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Merge pull request #6716 from freqtrade/pairlocks_direction

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Pairlocks direction
This commit is contained in:
Matthias
2022-05-01 17:04:20 +02:00
committed by GitHub
parent 910addd02b 995c48b642
commit 582e30bca6
20 changed files with 362 additions and 155 deletions
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16
tests/plugins/test_pairlocks.py
View File

@@ -21,8 +21,22 @@ def test_PairLocks(use_db):
pair = 'ETH/BTC'
assert not PairLocks.is_pair_locked(pair)
PairLocks.lock_pair(pair, arrow.utcnow().shift(minutes=4).datetime)
# ETH/BTC locked for 4 minutes
# ETH/BTC locked for 4 minutes (on both sides)
assert PairLocks.is_pair_locked(pair)
assert PairLocks.is_pair_locked(pair, side='long')
assert PairLocks.is_pair_locked(pair, side='short')
pair = 'BNB/BTC'
PairLocks.lock_pair(pair, arrow.utcnow().shift(minutes=4).datetime, side='long')
assert not PairLocks.is_pair_locked(pair)
assert PairLocks.is_pair_locked(pair, side='long')
assert not PairLocks.is_pair_locked(pair, side='short')
pair = 'BNB/USDT'
PairLocks.lock_pair(pair, arrow.utcnow().shift(minutes=4).datetime, side='short')
assert not PairLocks.is_pair_locked(pair)
assert not PairLocks.is_pair_locked(pair, side='long')
assert PairLocks.is_pair_locked(pair, side='short')
# XRP/BTC should not be locked now
pair = 'XRP/BTC'

108
tests/plugins/test_protections.py
View File

@@ -11,9 +11,10 @@ from tests.conftest import get_patched_freqtradebot, log_has_re
def generate_mock_trade(pair: str, fee: float, is_open: bool,
sell_reason: str = ExitType.EXIT_SIGNAL,
exit_reason: str = ExitType.EXIT_SIGNAL,
min_ago_open: int = None, min_ago_close: int = None,
profit_rate: float = 0.9
profit_rate: float = 0.9,
is_short: bool = False,
):
open_rate = random.random()
@@ -28,11 +29,12 @@ def generate_mock_trade(pair: str, fee: float, is_open: bool,
is_open=is_open,
amount=0.01 / open_rate,
exchange='binance',
is_short=is_short,
)
trade.recalc_open_trade_value()
if not is_open:
trade.close(open_rate * profit_rate)
trade.exit_reason = sell_reason
trade.close(open_rate * (2 - profit_rate if is_short else profit_rate))
trade.exit_reason = exit_reason
return trade
@@ -45,9 +47,9 @@ def test_protectionmanager(mocker, default_conf):
for handler in freqtrade.protections._protection_handlers:
assert handler.name in constants.AVAILABLE_PROTECTIONS
if not handler.has_global_stop:
assert handler.global_stop(datetime.utcnow()) == (False, None, None)
assert handler.global_stop(datetime.utcnow(), '*') is None
if not handler.has_local_stop:
assert handler.stop_per_pair('XRP/BTC', datetime.utcnow()) == (False, None, None)
assert handler.stop_per_pair('XRP/BTC', datetime.utcnow(), '*') is None
@pytest.mark.parametrize('timeframe,expected,protconf', [
@@ -68,7 +70,7 @@ def test_protectionmanager(mocker, default_conf):
('1h', [60, 540],
[{"method": "StoplossGuard", "lookback_period_candles": 1, "stop_duration_candles": 9}]),
])
def test_protections_init(mocker, default_conf, timeframe, expected, protconf):
def test_protections_init(default_conf, timeframe, expected, protconf):
default_conf['timeframe'] = timeframe
man = ProtectionManager(default_conf, protconf)
assert len(man._protection_handlers) == len(protconf)
@@ -76,8 +78,10 @@ def test_protections_init(mocker, default_conf, timeframe, expected, protconf):
assert man._protection_handlers[0]._stop_duration == expected[1]
@pytest.mark.parametrize('is_short', [False, True])
@pytest.mark.usefixtures("init_persistence")
def test_stoploss_guard(mocker, default_conf, fee, caplog):
def test_stoploss_guard(mocker, default_conf, fee, caplog, is_short):
# Active for both sides (long and short)
default_conf['protections'] = [{
"method": "StoplossGuard",
"lookback_period": 60,
@@ -91,8 +95,8 @@ def test_stoploss_guard(mocker, default_conf, fee, caplog):
caplog.clear()
Trade.query.session.add(generate_mock_trade(
'XRP/BTC', fee.return_value, False, sell_reason=ExitType.STOP_LOSS.value,
min_ago_open=200, min_ago_close=30,
'XRP/BTC', fee.return_value, False, exit_reason=ExitType.STOP_LOSS.value,
min_ago_open=200, min_ago_close=30, is_short=is_short,
))
assert not freqtrade.protections.global_stop()
@@ -100,13 +104,13 @@ def test_stoploss_guard(mocker, default_conf, fee, caplog):
caplog.clear()
# This trade does not count, as it's closed too long ago
Trade.query.session.add(generate_mock_trade(
'BCH/BTC', fee.return_value, False, sell_reason=ExitType.STOP_LOSS.value,
min_ago_open=250, min_ago_close=100,
'BCH/BTC', fee.return_value, False, exit_reason=ExitType.STOP_LOSS.value,
min_ago_open=250, min_ago_close=100, is_short=is_short,
))
Trade.query.session.add(generate_mock_trade(
'ETH/BTC', fee.return_value, False, sell_reason=ExitType.STOP_LOSS.value,
min_ago_open=240, min_ago_close=30,
'ETH/BTC', fee.return_value, False, exit_reason=ExitType.STOP_LOSS.value,
min_ago_open=240, min_ago_close=30, is_short=is_short,
))
# 3 Trades closed - but the 2nd has been closed too long ago.
assert not freqtrade.protections.global_stop()
@@ -114,8 +118,8 @@ def test_stoploss_guard(mocker, default_conf, fee, caplog):
caplog.clear()
Trade.query.session.add(generate_mock_trade(
'LTC/BTC', fee.return_value, False, sell_reason=ExitType.STOP_LOSS.value,
min_ago_open=180, min_ago_close=30,
'LTC/BTC', fee.return_value, False, exit_reason=ExitType.STOP_LOSS.value,
min_ago_open=180, min_ago_close=30, is_short=is_short,
))
assert freqtrade.protections.global_stop()
@@ -130,15 +134,19 @@ def test_stoploss_guard(mocker, default_conf, fee, caplog):
@pytest.mark.parametrize('only_per_pair', [False, True])
@pytest.mark.parametrize('only_per_side', [False, True])
@pytest.mark.usefixtures("init_persistence")
def test_stoploss_guard_perpair(mocker, default_conf, fee, caplog, only_per_pair):
def test_stoploss_guard_perpair(mocker, default_conf, fee, caplog, only_per_pair, only_per_side):
default_conf['protections'] = [{
"method": "StoplossGuard",
"lookback_period": 60,
"trade_limit": 2,
"stop_duration": 60,
"only_per_pair": only_per_pair
"only_per_pair": only_per_pair,
"only_per_side": only_per_side,
}]
check_side = 'long' if only_per_side else '*'
is_short = False
freqtrade = get_patched_freqtradebot(mocker, default_conf)
message = r"Trading stopped due to .*"
pair = 'XRP/BTC'
@@ -148,8 +156,8 @@ def test_stoploss_guard_perpair(mocker, default_conf, fee, caplog, only_per_pair
caplog.clear()
Trade.query.session.add(generate_mock_trade(
pair, fee.return_value, False, sell_reason=ExitType.STOP_LOSS.value,
min_ago_open=200, min_ago_close=30, profit_rate=0.9,
pair, fee.return_value, False, exit_reason=ExitType.STOP_LOSS.value,
min_ago_open=200, min_ago_close=30, profit_rate=0.9, is_short=is_short
))
assert not freqtrade.protections.stop_per_pair(pair)
@@ -158,13 +166,13 @@ def test_stoploss_guard_perpair(mocker, default_conf, fee, caplog, only_per_pair
caplog.clear()
# This trade does not count, as it's closed too long ago
Trade.query.session.add(generate_mock_trade(
pair, fee.return_value, False, sell_reason=ExitType.STOP_LOSS.value,
min_ago_open=250, min_ago_close=100, profit_rate=0.9,
pair, fee.return_value, False, exit_reason=ExitType.STOP_LOSS.value,
min_ago_open=250, min_ago_close=100, profit_rate=0.9, is_short=is_short
))
# Trade does not count for per pair stop as it's the wrong pair.
Trade.query.session.add(generate_mock_trade(
'ETH/BTC', fee.return_value, False, sell_reason=ExitType.STOP_LOSS.value,
min_ago_open=240, min_ago_close=30, profit_rate=0.9,
'ETH/BTC', fee.return_value, False, exit_reason=ExitType.STOP_LOSS.value,
min_ago_open=240, min_ago_close=30, profit_rate=0.9, is_short=is_short
))
# 3 Trades closed - but the 2nd has been closed too long ago.
assert not freqtrade.protections.stop_per_pair(pair)
@@ -176,16 +184,34 @@ def test_stoploss_guard_perpair(mocker, default_conf, fee, caplog, only_per_pair
caplog.clear()
# Trade does not count potentially, as it's in the wrong direction
Trade.query.session.add(generate_mock_trade(
pair, fee.return_value, False, exit_reason=ExitType.STOP_LOSS.value,
min_ago_open=150, min_ago_close=25, profit_rate=0.9, is_short=not is_short
))
freqtrade.protections.stop_per_pair(pair)
assert freqtrade.protections.global_stop() != only_per_pair
assert PairLocks.is_pair_locked(pair, side=check_side) != (only_per_side and only_per_pair)
assert PairLocks.is_global_lock(side=check_side) != only_per_pair
if only_per_side:
assert not PairLocks.is_pair_locked(pair, side='*')
assert not PairLocks.is_global_lock(side='*')
caplog.clear()
# 2nd Trade that counts with correct pair
Trade.query.session.add(generate_mock_trade(
pair, fee.return_value, False, sell_reason=ExitType.STOP_LOSS.value,
min_ago_open=180, min_ago_close=30, profit_rate=0.9,
pair, fee.return_value, False, exit_reason=ExitType.STOP_LOSS.value,
min_ago_open=180, min_ago_close=30, profit_rate=0.9, is_short=is_short
))
freqtrade.protections.stop_per_pair(pair)
assert freqtrade.protections.global_stop() != only_per_pair
assert PairLocks.is_pair_locked(pair)
assert PairLocks.is_global_lock() != only_per_pair
assert PairLocks.is_pair_locked(pair, side=check_side)
assert PairLocks.is_global_lock(side=check_side) != only_per_pair
if only_per_side:
assert not PairLocks.is_pair_locked(pair, side='*')
assert not PairLocks.is_global_lock(side='*')
@pytest.mark.usefixtures("init_persistence")
@@ -203,7 +229,7 @@ def test_CooldownPeriod(mocker, default_conf, fee, caplog):
caplog.clear()
Trade.query.session.add(generate_mock_trade(
'XRP/BTC', fee.return_value, False, sell_reason=ExitType.STOP_LOSS.value,
'XRP/BTC', fee.return_value, False, exit_reason=ExitType.STOP_LOSS.value,
min_ago_open=200, min_ago_close=30,
))
@@ -213,7 +239,7 @@ def test_CooldownPeriod(mocker, default_conf, fee, caplog):
assert not PairLocks.is_global_lock()
Trade.query.session.add(generate_mock_trade(
'ETH/BTC', fee.return_value, False, sell_reason=ExitType.ROI.value,
'ETH/BTC', fee.return_value, False, exit_reason=ExitType.ROI.value,
min_ago_open=205, min_ago_close=35,
))
@@ -242,7 +268,7 @@ def test_LowProfitPairs(mocker, default_conf, fee, caplog):
caplog.clear()
Trade.query.session.add(generate_mock_trade(
'XRP/BTC', fee.return_value, False, sell_reason=ExitType.STOP_LOSS.value,
'XRP/BTC', fee.return_value, False, exit_reason=ExitType.STOP_LOSS.value,
min_ago_open=800, min_ago_close=450, profit_rate=0.9,
))
@@ -253,7 +279,7 @@ def test_LowProfitPairs(mocker, default_conf, fee, caplog):
assert not PairLocks.is_global_lock()
Trade.query.session.add(generate_mock_trade(
'XRP/BTC', fee.return_value, False, sell_reason=ExitType.STOP_LOSS.value,
'XRP/BTC', fee.return_value, False, exit_reason=ExitType.STOP_LOSS.value,
min_ago_open=200, min_ago_close=120, profit_rate=0.9,
))
@@ -265,14 +291,14 @@ def test_LowProfitPairs(mocker, default_conf, fee, caplog):
# Add positive trade
Trade.query.session.add(generate_mock_trade(
'XRP/BTC', fee.return_value, False, sell_reason=ExitType.ROI.value,
'XRP/BTC', fee.return_value, False, exit_reason=ExitType.ROI.value,
min_ago_open=20, min_ago_close=10, profit_rate=1.15,
))
assert not freqtrade.protections.stop_per_pair('XRP/BTC')
assert not PairLocks.is_pair_locked('XRP/BTC')
Trade.query.session.add(generate_mock_trade(
'XRP/BTC', fee.return_value, False, sell_reason=ExitType.STOP_LOSS.value,
'XRP/BTC', fee.return_value, False, exit_reason=ExitType.STOP_LOSS.value,
min_ago_open=110, min_ago_close=20, profit_rate=0.8,
))
@@ -300,15 +326,15 @@ def test_MaxDrawdown(mocker, default_conf, fee, caplog):
caplog.clear()
Trade.query.session.add(generate_mock_trade(
'XRP/BTC', fee.return_value, False, sell_reason=ExitType.STOP_LOSS.value,
'XRP/BTC', fee.return_value, False, exit_reason=ExitType.STOP_LOSS.value,
min_ago_open=1000, min_ago_close=900, profit_rate=1.1,
))
Trade.query.session.add(generate_mock_trade(
'ETH/BTC', fee.return_value, False, sell_reason=ExitType.STOP_LOSS.value,
'ETH/BTC', fee.return_value, False, exit_reason=ExitType.STOP_LOSS.value,
min_ago_open=1000, min_ago_close=900, profit_rate=1.1,
))
Trade.query.session.add(generate_mock_trade(
'NEO/BTC', fee.return_value, False, sell_reason=ExitType.STOP_LOSS.value,
'NEO/BTC', fee.return_value, False, exit_reason=ExitType.STOP_LOSS.value,
min_ago_open=1000, min_ago_close=900, profit_rate=1.1,
))
# No losing trade yet ... so max_drawdown will raise exception
@@ -316,7 +342,7 @@ def test_MaxDrawdown(mocker, default_conf, fee, caplog):
assert not freqtrade.protections.stop_per_pair('XRP/BTC')
Trade.query.session.add(generate_mock_trade(
'XRP/BTC', fee.return_value, False, sell_reason=ExitType.STOP_LOSS.value,
'XRP/BTC', fee.return_value, False, exit_reason=ExitType.STOP_LOSS.value,
min_ago_open=500, min_ago_close=400, profit_rate=0.9,
))
# Not locked with one trade
@@ -326,7 +352,7 @@ def test_MaxDrawdown(mocker, default_conf, fee, caplog):
assert not PairLocks.is_global_lock()
Trade.query.session.add(generate_mock_trade(
'XRP/BTC', fee.return_value, False, sell_reason=ExitType.STOP_LOSS.value,
'XRP/BTC', fee.return_value, False, exit_reason=ExitType.STOP_LOSS.value,
min_ago_open=1200, min_ago_close=1100, profit_rate=0.5,
))
@@ -339,7 +365,7 @@ def test_MaxDrawdown(mocker, default_conf, fee, caplog):
# Winning trade ... (should not lock, does not change drawdown!)
Trade.query.session.add(generate_mock_trade(
'XRP/BTC', fee.return_value, False, sell_reason=ExitType.ROI.value,
'XRP/BTC', fee.return_value, False, exit_reason=ExitType.ROI.value,
min_ago_open=320, min_ago_close=410, profit_rate=1.5,
))
assert not freqtrade.protections.global_stop()
@@ -349,7 +375,7 @@ def test_MaxDrawdown(mocker, default_conf, fee, caplog):
# Add additional negative trade, causing a loss of > 15%
Trade.query.session.add(generate_mock_trade(
'XRP/BTC', fee.return_value, False, sell_reason=ExitType.ROI.value,
'XRP/BTC', fee.return_value, False, exit_reason=ExitType.ROI.value,
min_ago_open=20, min_ago_close=10, profit_rate=0.8,
))
assert not freqtrade.protections.stop_per_pair('XRP/BTC')

14
tests/strategy/test_interface.py
View File

@@ -666,23 +666,23 @@ def test_is_pair_locked(default_conf):
assert not strategy.is_pair_locked(pair)
# latest candle is from 14:20, lock goes to 14:30
assert strategy.is_pair_locked(pair, lock_time + timedelta(minutes=-10))
assert strategy.is_pair_locked(pair, lock_time + timedelta(minutes=-50))
assert strategy.is_pair_locked(pair, candle_date=lock_time + timedelta(minutes=-10))
assert strategy.is_pair_locked(pair, candle_date=lock_time + timedelta(minutes=-50))
# latest candle is from 14:25 (lock should be lifted)
# Since this is the "new candle" available at 14:30
assert not strategy.is_pair_locked(pair, lock_time + timedelta(minutes=-4))
assert not strategy.is_pair_locked(pair, candle_date=lock_time + timedelta(minutes=-4))
# Should not be locked after time expired
assert not strategy.is_pair_locked(pair, lock_time + timedelta(minutes=10))
assert not strategy.is_pair_locked(pair, candle_date=lock_time + timedelta(minutes=10))
# Change timeframe to 15m
strategy.timeframe = '15m'
# Candle from 14:14 - lock goes until 14:30
assert strategy.is_pair_locked(pair, lock_time + timedelta(minutes=-16))
assert strategy.is_pair_locked(pair, lock_time + timedelta(minutes=-15, seconds=-2))
assert strategy.is_pair_locked(pair, candle_date=lock_time + timedelta(minutes=-16))
assert strategy.is_pair_locked(pair, candle_date=lock_time + timedelta(minutes=-15, seconds=-2))
# Candle from 14:15 - lock goes until 14:30
assert not strategy.is_pair_locked(pair, lock_time + timedelta(minutes=-15))
assert not strategy.is_pair_locked(pair, candle_date=lock_time + timedelta(minutes=-15))
def test_is_informative_pairs_callback(default_conf):

14
tests/test_freqtradebot.py
View File

@@ -21,6 +21,7 @@ from freqtrade.exceptions import (DependencyException, ExchangeError, Insufficie
from freqtrade.freqtradebot import FreqtradeBot
from freqtrade.persistence import Order, PairLocks, Trade
from freqtrade.persistence.models import PairLock
from freqtrade.plugins.protections.iprotection import ProtectionReturn
from freqtrade.worker import Worker
from tests.conftest import (create_mock_trades, get_patched_freqtradebot, get_patched_worker,
log_has, log_has_re, patch_edge, patch_exchange, patch_get_signal,
@@ -420,7 +421,7 @@ def test_enter_positions_global_pairlock(default_conf_usdt, ticker_usdt, limit_b
assert not log_has_re(message, caplog)
caplog.clear()
PairLocks.lock_pair('*', arrow.utcnow().shift(minutes=20).datetime, 'Just because')
PairLocks.lock_pair('*', arrow.utcnow().shift(minutes=20).datetime, 'Just because', side='*')
n = freqtrade.enter_positions()
assert n == 0
assert log_has_re(message, caplog)
@@ -441,9 +442,9 @@ def test_handle_protections(mocker, default_conf_usdt, fee, is_short):
freqtrade = get_patched_freqtradebot(mocker, default_conf_usdt)
freqtrade.protections._protection_handlers[1].global_stop = MagicMock(
return_value=(True, arrow.utcnow().shift(hours=1).datetime, "asdf"))
return_value=ProtectionReturn(True, arrow.utcnow().shift(hours=1).datetime, "asdf"))
create_mock_trades(fee, is_short)
freqtrade.handle_protections('ETC/BTC')
freqtrade.handle_protections('ETC/BTC', '*')
send_msg_mock = freqtrade.rpc.send_msg
assert send_msg_mock.call_count == 2
assert send_msg_mock.call_args_list[0][0][0]['type'] == RPCMessageType.PROTECTION_TRIGGER
@@ -3793,13 +3794,16 @@ def test_locked_pairs(default_conf_usdt, ticker_usdt, fee,
exit_check=ExitCheckTuple(exit_type=ExitType.STOP_LOSS)
)
trade.close(ticker_usdt_sell_down()['bid'])
assert freqtrade.strategy.is_pair_locked(trade.pair)
assert freqtrade.strategy.is_pair_locked(trade.pair, side='*')
# Boths sides are locked
assert freqtrade.strategy.is_pair_locked(trade.pair, side='long')
assert freqtrade.strategy.is_pair_locked(trade.pair, side='short')
# reinit - should buy other pair.
caplog.clear()
freqtrade.enter_positions()
assert log_has_re(f"Pair {trade.pair} is still locked.*", caplog)
assert log_has_re(fr"Pair {trade.pair} \* is locked.*", caplog)
@pytest.mark.parametrize("is_short", [False, True])

50
tests/test_persistence.py
View File

@@ -15,6 +15,7 @@ from freqtrade.enums import TradingMode
from freqtrade.exceptions import DependencyException, OperationalException
from freqtrade.persistence import LocalTrade, Order, Trade, clean_dry_run_db, init_db
from freqtrade.persistence.migrations import get_last_sequence_ids, set_sequence_ids
from freqtrade.persistence.models import PairLock
from tests.conftest import create_mock_trades, create_mock_trades_with_leverage, log_has, log_has_re
@@ -1427,6 +1428,55 @@ def test_migrate_set_sequence_ids():
assert engine.begin.call_count == 0
def test_migrate_pairlocks(mocker, default_conf, fee, caplog):
"""
Test Database migration (starting with new pairformat)
"""
caplog.set_level(logging.DEBUG)
# Always create all columns apart from the last!
create_table_old = """CREATE TABLE pairlocks (
id INTEGER NOT NULL,
pair VARCHAR(25) NOT NULL,
reason VARCHAR(255),
lock_time DATETIME NOT NULL,
lock_end_time DATETIME NOT NULL,
active BOOLEAN NOT NULL,
PRIMARY KEY (id)
)
"""
create_index1 = "CREATE INDEX ix_pairlocks_pair ON pairlocks (pair)"
create_index2 = "CREATE INDEX ix_pairlocks_lock_end_time ON pairlocks (lock_end_time)"
create_index3 = "CREATE INDEX ix_pairlocks_active ON pairlocks (active)"
insert_table_old = """INSERT INTO pairlocks (
id, pair, reason, lock_time, lock_end_time, active)
VALUES (1, 'ETH/BTC', 'Auto lock', '2021-07-12 18:41:03', '2021-07-11 18:45:00', 1)
"""
insert_table_old2 = """INSERT INTO pairlocks (
id, pair, reason, lock_time, lock_end_time, active)
VALUES (2, '*', 'Lock all', '2021-07-12 18:41:03', '2021-07-12 19:00:00', 1)
"""
engine = create_engine('sqlite://')
mocker.patch('freqtrade.persistence.models.create_engine', lambda *args, **kwargs: engine)
# Create table using the old format
with engine.begin() as connection:
connection.execute(text(create_table_old))
connection.execute(text(insert_table_old))
connection.execute(text(insert_table_old2))
connection.execute(text(create_index1))
connection.execute(text(create_index2))
connection.execute(text(create_index3))
init_db(default_conf['db_url'], default_conf['dry_run'])
assert len(PairLock.query.all()) == 2
assert len(PairLock.query.filter(PairLock.pair == '*').all()) == 1
pairlocks = PairLock.query.filter(PairLock.pair == 'ETH/BTC').all()
assert len(pairlocks) == 1
pairlocks[0].pair == 'ETH/BTC'
pairlocks[0].side == '*'
def test_adjust_stop_loss(fee):
trade = Trade(
pair='ADA/USDT',