refactor get_target_bid to use bid as low and ask as high value
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gcarq
parent
ff393e54b8
commit
57c835449e
@ -143,13 +143,18 @@ def handle_trade(trade: Trade) -> None:
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logger.exception('Unable to handle open order')
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def get_target_bid(ticker: Dict[str, List[Dict]]) -> float:
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""" Calculates bid target between current ask price and last price """
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# TODO: refactor this
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ask = ticker['ask'][0]['Rate']
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bid = ticker['bid'][0]['Rate']
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balance = _CONF['bid_strategy']['ask_last_balance']
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return ask + balance * (bid - ask)
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def get_target_bid(orderbook: Dict[str, List[Dict]]) -> float:
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"""
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Calculates bid target between
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bid and ask prices from the given orderbook
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:param orderbook:
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:return: target bit as float
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"""
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default_target = 1.0 # Use ask price as default
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ask = orderbook['ask'][0]['Rate'] # Get lowest ask
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bid = orderbook['bid'][0]['Rate'] # Get highest bid
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balance = _CONF['bid_strategy'].get('bid_ask_balance', default_target)
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return bid + balance * (ask - bid)
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def create_trade(stake_amount: float) -> Optional[Trade]:
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@ -51,14 +51,14 @@ CONF_SCHEMA = {
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'bid_strategy': {
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'type': 'object',
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'properties': {
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'ask_last_balance': {
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'bid_ask_balance': {
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'type': 'number',
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'minimum': 0,
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'maximum': 1,
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'exclusiveMaximum': False
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},
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},
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'required': ['ask_last_balance']
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'required': ['bid_ask_balance']
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},
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'exchange': {'$ref': '#/definitions/exchange'},
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'telegram': {
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@ -25,7 +25,7 @@ def conf():
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"0": 0.02
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},
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"bid_strategy": {
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"ask_last_balance": 0.0
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"bid_ask_balance": 1.0
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},
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"exchange": {
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"name": "bittrex",
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@ -48,16 +48,22 @@ def conf():
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validate(configuration, CONF_SCHEMA)
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return configuration
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def test_create_trade(conf, mocker):
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mocker.patch.dict('freqtrade.main._CONF', conf)
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buy_signal = mocker.patch('freqtrade.main.get_buy_signal', side_effect=lambda _: True)
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mocker.patch.multiple('freqtrade.main.telegram', init=MagicMock(), send_msg=MagicMock())
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mocker.patch.multiple('freqtrade.main.exchange',
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validate_pairs=MagicMock(),
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get_ticker=MagicMock(return_value={
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'bid': 0.07256061,
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'ask': 0.072661,
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'last': 0.07256061
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get_orderbook=MagicMock(return_value={
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'bid': [{
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'Quantity': 1,
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'Rate': 0.07256061
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}],
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'ask': [{
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'Quantity': 1,
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'Rate': 0.072661
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}]
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}),
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buy=MagicMock(return_value='mocked_order_id'))
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# Save state of current whitelist
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@ -82,15 +88,21 @@ def test_create_trade(conf, mocker):
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[call('BTC_ETH'), call('BTC_TKN'), call('BTC_TRST'), call('BTC_SWT')]
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)
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def test_handle_trade(conf, mocker):
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mocker.patch.dict('freqtrade.main._CONF', conf)
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mocker.patch.multiple('freqtrade.main.telegram', init=MagicMock(), send_msg=MagicMock())
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mocker.patch.multiple('freqtrade.main.exchange',
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validate_pairs=MagicMock(),
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get_ticker=MagicMock(return_value={
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'bid': 0.17256061,
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'ask': 0.172661,
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'last': 0.17256061
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get_orderbook=MagicMock(return_value={
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'bid': [{
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'Quantity': 1,
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'Rate': 0.17256061
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}],
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'ask': [{
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'Quantity': 1,
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'Rate': 0.172661
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}]
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}),
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buy=MagicMock(return_value='mocked_order_id'))
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trade = Trade.query.filter(Trade.is_open.is_(True)).first()
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@ -101,6 +113,7 @@ def test_handle_trade(conf, mocker):
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assert trade.close_date is not None
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assert trade.open_order_id == 'dry_run'
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def test_close_trade(conf, mocker):
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mocker.patch.dict('freqtrade.main._CONF', conf)
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trade = Trade.query.filter(Trade.is_open.is_(True)).first()
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@ -113,14 +126,47 @@ def test_close_trade(conf, mocker):
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assert closed
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assert not trade.is_open
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def test_balance_fully_bid_side(mocker):
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mocker.patch.dict('freqtrade.main._CONF', {'bid_strategy': {'bid_ask_balance': 0.0}})
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orderbook = {
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'bid': [{
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'Quantity': 10,
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'Rate': 10
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}],
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'ask': [{
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'Quantity': 20,
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'Rate': 20
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}]
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}
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assert get_target_bid(orderbook) == 10
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def test_balance_fully_ask_side(mocker):
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mocker.patch.dict('freqtrade.main._CONF', {'bid_strategy': {'ask_last_balance': 0.0}})
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assert get_target_bid({'ask': 20, 'last': 10}) == 20
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mocker.patch.dict('freqtrade.main._CONF', {'bid_strategy': {'bid_ask_balance': 1.0}})
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orderbook = {
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'bid': [{
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'Quantity': 10,
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'Rate': 10
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}],
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'ask': [{
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'Quantity': 20,
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'Rate': 20
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}]
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}
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assert get_target_bid(orderbook) == 20
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def test_balance_fully_last_side(mocker):
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mocker.patch.dict('freqtrade.main._CONF', {'bid_strategy': {'ask_last_balance': 1.0}})
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assert get_target_bid({'ask': 20, 'last': 10}) == 10
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def test_balance_when_last_bigger_than_ask(mocker):
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mocker.patch.dict('freqtrade.main._CONF', {'bid_strategy': {'ask_last_balance': 1.0}})
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assert get_target_bid({'ask': 5, 'last': 10}) == 5
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def test_balance_half(mocker):
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mocker.patch.dict('freqtrade.main._CONF', {'bid_strategy': {'bid_ask_balance': 0.5}})
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orderbook = {
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'bid': [{
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'Quantity': 10,
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'Rate': 10
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}],
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'ask': [{
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'Quantity': 20,
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'Rate': 20
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}]
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}
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assert get_target_bid(orderbook) == 15
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@ -25,7 +25,7 @@ def conf():
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"0": 0.02
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},
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"bid_strategy": {
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"ask_last_balance": 0.0
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"bid_ask_balance": 1.0,
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},
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"exchange": {
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"name": "bittrex",
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@ -46,6 +46,7 @@ def conf():
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validate(configuration, CONF_SCHEMA)
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return configuration
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@pytest.fixture
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def update():
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_update = Update(0)
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@ -64,10 +65,15 @@ def test_status_handle(conf, update, mocker):
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mocker.patch.multiple('freqtrade.main.telegram', _CONF=conf, init=MagicMock(), send_msg=msg_mock)
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mocker.patch.multiple('freqtrade.main.exchange',
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validate_pairs=MagicMock(),
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get_ticker=MagicMock(return_value={
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'bid': 0.07256061,
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'ask': 0.072661,
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'last': 0.07256061
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get_orderbook=MagicMock(return_value={
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'bid': [{
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'Quantity': 1,
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'Rate': 0.07256061
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}],
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'ask': [{
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'Quantity': 1,
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'Rate': 0.072661
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}]
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}),
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buy=MagicMock(return_value='mocked_order_id'))
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init(conf, 'sqlite://')
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@ -82,6 +88,7 @@ def test_status_handle(conf, update, mocker):
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assert msg_mock.call_count == 2
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assert '[BTC_ETH]' in msg_mock.call_args_list[-1][0][0]
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def test_profit_handle(conf, update, mocker):
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mocker.patch.dict('freqtrade.main._CONF', conf)
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mocker.patch('freqtrade.main.get_buy_signal', side_effect=lambda _: True)
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@ -89,10 +96,15 @@ def test_profit_handle(conf, update, mocker):
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mocker.patch.multiple('freqtrade.main.telegram', _CONF=conf, init=MagicMock(), send_msg=msg_mock)
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mocker.patch.multiple('freqtrade.main.exchange',
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validate_pairs=MagicMock(),
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get_ticker=MagicMock(return_value={
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'bid': 0.07256061,
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'ask': 0.072661,
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'last': 0.07256061
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get_orderbook=MagicMock(return_value={
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'bid': [{
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'Quantity': 1,
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'Rate': 0.07256061
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}],
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'ask': [{
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'Quantity': 1,
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'Rate': 0.072661
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}]
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}),
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buy=MagicMock(return_value='mocked_order_id'))
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init(conf, 'sqlite://')
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@ -112,6 +124,7 @@ def test_profit_handle(conf, update, mocker):
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assert msg_mock.call_count == 2
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assert '(100.00%)' in msg_mock.call_args_list[-1][0][0]
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def test_forcesell_handle(conf, update, mocker):
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mocker.patch.dict('freqtrade.main._CONF', conf)
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mocker.patch('freqtrade.main.get_buy_signal', side_effect=lambda _: True)
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@ -119,10 +132,15 @@ def test_forcesell_handle(conf, update, mocker):
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mocker.patch.multiple('freqtrade.main.telegram', _CONF=conf, init=MagicMock(), send_msg=msg_mock)
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mocker.patch.multiple('freqtrade.main.exchange',
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validate_pairs=MagicMock(),
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get_ticker=MagicMock(return_value={
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'bid': 0.07256061,
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'ask': 0.072661,
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'last': 0.07256061
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get_orderbook=MagicMock(return_value={
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'bid': [{
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'Quantity': 1,
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'Rate': 0.07256061
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}],
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'ask': [{
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'Quantity': 1,
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'Rate': 0.072661
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}]
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}),
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buy=MagicMock(return_value='mocked_order_id'))
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init(conf, 'sqlite://')
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@ -140,6 +158,7 @@ def test_forcesell_handle(conf, update, mocker):
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assert 'Selling [BTC/ETH]' in msg_mock.call_args_list[-1][0][0]
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assert '0.072561' in msg_mock.call_args_list[-1][0][0]
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def test_performance_handle(conf, update, mocker):
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mocker.patch.dict('freqtrade.main._CONF', conf)
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mocker.patch('freqtrade.main.get_buy_signal', side_effect=lambda _: True)
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@ -147,10 +166,15 @@ def test_performance_handle(conf, update, mocker):
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mocker.patch.multiple('freqtrade.main.telegram', _CONF=conf, init=MagicMock(), send_msg=msg_mock)
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mocker.patch.multiple('freqtrade.main.exchange',
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validate_pairs=MagicMock(),
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get_ticker=MagicMock(return_value={
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'bid': 0.07256061,
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'ask': 0.072661,
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'last': 0.07256061
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get_orderbook=MagicMock(return_value={
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'bid': [{
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'Quantity': 1,
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'Rate': 0.07256061
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}],
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'ask': [{
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'Quantity': 1,
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'Rate': 0.072661
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}]
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}),
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buy=MagicMock(return_value='mocked_order_id'))
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init(conf, 'sqlite://')
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@ -171,6 +195,7 @@ def test_performance_handle(conf, update, mocker):
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assert 'Performance' in msg_mock.call_args_list[-1][0][0]
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assert 'BTC_ETH 100.00%' in msg_mock.call_args_list[-1][0][0]
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def test_start_handle(conf, update, mocker):
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mocker.patch.dict('freqtrade.main._CONF', conf)
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msg_mock = MagicMock()
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@ -184,6 +209,7 @@ def test_start_handle(conf, update, mocker):
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assert get_state() == State.RUNNING
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assert msg_mock.call_count == 0
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def test_stop_handle(conf, update, mocker):
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mocker.patch.dict('freqtrade.main._CONF', conf)
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msg_mock = MagicMock()
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