Merge branch 'develop' into ccxt-async
This commit is contained in:
Matthias
commit
54ddd908e6
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|
@ -1,4 +1,4 @@
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|||
FROM python:3.6.6-slim-stretch
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FROM python:3.7.0-slim-stretch
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||||
# Install TA-lib
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RUN apt-get update && apt-get -y install curl build-essential && apt-get clean
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|
|
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|||
|
|
@ -11,7 +11,18 @@
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"sell": 30
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},
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"bid_strategy": {
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"ask_last_balance": 0.0
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"ask_last_balance": 0.0,
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||||
"use_order_book": false,
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"order_book_top": 1,
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"check_depth_of_market": {
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"enabled": false,
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"bids_to_ask_delta": 1
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}
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},
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"ask_strategy":{
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"use_order_book": false,
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"order_book_min": 1,
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"order_book_max": 9
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},
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"exchange": {
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"name": "bittrex",
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|
|
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|
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@ -20,7 +20,18 @@
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"sell": 30
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},
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"bid_strategy": {
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"ask_last_balance": 0.0
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"ask_last_balance": 0.0,
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"use_order_book": false,
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"order_book_top": 1,
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"check_depth_of_market": {
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"enabled": false,
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"bids_to_ask_delta": 1
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}
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},
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"ask_strategy":{
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"use_order_book": false,
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"order_book_min": 1,
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"order_book_max": 9
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},
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"exchange": {
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"name": "bittrex",
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|
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@ -41,7 +52,8 @@
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],
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"pair_blacklist": [
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"DOGE/BTC"
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]
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],
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"outdated_offset": 5
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},
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"experimental": {
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"use_sell_signal": false,
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|
|
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|
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@ -31,6 +31,13 @@ The table below will list all configuration parameters.
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| `unfilledtimeout.buy` | 10 | Yes | How long (in minutes) the bot will wait for an unfilled buy order to complete, after which the order will be cancelled.
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| `unfilledtimeout.sell` | 10 | Yes | How long (in minutes) the bot will wait for an unfilled sell order to complete, after which the order will be cancelled.
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| `bid_strategy.ask_last_balance` | 0.0 | Yes | Set the bidding price. More information below.
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| `bid_strategy.use_order_book` | false | No | Allows buying of pair using the rates in Order Book Bids.
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| `bid_strategy.order_book_top` | 0 | No | Bot will use the top N rate in Order Book Bids. Ie. a value of 2 will allow the bot to pick the 2nd bid rate in Order Book Bids.
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| `bid_strategy.check_depth_of_market.enabled` | false | No | Does not buy if the % difference of buy orders and sell orders is met in Order Book.
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| `bid_strategy.check_depth_of_market.bids_to_ask_delta` | 0 | No | The % difference of buy orders and sell orders found in Order Book. A value lesser than 1 means sell orders is greater, while value greater than 1 means buy orders is higher.
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| `ask_strategy.use_order_book` | false | No | Allows selling of open traded pair using the rates in Order Book Asks.
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| `ask_strategy.order_book_min` | 0 | No | Bot will scan from the top min to max Order Book Asks searching for a profitable rate.
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| `ask_strategy.order_book_max` | 0 | No | Bot will scan from the top min to max Order Book Asks searching for a profitable rate.
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| `exchange.name` | bittrex | Yes | Name of the exchange class to use. [List below](#user-content-what-values-for-exchangename).
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| `exchange.key` | key | No | API key to use for the exchange. Only required when you are in production mode.
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| `exchange.secret` | secret | No | API secret to use for the exchange. Only required when you are in production mode.
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|
|
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|
|
@ -1,4 +1,5 @@
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# Sandbox API testing
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Where an exchange provides a sandbox for risk-free integration, or end-to-end, testing CCXT provides access to these.
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This document is a *light overview of configuring Freqtrade and GDAX sandbox.
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|
@ -11,8 +12,11 @@ https://public.sandbox.gdax.com
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https://api-public.sandbox.gdax.com
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|
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---
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# Configure a Sandbox account on Gdax
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Aim of this document section
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- An sanbox account
|
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- create 2FA (needed to create an API)
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- Add test 50BTC to account
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|
|
@ -30,122 +34,108 @@ After registration and Email confimation you wil be redirected into your sanbox
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> https://public.sandbox.pro.coinbase.com/
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|
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## Enable 2Fa (a prerequisite to creating sandbox API Keys)
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|
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From within sand box site select your profile, top right.
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>Or as a direct link: https://public.sandbox.pro.coinbase.com/profile
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|
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From the menu panel to the left of the screen select
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From the menu panel to the left of the screen select
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|
||||
> Security: "*View or Update*"
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||||
|
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In the new site select "enable authenticator" as typical google Authenticator.
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- open Google Authenticator on your phone
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- scan barcode
|
||||
- enter your generated 2fa
|
||||
In the new site select "enable authenticator" as typical google Authenticator.
|
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|
||||
- open Google Authenticator on your phone
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- scan barcode
|
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- enter your generated 2fa
|
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|
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## Enable API Access
|
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|
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## Enable API Access
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From within sandbox select profile>api>create api-keys
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>or as a direct link: https://public.sandbox.pro.coinbase.com/profile/api
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|
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Click on "create one" and ensure **view** and **trade** are "checked" and sumbit your 2Fa
|
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Click on "create one" and ensure **view** and **trade** are "checked" and sumbit your 2FA
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|
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- **Copy and paste the Passphase** into a notepade this will be needed later
|
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- **Copy and paste the API Secret** popup into a notepad this will needed later
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- **Copy and paste the API Key** into a notepad this will needed later
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|
||||
## Add 50 BTC test funds
|
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To add funds, use the web interface deposit and withdraw buttons.
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|
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To add funds, use the web interface deposit and withdraw buttons.
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|
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To begin select 'Wallets' from the top menu.
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> Or as a direct link: https://public.sandbox.pro.coinbase.com/wallets
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|
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- Deposits (bottom left of screen)
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- - Deposit Funds Bitcoin
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- - - Coinbase BTC Wallet
|
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- - - - Max (50 BTC)
|
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- - Deposit Funds Bitcoin
|
||||
- - - Coinbase BTC Wallet
|
||||
- - - - Max (50 BTC)
|
||||
- - - - - Deposit
|
||||
|
||||
*This process may be repeated for other currencies, ETH as example*
|
||||
|
||||
---
|
||||
|
||||
# Configure Freqtrade to use Gax Sandbox
|
||||
|
||||
The aim of this document section
|
||||
- Enable sandbox URLs in Freqtrade
|
||||
- Configure API
|
||||
- - secret
|
||||
- - key
|
||||
- - passphrase
|
||||
|
||||
- Enable sandbox URLs in Freqtrade
|
||||
- Configure API
|
||||
- - secret
|
||||
- - key
|
||||
- - passphrase
|
||||
|
||||
## Sandbox URLs
|
||||
Freqtrade makes use of CCXT which in turn provides a list of URLs to Freqtrade.
|
||||
These include `['test']` and `['api']`.
|
||||
|
||||
Freqtrade makes use of CCXT which in turn provides a list of URLs to Freqtrade.
|
||||
These include `['test']` and `['api']`.
|
||||
|
||||
- `[Test]` if available will point to an Exchanges sandbox.
|
||||
- `[Api]` normally used, and resolves to live API target on the exchange
|
||||
|
||||
To make use of sandbox / test add "sandbox": true, to your config.json
|
||||
```
|
||||
|
||||
```json
|
||||
"exchange": {
|
||||
"name": "gdax",
|
||||
"sandbox": true,
|
||||
"key": "5wowfxemogxeowo;heiohgmd",
|
||||
"secret": "/ZMH1P62rCVmwefewrgcewX8nh4gob+lywxfwfxwwfxwfNsH1ySgvWCUR/w==",
|
||||
"password": "1bkjfkhfhfu6sr",
|
||||
"outdated_offset": 5
|
||||
"pair_whitelist": [
|
||||
"BTC/USD"
|
||||
```
|
||||
|
||||
Also insert your
|
||||
|
||||
- api-key (noted earlier)
|
||||
- api-secret (noted earlier)
|
||||
- password (the passphrase - noted earlier)
|
||||
|
||||
---
|
||||
## You should now be ready to test your sandbox!
|
||||
|
||||
## You should now be ready to test your sandbox
|
||||
|
||||
Ensure Freqtrade logs show the sandbox URL, and trades made are shown in sandbox.
|
||||
** Typically the BTC/USD has the most activity in sandbox to test against.
|
||||
** Typically the BTC/USD has the most activity in sandbox to test against.
|
||||
|
||||
## GDAX - Old Candles problem
|
||||
It is my experience that GDAX sandbox candles may be 20+- minutes out of date. This can cause trades to fail as one of Freqtrades safety checks
|
||||
|
||||
To disable this check, edit:
|
||||
>strategy/interface.py
|
||||
Look for the following section:
|
||||
```
|
||||
# Check if dataframe is out of date
|
||||
signal_date = arrow.get(latest['date'])
|
||||
interval_minutes = constants.TICKER_INTERVAL_MINUTES[interval]
|
||||
if signal_date < (arrow.utcnow().shift(minutes=-(interval_minutes * 2 + 5))):
|
||||
logger.warning(
|
||||
'Outdated history for pair %s. Last tick is %s minutes old',
|
||||
pair,
|
||||
(arrow.utcnow() - signal_date).seconds // 60
|
||||
)
|
||||
return False, False
|
||||
```
|
||||
It is my experience that GDAX sandbox candles may be 20+- minutes out of date. This can cause trades to fail as one of Freqtrades safety checks.
|
||||
|
||||
You could Hash out the entire check as follows:
|
||||
To disable this check, add / change the `"outdated_offset"` parameter in the exchange section of your configuration to adjust for this delay.
|
||||
Example based on the above configuration:
|
||||
|
||||
```json
|
||||
"exchange": {
|
||||
"name": "gdax",
|
||||
"sandbox": true,
|
||||
"key": "5wowfxemogxeowo;heiohgmd",
|
||||
"secret": "/ZMH1P62rCVmwefewrgcewX8nh4gob+lywxfwfxwwfxwfNsH1ySgvWCUR/w==",
|
||||
"password": "1bkjfkhfhfu6sr",
|
||||
"outdated_offset": 30
|
||||
"pair_whitelist": [
|
||||
"BTC/USD"
|
||||
```
|
||||
# # Check if dataframe is out of date
|
||||
# signal_date = arrow.get(latest['date'])
|
||||
# interval_minutes = constants.TICKER_INTERVAL_MINUTES[interval]
|
||||
# if signal_date < (arrow.utcnow().shift(minutes=-(interval_minutes * 2 + 5))):
|
||||
# logger.warning(
|
||||
# 'Outdated history for pair %s. Last tick is %s minutes old',
|
||||
# pair,
|
||||
# (arrow.utcnow() - signal_date).seconds // 60
|
||||
# )
|
||||
# return False, False
|
||||
```
|
||||
|
||||
Or inrease the timeout to offer a level of protection/alignment of this test to freqtrade in live.
|
||||
|
||||
As example, to allow an additional 30 minutes. "(interval_minutes * 2 + 5 + 30)"
|
||||
```
|
||||
# Check if dataframe is out of date
|
||||
signal_date = arrow.get(latest['date'])
|
||||
interval_minutes = constants.TICKER_INTERVAL_MINUTES[interval]
|
||||
if signal_date < (arrow.utcnow().shift(minutes=-(interval_minutes * 2 + 5 + 30))):
|
||||
logger.warning(
|
||||
'Outdated history for pair %s. Last tick is %s minutes old',
|
||||
pair,
|
||||
(arrow.utcnow() - signal_date).seconds // 60
|
||||
)
|
||||
return False, False
|
||||
```
|
||||
|
|
@ -78,18 +78,35 @@ CONF_SCHEMA = {
|
|||
'type': 'number',
|
||||
'minimum': 0,
|
||||
'maximum': 1,
|
||||
'exclusiveMaximum': False
|
||||
'exclusiveMaximum': False,
|
||||
'use_order_book': {'type': 'boolean'},
|
||||
'order_book_top': {'type': 'number', 'maximum': 20, 'minimum': 1},
|
||||
'check_depth_of_market': {
|
||||
'type': 'object',
|
||||
'properties': {
|
||||
'enabled': {'type': 'boolean'},
|
||||
'bids_to_ask_delta': {'type': 'number', 'minimum': 0},
|
||||
}
|
||||
},
|
||||
},
|
||||
},
|
||||
'required': ['ask_last_balance']
|
||||
},
|
||||
'ask_strategy': {
|
||||
'type': 'object',
|
||||
'properties': {
|
||||
'use_order_book': {'type': 'boolean'},
|
||||
'order_book_min': {'type': 'number', 'minimum': 1},
|
||||
'order_book_max': {'type': 'number', 'minimum': 1, 'maximum': 50}
|
||||
}
|
||||
},
|
||||
'exchange': {'$ref': '#/definitions/exchange'},
|
||||
'experimental': {
|
||||
'type': 'object',
|
||||
'properties': {
|
||||
'use_sell_signal': {'type': 'boolean'},
|
||||
'sell_profit_only': {'type': 'boolean'},
|
||||
"ignore_roi_if_buy_signal_true": {'type': 'boolean'}
|
||||
'ignore_roi_if_buy_signal_true': {'type': 'boolean'}
|
||||
}
|
||||
},
|
||||
'telegram': {
|
||||
|
|
@ -145,7 +162,8 @@ CONF_SCHEMA = {
|
|||
'pattern': '^[0-9A-Z]+/[0-9A-Z]+$'
|
||||
},
|
||||
'uniqueItems': True
|
||||
}
|
||||
},
|
||||
'outdated_offset': {'type': 'integer', 'minimum': 1}
|
||||
},
|
||||
'required': ['name', 'key', 'secret', 'pair_whitelist']
|
||||
}
|
||||
|
|
|
|||
|
|
@ -154,8 +154,8 @@ class Exchange(object):
|
|||
api.urls['api'] = api.urls['test']
|
||||
logger.info("Enabled Sandbox API on %s", name)
|
||||
else:
|
||||
logger.warning(self._api.name, "No Sandbox URL in CCXT, exiting. "
|
||||
"Please check your config.json")
|
||||
logger.warning(name, "No Sandbox URL in CCXT, exiting. "
|
||||
"Please check your config.json")
|
||||
raise OperationalException(f'Exchange {name} does not provide a sandbox api')
|
||||
|
||||
def _load_async_markets(self) -> None:
|
||||
|
|
@ -370,7 +370,7 @@ class Exchange(object):
|
|||
return data
|
||||
except (ccxt.NetworkError, ccxt.ExchangeError) as e:
|
||||
raise TemporaryError(
|
||||
f'Could not load ticker history due to {e.__class__.__name__}. Message: {e}')
|
||||
f'Could not load ticker due to {e.__class__.__name__}. Message: {e}')
|
||||
except ccxt.BaseError as e:
|
||||
raise OperationalException(e)
|
||||
else:
|
||||
|
|
@ -554,6 +554,37 @@ class Exchange(object):
|
|||
except ccxt.BaseError as e:
|
||||
raise OperationalException(e)
|
||||
|
||||
@retrier
|
||||
def get_order_book(self, pair: str, limit: int = 100) -> dict:
|
||||
"""
|
||||
get order book level 2 from exchange
|
||||
|
||||
Notes:
|
||||
20180619: bittrex doesnt support limits -.-
|
||||
20180619: binance support limits but only on specific range
|
||||
"""
|
||||
try:
|
||||
if self._api.name == 'Binance':
|
||||
limit_range = [5, 10, 20, 50, 100, 500, 1000]
|
||||
# get next-higher step in the limit_range list
|
||||
limit = min(list(filter(lambda x: limit <= x, limit_range)))
|
||||
# above script works like loop below (but with slightly better performance):
|
||||
# for limitx in limit_range:
|
||||
# if limit <= limitx:
|
||||
# limit = limitx
|
||||
# break
|
||||
|
||||
return self._api.fetch_l2_order_book(pair, limit)
|
||||
except ccxt.NotSupported as e:
|
||||
raise OperationalException(
|
||||
f'Exchange {self._api.name} does not support fetching order book.'
|
||||
f'Message: {e}')
|
||||
except (ccxt.NetworkError, ccxt.ExchangeError) as e:
|
||||
raise TemporaryError(
|
||||
f'Could not get order book due to {e.__class__.__name__}. Message: {e}')
|
||||
except ccxt.BaseError as e:
|
||||
raise OperationalException(e)
|
||||
|
||||
@retrier
|
||||
def get_trades_for_order(self, order_id: str, pair: str, since: datetime) -> List:
|
||||
if self._conf['dry_run']:
|
||||
|
|
@ -607,12 +638,3 @@ class Exchange(object):
|
|||
f'Could not get fee info due to {e.__class__.__name__}. Message: {e}')
|
||||
except ccxt.BaseError as e:
|
||||
raise OperationalException(e)
|
||||
|
||||
def get_amount_lots(self, pair: str, amount: float) -> float:
|
||||
"""
|
||||
get buyable amount rounding, ..
|
||||
"""
|
||||
# validate that markets are loaded before trying to get fee
|
||||
if not self._api.markets:
|
||||
self._api.load_markets()
|
||||
return self._api.amount_to_lots(pair, amount)
|
||||
|
|
|
|||
|
|
@ -2,6 +2,7 @@
|
|||
Functions to analyze ticker data with indicators and produce buy and sell signals
|
||||
"""
|
||||
import logging
|
||||
import pandas as pd
|
||||
from pandas import DataFrame, to_datetime
|
||||
|
||||
logger = logging.getLogger(__name__)
|
||||
|
|
@ -31,3 +32,27 @@ def parse_ticker_dataframe(ticker: list) -> DataFrame:
|
|||
})
|
||||
frame.drop(frame.tail(1).index, inplace=True) # eliminate partial candle
|
||||
return frame
|
||||
|
||||
|
||||
def order_book_to_dataframe(bids: list, asks: list) -> DataFrame:
|
||||
"""
|
||||
Gets order book list, returns dataframe with below format per suggested by creslin
|
||||
-------------------------------------------------------------------
|
||||
b_sum b_size bids asks a_size a_sum
|
||||
-------------------------------------------------------------------
|
||||
"""
|
||||
cols = ['bids', 'b_size']
|
||||
|
||||
bids_frame = DataFrame(bids, columns=cols)
|
||||
# add cumulative sum column
|
||||
bids_frame['b_sum'] = bids_frame['b_size'].cumsum()
|
||||
cols2 = ['asks', 'a_size']
|
||||
asks_frame = DataFrame(asks, columns=cols2)
|
||||
# add cumulative sum column
|
||||
asks_frame['a_sum'] = asks_frame['a_size'].cumsum()
|
||||
|
||||
frame = pd.concat([bids_frame['b_sum'], bids_frame['b_size'], bids_frame['bids'],
|
||||
asks_frame['asks'], asks_frame['a_size'], asks_frame['a_sum']], axis=1,
|
||||
keys=['b_sum', 'b_size', 'bids', 'asks', 'a_size', 'a_sum'])
|
||||
# logger.info('order book %s', frame )
|
||||
return frame
|
||||
|
|
|
|||
|
|
@ -22,6 +22,7 @@ from freqtrade.rpc import RPCManager, RPCMessageType
|
|||
from freqtrade.state import State
|
||||
from freqtrade.strategy.interface import SellType
|
||||
from freqtrade.strategy.resolver import IStrategy, StrategyResolver
|
||||
from freqtrade.exchange.exchange_helpers import order_book_to_dataframe
|
||||
|
||||
logger = logging.getLogger(__name__)
|
||||
|
||||
|
|
@ -271,16 +272,40 @@ class FreqtradeBot(object):
|
|||
|
||||
return final_list
|
||||
|
||||
def get_target_bid(self, ticker: Dict[str, float]) -> float:
|
||||
def get_target_bid(self, pair: str, ticker: Dict[str, float]) -> float:
|
||||
"""
|
||||
Calculates bid target between current ask price and last price
|
||||
:param ticker: Ticker to use for getting Ask and Last Price
|
||||
:return: float: Price
|
||||
"""
|
||||
if ticker['ask'] < ticker['last']:
|
||||
return ticker['ask']
|
||||
balance = self.config['bid_strategy']['ask_last_balance']
|
||||
return ticker['ask'] + balance * (ticker['last'] - ticker['ask'])
|
||||
ticker_rate = ticker['ask']
|
||||
else:
|
||||
balance = self.config['bid_strategy']['ask_last_balance']
|
||||
ticker_rate = ticker['ask'] + balance * (ticker['last'] - ticker['ask'])
|
||||
|
||||
used_rate = ticker_rate
|
||||
config_bid_strategy = self.config.get('bid_strategy', {})
|
||||
if 'use_order_book' in config_bid_strategy and\
|
||||
config_bid_strategy.get('use_order_book', False):
|
||||
logger.info('Getting price from order book')
|
||||
order_book_top = config_bid_strategy.get('order_book_top', 1)
|
||||
order_book = self.exchange.get_order_book(pair, order_book_top)
|
||||
logger.debug('order_book %s', order_book)
|
||||
# top 1 = index 0
|
||||
order_book_rate = order_book['bids'][order_book_top - 1][0]
|
||||
# if ticker has lower rate, then use ticker ( usefull if down trending )
|
||||
logger.info('...top %s order book buy rate %0.8f', order_book_top, order_book_rate)
|
||||
if ticker_rate < order_book_rate:
|
||||
logger.info('...using ticker rate instead %0.8f', ticker_rate)
|
||||
used_rate = ticker_rate
|
||||
else:
|
||||
used_rate = order_book_rate
|
||||
else:
|
||||
logger.info('Using Last Ask / Last Price')
|
||||
used_rate = ticker_rate
|
||||
|
||||
return used_rate
|
||||
|
||||
def _get_trade_stake_amount(self) -> Optional[float]:
|
||||
"""
|
||||
|
|
@ -371,10 +396,35 @@ class FreqtradeBot(object):
|
|||
for _pair in whitelist:
|
||||
(buy, sell) = self.strategy.get_signal(_pair, interval, self.exchange.klines.get(_pair))
|
||||
if buy and not sell:
|
||||
bidstrat_check_depth_of_market = self.config.get('bid_strategy', {}).\
|
||||
get('check_depth_of_market', {})
|
||||
if (bidstrat_check_depth_of_market.get('enabled', False)) and\
|
||||
(bidstrat_check_depth_of_market.get('bids_to_ask_delta', 0) > 0):
|
||||
if self._check_depth_of_market_buy(_pair, bidstrat_check_depth_of_market):
|
||||
return self.execute_buy(_pair, stake_amount)
|
||||
else:
|
||||
return False
|
||||
return self.execute_buy(_pair, stake_amount)
|
||||
|
||||
return False
|
||||
|
||||
def _check_depth_of_market_buy(self, pair: str, conf: Dict) -> bool:
|
||||
"""
|
||||
Checks depth of market before executing a buy
|
||||
"""
|
||||
conf_bids_to_ask_delta = conf.get('bids_to_ask_delta', 0)
|
||||
logger.info('checking depth of market for %s', pair)
|
||||
order_book = self.exchange.get_order_book(pair, 1000)
|
||||
order_book_data_frame = order_book_to_dataframe(order_book['bids'], order_book['asks'])
|
||||
order_book_bids = order_book_data_frame['b_size'].sum()
|
||||
order_book_asks = order_book_data_frame['a_size'].sum()
|
||||
bids_ask_delta = order_book_bids / order_book_asks
|
||||
logger.info('bids: %s, asks: %s, delta: %s', order_book_bids,
|
||||
order_book_asks, bids_ask_delta)
|
||||
if bids_ask_delta >= conf_bids_to_ask_delta:
|
||||
return True
|
||||
return False
|
||||
|
||||
def execute_buy(self, pair: str, stake_amount: float) -> bool:
|
||||
"""
|
||||
Executes a limit buy for the given pair
|
||||
|
|
@ -387,7 +437,7 @@ class FreqtradeBot(object):
|
|||
fiat_currency = self.config.get('fiat_display_currency', None)
|
||||
|
||||
# Calculate amount
|
||||
buy_limit = self.get_target_bid(self.exchange.get_ticker(pair))
|
||||
buy_limit = self.get_target_bid(pair, self.exchange.get_ticker(pair))
|
||||
|
||||
min_stake_amount = self._get_min_pair_stake_amount(pair_s, buy_limit)
|
||||
if min_stake_amount is not None and min_stake_amount > stake_amount:
|
||||
|
|
@ -530,7 +580,7 @@ class FreqtradeBot(object):
|
|||
raise ValueError(f'attempt to handle closed trade: {trade}')
|
||||
|
||||
logger.debug('Handling %s ...', trade)
|
||||
current_rate = self.exchange.get_ticker(trade.pair)['bid']
|
||||
sell_rate = self.exchange.get_ticker(trade.pair)['bid']
|
||||
|
||||
(buy, sell) = (False, False)
|
||||
experimental = self.config.get('experimental', {})
|
||||
|
|
@ -539,13 +589,43 @@ class FreqtradeBot(object):
|
|||
(buy, sell) = self.strategy.get_signal(trade.pair, self.strategy.ticker_interval,
|
||||
ticker)
|
||||
|
||||
should_sell = self.strategy.should_sell(trade, current_rate, datetime.utcnow(), buy, sell)
|
||||
if should_sell.sell_flag:
|
||||
self.execute_sell(trade, current_rate, should_sell.sell_type)
|
||||
return True
|
||||
config_ask_strategy = self.config.get('ask_strategy', {})
|
||||
if config_ask_strategy.get('use_order_book', False):
|
||||
logger.info('Using order book for selling...')
|
||||
# logger.debug('Order book %s',orderBook)
|
||||
order_book_min = config_ask_strategy.get('order_book_min', 1)
|
||||
order_book_max = config_ask_strategy.get('order_book_max', 1)
|
||||
|
||||
order_book = self.exchange.get_order_book(trade.pair, order_book_max)
|
||||
|
||||
for i in range(order_book_min, order_book_max + 1):
|
||||
order_book_rate = order_book['asks'][i - 1][0]
|
||||
|
||||
# if orderbook has higher rate (high profit),
|
||||
# use orderbook, otherwise just use bids rate
|
||||
logger.info(' order book asks top %s: %0.8f', i, order_book_rate)
|
||||
if sell_rate < order_book_rate:
|
||||
sell_rate = order_book_rate
|
||||
|
||||
if self.check_sell(trade, sell_rate, buy, sell):
|
||||
return True
|
||||
break
|
||||
else:
|
||||
logger.info('checking sell')
|
||||
if self.check_sell(trade, sell_rate, buy, sell):
|
||||
return True
|
||||
|
||||
logger.info('Found no sell signals for whitelisted currencies. Trying again..')
|
||||
return False
|
||||
|
||||
def check_sell(self, trade: Trade, sell_rate: float, buy: bool, sell: bool) -> bool:
|
||||
should_sell = self.strategy.should_sell(trade, sell_rate, datetime.utcnow(), buy, sell)
|
||||
if should_sell.sell_flag:
|
||||
self.execute_sell(trade, sell_rate, should_sell.sell_type)
|
||||
logger.info('excuted sell')
|
||||
return True
|
||||
return False
|
||||
|
||||
def check_handle_timedout(self) -> None:
|
||||
"""
|
||||
Check if any orders are timed out and cancel if neccessary
|
||||
|
|
|
|||
|
|
@ -1,7 +1,13 @@
|
|||
# pragma pylint: disable=missing-docstring
|
||||
|
||||
import gzip
|
||||
import json
|
||||
try:
|
||||
import ujson as json
|
||||
_UJSON = True
|
||||
except ImportError:
|
||||
# see mypy/issues/1153
|
||||
import json # type: ignore
|
||||
_UJSON = False
|
||||
import logging
|
||||
import os
|
||||
from typing import Optional, List, Dict, Tuple, Any
|
||||
|
|
@ -14,6 +20,14 @@ from freqtrade.arguments import TimeRange
|
|||
logger = logging.getLogger(__name__)
|
||||
|
||||
|
||||
def json_load(data):
|
||||
"""Try to load data with ujson"""
|
||||
if _UJSON:
|
||||
return json.load(data, precise_float=True)
|
||||
else:
|
||||
return json.load(data)
|
||||
|
||||
|
||||
def trim_tickerlist(tickerlist: List[Dict], timerange: TimeRange) -> List[Dict]:
|
||||
if not tickerlist:
|
||||
return tickerlist
|
||||
|
|
@ -163,7 +177,7 @@ def load_cached_data_for_updating(filename: str,
|
|||
# read the cached file
|
||||
if os.path.isfile(filename):
|
||||
with open(filename, "rt") as file:
|
||||
data = json.load(file)
|
||||
data = json_load(file)
|
||||
# remove the last item, because we are not sure if it is correct
|
||||
# it could be fetched when the candle was incompleted
|
||||
if data:
|
||||
|
|
|
|||
|
|
@ -79,10 +79,12 @@ def check_migrate(engine) -> None:
|
|||
table_back_name = 'trades_bak'
|
||||
for i, table_back_name in enumerate(tabs):
|
||||
table_back_name = f'trades_bak{i}'
|
||||
logger.info(f'trying {table_back_name}')
|
||||
logger.debug(f'trying {table_back_name}')
|
||||
|
||||
# Check for latest column
|
||||
if not has_column(cols, 'ticker_interval'):
|
||||
logger.info(f'Running database migration - backup available as {table_back_name}')
|
||||
|
||||
fee_open = get_column_def(cols, 'fee_open', 'fee')
|
||||
fee_close = get_column_def(cols, 'fee_close', 'fee')
|
||||
open_rate_requested = get_column_def(cols, 'open_rate_requested', 'null')
|
||||
|
|
|
|||
|
|
@ -13,6 +13,7 @@ import sqlalchemy as sql
|
|||
from numpy import mean, nan_to_num
|
||||
from pandas import DataFrame
|
||||
|
||||
from freqtrade import TemporaryError
|
||||
from freqtrade.fiat_convert import CryptoToFiatConverter
|
||||
from freqtrade.misc import shorten_date
|
||||
from freqtrade.persistence import Trade
|
||||
|
|
@ -273,10 +274,13 @@ class RPC(object):
|
|||
if coin == 'BTC':
|
||||
rate = 1.0
|
||||
else:
|
||||
if coin == 'USDT':
|
||||
rate = 1.0 / self._freqtrade.exchange.get_ticker('BTC/USDT', False)['bid']
|
||||
else:
|
||||
rate = self._freqtrade.exchange.get_ticker(coin + '/BTC', False)['bid']
|
||||
try:
|
||||
if coin == 'USDT':
|
||||
rate = 1.0 / self._freqtrade.exchange.get_ticker('BTC/USDT', False)['bid']
|
||||
else:
|
||||
rate = self._freqtrade.exchange.get_ticker(coin + '/BTC', False)['bid']
|
||||
except TemporaryError:
|
||||
continue
|
||||
est_btc: float = rate * balance['total']
|
||||
total = total + est_btc
|
||||
output.append({
|
||||
|
|
|
|||
|
|
@ -1,4 +1,5 @@
|
|||
import logging
|
||||
import sys
|
||||
from copy import deepcopy
|
||||
|
||||
from freqtrade.strategy.interface import IStrategy
|
||||
|
|
@ -12,8 +13,18 @@ def import_strategy(strategy: IStrategy, config: dict) -> IStrategy:
|
|||
Imports given Strategy instance to global scope
|
||||
of freqtrade.strategy and returns an instance of it
|
||||
"""
|
||||
|
||||
# Copy all attributes from base class and class
|
||||
attr = deepcopy({**strategy.__class__.__dict__, **strategy.__dict__})
|
||||
|
||||
comb = {**strategy.__class__.__dict__, **strategy.__dict__}
|
||||
|
||||
# Delete '_abc_impl' from dict as deepcopy fails on 3.7 with
|
||||
# `TypeError: can't pickle _abc_data objects``
|
||||
# This will only apply to python 3.7
|
||||
if sys.version_info.major == 3 and sys.version_info.minor == 7 and '_abc_impl' in comb:
|
||||
del comb['_abc_impl']
|
||||
|
||||
attr = deepcopy(comb)
|
||||
# Adjust module name
|
||||
attr['__module__'] = 'freqtrade.strategy'
|
||||
|
||||
|
|
|
|||
|
|
@ -156,7 +156,8 @@ class IStrategy(ABC):
|
|||
# Check if dataframe is out of date
|
||||
signal_date = arrow.get(latest['date'])
|
||||
interval_minutes = constants.TICKER_INTERVAL_MINUTES[interval]
|
||||
if signal_date < (arrow.utcnow().shift(minutes=-(interval_minutes * 2 + 5))):
|
||||
offset = self.config.get('exchange', {}).get('outdated_offset', 5)
|
||||
if signal_date < (arrow.utcnow().shift(minutes=-(interval_minutes * 2 + offset))):
|
||||
logger.warning(
|
||||
'Outdated history for pair %s. Last tick is %s minutes old',
|
||||
pair,
|
||||
|
|
|
|||
|
|
@ -44,14 +44,15 @@ class StrategyResolver(object):
|
|||
# Check if we need to override configuration
|
||||
if 'minimal_roi' in config:
|
||||
self.strategy.minimal_roi = config['minimal_roi']
|
||||
logger.info("Override strategy \'minimal_roi\' with value in config file.")
|
||||
logger.info("Override strategy 'minimal_roi' with value in config file: %s.",
|
||||
config['minimal_roi'])
|
||||
else:
|
||||
config['minimal_roi'] = self.strategy.minimal_roi
|
||||
|
||||
if 'stoploss' in config:
|
||||
self.strategy.stoploss = config['stoploss']
|
||||
logger.info(
|
||||
"Override strategy \'stoploss\' with value in config file: %s.", config['stoploss']
|
||||
"Override strategy 'stoploss' with value in config file: %s.", config['stoploss']
|
||||
)
|
||||
else:
|
||||
config['stoploss'] = self.strategy.stoploss
|
||||
|
|
@ -59,7 +60,7 @@ class StrategyResolver(object):
|
|||
if 'ticker_interval' in config:
|
||||
self.strategy.ticker_interval = config['ticker_interval']
|
||||
logger.info(
|
||||
"Override strategy \'ticker_interval\' with value in config file: %s.",
|
||||
"Override strategy 'ticker_interval' with value in config file: %s.",
|
||||
config['ticker_interval']
|
||||
)
|
||||
else:
|
||||
|
|
|
|||
|
|
@ -102,7 +102,18 @@ def default_conf():
|
|||
"sell": 30
|
||||
},
|
||||
"bid_strategy": {
|
||||
"ask_last_balance": 0.0
|
||||
"ask_last_balance": 0.0,
|
||||
"use_order_book": False,
|
||||
"order_book_top": 1,
|
||||
"check_depth_of_market": {
|
||||
"enabled": False,
|
||||
"bids_to_ask_delta": 1
|
||||
}
|
||||
},
|
||||
"ask_strategy": {
|
||||
"use_order_book": False,
|
||||
"order_book_min": 1,
|
||||
"order_book_max": 1
|
||||
},
|
||||
"exchange": {
|
||||
"name": "bittrex",
|
||||
|
|
@ -403,6 +414,39 @@ def limit_sell_order():
|
|||
}
|
||||
|
||||
|
||||
@pytest.fixture
|
||||
def order_book_l2():
|
||||
return MagicMock(return_value={
|
||||
'bids': [
|
||||
[0.043936, 10.442],
|
||||
[0.043935, 31.865],
|
||||
[0.043933, 11.212],
|
||||
[0.043928, 0.088],
|
||||
[0.043925, 10.0],
|
||||
[0.043921, 10.0],
|
||||
[0.04392, 37.64],
|
||||
[0.043899, 0.066],
|
||||
[0.043885, 0.676],
|
||||
[0.04387, 22.758]
|
||||
],
|
||||
'asks': [
|
||||
[0.043949, 0.346],
|
||||
[0.04395, 0.608],
|
||||
[0.043951, 3.948],
|
||||
[0.043954, 0.288],
|
||||
[0.043958, 9.277],
|
||||
[0.043995, 1.566],
|
||||
[0.044, 0.588],
|
||||
[0.044002, 0.992],
|
||||
[0.044003, 0.095],
|
||||
[0.04402, 37.64]
|
||||
],
|
||||
'timestamp': None,
|
||||
'datetime': None,
|
||||
'nonce': 288004540
|
||||
})
|
||||
|
||||
|
||||
@pytest.fixture
|
||||
def ticker_history():
|
||||
return [
|
||||
|
|
|
|||
|
|
@ -703,6 +703,35 @@ async def test_async_get_candles_history(default_conf, mocker):
|
|||
assert exchange._async_get_candle_history.call_count == 2
|
||||
|
||||
|
||||
def test_get_order_book(default_conf, mocker, order_book_l2):
|
||||
default_conf['exchange']['name'] = 'binance'
|
||||
api_mock = MagicMock()
|
||||
|
||||
api_mock.fetch_l2_order_book = order_book_l2
|
||||
exchange = get_patched_exchange(mocker, default_conf, api_mock)
|
||||
order_book = exchange.get_order_book(pair='ETH/BTC', limit=10)
|
||||
assert 'bids' in order_book
|
||||
assert 'asks' in order_book
|
||||
assert len(order_book['bids']) == 10
|
||||
assert len(order_book['asks']) == 10
|
||||
|
||||
|
||||
def test_get_order_book_exception(default_conf, mocker):
|
||||
api_mock = MagicMock()
|
||||
with pytest.raises(OperationalException):
|
||||
api_mock.fetch_l2_order_book = MagicMock(side_effect=ccxt.NotSupported)
|
||||
exchange = get_patched_exchange(mocker, default_conf, api_mock)
|
||||
exchange.get_order_book(pair='ETH/BTC', limit=50)
|
||||
with pytest.raises(TemporaryError):
|
||||
api_mock.fetch_l2_order_book = MagicMock(side_effect=ccxt.NetworkError)
|
||||
exchange = get_patched_exchange(mocker, default_conf, api_mock)
|
||||
exchange.get_order_book(pair='ETH/BTC', limit=50)
|
||||
with pytest.raises(OperationalException):
|
||||
api_mock.fetch_l2_order_book = MagicMock(side_effect=ccxt.BaseError)
|
||||
exchange = get_patched_exchange(mocker, default_conf, api_mock)
|
||||
exchange.get_order_book(pair='ETH/BTC', limit=50)
|
||||
|
||||
|
||||
def make_fetch_ohlcv_mock(data):
|
||||
def fetch_ohlcv_mock(pair, timeframe, since):
|
||||
if since:
|
||||
|
|
@ -1011,15 +1040,3 @@ def test_get_fee(default_conf, mocker):
|
|||
|
||||
ccxt_exceptionhandlers(mocker, default_conf, api_mock,
|
||||
'get_fee', 'calculate_fee')
|
||||
|
||||
|
||||
def test_get_amount_lots(default_conf, mocker):
|
||||
api_mock = MagicMock()
|
||||
api_mock.amount_to_lots = MagicMock(return_value=1.0)
|
||||
api_mock.markets = None
|
||||
marketmock = MagicMock()
|
||||
api_mock.load_markets = marketmock
|
||||
exchange = get_patched_exchange(mocker, default_conf, api_mock)
|
||||
|
||||
assert exchange.get_amount_lots('LTC/BTC', 1.54) == 1
|
||||
assert marketmock.call_count == 1
|
||||
|
|
|
|||
|
|
@ -6,6 +6,7 @@ from unittest.mock import MagicMock, ANY
|
|||
|
||||
import pytest
|
||||
|
||||
from freqtrade import TemporaryError
|
||||
from freqtrade.fiat_convert import CryptoToFiatConverter
|
||||
from freqtrade.freqtradebot import FreqtradeBot
|
||||
from freqtrade.persistence import Trade
|
||||
|
|
@ -285,11 +286,12 @@ def test_rpc_balance_handle(default_conf, mocker):
|
|||
'used': 2.0,
|
||||
},
|
||||
'ETH': {
|
||||
'free': 0.0,
|
||||
'total': 0.0,
|
||||
'used': 0.0,
|
||||
'free': 1.0,
|
||||
'total': 5.0,
|
||||
'used': 4.0,
|
||||
}
|
||||
}
|
||||
# ETH will be skipped due to mocked Error below
|
||||
|
||||
mocker.patch.multiple(
|
||||
'freqtrade.fiat_convert.Market',
|
||||
|
|
@ -301,7 +303,8 @@ def test_rpc_balance_handle(default_conf, mocker):
|
|||
mocker.patch.multiple(
|
||||
'freqtrade.exchange.Exchange',
|
||||
validate_pairs=MagicMock(),
|
||||
get_balances=MagicMock(return_value=mock_balance)
|
||||
get_balances=MagicMock(return_value=mock_balance),
|
||||
get_ticker=MagicMock(side_effect=TemporaryError('Could not load ticker due to xxx'))
|
||||
)
|
||||
|
||||
freqtradebot = FreqtradeBot(default_conf)
|
||||
|
|
@ -320,6 +323,7 @@ def test_rpc_balance_handle(default_conf, mocker):
|
|||
'pending': 2.0,
|
||||
'est_btc': 12.0,
|
||||
}]
|
||||
assert result['total'] == 12.0
|
||||
|
||||
|
||||
def test_rpc_start(mocker, default_conf) -> None:
|
||||
|
|
|
|||
|
|
@ -8,6 +8,7 @@ from pandas import DataFrame
|
|||
|
||||
from freqtrade.arguments import TimeRange
|
||||
from freqtrade.optimize.__init__ import load_tickerdata_file
|
||||
from freqtrade.persistence import Trade
|
||||
from freqtrade.tests.conftest import get_patched_exchange, log_has
|
||||
from freqtrade.strategy.default_strategy import DefaultStrategy
|
||||
|
||||
|
|
@ -104,3 +105,26 @@ def test_tickerdata_to_dataframe(default_conf) -> None:
|
|||
tickerlist = {'UNITTEST/BTC': tick}
|
||||
data = strategy.tickerdata_to_dataframe(tickerlist)
|
||||
assert len(data['UNITTEST/BTC']) == 99 # partial candle was removed
|
||||
|
||||
|
||||
def test_min_roi_reached(default_conf, fee) -> None:
|
||||
strategy = DefaultStrategy(default_conf)
|
||||
strategy.minimal_roi = {0: 0.1, 20: 0.05, 55: 0.01}
|
||||
trade = Trade(
|
||||
pair='ETH/BTC',
|
||||
stake_amount=0.001,
|
||||
open_date=arrow.utcnow().shift(hours=-1).datetime,
|
||||
fee_open=fee.return_value,
|
||||
fee_close=fee.return_value,
|
||||
exchange='bittrex',
|
||||
open_rate=1,
|
||||
)
|
||||
|
||||
assert not strategy.min_roi_reached(trade, 0.01, arrow.utcnow().shift(minutes=-55).datetime)
|
||||
assert strategy.min_roi_reached(trade, 0.12, arrow.utcnow().shift(minutes=-55).datetime)
|
||||
|
||||
assert not strategy.min_roi_reached(trade, 0.04, arrow.utcnow().shift(minutes=-39).datetime)
|
||||
assert strategy.min_roi_reached(trade, 0.06, arrow.utcnow().shift(minutes=-39).datetime)
|
||||
|
||||
assert not strategy.min_roi_reached(trade, -0.01, arrow.utcnow().shift(minutes=-1).datetime)
|
||||
assert strategy.min_roi_reached(trade, 0.02, arrow.utcnow().shift(minutes=-1).datetime)
|
||||
|
|
|
|||
|
|
@ -130,7 +130,7 @@ def test_strategy_override_minimal_roi(caplog):
|
|||
assert resolver.strategy.minimal_roi[0] == 0.5
|
||||
assert ('freqtrade.strategy.resolver',
|
||||
logging.INFO,
|
||||
'Override strategy \'minimal_roi\' with value in config file.'
|
||||
"Override strategy 'minimal_roi' with value in config file: {'0': 0.5}."
|
||||
) in caplog.record_tuples
|
||||
|
||||
|
||||
|
|
@ -145,7 +145,7 @@ def test_strategy_override_stoploss(caplog):
|
|||
assert resolver.strategy.stoploss == -0.5
|
||||
assert ('freqtrade.strategy.resolver',
|
||||
logging.INFO,
|
||||
'Override strategy \'stoploss\' with value in config file: -0.5.'
|
||||
"Override strategy 'stoploss' with value in config file: -0.5."
|
||||
) in caplog.record_tuples
|
||||
|
||||
|
||||
|
|
@ -161,7 +161,7 @@ def test_strategy_override_ticker_interval(caplog):
|
|||
assert resolver.strategy.ticker_interval == 60
|
||||
assert ('freqtrade.strategy.resolver',
|
||||
logging.INFO,
|
||||
'Override strategy \'ticker_interval\' with value in config file: 60.'
|
||||
"Override strategy 'ticker_interval' with value in config file: 60."
|
||||
) in caplog.record_tuples
|
||||
|
||||
|
||||
|
|
|
|||
|
|
@ -159,6 +159,15 @@ def test_gen_pair_whitelist(mocker, default_conf, tickers) -> None:
|
|||
assert whitelist == []
|
||||
|
||||
|
||||
def test_gen_pair_whitelist_not_supported(mocker, default_conf, tickers) -> None:
|
||||
freqtrade = get_patched_freqtradebot(mocker, default_conf)
|
||||
mocker.patch('freqtrade.exchange.Exchange.get_tickers', tickers)
|
||||
mocker.patch('freqtrade.exchange.Exchange.exchange_has', MagicMock(return_value=False))
|
||||
|
||||
with pytest.raises(OperationalException):
|
||||
freqtrade._gen_pair_whitelist(base_currency='BTC')
|
||||
|
||||
|
||||
@pytest.mark.skip(reason="Test not implemented")
|
||||
def test_refresh_whitelist() -> None:
|
||||
pass
|
||||
|
|
@ -663,21 +672,21 @@ def test_balance_fully_ask_side(mocker, default_conf) -> None:
|
|||
default_conf['bid_strategy']['ask_last_balance'] = 0.0
|
||||
freqtrade = get_patched_freqtradebot(mocker, default_conf)
|
||||
|
||||
assert freqtrade.get_target_bid({'ask': 20, 'last': 10}) == 20
|
||||
assert freqtrade.get_target_bid('ETH/BTC', {'ask': 20, 'last': 10}) == 20
|
||||
|
||||
|
||||
def test_balance_fully_last_side(mocker, default_conf) -> None:
|
||||
default_conf['bid_strategy']['ask_last_balance'] = 1.0
|
||||
freqtrade = get_patched_freqtradebot(mocker, default_conf)
|
||||
|
||||
assert freqtrade.get_target_bid({'ask': 20, 'last': 10}) == 10
|
||||
assert freqtrade.get_target_bid('ETH/BTC', {'ask': 20, 'last': 10}) == 10
|
||||
|
||||
|
||||
def test_balance_bigger_last_ask(mocker, default_conf) -> None:
|
||||
default_conf['bid_strategy']['ask_last_balance'] = 1.0
|
||||
freqtrade = get_patched_freqtradebot(mocker, default_conf)
|
||||
|
||||
assert freqtrade.get_target_bid({'ask': 5, 'last': 10}) == 5
|
||||
assert freqtrade.get_target_bid('ETH/BTC', {'ask': 5, 'last': 10}) == 5
|
||||
|
||||
|
||||
def test_process_maybe_execute_buy(mocker, default_conf) -> None:
|
||||
|
|
@ -1877,6 +1886,191 @@ def test_get_real_amount_open_trade(default_conf, mocker):
|
|||
assert freqtrade.get_real_amount(trade, order) == amount
|
||||
|
||||
|
||||
def test_order_book_depth_of_market(default_conf, ticker, limit_buy_order, fee, markets, mocker,
|
||||
order_book_l2):
|
||||
default_conf['bid_strategy']['check_depth_of_market']['enabled'] = True
|
||||
default_conf['bid_strategy']['check_depth_of_market']['bids_to_ask_delta'] = 0.1
|
||||
patch_RPCManager(mocker)
|
||||
mocker.patch('freqtrade.exchange.Exchange.get_order_book', order_book_l2)
|
||||
mocker.patch.multiple(
|
||||
'freqtrade.exchange.Exchange',
|
||||
validate_pairs=MagicMock(),
|
||||
get_ticker=ticker,
|
||||
buy=MagicMock(return_value={'id': limit_buy_order['id']}),
|
||||
get_fee=fee,
|
||||
get_markets=markets
|
||||
)
|
||||
|
||||
# Save state of current whitelist
|
||||
whitelist = deepcopy(default_conf['exchange']['pair_whitelist'])
|
||||
freqtrade = FreqtradeBot(default_conf)
|
||||
patch_get_signal(freqtrade)
|
||||
freqtrade.create_trade()
|
||||
|
||||
trade = Trade.query.first()
|
||||
assert trade is not None
|
||||
assert trade.stake_amount == 0.001
|
||||
assert trade.is_open
|
||||
assert trade.open_date is not None
|
||||
assert trade.exchange == 'bittrex'
|
||||
|
||||
# Simulate fulfilled LIMIT_BUY order for trade
|
||||
trade.update(limit_buy_order)
|
||||
|
||||
assert trade.open_rate == 0.00001099
|
||||
assert whitelist == default_conf['exchange']['pair_whitelist']
|
||||
|
||||
|
||||
def test_order_book_depth_of_market_high_delta(default_conf, ticker, limit_buy_order,
|
||||
fee, markets, mocker, order_book_l2):
|
||||
default_conf['bid_strategy']['check_depth_of_market']['enabled'] = True
|
||||
# delta is 100 which is impossible to reach. hence check_depth_of_market will return false
|
||||
default_conf['bid_strategy']['check_depth_of_market']['bids_to_ask_delta'] = 100
|
||||
patch_RPCManager(mocker)
|
||||
mocker.patch('freqtrade.exchange.Exchange.get_order_book', order_book_l2)
|
||||
mocker.patch.multiple(
|
||||
'freqtrade.exchange.Exchange',
|
||||
validate_pairs=MagicMock(),
|
||||
get_ticker=ticker,
|
||||
buy=MagicMock(return_value={'id': limit_buy_order['id']}),
|
||||
get_fee=fee,
|
||||
get_markets=markets
|
||||
)
|
||||
# Save state of current whitelist
|
||||
freqtrade = FreqtradeBot(default_conf)
|
||||
patch_get_signal(freqtrade)
|
||||
freqtrade.create_trade()
|
||||
|
||||
trade = Trade.query.first()
|
||||
assert trade is None
|
||||
|
||||
|
||||
def test_order_book_bid_strategy1(mocker, default_conf, order_book_l2, markets) -> None:
|
||||
"""
|
||||
test if function get_target_bid will return the order book price
|
||||
instead of the ask rate
|
||||
"""
|
||||
mocker.patch.multiple(
|
||||
'freqtrade.exchange.Exchange',
|
||||
validate_pairs=MagicMock(),
|
||||
get_markets=markets,
|
||||
get_order_book=order_book_l2
|
||||
)
|
||||
default_conf['exchange']['name'] = 'binance'
|
||||
default_conf['bid_strategy']['use_order_book'] = True
|
||||
default_conf['bid_strategy']['order_book_top'] = 2
|
||||
default_conf['bid_strategy']['ask_last_balance'] = 0
|
||||
default_conf['telegram']['enabled'] = False
|
||||
|
||||
freqtrade = FreqtradeBot(default_conf)
|
||||
assert freqtrade.get_target_bid('ETH/BTC', {'ask': 0.045, 'last': 0.046}) == 0.043935
|
||||
|
||||
|
||||
def test_order_book_bid_strategy2(mocker, default_conf, order_book_l2, markets) -> None:
|
||||
"""
|
||||
test if function get_target_bid will return the ask rate (since its value is lower)
|
||||
instead of the order book rate (even if enabled)
|
||||
"""
|
||||
mocker.patch.multiple(
|
||||
'freqtrade.exchange.Exchange',
|
||||
validate_pairs=MagicMock(),
|
||||
get_markets=markets,
|
||||
get_order_book=order_book_l2
|
||||
)
|
||||
default_conf['exchange']['name'] = 'binance'
|
||||
default_conf['bid_strategy']['use_order_book'] = True
|
||||
default_conf['bid_strategy']['order_book_top'] = 2
|
||||
default_conf['bid_strategy']['ask_last_balance'] = 0
|
||||
default_conf['telegram']['enabled'] = False
|
||||
|
||||
freqtrade = FreqtradeBot(default_conf)
|
||||
assert freqtrade.get_target_bid('ETH/BTC', {'ask': 0.042, 'last': 0.046}) == 0.042
|
||||
|
||||
|
||||
def test_order_book_bid_strategy3(default_conf, mocker, order_book_l2, markets) -> None:
|
||||
"""
|
||||
test if function get_target_bid will return ask rate instead
|
||||
of the order book rate
|
||||
"""
|
||||
mocker.patch.multiple(
|
||||
'freqtrade.exchange.Exchange',
|
||||
validate_pairs=MagicMock(),
|
||||
get_markets=markets,
|
||||
get_order_book=order_book_l2
|
||||
)
|
||||
default_conf['exchange']['name'] = 'binance'
|
||||
default_conf['bid_strategy']['use_order_book'] = True
|
||||
default_conf['bid_strategy']['order_book_top'] = 1
|
||||
default_conf['bid_strategy']['ask_last_balance'] = 0
|
||||
default_conf['telegram']['enabled'] = False
|
||||
|
||||
freqtrade = FreqtradeBot(default_conf)
|
||||
|
||||
assert freqtrade.get_target_bid('ETH/BTC', {'ask': 0.03, 'last': 0.029}) == 0.03
|
||||
|
||||
|
||||
def test_check_depth_of_market_buy(default_conf, mocker, order_book_l2, markets) -> None:
|
||||
"""
|
||||
test check depth of market
|
||||
"""
|
||||
mocker.patch.multiple(
|
||||
'freqtrade.exchange.Exchange',
|
||||
validate_pairs=MagicMock(),
|
||||
get_markets=markets,
|
||||
get_order_book=order_book_l2
|
||||
)
|
||||
default_conf['telegram']['enabled'] = False
|
||||
default_conf['exchange']['name'] = 'binance'
|
||||
default_conf['bid_strategy']['check_depth_of_market']['enabled'] = True
|
||||
# delta is 100 which is impossible to reach. hence function will return false
|
||||
default_conf['bid_strategy']['check_depth_of_market']['bids_to_ask_delta'] = 100
|
||||
freqtrade = FreqtradeBot(default_conf)
|
||||
|
||||
conf = default_conf['bid_strategy']['check_depth_of_market']
|
||||
assert freqtrade._check_depth_of_market_buy('ETH/BTC', conf) is False
|
||||
|
||||
|
||||
def test_order_book_ask_strategy(default_conf, limit_buy_order, limit_sell_order,
|
||||
fee, markets, mocker, order_book_l2) -> None:
|
||||
"""
|
||||
test order book ask strategy
|
||||
"""
|
||||
mocker.patch('freqtrade.exchange.Exchange.get_order_book', order_book_l2)
|
||||
default_conf['exchange']['name'] = 'binance'
|
||||
default_conf['ask_strategy']['use_order_book'] = True
|
||||
default_conf['ask_strategy']['order_book_min'] = 1
|
||||
default_conf['ask_strategy']['order_book_max'] = 2
|
||||
default_conf['telegram']['enabled'] = False
|
||||
patch_RPCManager(mocker)
|
||||
mocker.patch.multiple(
|
||||
'freqtrade.exchange.Exchange',
|
||||
validate_pairs=MagicMock(),
|
||||
get_ticker=MagicMock(return_value={
|
||||
'bid': 0.00001172,
|
||||
'ask': 0.00001173,
|
||||
'last': 0.00001172
|
||||
}),
|
||||
buy=MagicMock(return_value={'id': limit_buy_order['id']}),
|
||||
sell=MagicMock(return_value={'id': limit_sell_order['id']}),
|
||||
get_fee=fee,
|
||||
get_markets=markets
|
||||
)
|
||||
freqtrade = FreqtradeBot(default_conf)
|
||||
patch_get_signal(freqtrade)
|
||||
|
||||
freqtrade.create_trade()
|
||||
|
||||
trade = Trade.query.first()
|
||||
assert trade
|
||||
|
||||
time.sleep(0.01) # Race condition fix
|
||||
trade.update(limit_buy_order)
|
||||
assert trade.is_open is True
|
||||
|
||||
patch_get_signal(freqtrade, value=(False, True))
|
||||
assert freqtrade.handle_trade(trade) is True
|
||||
|
||||
|
||||
def test_startup_messages(default_conf, mocker):
|
||||
default_conf['dynamic_whitelist'] = 20
|
||||
freqtrade = get_patched_freqtradebot(mocker, default_conf)
|
||||
|
|
|
|||
|
|
@ -1,5 +1,6 @@
|
|||
# pragma pylint: disable=missing-docstring, C0103
|
||||
from unittest.mock import MagicMock
|
||||
import logging
|
||||
|
||||
import pytest
|
||||
from sqlalchemy import create_engine
|
||||
|
|
@ -403,6 +404,7 @@ def test_migrate_new(mocker, default_conf, fee, caplog):
|
|||
"""
|
||||
Test Database migration (starting with new pairformat)
|
||||
"""
|
||||
caplog.set_level(logging.DEBUG)
|
||||
amount = 103.223
|
||||
# Always create all columns apart from the last!
|
||||
create_table_old = """CREATE TABLE IF NOT EXISTS "trades" (
|
||||
|
|
@ -471,12 +473,15 @@ def test_migrate_new(mocker, default_conf, fee, caplog):
|
|||
assert trade.ticker_interval is None
|
||||
assert log_has("trying trades_bak1", caplog.record_tuples)
|
||||
assert log_has("trying trades_bak2", caplog.record_tuples)
|
||||
assert log_has("Running database migration - backup available as trades_bak2",
|
||||
caplog.record_tuples)
|
||||
|
||||
|
||||
def test_migrate_mid_state(mocker, default_conf, fee, caplog):
|
||||
"""
|
||||
Test Database migration (starting with new pairformat)
|
||||
"""
|
||||
caplog.set_level(logging.DEBUG)
|
||||
amount = 103.223
|
||||
create_table_old = """CREATE TABLE IF NOT EXISTS "trades" (
|
||||
id INTEGER NOT NULL,
|
||||
|
|
@ -530,6 +535,8 @@ def test_migrate_mid_state(mocker, default_conf, fee, caplog):
|
|||
assert trade.stop_loss == 0.0
|
||||
assert trade.initial_stop_loss == 0.0
|
||||
assert log_has("trying trades_bak0", caplog.record_tuples)
|
||||
assert log_has("Running database migration - backup available as trades_bak0",
|
||||
caplog.record_tuples)
|
||||
|
||||
|
||||
def test_adjust_stop_loss(limit_buy_order, limit_sell_order, fee):
|
||||
|
|
|
|||
|
|
@ -1,5 +1,5 @@
|
|||
ccxt==1.17.126
|
||||
SQLAlchemy==1.2.10
|
||||
ccxt==1.17.205
|
||||
SQLAlchemy==1.2.11
|
||||
python-telegram-bot==10.1.0
|
||||
arrow==0.12.1
|
||||
cachetools==2.1.0
|
||||
|
|
@ -10,9 +10,9 @@ pandas==0.23.4
|
|||
scikit-learn==0.19.2
|
||||
scipy==1.1.0
|
||||
jsonschema==2.6.0
|
||||
numpy==1.15.0
|
||||
numpy==1.15.1
|
||||
TA-Lib==0.4.17
|
||||
pytest==3.7.1
|
||||
pytest==3.7.3
|
||||
pytest-mock==1.10.0
|
||||
pytest-cov==2.5.1
|
||||
pytest-asyncio==0.9.0
|
||||
|
|
|
|||
29
setup.sh
29
setup.sh
|
|
@ -1,13 +1,31 @@
|
|||
#!/usr/bin/env bash
|
||||
#encoding=utf8
|
||||
|
||||
# Check which python version is installed
|
||||
function check_installed_python() {
|
||||
which python3.7
|
||||
if [ $? -eq 0 ]; then
|
||||
echo "using Python 3.7"
|
||||
PYTHON=python3.7
|
||||
return
|
||||
fi
|
||||
|
||||
which python3.6
|
||||
if [ $? -eq 0 ]; then
|
||||
echo "using Python 3.6"
|
||||
PYTHON=python3.6
|
||||
return
|
||||
fi
|
||||
|
||||
}
|
||||
|
||||
function updateenv () {
|
||||
echo "-------------------------"
|
||||
echo "Update your virtual env"
|
||||
echo "-------------------------"
|
||||
source .env/bin/activate
|
||||
echo "pip3 install in-progress. Please wait..."
|
||||
pip3.6 install --quiet --upgrade pip
|
||||
pip3 install --quiet --upgrade pip
|
||||
pip3 install --quiet -r requirements.txt --upgrade
|
||||
pip3 install --quiet -r requirements.txt
|
||||
pip3 install --quiet -e .
|
||||
|
|
@ -79,7 +97,7 @@ function reset () {
|
|||
fi
|
||||
|
||||
echo
|
||||
python3.6 -m venv .env
|
||||
${PYTHON} -m venv .env
|
||||
updateenv
|
||||
}
|
||||
|
||||
|
|
@ -183,7 +201,7 @@ function install () {
|
|||
install_debian
|
||||
else
|
||||
echo "This script does not support your OS."
|
||||
echo "If you have Python3.6, pip, virtualenv, ta-lib you can continue."
|
||||
echo "If you have Python3.6 or Python3.7, pip, virtualenv, ta-lib you can continue."
|
||||
echo "Wait 10 seconds to continue the next install steps or use ctrl+c to interrupt this shell."
|
||||
sleep 10
|
||||
fi
|
||||
|
|
@ -193,7 +211,7 @@ function install () {
|
|||
echo "-------------------------"
|
||||
echo "Run the bot"
|
||||
echo "-------------------------"
|
||||
echo "You can now use the bot by executing 'source .env/bin/activate; python3.6 freqtrade/main.py'."
|
||||
echo "You can now use the bot by executing 'source .env/bin/activate; python freqtrade/main.py'."
|
||||
}
|
||||
|
||||
function plot () {
|
||||
|
|
@ -214,6 +232,9 @@ function help () {
|
|||
echo " -p,--plot Install dependencies for Plotting scripts."
|
||||
}
|
||||
|
||||
# Verify if 3.6 or 3.7 is installed
|
||||
check_installed_python
|
||||
|
||||
case $* in
|
||||
--install|-i)
|
||||
install
|
||||
|
|
|
|||
Loading…
Reference in New Issue