self, pairlist: List[str], logmethod) -> List[str]:
|
||||
|
|
|
|||
|
|
@ -30,9 +30,9 @@ class Discord(Webhook):
|
|||
pass
|
||||
|
||||
def send_msg(self, msg) -> None:
|
||||
logger.info(f"Sending discord message: {msg}")
|
||||
|
||||
if msg['type'].value in self.config['discord']:
|
||||
logger.info(f"Sending discord message: {msg}")
|
||||
|
||||
msg['strategy'] = self.strategy
|
||||
msg['timeframe'] = self.timeframe
|
||||
|
|
|
|||
|
|
@ -284,7 +284,7 @@ class ExternalMessageConsumer:
|
|||
logger.error(f"Empty message received from `{producer_name}`")
|
||||
return
|
||||
|
||||
logger.info(f"Received message of type `{producer_message.type}` from `{producer_name}`")
|
||||
logger.debug(f"Received message of type `{producer_message.type}` from `{producer_name}`")
|
||||
|
||||
message_handler = self._message_handlers.get(producer_message.type)
|
||||
|
||||
|
|
|
|||
|
|
@ -67,7 +67,7 @@ class RPCManager:
|
|||
'status': 'stopping bot'
|
||||
}
|
||||
"""
|
||||
if msg.get('type') is not RPCMessageType.ANALYZED_DF:
|
||||
if msg.get('type') not in (RPCMessageType.ANALYZED_DF, RPCMessageType.WHITELIST):
|
||||
logger.info('Sending rpc message: %s', msg)
|
||||
if 'pair' in msg:
|
||||
msg.update({
|
||||
|
|
|
|||
|
|
@ -61,6 +61,14 @@ class Webhook(RPCHandler):
|
|||
RPCMessageType.STARTUP,
|
||||
RPCMessageType.WARNING):
|
||||
valuedict = whconfig.get('webhookstatus')
|
||||
elif msg['type'] in (
|
||||
RPCMessageType.PROTECTION_TRIGGER,
|
||||
RPCMessageType.PROTECTION_TRIGGER_GLOBAL,
|
||||
RPCMessageType.WHITELIST,
|
||||
RPCMessageType.ANALYZED_DF,
|
||||
RPCMessageType.STRATEGY_MSG):
|
||||
# Don't fail for non-implemented types
|
||||
return
|
||||
else:
|
||||
raise NotImplementedError('Unknown message type: {}'.format(msg['type']))
|
||||
if not valuedict:
|
||||
|
|
|
|||
2
setup.py
2
setup.py
|
|
@ -72,7 +72,7 @@ setup(
|
|||
'pandas',
|
||||
'tables',
|
||||
'blosc',
|
||||
'joblib',
|
||||
'joblib>=1.2.0',
|
||||
'pyarrow; platform_machine != "armv7l"',
|
||||
'fastapi',
|
||||
'uvicorn',
|
||||
|
|
|
|||
|
|
@ -200,6 +200,8 @@ def patch_freqtradebot(mocker, config) -> None:
|
|||
mocker.patch('freqtrade.freqtradebot.RPCManager._init', MagicMock())
|
||||
mocker.patch('freqtrade.freqtradebot.RPCManager.send_msg', MagicMock())
|
||||
patch_whitelist(mocker, config)
|
||||
mocker.patch('freqtrade.freqtradebot.ExternalMessageConsumer')
|
||||
mocker.patch('freqtrade.configuration.config_validation._validate_consumers')
|
||||
|
||||
|
||||
def get_patched_freqtradebot(mocker, config) -> FreqtradeBot:
|
||||
|
|
|
|||
|
|
@ -235,7 +235,7 @@ def test_calculate_market_change(testdatadir):
|
|||
data = load_data(datadir=testdatadir, pairs=pairs, timeframe='5m')
|
||||
result = calculate_market_change(data)
|
||||
assert isinstance(result, float)
|
||||
assert pytest.approx(result) == 0.00955514
|
||||
assert pytest.approx(result) == 0.01100002
|
||||
|
||||
|
||||
def test_combine_dataframes_with_mean(testdatadir):
|
||||
|
|
|
|||
|
|
@ -139,10 +139,10 @@ def test_jsondatahandler_ohlcv_purge(mocker, testdatadir):
|
|||
def test_jsondatahandler_ohlcv_load(testdatadir, caplog):
|
||||
dh = JsonDataHandler(testdatadir)
|
||||
df = dh.ohlcv_load('XRP/ETH', '5m', 'spot')
|
||||
assert len(df) == 711
|
||||
assert len(df) == 712
|
||||
|
||||
df_mark = dh.ohlcv_load('UNITTEST/USDT', '1h', candle_type="mark")
|
||||
assert len(df_mark) == 99
|
||||
assert len(df_mark) == 100
|
||||
|
||||
df_no_mark = dh.ohlcv_load('UNITTEST/USDT', '1h', 'spot')
|
||||
assert len(df_no_mark) == 0
|
||||
|
|
|
|||
|
|
@ -124,8 +124,8 @@ def test_backtest_analysis_nomock(default_conf, mocker, caplog, testdatadir, tmp
|
|||
assert '0' in captured.out
|
||||
assert '0.01616' in captured.out
|
||||
assert '34.049' in captured.out
|
||||
assert '0.104104' in captured.out
|
||||
assert '47.0996' in captured.out
|
||||
assert '0.104411' in captured.out
|
||||
assert '52.8292' in captured.out
|
||||
|
||||
# test group 1
|
||||
args = get_args(base_args + ['--analysis-groups', "1"])
|
||||
|
|
|
|||
|
|
@ -377,8 +377,8 @@ def test_load_partial_missing(testdatadir, caplog) -> None:
|
|||
td = ((end - start).total_seconds() // 60 // 5) + 1
|
||||
assert td != len(data['UNITTEST/BTC'])
|
||||
|
||||
# Shift endtime with +5 - as last candle is dropped (partial candle)
|
||||
end_real = arrow.get(data['UNITTEST/BTC'].iloc[-1, 0]).shift(minutes=5)
|
||||
# Shift endtime with +5
|
||||
end_real = arrow.get(data['UNITTEST/BTC'].iloc[-1, 0])
|
||||
assert log_has(f'UNITTEST/BTC, spot, 5m, '
|
||||
f'data ends at {end_real.strftime(DATETIME_PRINT_FORMAT)}',
|
||||
caplog)
|
||||
|
|
@ -447,7 +447,7 @@ def test_get_timerange(default_conf, mocker, testdatadir) -> None:
|
|||
)
|
||||
min_date, max_date = get_timerange(data)
|
||||
assert min_date.isoformat() == '2017-11-04T23:02:00+00:00'
|
||||
assert max_date.isoformat() == '2017-11-14T22:58:00+00:00'
|
||||
assert max_date.isoformat() == '2017-11-14T22:59:00+00:00'
|
||||
|
||||
|
||||
def test_validate_backtest_data_warn(default_conf, mocker, caplog, testdatadir) -> None:
|
||||
|
|
@ -470,7 +470,7 @@ def test_validate_backtest_data_warn(default_conf, mocker, caplog, testdatadir)
|
|||
min_date, max_date, timeframe_to_minutes('1m'))
|
||||
assert len(caplog.record_tuples) == 1
|
||||
assert log_has(
|
||||
"UNITTEST/BTC has missing frames: expected 14396, got 13680, that's 716 missing values",
|
||||
"UNITTEST/BTC has missing frames: expected 14397, got 13681, that's 716 missing values",
|
||||
caplog)
|
||||
|
||||
|
||||
|
|
|
|||
|
|
@ -501,6 +501,24 @@ def test_fill_leverage_tiers_binance_dryrun(default_conf, mocker, leverage_tiers
|
|||
assert len(v) == len(value)
|
||||
|
||||
|
||||
def test_additional_exchange_init_binance(default_conf, mocker):
|
||||
api_mock = MagicMock()
|
||||
api_mock.fapiPrivateGetPositionsideDual = MagicMock(return_value={"dualSidePosition": True})
|
||||
api_mock.fapiPrivateGetMultiAssetsMargin = MagicMock(return_value={"multiAssetsMargin": True})
|
||||
default_conf['dry_run'] = False
|
||||
default_conf['trading_mode'] = TradingMode.FUTURES
|
||||
default_conf['margin_mode'] = MarginMode.ISOLATED
|
||||
with pytest.raises(OperationalException,
|
||||
match=r"Hedge Mode is not supported.*\nMulti-Asset Mode is not supported.*"):
|
||||
get_patched_exchange(mocker, default_conf, id="binance", api_mock=api_mock)
|
||||
api_mock.fapiPrivateGetPositionsideDual = MagicMock(return_value={"dualSidePosition": False})
|
||||
api_mock.fapiPrivateGetMultiAssetsMargin = MagicMock(return_value={"multiAssetsMargin": False})
|
||||
exchange = get_patched_exchange(mocker, default_conf, id="binance", api_mock=api_mock)
|
||||
assert exchange
|
||||
ccxt_exceptionhandlers(mocker, default_conf, api_mock, 'binance',
|
||||
"additional_exchange_init", "fapiPrivateGetPositionsideDual")
|
||||
|
||||
|
||||
def test__set_leverage_binance(mocker, default_conf):
|
||||
|
||||
api_mock = MagicMock()
|
||||
|
|
|
|||
|
|
@ -137,6 +137,7 @@ def exchange_futures(request, exchange_conf, class_mocker):
|
|||
'freqtrade.exchange.binance.Binance.fill_leverage_tiers')
|
||||
class_mocker.patch('freqtrade.exchange.exchange.Exchange.fetch_trading_fees')
|
||||
class_mocker.patch('freqtrade.exchange.okx.Okx.additional_exchange_init')
|
||||
class_mocker.patch('freqtrade.exchange.binance.Binance.additional_exchange_init')
|
||||
class_mocker.patch('freqtrade.exchange.exchange.Exchange.load_cached_leverage_tiers',
|
||||
return_value=None)
|
||||
class_mocker.patch('freqtrade.exchange.exchange.Exchange.cache_leverage_tiers')
|
||||
|
|
|
|||
|
|
@ -80,7 +80,7 @@ def load_data_test(what, testdatadir):
|
|||
data.loc[:, 'close'] = np.sin(data.index * hz) / 1000 + base
|
||||
|
||||
return {'UNITTEST/BTC': clean_ohlcv_dataframe(data, timeframe='1m', pair='UNITTEST/BTC',
|
||||
fill_missing=True)}
|
||||
fill_missing=True, drop_incomplete=True)}
|
||||
|
||||
|
||||
# FIX: fixturize this?
|
||||
|
|
@ -323,7 +323,7 @@ def test_data_to_dataframe_bt(default_conf, mocker, testdatadir) -> None:
|
|||
backtesting = Backtesting(default_conf)
|
||||
backtesting._set_strategy(backtesting.strategylist[0])
|
||||
processed = backtesting.strategy.advise_all_indicators(data)
|
||||
assert len(processed['UNITTEST/BTC']) == 102
|
||||
assert len(processed['UNITTEST/BTC']) == 103
|
||||
|
||||
# Load strategy to compare the result between Backtesting function and strategy are the same
|
||||
strategy = StrategyResolver.load_strategy(default_conf)
|
||||
|
|
@ -1165,9 +1165,9 @@ def test_backtest_start_timerange(default_conf, mocker, caplog, testdatadir):
|
|||
'Parameter --timerange detected: 1510694220-1510700340 ...',
|
||||
f'Using data directory: {testdatadir} ...',
|
||||
'Loading data from 2017-11-14 20:57:00 '
|
||||
'up to 2017-11-14 22:58:00 (0 days).',
|
||||
'up to 2017-11-14 22:59:00 (0 days).',
|
||||
'Backtesting with data from 2017-11-14 21:17:00 '
|
||||
'up to 2017-11-14 22:58:00 (0 days).',
|
||||
'up to 2017-11-14 22:59:00 (0 days).',
|
||||
'Parameter --enable-position-stacking detected ...'
|
||||
]
|
||||
|
||||
|
|
@ -1244,9 +1244,9 @@ def test_backtest_start_multi_strat(default_conf, mocker, caplog, testdatadir):
|
|||
'Parameter --timerange detected: 1510694220-1510700340 ...',
|
||||
f'Using data directory: {testdatadir} ...',
|
||||
'Loading data from 2017-11-14 20:57:00 '
|
||||
'up to 2017-11-14 22:58:00 (0 days).',
|
||||
'up to 2017-11-14 22:59:00 (0 days).',
|
||||
'Backtesting with data from 2017-11-14 21:17:00 '
|
||||
'up to 2017-11-14 22:58:00 (0 days).',
|
||||
'up to 2017-11-14 22:59:00 (0 days).',
|
||||
'Parameter --enable-position-stacking detected ...',
|
||||
f'Running backtesting for Strategy {CURRENT_TEST_STRATEGY}',
|
||||
'Running backtesting for Strategy StrategyTestV2',
|
||||
|
|
@ -1355,9 +1355,9 @@ def test_backtest_start_multi_strat_nomock(default_conf, mocker, caplog, testdat
|
|||
'Parameter --timerange detected: 1510694220-1510700340 ...',
|
||||
f'Using data directory: {testdatadir} ...',
|
||||
'Loading data from 2017-11-14 20:57:00 '
|
||||
'up to 2017-11-14 22:58:00 (0 days).',
|
||||
'up to 2017-11-14 22:59:00 (0 days).',
|
||||
'Backtesting with data from 2017-11-14 21:17:00 '
|
||||
'up to 2017-11-14 22:58:00 (0 days).',
|
||||
'up to 2017-11-14 22:59:00 (0 days).',
|
||||
'Parameter --enable-position-stacking detected ...',
|
||||
f'Running backtesting for Strategy {CURRENT_TEST_STRATEGY}',
|
||||
'Running backtesting for Strategy StrategyTestV2',
|
||||
|
|
@ -1371,7 +1371,7 @@ def test_backtest_start_multi_strat_nomock(default_conf, mocker, caplog, testdat
|
|||
assert 'EXIT REASON STATS' in captured.out
|
||||
assert 'DAY BREAKDOWN' in captured.out
|
||||
assert 'LEFT OPEN TRADES REPORT' in captured.out
|
||||
assert '2017-11-14 21:17:00 -> 2017-11-14 22:58:00 | Max open trades : 1' in captured.out
|
||||
assert '2017-11-14 21:17:00 -> 2017-11-14 22:59:00 | Max open trades : 1' in captured.out
|
||||
assert 'STRATEGY SUMMARY' in captured.out
|
||||
|
||||
|
||||
|
|
@ -1503,9 +1503,9 @@ def test_backtest_start_nomock_futures(default_conf_usdt, mocker,
|
|||
'Parameter -i/--timeframe detected ... Using timeframe: 1h ...',
|
||||
f'Using data directory: {testdatadir} ...',
|
||||
'Loading data from 2021-11-17 01:00:00 '
|
||||
'up to 2021-11-21 03:00:00 (4 days).',
|
||||
'up to 2021-11-21 04:00:00 (4 days).',
|
||||
'Backtesting with data from 2021-11-17 21:00:00 '
|
||||
'up to 2021-11-21 03:00:00 (3 days).',
|
||||
'up to 2021-11-21 04:00:00 (3 days).',
|
||||
'XRP/USDT, funding_rate, 8h, data starts at 2021-11-18 00:00:00',
|
||||
'XRP/USDT, mark, 8h, data starts at 2021-11-18 00:00:00',
|
||||
f'Running backtesting for Strategy {CURRENT_TEST_STRATEGY}',
|
||||
|
|
@ -1616,9 +1616,9 @@ def test_backtest_start_multi_strat_nomock_detail(default_conf, mocker,
|
|||
'Parameter --timeframe-detail detected, using 1m for intra-candle backtesting ...',
|
||||
f'Using data directory: {testdatadir} ...',
|
||||
'Loading data from 2019-10-11 00:00:00 '
|
||||
'up to 2019-10-13 11:10:00 (2 days).',
|
||||
'up to 2019-10-13 11:15:00 (2 days).',
|
||||
'Backtesting with data from 2019-10-11 01:40:00 '
|
||||
'up to 2019-10-13 11:10:00 (2 days).',
|
||||
'up to 2019-10-13 11:15:00 (2 days).',
|
||||
f'Running backtesting for Strategy {CURRENT_TEST_STRATEGY}',
|
||||
]
|
||||
|
||||
|
|
@ -1719,7 +1719,7 @@ def test_backtest_start_multi_strat_caching(default_conf, mocker, caplog, testda
|
|||
'Parameter --timerange detected: 1510694220-1510700340 ...',
|
||||
f'Using data directory: {testdatadir} ...',
|
||||
'Loading data from 2017-11-14 20:57:00 '
|
||||
'up to 2017-11-14 22:58:00 (0 days).',
|
||||
'up to 2017-11-14 22:59:00 (0 days).',
|
||||
'Parameter --enable-position-stacking detected ...',
|
||||
]
|
||||
|
||||
|
|
@ -1732,7 +1732,7 @@ def test_backtest_start_multi_strat_caching(default_conf, mocker, caplog, testda
|
|||
'Running backtesting for Strategy StrategyTestV2',
|
||||
'Running backtesting for Strategy StrategyTestV3',
|
||||
'Ignoring max_open_trades (--disable-max-market-positions was used) ...',
|
||||
'Backtesting with data from 2017-11-14 21:17:00 up to 2017-11-14 22:58:00 (0 days).',
|
||||
'Backtesting with data from 2017-11-14 21:17:00 up to 2017-11-14 22:59:00 (0 days).',
|
||||
]
|
||||
elif run_id == '2' and min_backtest_date < start_time:
|
||||
assert backtestmock.call_count == 0
|
||||
|
|
@ -1745,7 +1745,7 @@ def test_backtest_start_multi_strat_caching(default_conf, mocker, caplog, testda
|
|||
'Reusing result of previous backtest for StrategyTestV2',
|
||||
'Running backtesting for Strategy StrategyTestV3',
|
||||
'Ignoring max_open_trades (--disable-max-market-positions was used) ...',
|
||||
'Backtesting with data from 2017-11-14 21:17:00 up to 2017-11-14 22:58:00 (0 days).',
|
||||
'Backtesting with data from 2017-11-14 21:17:00 up to 2017-11-14 22:59:00 (0 days).',
|
||||
]
|
||||
assert backtestmock.call_count == 1
|
||||
|
||||
|
|
|
|||
|
|
@ -93,11 +93,16 @@ def test_backtest_position_adjustment(default_conf, fee, mocker, testdatadir) ->
|
|||
t["close_rate"], 6) < round(ln.iloc[0]["high"], 6))
|
||||
|
||||
|
||||
def test_backtest_position_adjustment_detailed(default_conf, fee, mocker) -> None:
|
||||
@pytest.mark.parametrize('leverage', [
|
||||
1, 2
|
||||
])
|
||||
def test_backtest_position_adjustment_detailed(default_conf, fee, mocker, leverage) -> None:
|
||||
default_conf['use_exit_signal'] = False
|
||||
mocker.patch('freqtrade.exchange.Exchange.get_fee', fee)
|
||||
mocker.patch("freqtrade.exchange.Exchange.get_min_pair_stake_amount", return_value=10)
|
||||
mocker.patch("freqtrade.exchange.Exchange.get_max_pair_stake_amount", return_value=float('inf'))
|
||||
mocker.patch("freqtrade.exchange.Exchange.get_max_leverage", return_value=10)
|
||||
|
||||
patch_exchange(mocker)
|
||||
default_conf.update({
|
||||
"stake_amount": 100.0,
|
||||
|
|
@ -105,6 +110,7 @@ def test_backtest_position_adjustment_detailed(default_conf, fee, mocker) -> Non
|
|||
"strategy": "StrategyTestV3"
|
||||
})
|
||||
backtesting = Backtesting(default_conf)
|
||||
backtesting._can_short = True
|
||||
backtesting._set_strategy(backtesting.strategylist[0])
|
||||
pair = 'XRP/USDT'
|
||||
row = [
|
||||
|
|
@ -120,18 +126,19 @@ def test_backtest_position_adjustment_detailed(default_conf, fee, mocker) -> Non
|
|||
'', # enter_tag
|
||||
'', # exit_tag
|
||||
]
|
||||
backtesting.strategy.leverage = MagicMock(return_value=leverage)
|
||||
trade = backtesting._enter_trade(pair, row=row, direction='long')
|
||||
trade.orders[0].close_bt_order(row[0], trade)
|
||||
assert trade
|
||||
assert pytest.approx(trade.stake_amount) == 100.0
|
||||
assert pytest.approx(trade.amount) == 47.61904762
|
||||
assert pytest.approx(trade.amount) == 47.61904762 * leverage
|
||||
assert len(trade.orders) == 1
|
||||
backtesting.strategy.adjust_trade_position = MagicMock(return_value=None)
|
||||
|
||||
trade = backtesting._get_adjust_trade_entry_for_candle(trade, row)
|
||||
assert trade
|
||||
assert pytest.approx(trade.stake_amount) == 100.0
|
||||
assert pytest.approx(trade.amount) == 47.61904762
|
||||
assert pytest.approx(trade.amount) == 47.61904762 * leverage
|
||||
assert len(trade.orders) == 1
|
||||
# Increase position by 100
|
||||
backtesting.strategy.adjust_trade_position = MagicMock(return_value=100)
|
||||
|
|
@ -140,7 +147,7 @@ def test_backtest_position_adjustment_detailed(default_conf, fee, mocker) -> Non
|
|||
|
||||
assert trade
|
||||
assert pytest.approx(trade.stake_amount) == 200.0
|
||||
assert pytest.approx(trade.amount) == 95.23809524
|
||||
assert pytest.approx(trade.amount) == 95.23809524 * leverage
|
||||
assert len(trade.orders) == 2
|
||||
|
||||
# Reduce by more than amount - no change to trade.
|
||||
|
|
@ -150,7 +157,7 @@ def test_backtest_position_adjustment_detailed(default_conf, fee, mocker) -> Non
|
|||
|
||||
assert trade
|
||||
assert pytest.approx(trade.stake_amount) == 200.0
|
||||
assert pytest.approx(trade.amount) == 95.23809524
|
||||
assert pytest.approx(trade.amount) == 95.23809524 * leverage
|
||||
assert len(trade.orders) == 2
|
||||
assert trade.nr_of_successful_entries == 2
|
||||
|
||||
|
|
@ -160,7 +167,7 @@ def test_backtest_position_adjustment_detailed(default_conf, fee, mocker) -> Non
|
|||
|
||||
assert trade
|
||||
assert pytest.approx(trade.stake_amount) == 100.0
|
||||
assert pytest.approx(trade.amount) == 47.61904762
|
||||
assert pytest.approx(trade.amount) == 47.61904762 * leverage
|
||||
assert len(trade.orders) == 3
|
||||
assert trade.nr_of_successful_entries == 2
|
||||
assert trade.nr_of_successful_exits == 1
|
||||
|
|
@ -171,7 +178,7 @@ def test_backtest_position_adjustment_detailed(default_conf, fee, mocker) -> Non
|
|||
|
||||
assert trade
|
||||
assert pytest.approx(trade.stake_amount) == 100.0
|
||||
assert pytest.approx(trade.amount) == 47.61904762
|
||||
assert pytest.approx(trade.amount) == 47.61904762 * leverage
|
||||
assert len(trade.orders) == 3
|
||||
assert trade.nr_of_successful_entries == 2
|
||||
assert trade.nr_of_successful_exits == 1
|
||||
|
|
|
|||
|
|
@ -9,6 +9,7 @@ import pytest
|
|||
import time_machine
|
||||
|
||||
from freqtrade.constants import AVAILABLE_PAIRLISTS
|
||||
from freqtrade.data.dataprovider import DataProvider
|
||||
from freqtrade.enums import CandleType, RunMode
|
||||
from freqtrade.exceptions import OperationalException
|
||||
from freqtrade.persistence import Trade
|
||||
|
|
@ -40,6 +41,12 @@ def whitelist_conf(default_conf):
|
|||
"sort_key": "quoteVolume",
|
||||
},
|
||||
]
|
||||
default_conf.update({
|
||||
"external_message_consumer": {
|
||||
"enabled": True,
|
||||
"producers": [],
|
||||
}
|
||||
})
|
||||
return default_conf
|
||||
|
||||
|
||||
|
|
@ -126,7 +133,7 @@ def test_log_cached(mocker, static_pl_conf, markets, tickers):
|
|||
def test_load_pairlist_noexist(mocker, markets, default_conf):
|
||||
freqtrade = get_patched_freqtradebot(mocker, default_conf)
|
||||
mocker.patch('freqtrade.exchange.Exchange.markets', PropertyMock(return_value=markets))
|
||||
plm = PairListManager(freqtrade.exchange, default_conf)
|
||||
plm = PairListManager(freqtrade.exchange, default_conf, MagicMock())
|
||||
with pytest.raises(OperationalException,
|
||||
match=r"Impossible to load Pairlist 'NonexistingPairList'. "
|
||||
r"This class does not exist or contains Python code errors."):
|
||||
|
|
@ -137,7 +144,7 @@ def test_load_pairlist_noexist(mocker, markets, default_conf):
|
|||
def test_load_pairlist_verify_multi(mocker, markets_static, default_conf):
|
||||
freqtrade = get_patched_freqtradebot(mocker, default_conf)
|
||||
mocker.patch('freqtrade.exchange.Exchange.markets', PropertyMock(return_value=markets_static))
|
||||
plm = PairListManager(freqtrade.exchange, default_conf)
|
||||
plm = PairListManager(freqtrade.exchange, default_conf, MagicMock())
|
||||
# Call different versions one after the other, should always consider what was passed in
|
||||
# and have no side-effects (therefore the same check multiple times)
|
||||
assert plm.verify_whitelist(['ETH/BTC', 'XRP/BTC', ], print) == ['ETH/BTC', 'XRP/BTC']
|
||||
|
|
@ -269,7 +276,7 @@ def test_refresh_pairlist_dynamic(mocker, shitcoinmarkets, tickers, whitelist_co
|
|||
with pytest.raises(OperationalException,
|
||||
match=r'`number_assets` not specified. Please check your configuration '
|
||||
r'for "pairlist.config.number_assets"'):
|
||||
PairListManager(freqtrade.exchange, whitelist_conf)
|
||||
PairListManager(freqtrade.exchange, whitelist_conf, MagicMock())
|
||||
|
||||
|
||||
def test_refresh_pairlist_dynamic_2(mocker, shitcoinmarkets, tickers, whitelist_conf_2):
|
||||
|
|
@ -694,7 +701,7 @@ def test_PrecisionFilter_error(mocker, whitelist_conf) -> None:
|
|||
|
||||
with pytest.raises(OperationalException,
|
||||
match=r"PrecisionFilter can only work with stoploss defined\..*"):
|
||||
PairListManager(MagicMock, whitelist_conf)
|
||||
PairListManager(MagicMock, whitelist_conf, MagicMock())
|
||||
|
||||
|
||||
def test_PerformanceFilter_error(mocker, whitelist_conf, caplog) -> None:
|
||||
|
|
@ -703,7 +710,7 @@ def test_PerformanceFilter_error(mocker, whitelist_conf, caplog) -> None:
|
|||
del Trade.query
|
||||
mocker.patch('freqtrade.exchange.Exchange.exchange_has', MagicMock(return_value=True))
|
||||
exchange = get_patched_exchange(mocker, whitelist_conf)
|
||||
pm = PairListManager(exchange, whitelist_conf)
|
||||
pm = PairListManager(exchange, whitelist_conf, MagicMock())
|
||||
pm.refresh_pairlist()
|
||||
|
||||
assert log_has("PerformanceFilter is not available in this mode.", caplog)
|
||||
|
|
@ -1167,6 +1174,10 @@ def test_spreadfilter_invalid_data(mocker, default_conf, markets, tickers, caplo
|
|||
"[{'OffsetFilter': 'OffsetFilter - Taking 10 Pairs, starting from 5.'}]",
|
||||
None
|
||||
),
|
||||
({"method": "ProducerPairList"},
|
||||
"[{'ProducerPairList': 'ProducerPairList - default'}]",
|
||||
None
|
||||
),
|
||||
])
|
||||
def test_pricefilter_desc(mocker, whitelist_conf, markets, pairlistconfig,
|
||||
desc_expected, exception_expected):
|
||||
|
|
@ -1341,3 +1352,77 @@ def test_expand_pairlist_keep_invalid(wildcardlist, pairs, expected):
|
|||
expand_pairlist(wildcardlist, pairs, keep_invalid=True)
|
||||
else:
|
||||
assert sorted(expand_pairlist(wildcardlist, pairs, keep_invalid=True)) == sorted(expected)
|
||||
|
||||
|
||||
def test_ProducerPairlist_no_emc(mocker, whitelist_conf):
|
||||
mocker.patch('freqtrade.exchange.Exchange.exchange_has', MagicMock(return_value=True))
|
||||
|
||||
whitelist_conf['pairlists'] = [
|
||||
{
|
||||
"method": "ProducerPairList",
|
||||
"number_assets": 10,
|
||||
"producer_name": "hello_world",
|
||||
}
|
||||
]
|
||||
del whitelist_conf['external_message_consumer']
|
||||
|
||||
with pytest.raises(OperationalException,
|
||||
match=r"ProducerPairList requires external_message_consumer to be enabled."):
|
||||
get_patched_freqtradebot(mocker, whitelist_conf)
|
||||
|
||||
|
||||
def test_ProducerPairlist(mocker, whitelist_conf, markets):
|
||||
mocker.patch('freqtrade.exchange.Exchange.exchange_has', MagicMock(return_value=True))
|
||||
mocker.patch.multiple('freqtrade.exchange.Exchange',
|
||||
markets=PropertyMock(return_value=markets),
|
||||
exchange_has=MagicMock(return_value=True),
|
||||
)
|
||||
whitelist_conf['pairlists'] = [
|
||||
{
|
||||
"method": "ProducerPairList",
|
||||
"number_assets": 2,
|
||||
"producer_name": "hello_world",
|
||||
}
|
||||
]
|
||||
whitelist_conf.update({
|
||||
"external_message_consumer": {
|
||||
"enabled": True,
|
||||
"producers": [
|
||||
{
|
||||
"name": "hello_world",
|
||||
"host": "null",
|
||||
"port": 9891,
|
||||
"ws_token": "dummy",
|
||||
}
|
||||
]
|
||||
}
|
||||
})
|
||||
|
||||
exchange = get_patched_exchange(mocker, whitelist_conf)
|
||||
dp = DataProvider(whitelist_conf, exchange, None)
|
||||
pairs = ['ETH/BTC', 'LTC/BTC', 'XRP/BTC']
|
||||
# different producer
|
||||
dp._set_producer_pairs(pairs + ['MEEP/USDT'], 'default')
|
||||
pm = PairListManager(exchange, whitelist_conf, dp)
|
||||
pm.refresh_pairlist()
|
||||
assert pm.whitelist == []
|
||||
# proper producer
|
||||
dp._set_producer_pairs(pairs, 'hello_world')
|
||||
pm.refresh_pairlist()
|
||||
|
||||
# Pairlist reduced to 2
|
||||
assert pm.whitelist == pairs[:2]
|
||||
assert len(pm.whitelist) == 2
|
||||
whitelist_conf['exchange']['pair_whitelist'] = ['TKN/BTC']
|
||||
|
||||
whitelist_conf['pairlists'] = [
|
||||
{"method": "StaticPairList"},
|
||||
{
|
||||
"method": "ProducerPairList",
|
||||
"producer_name": "hello_world",
|
||||
}
|
||||
]
|
||||
pm = PairListManager(exchange, whitelist_conf, dp)
|
||||
pm.refresh_pairlist()
|
||||
assert len(pm.whitelist) == 4
|
||||
assert pm.whitelist == ['TKN/BTC'] + pairs
|
||||
|
|
|
|||
|
|
@ -276,6 +276,8 @@ async def test_emc_create_connection_error(default_conf, caplog, mocker):
|
|||
|
||||
|
||||
async def test_emc_receive_messages_valid(default_conf, caplog, mocker):
|
||||
caplog.set_level(logging.DEBUG)
|
||||
|
||||
default_conf.update({
|
||||
"external_message_consumer": {
|
||||
"enabled": True,
|
||||
|
|
|
|||
|
|
@ -365,6 +365,14 @@ def test_exception_send_msg(default_conf, mocker, caplog):
|
|||
with pytest.raises(NotImplementedError):
|
||||
webhook.send_msg(msg)
|
||||
|
||||
# Test no failure for not implemented but known messagetypes
|
||||
for e in RPCMessageType:
|
||||
msg = {
|
||||
'type': e,
|
||||
'status': 'whatever'
|
||||
}
|
||||
webhook.send_msg(msg)
|
||||
|
||||
|
||||
def test__send_msg(default_conf, mocker, caplog):
|
||||
default_conf["webhook"] = get_webhook_dict()
|
||||
|
|
|
|||
|
|
@ -288,7 +288,7 @@ def test_advise_all_indicators(default_conf, testdatadir) -> None:
|
|||
data = load_data(testdatadir, '1m', ['UNITTEST/BTC'], timerange=timerange,
|
||||
fill_up_missing=True)
|
||||
processed = strategy.advise_all_indicators(data)
|
||||
assert len(processed['UNITTEST/BTC']) == 102 # partial candle was removed
|
||||
assert len(processed['UNITTEST/BTC']) == 103
|
||||
|
||||
|
||||
def test_populate_any_indicators(default_conf, testdatadir) -> None:
|
||||
|
|
@ -300,7 +300,7 @@ def test_populate_any_indicators(default_conf, testdatadir) -> None:
|
|||
processed = strategy.populate_any_indicators('UNITTEST/BTC', data, '5m')
|
||||
assert processed == data
|
||||
assert id(processed) == id(data)
|
||||
assert len(processed['UNITTEST/BTC']) == 102 # partial candle was removed
|
||||
assert len(processed['UNITTEST/BTC']) == 103
|
||||
|
||||
|
||||
def test_freqai_not_initialized(default_conf) -> None:
|
||||
|
|
|
|||
|
|
@ -2661,6 +2661,7 @@ def test_manage_open_orders_exit_usercustom(
|
|||
rpc_mock = patch_RPCManager(mocker)
|
||||
cancel_order_mock = MagicMock()
|
||||
patch_exchange(mocker)
|
||||
mocker.patch('freqtrade.exchange.Exchange.get_min_pair_stake_amount', return_value=0.0)
|
||||
et_mock = mocker.patch('freqtrade.freqtradebot.FreqtradeBot.execute_trade_exit')
|
||||
mocker.patch.multiple(
|
||||
'freqtrade.exchange.Exchange',
|
||||
|
|
@ -2673,7 +2674,6 @@ def test_manage_open_orders_exit_usercustom(
|
|||
open_trade_usdt.open_date = arrow.utcnow().shift(hours=-5).datetime
|
||||
open_trade_usdt.close_date = arrow.utcnow().shift(minutes=-601).datetime
|
||||
open_trade_usdt.close_profit_abs = 0.001
|
||||
open_trade_usdt.is_open = False
|
||||
|
||||
Trade.query.session.add(open_trade_usdt)
|
||||
Trade.commit()
|
||||
|
|
@ -2687,7 +2687,6 @@ def test_manage_open_orders_exit_usercustom(
|
|||
freqtrade.manage_open_orders()
|
||||
assert cancel_order_mock.call_count == 0
|
||||
assert rpc_mock.call_count == 1
|
||||
assert open_trade_usdt.is_open is False
|
||||
assert freqtrade.strategy.check_exit_timeout.call_count == 1
|
||||
assert freqtrade.strategy.check_entry_timeout.call_count == 0
|
||||
|
||||
|
|
@ -2697,7 +2696,6 @@ def test_manage_open_orders_exit_usercustom(
|
|||
freqtrade.manage_open_orders()
|
||||
assert cancel_order_mock.call_count == 0
|
||||
assert rpc_mock.call_count == 1
|
||||
assert open_trade_usdt.is_open is False
|
||||
assert freqtrade.strategy.check_exit_timeout.call_count == 1
|
||||
assert freqtrade.strategy.check_entry_timeout.call_count == 0
|
||||
|
||||
|
|
@ -2707,7 +2705,6 @@ def test_manage_open_orders_exit_usercustom(
|
|||
freqtrade.manage_open_orders()
|
||||
assert cancel_order_mock.call_count == 1
|
||||
assert rpc_mock.call_count == 2
|
||||
assert open_trade_usdt.is_open is True
|
||||
assert freqtrade.strategy.check_exit_timeout.call_count == 1
|
||||
assert freqtrade.strategy.check_entry_timeout.call_count == 0
|
||||
|
||||
|
|
@ -2748,14 +2745,14 @@ def test_manage_open_orders_exit(
|
|||
'freqtrade.exchange.Exchange',
|
||||
fetch_ticker=ticker_usdt,
|
||||
fetch_order=MagicMock(return_value=limit_sell_order_old),
|
||||
cancel_order=cancel_order_mock
|
||||
cancel_order=cancel_order_mock,
|
||||
get_min_pair_stake_amount=MagicMock(return_value=0),
|
||||
)
|
||||
freqtrade = FreqtradeBot(default_conf_usdt)
|
||||
|
||||
open_trade_usdt.open_date = arrow.utcnow().shift(hours=-5).datetime
|
||||
open_trade_usdt.close_date = arrow.utcnow().shift(minutes=-601).datetime
|
||||
open_trade_usdt.close_profit_abs = 0.001
|
||||
open_trade_usdt.is_open = False
|
||||
open_trade_usdt.is_short = is_short
|
||||
|
||||
Trade.query.session.add(open_trade_usdt)
|
||||
|
|
@ -2796,7 +2793,6 @@ def test_check_handle_cancelled_exit(
|
|||
|
||||
open_trade_usdt.open_date = arrow.utcnow().shift(hours=-5).datetime
|
||||
open_trade_usdt.close_date = arrow.utcnow().shift(minutes=-601).datetime
|
||||
open_trade_usdt.is_open = False
|
||||
open_trade_usdt.is_short = is_short
|
||||
|
||||
Trade.query.session.add(open_trade_usdt)
|
||||
|
|
@ -3004,6 +3000,7 @@ def test_handle_cancel_enter(mocker, caplog, default_conf_usdt, limit_order, is_
|
|||
trade.open_rate = 200
|
||||
trade.is_short = False
|
||||
trade.entry_side = "buy"
|
||||
trade.amount = 100
|
||||
l_order['filled'] = 0.0
|
||||
l_order['status'] = 'open'
|
||||
trade.nr_of_successful_entries = 0
|
||||
|
|
@ -3092,6 +3089,7 @@ def test_handle_cancel_enter_corder_empty(mocker, default_conf_usdt, limit_order
|
|||
trade.entry_side = "buy"
|
||||
trade.open_order_id = "open_order_noop"
|
||||
trade.nr_of_successful_entries = 0
|
||||
trade.amount = 100
|
||||
l_order['filled'] = 0.0
|
||||
l_order['status'] = 'open'
|
||||
reason = CANCEL_REASON['TIMEOUT']
|
||||
|
|
@ -3121,20 +3119,21 @@ def test_handle_cancel_exit_limit(mocker, default_conf_usdt, fee) -> None:
|
|||
amount=2,
|
||||
exchange='binance',
|
||||
open_rate=0.245441,
|
||||
open_order_id="123456",
|
||||
open_order_id="sell_123456",
|
||||
open_date=arrow.utcnow().shift(days=-2).datetime,
|
||||
fee_open=fee.return_value,
|
||||
fee_close=fee.return_value,
|
||||
close_rate=0.555,
|
||||
close_date=arrow.utcnow().datetime,
|
||||
exit_reason="sell_reason_whatever",
|
||||
stake_amount=0.245441 * 2,
|
||||
)
|
||||
trade.orders = [
|
||||
Order(
|
||||
Order(
|
||||
ft_order_side='buy',
|
||||
ft_pair=trade.pair,
|
||||
ft_is_open=True,
|
||||
order_id='123456',
|
||||
ft_is_open=False,
|
||||
order_id='buy_123456',
|
||||
status="closed",
|
||||
symbol=trade.pair,
|
||||
order_type="market",
|
||||
|
|
@ -3147,15 +3146,33 @@ def test_handle_cancel_exit_limit(mocker, default_conf_usdt, fee) -> None:
|
|||
order_date=trade.open_date,
|
||||
order_filled_date=trade.open_date,
|
||||
),
|
||||
Order(
|
||||
ft_order_side='sell',
|
||||
ft_pair=trade.pair,
|
||||
ft_is_open=True,
|
||||
order_id='sell_123456',
|
||||
status="open",
|
||||
symbol=trade.pair,
|
||||
order_type="limit",
|
||||
side="sell",
|
||||
price=trade.open_rate,
|
||||
average=trade.open_rate,
|
||||
filled=0.0,
|
||||
remaining=trade.amount,
|
||||
cost=trade.open_rate * trade.amount,
|
||||
order_date=trade.open_date,
|
||||
order_filled_date=trade.open_date,
|
||||
),
|
||||
]
|
||||
order = {'id': "123456",
|
||||
order = {'id': "sell_123456",
|
||||
'remaining': 1,
|
||||
'amount': 1,
|
||||
'status': "open"}
|
||||
reason = CANCEL_REASON['TIMEOUT']
|
||||
send_msg_mock.reset_mock()
|
||||
assert freqtrade.handle_cancel_exit(trade, order, reason)
|
||||
assert cancel_order_mock.call_count == 1
|
||||
assert send_msg_mock.call_count == 2
|
||||
assert send_msg_mock.call_count == 1
|
||||
assert trade.close_rate is None
|
||||
assert trade.exit_reason is None
|
||||
|
||||
|
|
@ -3181,8 +3198,9 @@ def test_handle_cancel_exit_limit(mocker, default_conf_usdt, fee) -> None:
|
|||
def test_handle_cancel_exit_cancel_exception(mocker, default_conf_usdt) -> None:
|
||||
patch_RPCManager(mocker)
|
||||
patch_exchange(mocker)
|
||||
mocker.patch(
|
||||
'freqtrade.exchange.Exchange.cancel_order_with_result', side_effect=InvalidOrderException())
|
||||
mocker.patch('freqtrade.exchange.Exchange.get_min_pair_stake_amount', return_value=0.0)
|
||||
mocker.patch('freqtrade.exchange.Exchange.cancel_order_with_result',
|
||||
side_effect=InvalidOrderException())
|
||||
|
||||
freqtrade = FreqtradeBot(default_conf_usdt)
|
||||
|
||||
|
|
|
|||
|
|
@ -2,7 +2,7 @@ from unittest.mock import MagicMock
|
|||
|
||||
import pytest
|
||||
|
||||
from freqtrade.enums import ExitCheckTuple, ExitType
|
||||
from freqtrade.enums import ExitCheckTuple, ExitType, TradingMode
|
||||
from freqtrade.persistence import Trade
|
||||
from freqtrade.persistence.models import Order
|
||||
from freqtrade.rpc.rpc import RPC
|
||||
|
|
@ -455,10 +455,12 @@ def test_dca_order_adjust(default_conf_usdt, ticker_usdt, fee, mocker) -> None:
|
|||
assert pytest.approx(trade.orders[-1].amount) == 61.538461232
|
||||
|
||||
|
||||
def test_dca_exiting(default_conf_usdt, ticker_usdt, fee, mocker, caplog) -> None:
|
||||
@pytest.mark.parametrize('leverage', [1, 2])
|
||||
def test_dca_exiting(default_conf_usdt, ticker_usdt, fee, mocker, caplog, leverage) -> None:
|
||||
default_conf_usdt['position_adjustment_enable'] = True
|
||||
|
||||
freqtrade = get_patched_freqtradebot(mocker, default_conf_usdt)
|
||||
freqtrade.trading_mode = TradingMode.FUTURES
|
||||
mocker.patch.multiple(
|
||||
'freqtrade.exchange.Exchange',
|
||||
fetch_ticker=ticker_usdt,
|
||||
|
|
@ -467,15 +469,17 @@ def test_dca_exiting(default_conf_usdt, ticker_usdt, fee, mocker, caplog) -> Non
|
|||
price_to_precision=lambda s, x, y: y,
|
||||
get_min_pair_stake_amount=MagicMock(return_value=10),
|
||||
)
|
||||
mocker.patch("freqtrade.exchange.Exchange.get_max_leverage", return_value=10)
|
||||
|
||||
patch_get_signal(freqtrade)
|
||||
freqtrade.strategy.leverage = MagicMock(return_value=leverage)
|
||||
freqtrade.enter_positions()
|
||||
|
||||
assert len(Trade.get_trades().all()) == 1
|
||||
trade = Trade.get_trades().first()
|
||||
assert len(trade.orders) == 1
|
||||
assert pytest.approx(trade.stake_amount) == 60
|
||||
assert pytest.approx(trade.amount) == 30.0
|
||||
assert pytest.approx(trade.amount) == 30.0 * leverage
|
||||
assert trade.open_rate == 2.0
|
||||
|
||||
# Too small size
|
||||
|
|
@ -484,8 +488,9 @@ def test_dca_exiting(default_conf_usdt, ticker_usdt, fee, mocker, caplog) -> Non
|
|||
trade = Trade.get_trades().first()
|
||||
assert len(trade.orders) == 1
|
||||
assert pytest.approx(trade.stake_amount) == 60
|
||||
assert pytest.approx(trade.amount) == 30.0
|
||||
assert log_has_re("Remaining amount of 1.6.* would be smaller than the minimum of 10.", caplog)
|
||||
assert pytest.approx(trade.amount) == 30.0 * leverage
|
||||
assert log_has_re(
|
||||
r"Remaining amount of \d\.\d+.* would be smaller than the minimum of 10.", caplog)
|
||||
|
||||
freqtrade.strategy.adjust_trade_position = MagicMock(return_value=-20)
|
||||
|
||||
|
|
@ -494,7 +499,7 @@ def test_dca_exiting(default_conf_usdt, ticker_usdt, fee, mocker, caplog) -> Non
|
|||
assert len(trade.orders) == 2
|
||||
assert trade.orders[-1].ft_order_side == 'sell'
|
||||
assert pytest.approx(trade.stake_amount) == 40.198
|
||||
assert pytest.approx(trade.amount) == 20.099
|
||||
assert pytest.approx(trade.amount) == 20.099 * leverage
|
||||
assert trade.open_rate == 2.0
|
||||
assert trade.is_open
|
||||
caplog.clear()
|
||||
|
|
|
|||
Loading…
Reference in New Issue