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leverage updates on exchange classes

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This commit is contained in:
Sam Germain
2021-09-16 23:05:13 -06:00
parent cbaf477bec
commit 57c7926515
11 changed files with 1467 additions and 126 deletions
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52
tests/exchange/test_binance.py
View File

@@ -48,13 +48,20 @@ def test_stoploss_order_binance(
amount=1,
stop_price=190,
side=side,
order_types={'stoploss_on_exchange_limit_ratio': 1.05}
order_types={'stoploss_on_exchange_limit_ratio': 1.05},
leverage=1.0
)
api_mock.create_order.reset_mock()
order_types = {} if limitratio is None else {'stoploss_on_exchange_limit_ratio': limitratio}
order = exchange.stoploss(pair='ETH/BTC', amount=1, stop_price=220,
order_types=order_types, side=side)
order = exchange.stoploss(
pair='ETH/BTC',
amount=1,
stop_price=220,
order_types=order_types,
side=side,
leverage=1.0
)
assert 'id' in order
assert 'info' in order
@@ -71,17 +78,31 @@ def test_stoploss_order_binance(
with pytest.raises(DependencyException):
api_mock.create_order = MagicMock(side_effect=ccxt.InsufficientFunds("0 balance"))
exchange = get_patched_exchange(mocker, default_conf, api_mock, 'binance')
exchange.stoploss(pair='ETH/BTC', amount=1, stop_price=220, order_types={}, side=side)
exchange.stoploss(
pair='ETH/BTC',
amount=1,
stop_price=220,
order_types={},
side=side,
leverage=1.0)
with pytest.raises(InvalidOrderException):
api_mock.create_order = MagicMock(
side_effect=ccxt.InvalidOrder("binance Order would trigger immediately."))
exchange = get_patched_exchange(mocker, default_conf, api_mock, 'binance')
exchange.stoploss(pair='ETH/BTC', amount=1, stop_price=220, order_types={}, side=side)
exchange.stoploss(
pair='ETH/BTC',
amount=1,
stop_price=220,
order_types={},
side=side,
leverage=1.0
)
ccxt_exceptionhandlers(mocker, default_conf, api_mock, "binance",
"stoploss", "create_order", retries=1,
pair='ETH/BTC', amount=1, stop_price=220, order_types={}, side=side)
pair='ETH/BTC', amount=1, stop_price=220, order_types={},
side=side, leverage=1.0)
def test_stoploss_order_dry_run_binance(default_conf, mocker):
@@ -94,12 +115,25 @@ def test_stoploss_order_dry_run_binance(default_conf, mocker):
exchange = get_patched_exchange(mocker, default_conf, api_mock, 'binance')
with pytest.raises(OperationalException):
order = exchange.stoploss(pair='ETH/BTC', amount=1, stop_price=190, side="sell",
order_types={'stoploss_on_exchange_limit_ratio': 1.05})
order = exchange.stoploss(
pair='ETH/BTC',
amount=1,
stop_price=190,
side="sell",
order_types={'stoploss_on_exchange_limit_ratio': 1.05},
leverage=1.0
)
api_mock.create_order.reset_mock()
order = exchange.stoploss(pair='ETH/BTC', amount=1, stop_price=220, order_types={}, side="sell")
order = exchange.stoploss(
pair='ETH/BTC',
amount=1,
stop_price=220,
order_types={},
side="sell",
leverage=1.0
)
assert 'id' in order
assert 'info' in order

44
tests/exchange/test_exchange.py
View File

@@ -403,7 +403,6 @@ def test_get_min_pair_stake_amount(mocker, default_conf) -> None:
# With Leverage
result = exchange.get_min_pair_stake_amount('ETH/BTC', 1, stoploss, 3.0)
assert isclose(result, expected_result/3)
# TODO-lev: Min stake for base, kraken and ftx
# min amount is set
markets["ETH/BTC"]["limits"] = {
@@ -420,7 +419,6 @@ def test_get_min_pair_stake_amount(mocker, default_conf) -> None:
# With Leverage
result = exchange.get_min_pair_stake_amount('ETH/BTC', 2, stoploss, 5.0)
assert isclose(result, expected_result/5)
# TODO-lev: Min stake for base, kraken and ftx
# min amount and cost are set (cost is minimal)
markets["ETH/BTC"]["limits"] = {
@@ -437,7 +435,6 @@ def test_get_min_pair_stake_amount(mocker, default_conf) -> None:
# With Leverage
result = exchange.get_min_pair_stake_amount('ETH/BTC', 2, stoploss, 10)
assert isclose(result, expected_result/10)
# TODO-lev: Min stake for base, kraken and ftx
# min amount and cost are set (amount is minial)
markets["ETH/BTC"]["limits"] = {
@@ -454,7 +451,6 @@ def test_get_min_pair_stake_amount(mocker, default_conf) -> None:
# With Leverage
result = exchange.get_min_pair_stake_amount('ETH/BTC', 2, stoploss, 7.0)
assert isclose(result, expected_result/7.0)
# TODO-lev: Min stake for base, kraken and ftx
result = exchange.get_min_pair_stake_amount('ETH/BTC', 2, -0.4)
expected_result = max(8, 2 * 2) * 1.5
@@ -462,7 +458,6 @@ def test_get_min_pair_stake_amount(mocker, default_conf) -> None:
# With Leverage
result = exchange.get_min_pair_stake_amount('ETH/BTC', 2, -0.4, 8.0)
assert isclose(result, expected_result/8.0)
# TODO-lev: Min stake for base, kraken and ftx
# Really big stoploss
result = exchange.get_min_pair_stake_amount('ETH/BTC', 2, -1)
@@ -471,7 +466,6 @@ def test_get_min_pair_stake_amount(mocker, default_conf) -> None:
# With Leverage
result = exchange.get_min_pair_stake_amount('ETH/BTC', 2, -1, 12.0)
assert isclose(result, expected_result/12)
# TODO-lev: Min stake for base, kraken and ftx
def test_get_min_pair_stake_amount_real_data(mocker, default_conf) -> None:
@@ -493,7 +487,6 @@ def test_get_min_pair_stake_amount_real_data(mocker, default_conf) -> None:
assert round(result, 8) == round(expected_result, 8)
result = exchange.get_min_pair_stake_amount('ETH/BTC', 0.020405, stoploss, 3.0)
assert round(result, 8) == round(expected_result/3, 8)
# TODO-lev: Min stake for base, kraken and ftx
def test_set_sandbox(default_conf, mocker):
@@ -1004,7 +997,13 @@ def test_create_dry_run_order(default_conf, mocker, side, exchange_name):
exchange = get_patched_exchange(mocker, default_conf, id=exchange_name)
order = exchange.create_dry_run_order(
pair='ETH/BTC', ordertype='limit', side=side, amount=1, rate=200)
pair='ETH/BTC',
ordertype='limit',
side=side,
amount=1,
rate=200,
leverage=1.0
)
assert 'id' in order
assert f'dry_run_{side}_' in order["id"]
assert order["side"] == side
@@ -1027,7 +1026,13 @@ def test_create_dry_run_order_limit_fill(default_conf, mocker, side, startprice,
)
order = exchange.create_dry_run_order(
pair='LTC/USDT', ordertype='limit', side=side, amount=1, rate=startprice)
pair='LTC/USDT',
ordertype='limit',
side=side,
amount=1,
rate=startprice,
leverage=1.0
)
assert order_book_l2_usd.call_count == 1
assert 'id' in order
assert f'dry_run_{side}_' in order["id"]
@@ -1073,7 +1078,13 @@ def test_create_dry_run_order_market_fill(default_conf, mocker, side, rate, amou
)
order = exchange.create_dry_run_order(
pair='LTC/USDT', ordertype='market', side=side, amount=amount, rate=rate)
pair='LTC/USDT',
ordertype='market',
side=side,
amount=amount,
rate=rate,
leverage=1.0
)
assert 'id' in order
assert f'dry_run_{side}_' in order["id"]
assert order["side"] == side
@@ -2664,7 +2675,14 @@ def test_get_fee(default_conf, mocker, exchange_name):
def test_stoploss_order_unsupported_exchange(default_conf, mocker):
exchange = get_patched_exchange(mocker, default_conf, id='bittrex')
with pytest.raises(OperationalException, match=r"stoploss is not implemented .*"):
exchange.stoploss(pair='ETH/BTC', amount=1, stop_price=220, order_types={}, side="sell")
exchange.stoploss(
pair='ETH/BTC',
amount=1,
stop_price=220,
order_types={},
side="sell",
leverage=1.0
)
with pytest.raises(OperationalException, match=r"stoploss is not implemented .*"):
exchange.stoploss_adjust(1, {}, side="sell")
@@ -3024,7 +3042,7 @@ def test_calculate_backoff(retrycount, max_retries, expected):
(20.0, 5.0, 4.0),
(100.0, 100.0, 1.0)
])
def test_apply_leverage_to_stake_amount(
def test_divide_stake_amount_by_leverage(
exchange,
stake_amount,
leverage,
@@ -3033,7 +3051,7 @@ def test_apply_leverage_to_stake_amount(
default_conf
):
exchange = get_patched_exchange(mocker, default_conf, id=exchange)
assert exchange._apply_leverage_to_stake_amount(stake_amount, leverage) == min_stake_with_lev
assert exchange._divide_stake_amount_by_leverage(stake_amount, leverage) == min_stake_with_lev
@pytest.mark.parametrize("exchange_name,trading_mode", [

86
tests/exchange/test_ftx.py
View File

@@ -1,10 +1,9 @@
from random import randint
from unittest.mock import MagicMock, PropertyMock
from unittest.mock import MagicMock
import ccxt
import pytest
from freqtrade.enums import TradingMode
from freqtrade.exceptions import DependencyException, InvalidOrderException
from freqtrade.exchange.common import API_FETCH_ORDER_RETRY_COUNT
from tests.conftest import get_patched_exchange
@@ -14,8 +13,6 @@ from .test_exchange import ccxt_exceptionhandlers
STOPLOSS_ORDERTYPE = 'stop'
# TODO-lev: All these stoploss tests with shorts
@pytest.mark.parametrize('order_price,exchangelimitratio,side', [
(217.8, 1.05, "sell"),
@@ -39,8 +36,14 @@ def test_stoploss_order_ftx(default_conf, mocker, order_price, exchangelimitrati
exchange = get_patched_exchange(mocker, default_conf, api_mock, 'ftx')
# stoploss_on_exchange_limit_ratio is irrelevant for ftx market orders
order = exchange.stoploss(pair='ETH/BTC', amount=1, stop_price=190, side=side,
order_types={'stoploss_on_exchange_limit_ratio': exchangelimitratio})
order = exchange.stoploss(
pair='ETH/BTC',
amount=1,
stop_price=190,
side=side,
order_types={'stoploss_on_exchange_limit_ratio': exchangelimitratio},
leverage=1.0
)
assert api_mock.create_order.call_args_list[0][1]['symbol'] == 'ETH/BTC'
assert api_mock.create_order.call_args_list[0][1]['type'] == STOPLOSS_ORDERTYPE
@@ -54,7 +57,14 @@ def test_stoploss_order_ftx(default_conf, mocker, order_price, exchangelimitrati
api_mock.create_order.reset_mock()
order = exchange.stoploss(pair='ETH/BTC', amount=1, stop_price=220, order_types={}, side=side)
order = exchange.stoploss(
pair='ETH/BTC',
amount=1,
stop_price=220,
order_types={},
side=side,
leverage=1.0
)
assert 'id' in order
assert 'info' in order
@@ -67,8 +77,13 @@ def test_stoploss_order_ftx(default_conf, mocker, order_price, exchangelimitrati
assert api_mock.create_order.call_args_list[0][1]['params']['stopPrice'] == 220
api_mock.create_order.reset_mock()
order = exchange.stoploss(pair='ETH/BTC', amount=1, stop_price=220,
order_types={'stoploss': 'limit'}, side=side)
order = exchange.stoploss(
pair='ETH/BTC',
amount=1,
stop_price=220,
order_types={'stoploss': 'limit'}, side=side,
leverage=1.0
)
assert 'id' in order
assert 'info' in order
@@ -85,17 +100,32 @@ def test_stoploss_order_ftx(default_conf, mocker, order_price, exchangelimitrati
with pytest.raises(DependencyException):
api_mock.create_order = MagicMock(side_effect=ccxt.InsufficientFunds("0 balance"))
exchange = get_patched_exchange(mocker, default_conf, api_mock, 'ftx')
exchange.stoploss(pair='ETH/BTC', amount=1, stop_price=220, order_types={}, side=side)
exchange.stoploss(
pair='ETH/BTC',
amount=1,
stop_price=220,
order_types={},
side=side,
leverage=1.0
)
with pytest.raises(InvalidOrderException):
api_mock.create_order = MagicMock(
side_effect=ccxt.InvalidOrder("ftx Order would trigger immediately."))
exchange = get_patched_exchange(mocker, default_conf, api_mock, 'ftx')
exchange.stoploss(pair='ETH/BTC', amount=1, stop_price=220, order_types={}, side=side)
exchange.stoploss(
pair='ETH/BTC',
amount=1,
stop_price=220,
order_types={},
side=side,
leverage=1.0
)
ccxt_exceptionhandlers(mocker, default_conf, api_mock, "ftx",
"stoploss", "create_order", retries=1,
pair='ETH/BTC', amount=1, stop_price=220, order_types={}, side=side)
pair='ETH/BTC', amount=1, stop_price=220, order_types={},
side=side, leverage=1.0)
@pytest.mark.parametrize('side', [("sell"), ("buy")])
@@ -109,7 +139,14 @@ def test_stoploss_order_dry_run_ftx(default_conf, mocker, side):
api_mock.create_order.reset_mock()
order = exchange.stoploss(pair='ETH/BTC', amount=1, stop_price=220, order_types={}, side=side)
order = exchange.stoploss(
pair='ETH/BTC',
amount=1,
stop_price=220,
order_types={},
side=side,
leverage=1.0
)
assert 'id' in order
assert 'info' in order
@@ -230,26 +267,3 @@ def test_fill_leverage_brackets_ftx(default_conf, mocker):
exchange = get_patched_exchange(mocker, default_conf, id="ftx")
exchange.fill_leverage_brackets()
assert exchange._leverage_brackets == {}
@pytest.mark.parametrize("trading_mode", [
(TradingMode.MARGIN),
(TradingMode.FUTURES)
])
def test__set_leverage(mocker, default_conf, trading_mode):
api_mock = MagicMock()
api_mock.set_leverage = MagicMock()
type(api_mock).has = PropertyMock(return_value={'setLeverage': True})
ccxt_exceptionhandlers(
mocker,
default_conf,
api_mock,
"ftx",
"_set_leverage",
"set_leverage",
pair="XRP/USDT",
leverage=5.0,
trading_mode=trading_mode
)

34
tests/exchange/test_kraken.py
View File

@@ -195,7 +195,9 @@ def test_stoploss_order_kraken(default_conf, mocker, ordertype, side, adjustedpr
order_types={
'stoploss': ordertype,
'stoploss_on_exchange_limit_ratio': 0.99
})
},
leverage=1.0
)
assert 'id' in order
assert 'info' in order
@@ -219,17 +221,32 @@ def test_stoploss_order_kraken(default_conf, mocker, ordertype, side, adjustedpr
with pytest.raises(DependencyException):
api_mock.create_order = MagicMock(side_effect=ccxt.InsufficientFunds("0 balance"))
exchange = get_patched_exchange(mocker, default_conf, api_mock, 'kraken')
exchange.stoploss(pair='ETH/BTC', amount=1, stop_price=220, order_types={}, side=side)
exchange.stoploss(
pair='ETH/BTC',
amount=1,
stop_price=220,
order_types={},
side=side,
leverage=1.0
)
with pytest.raises(InvalidOrderException):
api_mock.create_order = MagicMock(
side_effect=ccxt.InvalidOrder("kraken Order would trigger immediately."))
exchange = get_patched_exchange(mocker, default_conf, api_mock, 'kraken')
exchange.stoploss(pair='ETH/BTC', amount=1, stop_price=220, order_types={}, side=side)
exchange.stoploss(
pair='ETH/BTC',
amount=1,
stop_price=220,
order_types={},
side=side,
leverage=1.0
)
ccxt_exceptionhandlers(mocker, default_conf, api_mock, "kraken",
"stoploss", "create_order", retries=1,
pair='ETH/BTC', amount=1, stop_price=220, order_types={}, side=side)
pair='ETH/BTC', amount=1, stop_price=220, order_types={},
side=side, leverage=1.0)
@pytest.mark.parametrize('side', ['buy', 'sell'])
@@ -243,7 +260,14 @@ def test_stoploss_order_dry_run_kraken(default_conf, mocker, side):
api_mock.create_order.reset_mock()
order = exchange.stoploss(pair='ETH/BTC', amount=1, stop_price=220, order_types={}, side=side)
order = exchange.stoploss(
pair='ETH/BTC',
amount=1,
stop_price=220,
order_types={},
side=side,
leverage=1.0
)
assert 'id' in order
assert 'info' in order