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refactor get_target_bid to use bid as low and ask as high value

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This commit is contained in:
gcarq 2017-10-13 23:10:51 +02:00
parent ff393e54b8
commit 57c835449e
4 changed files with 120 additions and 43 deletions
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19
freqtrade/main.py
View File

@ -143,13 +143,18 @@ def handle_trade(trade: Trade) -> None:
logger.exception('Unable to handle open order') logger.exception('Unable to handle open order')
def get_target_bid(ticker: Dict[str, List[Dict]]) -> float: def get_target_bid(orderbook: Dict[str, List[Dict]]) -> float:
""" Calculates bid target between current ask price and last price """ """
# TODO: refactor this Calculates bid target between
ask = ticker['ask'][0]['Rate'] bid and ask prices from the given orderbook
bid = ticker['bid'][0]['Rate'] :param orderbook:
balance = _CONF['bid_strategy']['ask_last_balance'] :return: target bit as float
return ask + balance * (bid - ask) """
default_target = 1.0 # Use ask price as default
ask = orderbook['ask'][0]['Rate'] # Get lowest ask
bid = orderbook['bid'][0]['Rate'] # Get highest bid
balance = _CONF['bid_strategy'].get('bid_ask_balance', default_target)
return bid + balance * (ask - bid)
def create_trade(stake_amount: float) -> Optional[Trade]: def create_trade(stake_amount: float) -> Optional[Trade]:

4
freqtrade/misc.py
View File

@ -51,14 +51,14 @@ CONF_SCHEMA = {
'bid_strategy': { 'bid_strategy': {
'type': 'object', 'type': 'object',
'properties': { 'properties': {
'ask_last_balance': { 'bid_ask_balance': {
'type': 'number', 'type': 'number',
'minimum': 0, 'minimum': 0,
'maximum': 1, 'maximum': 1,
'exclusiveMaximum': False 'exclusiveMaximum': False
}, },
}, },
'required': ['ask_last_balance'] 'required': ['bid_ask_balance']
}, },
'exchange': {'$ref': '#/definitions/exchange'}, 'exchange': {'$ref': '#/definitions/exchange'},
'telegram': { 'telegram': {

80
freqtrade/tests/test_main.py
View File

@ -25,7 +25,7 @@ def conf():
"0": 0.02 "0": 0.02
}, },
"bid_strategy": { "bid_strategy": {
"ask_last_balance": 0.0 "bid_ask_balance": 1.0
}, },
"exchange": { "exchange": {
"name": "bittrex", "name": "bittrex",
@ -48,16 +48,22 @@ def conf():
validate(configuration, CONF_SCHEMA) validate(configuration, CONF_SCHEMA)
return configuration return configuration
def test_create_trade(conf, mocker): def test_create_trade(conf, mocker):
mocker.patch.dict('freqtrade.main._CONF', conf) mocker.patch.dict('freqtrade.main._CONF', conf)
buy_signal = mocker.patch('freqtrade.main.get_buy_signal', side_effect=lambda _: True) buy_signal = mocker.patch('freqtrade.main.get_buy_signal', side_effect=lambda _: True)
mocker.patch.multiple('freqtrade.main.telegram', init=MagicMock(), send_msg=MagicMock()) mocker.patch.multiple('freqtrade.main.telegram', init=MagicMock(), send_msg=MagicMock())
mocker.patch.multiple('freqtrade.main.exchange', mocker.patch.multiple('freqtrade.main.exchange',
validate_pairs=MagicMock(), validate_pairs=MagicMock(),
get_ticker=MagicMock(return_value={ get_orderbook=MagicMock(return_value={
'bid': 0.07256061, 'bid': [{
'ask': 0.072661, 'Quantity': 1,
'last': 0.07256061 'Rate': 0.07256061
}],
'ask': [{
'Quantity': 1,
'Rate': 0.072661
}]
}), }),
buy=MagicMock(return_value='mocked_order_id')) buy=MagicMock(return_value='mocked_order_id'))
# Save state of current whitelist # Save state of current whitelist
@ -82,15 +88,21 @@ def test_create_trade(conf, mocker):
[call('BTC_ETH'), call('BTC_TKN'), call('BTC_TRST'), call('BTC_SWT')] [call('BTC_ETH'), call('BTC_TKN'), call('BTC_TRST'), call('BTC_SWT')]
) )
def test_handle_trade(conf, mocker): def test_handle_trade(conf, mocker):
mocker.patch.dict('freqtrade.main._CONF', conf) mocker.patch.dict('freqtrade.main._CONF', conf)
mocker.patch.multiple('freqtrade.main.telegram', init=MagicMock(), send_msg=MagicMock()) mocker.patch.multiple('freqtrade.main.telegram', init=MagicMock(), send_msg=MagicMock())
mocker.patch.multiple('freqtrade.main.exchange', mocker.patch.multiple('freqtrade.main.exchange',
validate_pairs=MagicMock(), validate_pairs=MagicMock(),
get_ticker=MagicMock(return_value={ get_orderbook=MagicMock(return_value={
'bid': 0.17256061, 'bid': [{
'ask': 0.172661, 'Quantity': 1,
'last': 0.17256061 'Rate': 0.17256061
}],
'ask': [{
'Quantity': 1,
'Rate': 0.172661
}]
}), }),
buy=MagicMock(return_value='mocked_order_id')) buy=MagicMock(return_value='mocked_order_id'))
trade = Trade.query.filter(Trade.is_open.is_(True)).first() trade = Trade.query.filter(Trade.is_open.is_(True)).first()
@ -101,6 +113,7 @@ def test_handle_trade(conf, mocker):
assert trade.close_date is not None assert trade.close_date is not None
assert trade.open_order_id == 'dry_run' assert trade.open_order_id == 'dry_run'
def test_close_trade(conf, mocker): def test_close_trade(conf, mocker):
mocker.patch.dict('freqtrade.main._CONF', conf) mocker.patch.dict('freqtrade.main._CONF', conf)
trade = Trade.query.filter(Trade.is_open.is_(True)).first() trade = Trade.query.filter(Trade.is_open.is_(True)).first()
@ -113,14 +126,47 @@ def test_close_trade(conf, mocker):
assert closed assert closed
assert not trade.is_open assert not trade.is_open
def test_balance_fully_bid_side(mocker):
mocker.patch.dict('freqtrade.main._CONF', {'bid_strategy': {'bid_ask_balance': 0.0}})
orderbook = {
'bid': [{
'Quantity': 10,
'Rate': 10
}],
'ask': [{
'Quantity': 20,
'Rate': 20
}]
}
assert get_target_bid(orderbook) == 10
def test_balance_fully_ask_side(mocker): def test_balance_fully_ask_side(mocker):
mocker.patch.dict('freqtrade.main._CONF', {'bid_strategy': {'ask_last_balance': 0.0}}) mocker.patch.dict('freqtrade.main._CONF', {'bid_strategy': {'bid_ask_balance': 1.0}})
assert get_target_bid({'ask': 20, 'last': 10}) == 20 orderbook = {
'bid': [{
'Quantity': 10,
'Rate': 10
}],
'ask': [{
'Quantity': 20,
'Rate': 20
}]
}
assert get_target_bid(orderbook) == 20
def test_balance_fully_last_side(mocker):
mocker.patch.dict('freqtrade.main._CONF', {'bid_strategy': {'ask_last_balance': 1.0}})
assert get_target_bid({'ask': 20, 'last': 10}) == 10
def test_balance_when_last_bigger_than_ask(mocker): def test_balance_half(mocker):
mocker.patch.dict('freqtrade.main._CONF', {'bid_strategy': {'ask_last_balance': 1.0}}) mocker.patch.dict('freqtrade.main._CONF', {'bid_strategy': {'bid_ask_balance': 0.5}})
assert get_target_bid({'ask': 5, 'last': 10}) == 5 orderbook = {
'bid': [{
'Quantity': 10,
'Rate': 10
}],
'ask': [{
'Quantity': 20,
'Rate': 20
}]
}
assert get_target_bid(orderbook) == 15

60
freqtrade/tests/test_telegram.py
View File

@ -25,7 +25,7 @@ def conf():
"0": 0.02 "0": 0.02
}, },
"bid_strategy": { "bid_strategy": {
"ask_last_balance": 0.0 "bid_ask_balance": 1.0,
}, },
"exchange": { "exchange": {
"name": "bittrex", "name": "bittrex",
@ -46,6 +46,7 @@ def conf():
validate(configuration, CONF_SCHEMA) validate(configuration, CONF_SCHEMA)
return configuration return configuration
@pytest.fixture @pytest.fixture
def update(): def update():
_update = Update(0) _update = Update(0)
@ -64,10 +65,15 @@ def test_status_handle(conf, update, mocker):
mocker.patch.multiple('freqtrade.main.telegram', _CONF=conf, init=MagicMock(), send_msg=msg_mock) mocker.patch.multiple('freqtrade.main.telegram', _CONF=conf, init=MagicMock(), send_msg=msg_mock)
mocker.patch.multiple('freqtrade.main.exchange', mocker.patch.multiple('freqtrade.main.exchange',
validate_pairs=MagicMock(), validate_pairs=MagicMock(),
get_ticker=MagicMock(return_value={ get_orderbook=MagicMock(return_value={
'bid': 0.07256061, 'bid': [{
'ask': 0.072661, 'Quantity': 1,
'last': 0.07256061 'Rate': 0.07256061
}],
'ask': [{
'Quantity': 1,
'Rate': 0.072661
}]
}), }),
buy=MagicMock(return_value='mocked_order_id')) buy=MagicMock(return_value='mocked_order_id'))
init(conf, 'sqlite://') init(conf, 'sqlite://')
@ -82,6 +88,7 @@ def test_status_handle(conf, update, mocker):
assert msg_mock.call_count == 2 assert msg_mock.call_count == 2
assert '[BTC_ETH]' in msg_mock.call_args_list[-1][0][0] assert '[BTC_ETH]' in msg_mock.call_args_list[-1][0][0]
def test_profit_handle(conf, update, mocker): def test_profit_handle(conf, update, mocker):
mocker.patch.dict('freqtrade.main._CONF', conf) mocker.patch.dict('freqtrade.main._CONF', conf)
mocker.patch('freqtrade.main.get_buy_signal', side_effect=lambda _: True) mocker.patch('freqtrade.main.get_buy_signal', side_effect=lambda _: True)
@ -89,10 +96,15 @@ def test_profit_handle(conf, update, mocker):
mocker.patch.multiple('freqtrade.main.telegram', _CONF=conf, init=MagicMock(), send_msg=msg_mock) mocker.patch.multiple('freqtrade.main.telegram', _CONF=conf, init=MagicMock(), send_msg=msg_mock)
mocker.patch.multiple('freqtrade.main.exchange', mocker.patch.multiple('freqtrade.main.exchange',
validate_pairs=MagicMock(), validate_pairs=MagicMock(),
get_ticker=MagicMock(return_value={ get_orderbook=MagicMock(return_value={
'bid': 0.07256061, 'bid': [{
'ask': 0.072661, 'Quantity': 1,
'last': 0.07256061 'Rate': 0.07256061
}],
'ask': [{
'Quantity': 1,
'Rate': 0.072661
}]
}), }),
buy=MagicMock(return_value='mocked_order_id')) buy=MagicMock(return_value='mocked_order_id'))
init(conf, 'sqlite://') init(conf, 'sqlite://')
@ -112,6 +124,7 @@ def test_profit_handle(conf, update, mocker):
assert msg_mock.call_count == 2 assert msg_mock.call_count == 2
assert '(100.00%)' in msg_mock.call_args_list[-1][0][0] assert '(100.00%)' in msg_mock.call_args_list[-1][0][0]
def test_forcesell_handle(conf, update, mocker): def test_forcesell_handle(conf, update, mocker):
mocker.patch.dict('freqtrade.main._CONF', conf) mocker.patch.dict('freqtrade.main._CONF', conf)
mocker.patch('freqtrade.main.get_buy_signal', side_effect=lambda _: True) mocker.patch('freqtrade.main.get_buy_signal', side_effect=lambda _: True)
@ -119,10 +132,15 @@ def test_forcesell_handle(conf, update, mocker):
mocker.patch.multiple('freqtrade.main.telegram', _CONF=conf, init=MagicMock(), send_msg=msg_mock) mocker.patch.multiple('freqtrade.main.telegram', _CONF=conf, init=MagicMock(), send_msg=msg_mock)
mocker.patch.multiple('freqtrade.main.exchange', mocker.patch.multiple('freqtrade.main.exchange',
validate_pairs=MagicMock(), validate_pairs=MagicMock(),
get_ticker=MagicMock(return_value={ get_orderbook=MagicMock(return_value={
'bid': 0.07256061, 'bid': [{
'ask': 0.072661, 'Quantity': 1,
'last': 0.07256061 'Rate': 0.07256061
}],
'ask': [{
'Quantity': 1,
'Rate': 0.072661
}]
}), }),
buy=MagicMock(return_value='mocked_order_id')) buy=MagicMock(return_value='mocked_order_id'))
init(conf, 'sqlite://') init(conf, 'sqlite://')
@ -140,6 +158,7 @@ def test_forcesell_handle(conf, update, mocker):
assert 'Selling [BTC/ETH]' in msg_mock.call_args_list[-1][0][0] assert 'Selling [BTC/ETH]' in msg_mock.call_args_list[-1][0][0]
assert '0.072561' in msg_mock.call_args_list[-1][0][0] assert '0.072561' in msg_mock.call_args_list[-1][0][0]
def test_performance_handle(conf, update, mocker): def test_performance_handle(conf, update, mocker):
mocker.patch.dict('freqtrade.main._CONF', conf) mocker.patch.dict('freqtrade.main._CONF', conf)
mocker.patch('freqtrade.main.get_buy_signal', side_effect=lambda _: True) mocker.patch('freqtrade.main.get_buy_signal', side_effect=lambda _: True)
@ -147,10 +166,15 @@ def test_performance_handle(conf, update, mocker):
mocker.patch.multiple('freqtrade.main.telegram', _CONF=conf, init=MagicMock(), send_msg=msg_mock) mocker.patch.multiple('freqtrade.main.telegram', _CONF=conf, init=MagicMock(), send_msg=msg_mock)
mocker.patch.multiple('freqtrade.main.exchange', mocker.patch.multiple('freqtrade.main.exchange',
validate_pairs=MagicMock(), validate_pairs=MagicMock(),
get_ticker=MagicMock(return_value={ get_orderbook=MagicMock(return_value={
'bid': 0.07256061, 'bid': [{
'ask': 0.072661, 'Quantity': 1,
'last': 0.07256061 'Rate': 0.07256061
}],
'ask': [{
'Quantity': 1,
'Rate': 0.072661
}]
}), }),
buy=MagicMock(return_value='mocked_order_id')) buy=MagicMock(return_value='mocked_order_id'))
init(conf, 'sqlite://') init(conf, 'sqlite://')
@ -171,6 +195,7 @@ def test_performance_handle(conf, update, mocker):
assert 'Performance' in msg_mock.call_args_list[-1][0][0] assert 'Performance' in msg_mock.call_args_list[-1][0][0]
assert 'BTC_ETH 100.00%' in msg_mock.call_args_list[-1][0][0] assert 'BTC_ETH 100.00%' in msg_mock.call_args_list[-1][0][0]
def test_start_handle(conf, update, mocker): def test_start_handle(conf, update, mocker):
mocker.patch.dict('freqtrade.main._CONF', conf) mocker.patch.dict('freqtrade.main._CONF', conf)
msg_mock = MagicMock() msg_mock = MagicMock()
@ -184,6 +209,7 @@ def test_start_handle(conf, update, mocker):
assert get_state() == State.RUNNING assert get_state() == State.RUNNING
assert msg_mock.call_count == 0 assert msg_mock.call_count == 0
def test_stop_handle(conf, update, mocker): def test_stop_handle(conf, update, mocker):
mocker.patch.dict('freqtrade.main._CONF', conf) mocker.patch.dict('freqtrade.main._CONF', conf)
msg_mock = MagicMock() msg_mock = MagicMock()