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Merge branch 'develop' of https://github.com/freqtrade/freqtrade into max-open-trades

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This commit is contained in:
Antonio Della Fortuna 2023-01-16 20:19:46 +01:00
commit 5e10bb2cca
36 changed files with 6576 additions and 5911 deletions
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3
docs/advanced-backtesting.md
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@ -32,7 +32,7 @@ To analyze the entry/exit tags, we now need to use the `freqtrade backtesting-an
with `--analysis-groups` option provided with space-separated arguments (default `0 1 2`):
``` bash
freqtrade backtesting-analysis -c <config.json> --analysis-groups 0 1 2 3 4
freqtrade backtesting-analysis -c <config.json> --analysis-groups 0 1 2 3 4 5
```
This command will read from the last backtesting results. The `--analysis-groups` option is
@ -43,6 +43,7 @@ ranging from the simplest (0) to the most detailed per pair, per buy and per sel
* 2: profit summaries grouped by enter_tag and exit_tag
* 3: profit summaries grouped by pair and enter_tag
* 4: profit summaries grouped by pair, enter_ and exit_tag (this can get quite large)
* 5: profit summaries grouped by exit_tag
More options are available by running with the `-h` option.

2
docs/leverage.md
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@ -67,8 +67,6 @@ You will also have to pick a "margin mode" (explanation below) - with freqtrade
Freqtrade follows the [ccxt naming conventions for futures](https://docs.ccxt.com/en/latest/manual.html?#perpetual-swap-perpetual-future).
A futures pair will therefore have the naming of `base/quote:settle` (e.g. `ETH/USDT:USDT`).
Binance is currently still an exception to this naming scheme, where pairs are named `ETH/USDT` also for futures markets, but will be aligned as soon as CCXT is ready.
### Margin mode
On top of `trading_mode` - you will also have to configure your `margin_mode`.

4
docs/requirements-docs.txt
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@ -1,6 +1,6 @@
markdown==3.3.7
mkdocs==1.4.2
mkdocs-material==9.0.3
mkdocs-material==9.0.5
mdx_truly_sane_lists==1.3
pymdown-extensions==9.9
pymdown-extensions==9.9.1
jinja2==3.1.2

5
freqtrade/commands/cli_options.py
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@ -633,10 +633,11 @@ AVAILABLE_CLI_OPTIONS = {
"1: by enter_tag, "
"2: by enter_tag and exit_tag, "
"3: by pair and enter_tag, "
"4: by pair, enter_ and exit_tag (this can get quite large)"),
"4: by pair, enter_ and exit_tag (this can get quite large), "
"5: by exit_tag"),
nargs='+',
default=['0', '1', '2'],
choices=['0', '1', '2', '3', '4'],
choices=['0', '1', '2', '3', '4', '5'],
),
"enter_reason_list": Arg(
"--enter-reason-list",

3
freqtrade/commands/data_commands.py
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@ -14,6 +14,7 @@ from freqtrade.exceptions import OperationalException
from freqtrade.exchange import market_is_active, timeframe_to_minutes
from freqtrade.plugins.pairlist.pairlist_helpers import dynamic_expand_pairlist, expand_pairlist
from freqtrade.resolvers import ExchangeResolver
from freqtrade.util.binance_mig import migrate_binance_futures_data
logger = logging.getLogger(__name__)
@ -86,6 +87,7 @@ def start_download_data(args: Dict[str, Any]) -> None:
"Please use `--dl-trades` instead for this exchange "
"(will unfortunately take a long time)."
)
migrate_binance_futures_data(config)
pairs_not_available = refresh_backtest_ohlcv_data(
exchange, pairs=expanded_pairs, timeframes=config['timeframes'],
datadir=config['datadir'], timerange=timerange,
@ -145,6 +147,7 @@ def start_convert_data(args: Dict[str, Any], ohlcv: bool = True) -> None:
"""
config = setup_utils_configuration(args, RunMode.UTIL_NO_EXCHANGE)
if ohlcv:
migrate_binance_futures_data(config)
candle_types = [CandleType.from_string(ct) for ct in config.get('candle_types', ['spot'])]
for candle_type in candle_types:
convert_ohlcv_format(config,

6
freqtrade/data/entryexitanalysis.py
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@ -141,6 +141,12 @@ def _do_group_table_output(bigdf, glist):
# 4: profit summaries grouped by pair, enter_ and exit_tag (this can get quite large)
if g == "4":
group_mask = ['pair', 'enter_reason', 'exit_reason']
# 5: profit summaries grouped by exit_tag
if g == "5":
group_mask = ['exit_reason']
sortcols = ['exit_reason']
if group_mask:
new = bigdf.groupby(group_mask).agg(agg_mask).reset_index()
new.columns = group_mask + agg_cols

15
freqtrade/data/history/idatahandler.py
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@ -374,6 +374,21 @@ class IDataHandler(ABC):
logger.warning(f"{pair}, {candle_type}, {timeframe}, "
f"data ends at {pairdata.iloc[-1]['date']:%Y-%m-%d %H:%M:%S}")
def rename_futures_data(
self, pair: str, new_pair: str, timeframe: str, candle_type: CandleType):
"""
Temporary method to migrate data from old naming to new naming (BTC/USDT -> BTC/USDT:USDT)
Only used for binance to support the binance futures naming unification.
"""
file_old = self._pair_data_filename(self._datadir, pair, timeframe, candle_type)
file_new = self._pair_data_filename(self._datadir, new_pair, timeframe, candle_type)
# print(file_old, file_new)
if file_new.exists():
logger.warning(f"{file_new} exists already, can't migrate {pair}.")
return
file_old.rename(file_new)
def get_datahandlerclass(datatype: str) -> Type[IDataHandler]:
"""

2
freqtrade/exchange/binance.py
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@ -28,7 +28,7 @@ class Binance(Exchange):
"trades_pagination": "id",
"trades_pagination_arg": "fromId",
"l2_limit_range": [5, 10, 20, 50, 100, 500, 1000],
"ccxt_futures_name": "future"
"ccxt_futures_name": "swap"
}
_ft_has_futures: Dict = {
"stoploss_order_types": {"limit": "stop", "market": "stop_market"},

12130
freqtrade/exchange/binance_leverage_tiers.json
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File diff suppressed because it is too large Load Diff

3
freqtrade/freqtradebot.py
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@ -33,6 +33,7 @@ from freqtrade.rpc.external_message_consumer import ExternalMessageConsumer
from freqtrade.strategy.interface import IStrategy
from freqtrade.strategy.strategy_wrapper import strategy_safe_wrapper
from freqtrade.util import FtPrecise
from freqtrade.util.binance_mig import migrate_binance_futures_names
from freqtrade.wallets import Wallets
@ -177,6 +178,8 @@ class FreqtradeBot(LoggingMixin):
Called on startup and after reloading the bot - triggers notifications and
performs startup tasks
"""
migrate_binance_futures_names(self.config)
self.rpc.startup_messages(self.config, self.pairlists, self.protections)
# Update older trades with precision and precision mode
self.startup_backpopulate_precision()

2
freqtrade/optimize/backtesting.py
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@ -37,6 +37,7 @@ from freqtrade.plugins.protectionmanager import ProtectionManager
from freqtrade.resolvers import ExchangeResolver, StrategyResolver
from freqtrade.strategy.interface import IStrategy
from freqtrade.strategy.strategy_wrapper import strategy_safe_wrapper
from freqtrade.util.binance_mig import migrate_binance_futures_data
from freqtrade.wallets import Wallets
@ -157,6 +158,7 @@ class Backtesting:
self._can_short = self.trading_mode != TradingMode.SPOT
self._position_stacking: bool = self.config.get('position_stacking', False)
self.enable_protections: bool = self.config.get('enable_protections', False)
migrate_binance_futures_data(config)
self.init_backtest()

3
freqtrade/resolvers/iresolver.py
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@ -89,7 +89,8 @@ class IResolver:
module = importlib.util.module_from_spec(spec)
try:
spec.loader.exec_module(module) # type: ignore # importlib does not use typehints
except (ModuleNotFoundError, SyntaxError, ImportError, NameError) as err:
except (AttributeError, ModuleNotFoundError, SyntaxError,
ImportError, NameError) as err:
# Catch errors in case a specific module is not installed
logger.warning(f"Could not import {module_path} due to '{err}'")
if enum_failed:

78
freqtrade/util/binance_mig.py Normal file
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@ -0,0 +1,78 @@
import logging
from packaging import version
from freqtrade.constants import Config
from freqtrade.enums.tradingmode import TradingMode
from freqtrade.exceptions import OperationalException
from freqtrade.persistence.pairlock import PairLock
from freqtrade.persistence.trade_model import Trade
logger = logging.getLogger(__name__)
def migrate_binance_futures_names(config: Config):
if (
not (config.get('trading_mode', TradingMode.SPOT) == TradingMode.FUTURES
and config['exchange']['name'] == 'binance')
):
# only act on new futures
return
import ccxt
if version.parse("2.6.6") > version.parse(ccxt.__version__):
raise OperationalException(
"Please follow the update instructions in the docs "
"(https://www.freqtrade.io/en/latest/updating/) to install a compatible ccxt version.")
_migrate_binance_futures_db(config)
migrate_binance_futures_data(config)
def _migrate_binance_futures_db(config: Config):
logger.warning('Migrating binance futures pairs in database.')
trades = Trade.get_trades([Trade.exchange == 'binance', Trade.trading_mode == 'FUTURES']).all()
for trade in trades:
if ':' in trade.pair:
# already migrated
continue
new_pair = f"{trade.pair}:{trade.stake_currency}"
trade.pair = new_pair
for order in trade.orders:
order.ft_pair = new_pair
# Should symbol be migrated too?
# order.symbol = new_pair
Trade.commit()
pls = PairLock.query.filter(PairLock.pair.notlike('%:%'))
for pl in pls:
pl.pair = f"{pl.pair}:{config['stake_currency']}"
# print(pls)
# pls.update({'pair': concat(PairLock.pair,':USDT')})
Trade.commit()
logger.warning('Done migrating binance futures pairs in database.')
def migrate_binance_futures_data(config: Config):
if (
not (config.get('trading_mode', TradingMode.SPOT) == TradingMode.FUTURES
and config['exchange']['name'] == 'binance')
):
# only act on new futures
return
from freqtrade.data.history.idatahandler import get_datahandler
dhc = get_datahandler(config['datadir'], config.get('dataformat_ohlcv', 'json'))
paircombs = dhc.ohlcv_get_available_data(
config['datadir'],
config.get('trading_mode', TradingMode.SPOT)
)
for pair, timeframe, candle_type in paircombs:
if ':' in pair:
# already migrated
continue
new_pair = f"{pair}:{config['stake_currency']}"
dhc.rename_futures_data(pair, new_pair, timeframe, candle_type)

2
requirements-dev.txt
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@ -11,7 +11,7 @@ flake8==6.0.0
flake8-tidy-imports==4.8.0
mypy==0.991
pre-commit==2.21.0
pytest==7.2.0
pytest==7.2.1
pytest-asyncio==0.20.3
pytest-cov==4.0.0
pytest-mock==3.10.0

4
requirements-freqai.txt
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@ -7,5 +7,5 @@ scikit-learn==1.1.3
joblib==1.2.0
catboost==1.1.1; platform_machine != 'aarch64'
lightgbm==3.3.4
xgboost==1.7.2
tensorboard==2.11.0
xgboost==1.7.3
tensorboard==2.11.2

12
requirements.txt
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@ -2,17 +2,17 @@ numpy==1.24.1
pandas==1.5.2
pandas-ta==0.3.14b
ccxt==2.5.56
ccxt==2.6.24
# Pin cryptography for now due to rust build errors with piwheels
cryptography==38.0.1; platform_machine == 'armv7l'
cryptography==38.0.4; platform_machine != 'armv7l'
cryptography==39.0.0; platform_machine != 'armv7l'
aiohttp==3.8.3
SQLAlchemy==1.4.46
python-telegram-bot==13.15
arrow==1.2.3
cachetools==4.2.2
requests==2.28.1
urllib3==1.26.13
requests==2.28.2
urllib3==1.26.14
jsonschema==4.17.3
TA-Lib==0.4.25
technical==1.3.0
@ -30,13 +30,13 @@ py_find_1st==1.1.5
# Load ticker files 30% faster
python-rapidjson==1.9
# Properly format api responses
orjson==3.8.4
orjson==3.8.5
# Notify systemd
sdnotify==0.3.2
# API Server
fastapi==0.89.0
fastapi==0.89.1
pydantic==1.10.4
uvicorn==0.20.0
pyjwt==2.6.0

2
setup.py
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@ -60,7 +60,7 @@ setup(
],
install_requires=[
# from requirements.txt
'ccxt>=1.92.9',
'ccxt>=2.6.6',
'SQLAlchemy',
'python-telegram-bot>=13.4',
'arrow>=0.17.0',

6
tests/commands/test_commands.py
View File

@ -1451,9 +1451,9 @@ def test_start_list_data(testdatadir, capsys):
captured = capsys.readouterr()
assert "Found 5 pair / timeframe combinations." in captured.out
assert "\n| Pair | Timeframe | Type |\n" in captured.out
assert "\n| XRP/USDT | 1h | futures |\n" in captured.out
assert "\n| XRP/USDT | 1h, 8h | mark |\n" in captured.out
assert "\n| Pair | Timeframe | Type |\n" in captured.out
assert "\n| XRP/USDT:USDT | 1h | futures |\n" in captured.out
assert "\n| XRP/USDT:USDT | 1h, 8h | mark |\n" in captured.out
args = [
"list-data",

16
tests/conftest.py
View File

@ -3109,7 +3109,7 @@ def funding_rate_history_octohourly():
@pytest.fixture(scope='function')
def leverage_tiers():
return {
"1000SHIB/USDT": [
"1000SHIB/USDT:USDT": [
{
'minNotional': 0,
'maxNotional': 50000,
@ -3160,7 +3160,7 @@ def leverage_tiers():
'maintAmt': 654500.0
},
],
"1INCH/USDT": [
"1INCH/USDT:USDT": [
{
'minNotional': 0,
'maxNotional': 5000,
@ -3204,7 +3204,7 @@ def leverage_tiers():
'maintAmt': 386940.0
},
],
"AAVE/USDT": [
"AAVE/USDT:USDT": [
{
'minNotional': 0,
'maxNotional': 5000,
@ -3248,7 +3248,7 @@ def leverage_tiers():
'maintAmt': 386950.0
},
],
"ADA/BUSD": [
"ADA/BUSD:BUSD": [
{
"minNotional": 0,
"maxNotional": 100000,
@ -3292,7 +3292,7 @@ def leverage_tiers():
"maintAmt": 1527500.0
},
],
'BNB/BUSD': [
'BNB/BUSD:BUSD': [
{
"minNotional": 0, # stake(before leverage) = 0
"maxNotional": 100000, # max stake(before leverage) = 5000
@ -3336,7 +3336,7 @@ def leverage_tiers():
"maintAmt": 1527500.0
}
],
'BNB/USDT': [
'BNB/USDT:USDT': [
{
"minNotional": 0, # stake = 0.0
"maxNotional": 10000, # max_stake = 133.33333333333334
@ -3401,7 +3401,7 @@ def leverage_tiers():
"maintAmt": 6233035.0
},
],
'BTC/USDT': [
'BTC/USDT:USDT': [
{
"minNotional": 0, # stake = 0.0
"maxNotional": 50000, # max_stake = 400.0
@ -3473,7 +3473,7 @@ def leverage_tiers():
"maintAmt": 1.997038E8
},
],
"ZEC/USDT": [
"ZEC/USDT:USDT": [
{
'minNotional': 0,
'maxNotional': 50000,

9
tests/data/test_converter.py
View File

@ -294,8 +294,8 @@ def test_convert_trades_format(default_conf, testdatadir, tmpdir):
@pytest.mark.parametrize('file_base,candletype', [
(['XRP_ETH-5m', 'XRP_ETH-1m'], CandleType.SPOT),
(['UNITTEST_USDT-1h-mark', 'XRP_USDT-1h-mark'], CandleType.MARK),
(['XRP_USDT-1h-futures'], CandleType.FUTURES),
(['UNITTEST_USDT_USDT-1h-mark', 'XRP_USDT_USDT-1h-mark'], CandleType.MARK),
(['XRP_USDT_USDT-1h-futures'], CandleType.FUTURES),
])
def test_convert_ohlcv_format(default_conf, testdatadir, tmpdir, file_base, candletype):
tmpdir1 = Path(tmpdir)
@ -315,7 +315,10 @@ def test_convert_ohlcv_format(default_conf, testdatadir, tmpdir, file_base, cand
files_new.append(file_new)
default_conf['datadir'] = tmpdir1
default_conf['pairs'] = ['XRP_ETH', 'XRP_USDT', 'UNITTEST_USDT']
if candletype == CandleType.SPOT:
default_conf['pairs'] = ['XRP/ETH', 'XRP/USDT', 'UNITTEST/USDT']
else:
default_conf['pairs'] = ['XRP/ETH:ETH', 'XRP/USDT:USDT', 'UNITTEST/USDT:USDT']
default_conf['timeframes'] = ['1m', '5m', '1h']
assert not file_new.exists()

18
tests/data/test_datahandler.py
View File

@ -33,10 +33,10 @@ def test_datahandler_ohlcv_get_pairs(testdatadir):
assert set(pairs) == {'UNITTEST/BTC'}
pairs = JsonDataHandler.ohlcv_get_pairs(testdatadir, '1h', candle_type=CandleType.MARK)
assert set(pairs) == {'UNITTEST/USDT', 'XRP/USDT'}
assert set(pairs) == {'UNITTEST/USDT:USDT', 'XRP/USDT:USDT'}
pairs = JsonGzDataHandler.ohlcv_get_pairs(testdatadir, '1h', candle_type=CandleType.FUTURES)
assert set(pairs) == {'XRP/USDT'}
assert set(pairs) == {'XRP/USDT:USDT'}
pairs = HDF5DataHandler.ohlcv_get_pairs(testdatadir, '1h', candle_type=CandleType.MARK)
assert set(pairs) == {'UNITTEST/USDT:USDT'}
@ -104,11 +104,11 @@ def test_datahandler_ohlcv_get_available_data(testdatadir):
paircombs = JsonDataHandler.ohlcv_get_available_data(testdatadir, TradingMode.FUTURES)
# Convert to set to avoid failures due to sorting
assert set(paircombs) == {
('UNITTEST/USDT', '1h', 'mark'),
('XRP/USDT', '1h', 'futures'),
('XRP/USDT', '1h', 'mark'),
('XRP/USDT', '8h', 'mark'),
('XRP/USDT', '8h', 'funding_rate'),
('UNITTEST/USDT:USDT', '1h', 'mark'),
('XRP/USDT:USDT', '1h', 'futures'),
('XRP/USDT:USDT', '1h', 'mark'),
('XRP/USDT:USDT', '8h', 'mark'),
('XRP/USDT:USDT', '8h', 'funding_rate'),
}
paircombs = JsonGzDataHandler.ohlcv_get_available_data(testdatadir, TradingMode.SPOT)
@ -142,7 +142,7 @@ def test_jsondatahandler_ohlcv_load(testdatadir, caplog):
df = dh.ohlcv_load('XRP/ETH', '5m', 'spot')
assert len(df) == 712
df_mark = dh.ohlcv_load('UNITTEST/USDT', '1h', candle_type="mark")
df_mark = dh.ohlcv_load('UNITTEST/USDT:USDT', '1h', candle_type="mark")
assert len(df_mark) == 100
df_no_mark = dh.ohlcv_load('UNITTEST/USDT', '1h', 'spot')
@ -424,7 +424,7 @@ def test_hdf5datahandler_ohlcv_load_and_resave(
# Data goes from 2018-01-10 - 2018-01-30
('UNITTEST/BTC', '5m', 'spot', '', '2018-01-15', '2018-01-19'),
# Mark data goes from to 2021-11-15 2021-11-19
('UNITTEST/USDT', '1h', 'mark', '-mark', '2021-11-16', '2021-11-18'),
('UNITTEST/USDT:USDT', '1h', 'mark', '-mark', '2021-11-16', '2021-11-18'),
])
@pytest.mark.parametrize('datahandler', ['hdf5', 'feather', 'parquet'])
def test_generic_datahandler_ohlcv_load_and_resave(

9
tests/data/test_entryexitanalysis.py
View File

@ -190,6 +190,15 @@ def test_backtest_analysis_nomock(default_conf, mocker, caplog, testdatadir, tmp
assert '1' in captured.out
assert '2.5' in captured.out
# test group 5
args = get_args(base_args + ['--analysis-groups', "5"])
start_analysis_entries_exits(args)
captured = capsys.readouterr()
assert 'exit_signal' in captured.out
assert 'roi' in captured.out
assert 'stop_loss' in captured.out
assert 'trailing_stop_loss' in captured.out
# test date filtering
args = get_args(base_args + ['--timerange', "20180129-20180130"])
start_analysis_entries_exits(args)

4
tests/data/test_history.py
View File

@ -78,11 +78,11 @@ def test_load_data_1min_timeframe(ohlcv_history, mocker, caplog, testdatadir) ->
def test_load_data_mark(ohlcv_history, mocker, caplog, testdatadir) -> None:
mocker.patch('freqtrade.exchange.Exchange.get_historic_ohlcv', return_value=ohlcv_history)
file = testdatadir / 'futures/UNITTEST_USDT-1h-mark.json'
file = testdatadir / 'futures/UNITTEST_USDT_USDT-1h-mark.json'
load_data(datadir=testdatadir, timeframe='1h', pairs=['UNITTEST/BTC'], candle_type='mark')
assert file.is_file()
assert not log_has(
'Download history data for pair: "UNITTEST/USDT", interval: 1m '
'Download history data for pair: "UNITTEST/USDT:USDT", interval: 1m '
'and store in None.', caplog
)

24
tests/exchange/test_binance.py
View File

@ -575,25 +575,13 @@ async def test__async_get_historic_ohlcv_binance(default_conf, mocker, caplog, c
assert log_has_re(r"Candle-data for ETH/BTC available starting with .*", caplog)
@pytest.mark.parametrize("trading_mode,margin_mode,config", [
("spot", "", {}),
("margin", "cross", {"options": {"defaultType": "margin"}}),
("futures", "isolated", {"options": {"defaultType": "future"}}),
])
def test__ccxt_config(default_conf, mocker, trading_mode, margin_mode, config):
default_conf['trading_mode'] = trading_mode
default_conf['margin_mode'] = margin_mode
exchange = get_patched_exchange(mocker, default_conf, id="binance")
assert exchange._ccxt_config == config
@pytest.mark.parametrize('pair,nominal_value,mm_ratio,amt', [
("BNB/BUSD", 0.0, 0.025, 0),
("BNB/USDT", 100.0, 0.0065, 0),
("BTC/USDT", 170.30, 0.004, 0),
("BNB/BUSD", 999999.9, 0.1, 27500.0),
("BNB/USDT", 5000000.0, 0.15, 233035.0),
("BTC/USDT", 600000000, 0.5, 1.997038E8),
("BNB/BUSD:BUSD", 0.0, 0.025, 0),
("BNB/USDT:USDT", 100.0, 0.0065, 0),
("BTC/USDT:USDT", 170.30, 0.004, 0),
("BNB/BUSD:BUSD", 999999.9, 0.1, 27500.0),
("BNB/USDT:USDT", 5000000.0, 0.15, 233035.0),
("BTC/USDT:USDT", 600000000, 0.5, 1.997038E8),
])
def test_get_maintenance_ratio_and_amt_binance(
default_conf,

1
tests/exchange/test_ccxt_compat.py
View File

@ -37,6 +37,7 @@ EXCHANGES = {
# 'hasQuoteVolume': True,
# 'timeframe': '5m',
# 'futures': True,
# 'futures_pair': 'BTC/USDT:USDT',
# 'leverage_tiers_public': False,
# 'leverage_in_spot_market': False,
# },

38
tests/exchange/test_exchange.py
View File

@ -3957,7 +3957,7 @@ def test_validate_trading_mode_and_margin_mode(
@pytest.mark.parametrize("exchange_name,trading_mode,ccxt_config", [
("binance", "spot", {}),
("binance", "margin", {"options": {"defaultType": "margin"}}),
("binance", "futures", {"options": {"defaultType": "future"}}),
("binance", "futures", {"options": {"defaultType": "swap"}}),
("bybit", "spot", {"options": {"defaultType": "spot"}}),
("bybit", "futures", {"options": {"defaultType": "linear"}}),
("gateio", "futures", {"options": {"defaultType": "swap"}}),
@ -4898,22 +4898,22 @@ def test_get_maintenance_ratio_and_amt_exceptions(mocker, default_conf, leverage
OperationalException,
match='nominal value can not be lower than 0',
):
exchange.get_maintenance_ratio_and_amt('1000SHIB/USDT', -1)
exchange.get_maintenance_ratio_and_amt('1000SHIB/USDT:USDT', -1)
exchange._leverage_tiers = {}
with pytest.raises(
InvalidOrderException,
match="Maintenance margin rate for 1000SHIB/USDT is unavailable for",
match="Maintenance margin rate for 1000SHIB/USDT:USDT is unavailable for",
):
exchange.get_maintenance_ratio_and_amt('1000SHIB/USDT', 10000)
exchange.get_maintenance_ratio_and_amt('1000SHIB/USDT:USDT', 10000)
@pytest.mark.parametrize('pair,value,mmr,maintAmt', [
('ADA/BUSD', 500, 0.025, 0.0),
('ADA/BUSD', 20000000, 0.5, 1527500.0),
('ZEC/USDT', 500, 0.01, 0.0),
('ZEC/USDT', 20000000, 0.5, 654500.0),
('ADA/BUSD:BUSD', 500, 0.025, 0.0),
('ADA/BUSD:BUSD', 20000000, 0.5, 1527500.0),
('ZEC/USDT:USDT', 500, 0.01, 0.0),
('ZEC/USDT:USDT', 20000000, 0.5, 654500.0),
])
def test_get_maintenance_ratio_and_amt(
mocker,
@ -4946,21 +4946,21 @@ def test_get_max_leverage_futures(default_conf, mocker, leverage_tiers):
exchange._leverage_tiers = leverage_tiers
assert exchange.get_max_leverage("BNB/BUSD", 1.0) == 20.0
assert exchange.get_max_leverage("BNB/USDT", 100.0) == 75.0
assert exchange.get_max_leverage("BTC/USDT", 170.30) == 125.0
assert pytest.approx(exchange.get_max_leverage("BNB/BUSD", 99999.9)) == 5.000005
assert pytest.approx(exchange.get_max_leverage("BNB/USDT", 1500)) == 33.333333333333333
assert exchange.get_max_leverage("BTC/USDT", 300000000) == 2.0
assert exchange.get_max_leverage("BTC/USDT", 600000000) == 1.0 # Last tier
assert exchange.get_max_leverage("BNB/BUSD:BUSD", 1.0) == 20.0
assert exchange.get_max_leverage("BNB/USDT:USDT", 100.0) == 75.0
assert exchange.get_max_leverage("BTC/USDT:USDT", 170.30) == 125.0
assert pytest.approx(exchange.get_max_leverage("BNB/BUSD:BUSD", 99999.9)) == 5.000005
assert pytest.approx(exchange.get_max_leverage("BNB/USDT:USDT", 1500)) == 33.333333333333333
assert exchange.get_max_leverage("BTC/USDT:USDT", 300000000) == 2.0
assert exchange.get_max_leverage("BTC/USDT:USDT", 600000000) == 1.0 # Last tier
assert exchange.get_max_leverage("SPONGE/USDT", 200) == 1.0 # Pair not in leverage_tiers
assert exchange.get_max_leverage("BTC/USDT", 0.0) == 125.0 # No stake amount
assert exchange.get_max_leverage("SPONGE/USDT:USDT", 200) == 1.0 # Pair not in leverage_tiers
assert exchange.get_max_leverage("BTC/USDT:USDT", 0.0) == 125.0 # No stake amount
with pytest.raises(
InvalidOrderException,
match=r'Amount 1000000000.01 too high for BTC/USDT'
match=r'Amount 1000000000.01 too high for BTC/USDT:USDT'
):
exchange.get_max_leverage("BTC/USDT", 1000000000.01)
exchange.get_max_leverage("BTC/USDT:USDT", 1000000000.01)
@pytest.mark.parametrize("exchange_name", ['bittrex', 'binance', 'kraken', 'gateio', 'okx'])

10
tests/exchange/test_okx.py
View File

@ -195,12 +195,12 @@ def test_get_max_pair_stake_amount_okx(default_conf, mocker, leverage_tiers):
exchange = get_patched_exchange(mocker, default_conf, id="okx")
exchange._leverage_tiers = leverage_tiers
assert exchange.get_max_pair_stake_amount('BNB/BUSD', 1.0) == 30000000
assert exchange.get_max_pair_stake_amount('BNB/USDT', 1.0) == 50000000
assert exchange.get_max_pair_stake_amount('BTC/USDT', 1.0) == 1000000000
assert exchange.get_max_pair_stake_amount('BTC/USDT', 1.0, 10.0) == 100000000
assert exchange.get_max_pair_stake_amount('BNB/BUSD:BUSD', 1.0) == 30000000
assert exchange.get_max_pair_stake_amount('BNB/USDT:USDT', 1.0) == 50000000
assert exchange.get_max_pair_stake_amount('BTC/USDT:USDT', 1.0) == 1000000000
assert exchange.get_max_pair_stake_amount('BTC/USDT:USDT', 1.0, 10.0) == 100000000
assert exchange.get_max_pair_stake_amount('TTT/USDT', 1.0) == float('inf') # Not in tiers
assert exchange.get_max_pair_stake_amount('TTT/USDT:USDT', 1.0) == float('inf') # Not in tiers
@pytest.mark.parametrize('mode,side,reduceonly,result', [

13
tests/optimize/test_backtesting.py
View File

@ -548,6 +548,7 @@ def test_backtest__enter_trade_futures(default_conf_usdt, fee, mocker) -> None:
default_conf_usdt['trading_mode'] = 'futures'
default_conf_usdt['margin_mode'] = 'isolated'
default_conf_usdt['stake_currency'] = 'USDT'
default_conf_usdt['datadir'] = Path(default_conf_usdt['datadir'])
default_conf_usdt['exchange']['pair_whitelist'] = ['.*']
backtesting = Backtesting(default_conf_usdt)
backtesting._set_strategy(backtesting.strategylist[0])
@ -1467,7 +1468,7 @@ def test_backtest_start_futures_noliq(default_conf_usdt, mocker,
patch_exchange(mocker)
mocker.patch('freqtrade.plugins.pairlistmanager.PairListManager.whitelist',
PropertyMock(return_value=['HULUMULU/USDT', 'XRP/USDT']))
PropertyMock(return_value=['HULUMULU/USDT', 'XRP/USDT:USDT']))
# mocker.patch('freqtrade.optimize.backtesting.Backtesting.backtest', backtestmock)
patched_configuration_load_config_file(mocker, default_conf_usdt)
@ -1498,7 +1499,7 @@ def test_backtest_start_nomock_futures(default_conf_usdt, mocker,
"strategy": CURRENT_TEST_STRATEGY,
})
patch_exchange(mocker)
result1 = pd.DataFrame({'pair': ['XRP/USDT', 'XRP/USDT'],
result1 = pd.DataFrame({'pair': ['XRP/USDT:USDT', 'XRP/USDT:USDT'],
'profit_ratio': [0.0, 0.0],
'profit_abs': [0.0, 0.0],
'open_date': pd.to_datetime(['2021-11-18 18:00:00',
@ -1514,7 +1515,7 @@ def test_backtest_start_nomock_futures(default_conf_usdt, mocker,
'close_rate': [0.104969, 0.103541],
'exit_reason': [ExitType.ROI, ExitType.ROI]
})
result2 = pd.DataFrame({'pair': ['XRP/USDT', 'XRP/USDT', 'XRP/USDT'],
result2 = pd.DataFrame({'pair': ['XRP/USDT:USDT', 'XRP/USDT:USDT', 'XRP/USDT:USDT'],
'profit_ratio': [0.03, 0.01, 0.1],
'profit_abs': [0.01, 0.02, 0.2],
'open_date': pd.to_datetime(['2021-11-19 18:00:00',
@ -1559,7 +1560,7 @@ def test_backtest_start_nomock_futures(default_conf_usdt, mocker,
}
])
mocker.patch('freqtrade.plugins.pairlistmanager.PairListManager.whitelist',
PropertyMock(return_value=['XRP/USDT']))
PropertyMock(return_value=['XRP/USDT:USDT']))
mocker.patch('freqtrade.optimize.backtesting.Backtesting.backtest', backtestmock)
patched_configuration_load_config_file(mocker, default_conf_usdt)
@ -1582,8 +1583,8 @@ def test_backtest_start_nomock_futures(default_conf_usdt, mocker,
'up to 2021-11-21 04:00:00 (4 days).',
'Backtesting with data from 2021-11-17 21:00:00 '
'up to 2021-11-21 04:00:00 (3 days).',
'XRP/USDT, funding_rate, 8h, data starts at 2021-11-18 00:00:00',
'XRP/USDT, mark, 8h, data starts at 2021-11-18 00:00:00',
'XRP/USDT:USDT, funding_rate, 8h, data starts at 2021-11-18 00:00:00',
'XRP/USDT:USDT, mark, 8h, data starts at 2021-11-18 00:00:00',
f'Running backtesting for Strategy {CURRENT_TEST_STRATEGY}',
]

4
tests/rpc/test_rpc_apiserver.py
View File

@ -1553,13 +1553,13 @@ def test_list_available_pairs(botclient):
client, f"{BASE_URI}/available_pairs?timeframe=1h")
assert_response(rc)
assert rc.json()['length'] == 1
assert rc.json()['pairs'] == ['XRP/USDT']
assert rc.json()['pairs'] == ['XRP/USDT:USDT']
rc = client_get(
client, f"{BASE_URI}/available_pairs?timeframe=1h&candletype=mark")
assert_response(rc)
assert rc.json()['length'] == 2
assert rc.json()['pairs'] == ['UNITTEST/USDT', 'XRP/USDT']
assert rc.json()['pairs'] == ['UNITTEST/USDT:USDT', 'XRP/USDT:USDT']
assert len(rc.json()['pair_interval']) == 2

59
tests/test_binance_mig.py Normal file
View File

@ -0,0 +1,59 @@
import shutil
from pathlib import Path
import pytest
from freqtrade.persistence import Trade
from freqtrade.util.binance_mig import migrate_binance_futures_data, migrate_binance_futures_names
from tests.conftest import create_mock_trades_usdt, log_has
def test_binance_mig_data_conversion(default_conf_usdt, tmpdir, testdatadir):
# call doing nothing (spot mode)
migrate_binance_futures_data(default_conf_usdt)
default_conf_usdt['trading_mode'] = 'futures'
pair_old = 'XRP_USDT'
pair_unified = 'XRP_USDT_USDT'
futures_src = testdatadir / 'futures'
futures_dst = tmpdir / 'futures'
futures_dst.mkdir()
files = [
'-1h-mark.json',
'-1h-futures.json',
'-8h-funding_rate.json',
'-8h-mark.json',
]
# Copy files to tmpdir and rename to old naming
for file in files:
fn_after = futures_dst / f'{pair_old}{file}'
shutil.copy(futures_src / f'{pair_unified}{file}', fn_after)
default_conf_usdt['datadir'] = Path(tmpdir)
# Migrate files to unified namings
migrate_binance_futures_data(default_conf_usdt)
for file in files:
fn_after = futures_dst / f'{pair_unified}{file}'
assert fn_after.exists()
@pytest.mark.usefixtures("init_persistence")
def test_binance_mig_db_conversion(default_conf_usdt, fee, caplog):
# Does nothing in spot mode
migrate_binance_futures_names(default_conf_usdt)
create_mock_trades_usdt(fee, None)
for t in Trade.get_trades():
t.trading_mode = 'FUTURES'
t.exchange = 'binance'
Trade.commit()
default_conf_usdt['datadir'] = Path(default_conf_usdt['datadir'])
default_conf_usdt['trading_mode'] = 'futures'
migrate_binance_futures_names(default_conf_usdt)
assert log_has('Migrating binance futures pairs in database.', caplog)

0
tests/testdata/futures/UNITTEST_USDT-1h-mark.json → tests/testdata/futures/UNITTEST_USDT_USDT-1h-mark.json vendored
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0
tests/testdata/futures/XRP_USDT-1h-futures.json → tests/testdata/futures/XRP_USDT_USDT-1h-futures.json vendored
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0
tests/testdata/futures/XRP_USDT-1h-futures.json.gz → tests/testdata/futures/XRP_USDT_USDT-1h-futures.json.gz vendored
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0
tests/testdata/futures/XRP_USDT-1h-mark.json → tests/testdata/futures/XRP_USDT_USDT-1h-mark.json vendored
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0
tests/testdata/futures/XRP_USDT-8h-funding_rate.json → tests/testdata/futures/XRP_USDT_USDT-8h-funding_rate.json vendored
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0
tests/testdata/futures/XRP_USDT-8h-mark.json → tests/testdata/futures/XRP_USDT_USDT-8h-mark.json vendored
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