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Merge branch 'freqtrade:develop' into strategy_utils

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This commit is contained in:
hippocritical
2023-02-12 20:11:15 +01:00
committed by GitHub
parent feb6accc6c b3fbb263ce
commit 69a63975c1
163 changed files with 10076 additions and 7588 deletions
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14
tests/commands/test_commands.py
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@@ -746,9 +746,7 @@ def test_download_data_no_exchange(mocker, caplog):
start_download_data(pargs)
def test_download_data_no_pairs(mocker, caplog):
mocker.patch.object(Path, "exists", MagicMock(return_value=False))
def test_download_data_no_pairs(mocker):
mocker.patch('freqtrade.commands.data_commands.refresh_backtest_ohlcv_data',
MagicMock(return_value=["ETH/BTC", "XRP/BTC"]))
@@ -770,8 +768,6 @@ def test_download_data_no_pairs(mocker, caplog):
def test_download_data_all_pairs(mocker, markets):
mocker.patch.object(Path, "exists", MagicMock(return_value=False))
dl_mock = mocker.patch('freqtrade.commands.data_commands.refresh_backtest_ohlcv_data',
MagicMock(return_value=["ETH/BTC", "XRP/BTC"]))
patch_exchange(mocker)
@@ -1454,10 +1450,10 @@ def test_start_list_data(testdatadir, capsys):
start_list_data(pargs)
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 "Found 6 pair / timeframe combinations." in captured.out
assert "\n| Pair | Timeframe | Type |\n" in captured.out
assert "\n| XRP/USDT:USDT | 5m, 1h | futures |\n" in captured.out
assert "\n| XRP/USDT:USDT | 1h, 8h | mark |\n" in captured.out
args = [
"list-data",

25
tests/conftest.py
View File

@@ -241,7 +241,6 @@ def get_patched_freqtradebot(mocker, config) -> FreqtradeBot:
:return: FreqtradeBot
"""
patch_freqtradebot(mocker, config)
config['datadir'] = Path(config['datadir'])
return FreqtradeBot(config)
@@ -510,7 +509,7 @@ def get_default_conf(testdatadir):
"chat_id": "0",
"notification_settings": {},
},
"datadir": str(testdatadir),
"datadir": Path(testdatadir),
"initial_state": "running",
"db_url": "sqlite://",
"user_data_dir": Path("user_data"),
@@ -2606,6 +2605,8 @@ def open_trade():
ft_order_side='buy',
ft_pair=trade.pair,
ft_is_open=False,
ft_amount=trade.amount,
ft_price=trade.open_rate,
order_id='123456789',
status="closed",
symbol=trade.pair,
@@ -2642,6 +2643,8 @@ def open_trade_usdt():
ft_order_side='buy',
ft_pair=trade.pair,
ft_is_open=False,
ft_amount=trade.amount,
ft_price=trade.open_rate,
order_id='123456789',
status="closed",
symbol=trade.pair,
@@ -2659,6 +2662,8 @@ def open_trade_usdt():
ft_order_side='exit',
ft_pair=trade.pair,
ft_is_open=True,
ft_amount=trade.amount,
ft_price=trade.open_rate,
order_id='123456789_exit',
status="open",
symbol=trade.pair,
@@ -3103,7 +3108,7 @@ def funding_rate_history_octohourly():
@pytest.fixture(scope='function')
def leverage_tiers():
return {
"1000SHIB/USDT": [
"1000SHIB/USDT:USDT": [
{
'minNotional': 0,
'maxNotional': 50000,
@@ -3154,7 +3159,7 @@ def leverage_tiers():
'maintAmt': 654500.0
},
],
"1INCH/USDT": [
"1INCH/USDT:USDT": [
{
'minNotional': 0,
'maxNotional': 5000,
@@ -3198,7 +3203,7 @@ def leverage_tiers():
'maintAmt': 386940.0
},
],
"AAVE/USDT": [
"AAVE/USDT:USDT": [
{
'minNotional': 0,
'maxNotional': 5000,
@@ -3242,7 +3247,7 @@ def leverage_tiers():
'maintAmt': 386950.0
},
],
"ADA/BUSD": [
"ADA/BUSD:BUSD": [
{
"minNotional": 0,
"maxNotional": 100000,
@@ -3286,7 +3291,7 @@ def leverage_tiers():
"maintAmt": 1527500.0
},
],
'BNB/BUSD': [
'BNB/BUSD:BUSD': [
{
"minNotional": 0, # stake(before leverage) = 0
"maxNotional": 100000, # max stake(before leverage) = 5000
@@ -3330,7 +3335,7 @@ def leverage_tiers():
"maintAmt": 1527500.0
}
],
'BNB/USDT': [
'BNB/USDT:USDT': [
{
"minNotional": 0, # stake = 0.0
"maxNotional": 10000, # max_stake = 133.33333333333334
@@ -3395,7 +3400,7 @@ def leverage_tiers():
"maintAmt": 6233035.0
},
],
'BTC/USDT': [
'BTC/USDT:USDT': [
{
"minNotional": 0, # stake = 0.0
"maxNotional": 50000, # max_stake = 400.0
@@ -3467,7 +3472,7 @@ 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()

19
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 +104,12 @@ 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', '5m', 'futures'),
('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 +143,7 @@ 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 +425,7 @@ 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(

5
tests/data/test_dataprovider.py
View File

@@ -437,6 +437,7 @@ def test_dp__add_external_df(default_conf_usdt):
# Add the same dataframe again - dataframe size shall not change.
res = dp._add_external_df('ETH/USDT', df, last_analyzed, timeframe, CandleType.SPOT)
assert res[0] is True
assert isinstance(res[1], int)
assert res[1] == 0
df, _ = dp.get_producer_df('ETH/USDT', timeframe, CandleType.SPOT)
assert len(df) == 24
@@ -446,6 +447,7 @@ def test_dp__add_external_df(default_conf_usdt):
res = dp._add_external_df('ETH/USDT', df2, last_analyzed, timeframe, CandleType.SPOT)
assert res[0] is True
assert isinstance(res[1], int)
assert res[1] == 0
df, _ = dp.get_producer_df('ETH/USDT', timeframe, CandleType.SPOT)
assert len(df) == 48
@@ -455,6 +457,7 @@ def test_dp__add_external_df(default_conf_usdt):
res = dp._add_external_df('ETH/USDT', df3, last_analyzed, timeframe, CandleType.SPOT)
assert res[0] is True
assert isinstance(res[1], int)
assert res[1] == 0
df, _ = dp.get_producer_df('ETH/USDT', timeframe, CandleType.SPOT)
# New length = 48 + 12 (since we have a 12 hour offset).
@@ -478,6 +481,7 @@ def test_dp__add_external_df(default_conf_usdt):
res = dp._add_external_df('ETH/USDT', df4, last_analyzed, timeframe, CandleType.SPOT)
assert res[0] is False
# 36 hours - from 2022-01-03 12:00:00+00:00 to 2022-01-05 00:00:00+00:00
assert isinstance(res[1], int)
assert res[1] == 36
df, _ = dp.get_producer_df('ETH/USDT', timeframe, CandleType.SPOT)
# New length = 61 + 1
@@ -488,4 +492,5 @@ def test_dp__add_external_df(default_conf_usdt):
res = dp._add_external_df('ETH/USDT', df4, last_analyzed, timeframe, CandleType.SPOT)
assert res[0] is False
# 36 hours - from 2022-01-03 12:00:00+00:00 to 2022-01-05 00:00:00+00:00
assert isinstance(res[1], int)
assert res[1] == 0

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
)

43
tests/exchange/test_binance.py
View File

@@ -50,7 +50,7 @@ def test_stoploss_order_binance(default_conf, mocker, limitratio, expected, side
)
api_mock.create_order.reset_mock()
order_types = {'stoploss': 'limit'}
order_types = {'stoploss': 'limit', 'stoploss_price_type': 'mark'}
if limitratio is not None:
order_types.update({'stoploss_on_exchange_limit_ratio': limitratio})
@@ -75,7 +75,7 @@ def test_stoploss_order_binance(default_conf, mocker, limitratio, expected, side
if trademode == TradingMode.SPOT:
params_dict = {'stopPrice': 220}
else:
params_dict = {'stopPrice': 220, 'reduceOnly': True}
params_dict = {'stopPrice': 220, 'reduceOnly': True, 'workingType': 'MARK_PRICE'}
assert api_mock.create_order.call_args_list[0][1]['params'] == params_dict
# test exception handling
@@ -522,8 +522,15 @@ def test__set_leverage_binance(mocker, default_conf):
api_mock.set_leverage = MagicMock()
type(api_mock).has = PropertyMock(return_value={'setLeverage': True})
default_conf['dry_run'] = False
exchange = get_patched_exchange(mocker, default_conf, id="binance")
exchange._set_leverage(3.0, trading_mode=TradingMode.MARGIN)
default_conf['trading_mode'] = TradingMode.FUTURES
default_conf['margin_mode'] = MarginMode.ISOLATED
exchange = get_patched_exchange(mocker, default_conf, api_mock, id="binance")
exchange._set_leverage(3.2, 'BTC/USDT:USDT')
assert api_mock.set_leverage.call_count == 1
# Leverage is rounded to 3.
assert api_mock.set_leverage.call_args_list[0][1]['leverage'] == 3
assert api_mock.set_leverage.call_args_list[0][1]['symbol'] == 'BTC/USDT:USDT'
ccxt_exceptionhandlers(
mocker,
@@ -557,7 +564,7 @@ async def test__async_get_historic_ohlcv_binance(default_conf, mocker, caplog, c
exchange._api_async.fetch_ohlcv = get_mock_coro(ohlcv)
pair = 'ETH/BTC'
respair, restf, restype, res = await exchange._async_get_historic_ohlcv(
respair, restf, restype, res, _ = await exchange._async_get_historic_ohlcv(
pair, "5m", 1500000000000, is_new_pair=False, candle_type=candle_type)
assert respair == pair
assert restf == '5m'
@@ -566,7 +573,7 @@ async def test__async_get_historic_ohlcv_binance(default_conf, mocker, caplog, c
assert exchange._api_async.fetch_ohlcv.call_count > 400
# assert res == ohlcv
exchange._api_async.fetch_ohlcv.reset_mock()
_, _, _, res = await exchange._async_get_historic_ohlcv(
_, _, _, res, _ = await exchange._async_get_historic_ohlcv(
pair, "5m", 1500000000000, is_new_pair=True, candle_type=candle_type)
# Called twice - one "init" call - and one to get the actual data.
@@ -575,25 +582,13 @@ 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,

57
tests/exchange/test_bybit.py Normal file
View File

@@ -0,0 +1,57 @@
from unittest.mock import MagicMock
from freqtrade.enums.marginmode import MarginMode
from freqtrade.enums.tradingmode import TradingMode
from freqtrade.exchange.exchange_utils import timeframe_to_msecs
from tests.conftest import get_mock_coro, get_patched_exchange
from tests.exchange.test_exchange import ccxt_exceptionhandlers
def test_additional_exchange_init_bybit(default_conf, mocker):
default_conf['dry_run'] = False
default_conf['trading_mode'] = TradingMode.FUTURES
default_conf['margin_mode'] = MarginMode.ISOLATED
api_mock = MagicMock()
api_mock.set_position_mode = MagicMock(return_value={"dualSidePosition": False})
get_patched_exchange(mocker, default_conf, id="bybit", api_mock=api_mock)
assert api_mock.set_position_mode.call_count == 1
ccxt_exceptionhandlers(mocker, default_conf, api_mock, 'bybit',
"additional_exchange_init", "set_position_mode")
async def test_bybit_fetch_funding_rate(default_conf, mocker):
default_conf['trading_mode'] = 'futures'
default_conf['margin_mode'] = 'isolated'
api_mock = MagicMock()
api_mock.fetch_funding_rate_history = get_mock_coro(return_value=[])
exchange = get_patched_exchange(mocker, default_conf, id='bybit', api_mock=api_mock)
limit = 200
# Test fetch_funding_rate_history (current data)
await exchange._fetch_funding_rate_history(
pair='BTC/USDT:USDT',
timeframe='4h',
limit=limit,
)
assert api_mock.fetch_funding_rate_history.call_count == 1
assert api_mock.fetch_funding_rate_history.call_args_list[0][0][0] == 'BTC/USDT:USDT'
kwargs = api_mock.fetch_funding_rate_history.call_args_list[0][1]
assert kwargs['params'] == {}
assert kwargs['since'] is None
api_mock.fetch_funding_rate_history.reset_mock()
since_ms = 1610000000000
since_ms_end = since_ms + (timeframe_to_msecs('4h') * limit)
# Test fetch_funding_rate_history (current data)
await exchange._fetch_funding_rate_history(
pair='BTC/USDT:USDT',
timeframe='4h',
limit=limit,
since_ms=since_ms,
)
assert api_mock.fetch_funding_rate_history.call_count == 1
assert api_mock.fetch_funding_rate_history.call_args_list[0][0][0] == 'BTC/USDT:USDT'
kwargs = api_mock.fetch_funding_rate_history.call_args_list[0][1]
assert kwargs['params'] == {'until': since_ms_end}
assert kwargs['since'] == since_ms

308
tests/exchange/test_ccxt_compat.py
View File

@@ -12,6 +12,7 @@ from typing import Tuple
import pytest
from freqtrade.constants import Config
from freqtrade.enums import CandleType
from freqtrade.exchange import timeframe_to_minutes, timeframe_to_prev_date
from freqtrade.exchange.exchange import Exchange, timeframe_to_msecs
@@ -31,15 +32,61 @@ EXCHANGES = {
'leverage_tiers_public': False,
'leverage_in_spot_market': False,
},
# 'binance': {
# 'pair': 'BTC/USDT',
# 'stake_currency': 'USDT',
# 'hasQuoteVolume': True,
# 'timeframe': '5m',
# 'futures': True,
# 'leverage_tiers_public': False,
# 'leverage_in_spot_market': False,
# },
'binance': {
'pair': 'BTC/USDT',
'stake_currency': 'USDT',
'use_ci_proxy': True,
'hasQuoteVolume': True,
'timeframe': '5m',
'futures': True,
'futures_pair': 'BTC/USDT:USDT',
'hasQuoteVolumeFutures': True,
'leverage_tiers_public': False,
'leverage_in_spot_market': False,
'sample_order': [{
"symbol": "SOLUSDT",
"orderId": 3551312894,
"orderListId": -1,
"clientOrderId": "x-R4DD3S8297c73a11ccb9dc8f2811ba",
"transactTime": 1674493798550,
"price": "15.50000000",
"origQty": "1.10000000",
"executedQty": "0.00000000",
"cummulativeQuoteQty": "0.00000000",
"status": "NEW",
"timeInForce": "GTC",
"type": "LIMIT",
"side": "BUY",
"workingTime": 1674493798550,
"fills": [],
"selfTradePreventionMode": "NONE",
}]
},
'binanceus': {
'pair': 'BTC/USDT',
'stake_currency': 'USDT',
'hasQuoteVolume': True,
'timeframe': '5m',
'futures': False,
'sample_order': [{
"symbol": "SOLUSDT",
"orderId": 3551312894,
"orderListId": -1,
"clientOrderId": "x-R4DD3S8297c73a11ccb9dc8f2811ba",
"transactTime": 1674493798550,
"price": "15.50000000",
"origQty": "1.10000000",
"executedQty": "0.00000000",
"cummulativeQuoteQty": "0.00000000",
"status": "NEW",
"timeInForce": "GTC",
"type": "LIMIT",
"side": "BUY",
"workingTime": 1674493798550,
"fills": [],
"selfTradePreventionMode": "NONE",
}]
},
'kraken': {
'pair': 'BTC/USDT',
'stake_currency': 'USDT',
@@ -55,18 +102,127 @@ EXCHANGES = {
'timeframe': '5m',
'leverage_tiers_public': False,
'leverage_in_spot_market': True,
'sample_order': [
{'id': '63d6742d0adc5570001d2bbf7'}, # create order
{
'id': '63d6742d0adc5570001d2bbf7',
'symbol': 'SOL-USDT',
'opType': 'DEAL',
'type': 'limit',
'side': 'buy',
'price': '15.5',
'size': '1.1',
'funds': '0',
'dealFunds': '17.05',
'dealSize': '1.1',
'fee': '0.000065252',
'feeCurrency': 'USDT',
'stp': '',
'stop': '',
'stopTriggered': False,
'stopPrice': '0',
'timeInForce': 'GTC',
'postOnly': False,
'hidden': False,
'iceberg': False,
'visibleSize': '0',
'cancelAfter': 0,
'channel': 'API',
'clientOid': '0a053870-11bf-41e5-be61-b272a4cb62e1',
'remark': None,
'tags': 'partner:ccxt',
'isActive': False,
'cancelExist': False,
'createdAt': 1674493798550,
'tradeType': 'TRADE'
}],
},
'gateio': {
'gate': {
'pair': 'BTC/USDT',
'stake_currency': 'USDT',
'hasQuoteVolume': True,
'timeframe': '5m',
'futures': True,
'futures_pair': 'BTC/USDT:USDT',
'hasQuoteVolumeFutures': True,
'leverage_tiers_public': True,
'leverage_in_spot_market': True,
'sample_order': [
{
"id": "276266139423",
"text": "apiv4",
"create_time": "1674493798",
"update_time": "1674493798",
"create_time_ms": "1674493798550",
"update_time_ms": "1674493798550",
"status": "closed",
"currency_pair": "SOL_USDT",
"type": "limit",
"account": "spot",
"side": "buy",
"amount": "1.1",
"price": "15.5",
"time_in_force": "gtc",
"iceberg": "0",
"left": "0",
"fill_price": "17.05",
"filled_total": "17.05",
"avg_deal_price": "15.5",
"fee": "0.0000018",
"fee_currency": "SOL",
"point_fee": "0",
"gt_fee": "0",
"gt_maker_fee": "0",
"gt_taker_fee": "0.0015",
"gt_discount": True,
"rebated_fee": "0",
"rebated_fee_currency": "USDT"
},
{
# market order
'id': '276401180529',
'text': 'apiv4',
'create_time': '1674493798',
'update_time': '1674493798',
'create_time_ms': '1674493798550',
'update_time_ms': '1674493798550',
'status': 'cancelled',
'currency_pair': 'SOL_USDT',
'type': 'market',
'account': 'spot',
'side': 'buy',
'amount': '17.05',
'price': '0',
'time_in_force': 'ioc',
'iceberg': '0',
'left': '0.0000000016228',
'fill_price': '17.05',
'filled_total': '17.05',
'avg_deal_price': '15.5',
'fee': '0',
'fee_currency': 'SOL',
'point_fee': '0.0199999999967544',
'gt_fee': '0',
'gt_maker_fee': '0',
'gt_taker_fee': '0',
'gt_discount': False,
'rebated_fee': '0',
'rebated_fee_currency': 'USDT'
}
],
},
'okx': {
'pair': 'BTC/USDT',
'stake_currency': 'USDT',
'hasQuoteVolume': True,
'timeframe': '5m',
'futures': True,
'futures_pair': 'BTC/USDT:USDT',
'hasQuoteVolumeFutures': False,
'leverage_tiers_public': True,
'leverage_in_spot_market': True,
},
'bybit': {
'pair': 'BTC/USDT',
'stake_currency': 'USDT',
'hasQuoteVolume': True,
@@ -75,10 +231,27 @@ EXCHANGES = {
'futures': True,
'leverage_tiers_public': True,
'leverage_in_spot_market': True,
'sample_order': [
{
"orderId": "1274754916287346280",
"orderLinkId": "1666798627015730",
"symbol": "SOLUSDT",
"createTime": "1674493798550",
"orderPrice": "15.5",
"orderQty": "1.1",
"orderType": "LIMIT",
"side": "BUY",
"status": "NEW",
"timeInForce": "GTC",
"accountId": "5555555",
"execQty": "0",
"orderCategory": "0"
}
]
},
'huobi': {
'pair': 'BTC/USDT',
'stake_currency': 'USDT',
'pair': 'ETH/BTC',
'stake_currency': 'BTC',
'hasQuoteVolume': True,
'timeframe': '5m',
'futures': False,
@@ -106,8 +279,27 @@ def exchange_conf():
return config
def set_test_proxy(config: Config, use_proxy: bool) -> Config:
# Set proxy to test in CI.
import os
if use_proxy and (proxy := os.environ.get('CI_WEB_PROXY')):
config1 = deepcopy(config)
config1['exchange']['ccxt_config'] = {
"aiohttp_proxy": proxy,
'proxies': {
'https': proxy,
'http': proxy,
}
}
return config1
return config
@pytest.fixture(params=EXCHANGES, scope="class")
def exchange(request, exchange_conf):
exchange_conf = set_test_proxy(
exchange_conf, EXCHANGES[request.param].get('use_ci_proxy', False))
exchange_conf['exchange']['name'] = request.param
exchange_conf['stake_currency'] = EXCHANGES[request.param]['stake_currency']
exchange = ExchangeResolver.load_exchange(request.param, exchange_conf, validate=True)
@@ -120,6 +312,8 @@ def exchange_futures(request, exchange_conf, class_mocker):
if not EXCHANGES[request.param].get('futures') is True:
yield None, request.param
else:
exchange_conf = set_test_proxy(
exchange_conf, EXCHANGES[request.param].get('use_ci_proxy', False))
exchange_conf = deepcopy(exchange_conf)
exchange_conf['exchange']['name'] = request.param
exchange_conf['trading_mode'] = 'futures'
@@ -131,6 +325,7 @@ def exchange_futures(request, exchange_conf, class_mocker):
class_mocker.patch('freqtrade.exchange.exchange.Exchange.fetch_trading_fees')
class_mocker.patch('freqtrade.exchange.okx.Okx.additional_exchange_init')
class_mocker.patch('freqtrade.exchange.binance.Binance.additional_exchange_init')
class_mocker.patch('freqtrade.exchange.bybit.Bybit.additional_exchange_init')
class_mocker.patch('freqtrade.exchange.exchange.Exchange.load_cached_leverage_tiers',
return_value=None)
class_mocker.patch('freqtrade.exchange.exchange.Exchange.cache_leverage_tiers')
@@ -162,8 +357,8 @@ class TestCCXTExchange():
'stoploss': 'limit',
})
if exchangename == 'gateio':
# gateio doesn't have market orders on spot
if exchangename == 'gate':
# gate doesn't have market orders on spot
return
exch.validate_ordertypes({
'entry': 'market',
@@ -184,6 +379,32 @@ class TestCCXTExchange():
assert exchange.market_is_future(markets[pair])
def test_ccxt_order_parse(self, exchange: EXCHANGE_FIXTURE_TYPE):
exch, exchange_name = exchange
if orders := EXCHANGES[exchange_name].get('sample_order'):
for order in orders:
po = exch._api.parse_order(order)
assert isinstance(po['id'], str)
assert po['id'] is not None
if len(order.keys()) < 5:
# Kucoin case
assert po['status'] == 'closed'
continue
assert po['timestamp'] == 1674493798550
assert isinstance(po['datetime'], str)
assert isinstance(po['timestamp'], int)
assert isinstance(po['price'], float)
assert po['price'] == 15.5
if po['average'] is not None:
assert isinstance(po['average'], float)
assert po['average'] == 15.5
assert po['symbol'] == 'SOL/USDT'
assert isinstance(po['amount'], float)
assert po['amount'] == 1.1
assert isinstance(po['status'], str)
else:
pytest.skip(f"No sample order available for exchange {exchange_name}")
def test_ccxt_fetch_tickers(self, exchange: EXCHANGE_FIXTURE_TYPE):
exch, exchangename = exchange
pair = EXCHANGES[exchangename]['pair']
@@ -198,6 +419,25 @@ class TestCCXTExchange():
if EXCHANGES[exchangename].get('hasQuoteVolume'):
assert tickers[pair]['quoteVolume'] is not None
def test_ccxt_fetch_tickers_futures(self, exchange_futures: EXCHANGE_FIXTURE_TYPE):
exch, exchangename = exchange_futures
if not exch or exchangename in ('gate'):
# exchange_futures only returns values for supported exchanges
return
pair = EXCHANGES[exchangename]['pair']
pair = EXCHANGES[exchangename].get('futures_pair', pair)
tickers = exch.get_tickers()
assert pair in tickers
assert 'ask' in tickers[pair]
assert tickers[pair]['ask'] is not None
assert 'bid' in tickers[pair]
assert tickers[pair]['bid'] is not None
assert 'quoteVolume' in tickers[pair]
if EXCHANGES[exchangename].get('hasQuoteVolumeFutures'):
assert tickers[pair]['quoteVolume'] is not None
def test_ccxt_fetch_ticker(self, exchange: EXCHANGE_FIXTURE_TYPE):
exch, exchangename = exchange
pair = EXCHANGES[exchangename]['pair']
@@ -221,8 +461,8 @@ class TestCCXTExchange():
assert len(l2['bids']) >= 1
l2_limit_range = exch._ft_has['l2_limit_range']
l2_limit_range_required = exch._ft_has['l2_limit_range_required']
if exchangename == 'gateio':
# TODO: Gateio is unstable here at the moment, ignoring the limit partially.
if exchangename == 'gate':
# TODO: Gate is unstable here at the moment, ignoring the limit partially.
return
for val in [1, 2, 5, 25, 100]:
l2 = exch.fetch_l2_order_book(pair, val)
@@ -294,9 +534,13 @@ class TestCCXTExchange():
def test_ccxt__async_get_candle_history(self, exchange: EXCHANGE_FIXTURE_TYPE):
exc, exchangename = exchange
# For some weired reason, this test returns random lengths for bittrex.
if not exc._ft_has['ohlcv_has_history'] or exchangename in ('bittrex'):
return
if exchangename in ('binanceus', 'bittrex'):
# TODO: reenable binanceus test once downtime "ages out" (2023-02-06)
# For some weired reason, this test returns random lengths for bittrex.
pytest.skip("Exchange doesn't provide stable ohlcv history")
if not exc._ft_has['ohlcv_has_history']:
pytest.skip("Exchange does not support candle history")
pair = EXCHANGES[exchangename]['pair']
timeframe = EXCHANGES[exchangename]['timeframe']
self.ccxt__async_get_candle_history(
@@ -476,23 +720,25 @@ class TestCCXTExchange():
)
liquidation_price = futures.dry_run_liquidation_price(
futures_pair,
40000,
False,
100,
100,
100,
pair=futures_pair,
open_rate=40000,
is_short=False,
amount=100,
stake_amount=100,
leverage=5,
wallet_balance=100,
)
assert (isinstance(liquidation_price, float))
assert liquidation_price >= 0.0
liquidation_price = futures.dry_run_liquidation_price(
futures_pair,
40000,
False,
100,
100,
100,
pair=futures_pair,
open_rate=40000,
is_short=False,
amount=100,
stake_amount=100,
leverage=5,
wallet_balance=100,
)
assert (isinstance(liquidation_price, float))
assert liquidation_price >= 0.0

244
tests/exchange/test_exchange.py
View File

@@ -27,7 +27,7 @@ from tests.conftest import (generate_test_data_raw, get_mock_coro, get_patched_e
# Make sure to always keep one exchange here which is NOT subclassed!!
EXCHANGES = ['bittrex', 'binance', 'kraken', 'gateio']
EXCHANGES = ['bittrex', 'binance', 'kraken', 'gate']
get_entry_rate_data = [
('other', 20, 19, 10, 0.0, 20), # Full ask side
@@ -1060,6 +1060,47 @@ def test_validate_ordertypes(default_conf, mocker):
Exchange(default_conf)
@pytest.mark.parametrize('exchange_name,stopadv, expected', [
('binance', 'last', True),
('binance', 'mark', True),
('binance', 'index', False),
('bybit', 'last', True),
('bybit', 'mark', True),
('bybit', 'index', True),
# ('okx', 'last', True),
# ('okx', 'mark', True),
# ('okx', 'index', True),
('gate', 'last', True),
('gate', 'mark', True),
('gate', 'index', True),
])
def test_validate_ordertypes_stop_advanced(default_conf, mocker, exchange_name, stopadv, expected):
api_mock = MagicMock()
default_conf['trading_mode'] = TradingMode.FUTURES
default_conf['margin_mode'] = MarginMode.ISOLATED
type(api_mock).has = PropertyMock(return_value={'createMarketOrder': True})
mocker.patch('freqtrade.exchange.Exchange._init_ccxt', MagicMock(return_value=api_mock))
mocker.patch('freqtrade.exchange.Exchange._load_markets', MagicMock(return_value={}))
mocker.patch('freqtrade.exchange.Exchange.validate_pairs')
mocker.patch('freqtrade.exchange.Exchange.validate_timeframes')
mocker.patch('freqtrade.exchange.Exchange.validate_stakecurrency')
mocker.patch('freqtrade.exchange.Exchange.validate_pricing')
default_conf['order_types'] = {
'entry': 'limit',
'exit': 'limit',
'stoploss': 'limit',
'stoploss_on_exchange': True,
'stoploss_price_type': stopadv,
}
if expected:
ExchangeResolver.load_exchange(exchange_name, default_conf)
else:
with pytest.raises(OperationalException,
match=r'On exchange stoploss price type is not supported for .*'):
ExchangeResolver.load_exchange(exchange_name, default_conf)
def test_validate_order_types_not_in_config(default_conf, mocker):
api_mock = MagicMock()
mocker.patch('freqtrade.exchange.Exchange._init_ccxt', MagicMock(return_value=api_mock))
@@ -1742,7 +1783,7 @@ def test_fetch_trading_fees(default_conf, mocker):
'maker': 0.0,
'taker': 0.0005}
}
exchange_name = 'gateio'
exchange_name = 'gate'
default_conf['dry_run'] = False
default_conf['trading_mode'] = TradingMode.FUTURES
default_conf['margin_mode'] = MarginMode.ISOLATED
@@ -1955,7 +1996,7 @@ def test_get_historic_ohlcv(default_conf, mocker, caplog, exchange_name, candle_
pair = 'ETH/BTC'
async def mock_candle_hist(pair, timeframe, candle_type, since_ms):
return pair, timeframe, candle_type, ohlcv
return pair, timeframe, candle_type, ohlcv, True
exchange._async_get_candle_history = Mock(wraps=mock_candle_hist)
# one_call calculation * 1.8 should do 2 calls
@@ -1988,62 +2029,6 @@ def test_get_historic_ohlcv(default_conf, mocker, caplog, exchange_name, candle_
assert log_has_re(r"Async code raised an exception: .*", caplog)
@pytest.mark.parametrize("exchange_name", EXCHANGES)
@pytest.mark.parametrize('candle_type', ['mark', ''])
def test_get_historic_ohlcv_as_df(default_conf, mocker, exchange_name, candle_type):
exchange = get_patched_exchange(mocker, default_conf, id=exchange_name)
ohlcv = [
[
arrow.utcnow().int_timestamp * 1000, # unix timestamp ms
1, # open
2, # high
3, # low
4, # close
5, # volume (in quote currency)
],
[
arrow.utcnow().shift(minutes=5).int_timestamp * 1000, # unix timestamp ms
1, # open
2, # high
3, # low
4, # close
5, # volume (in quote currency)
],
[
arrow.utcnow().shift(minutes=10).int_timestamp * 1000, # unix timestamp ms
1, # open
2, # high
3, # low
4, # close
5, # volume (in quote currency)
]
]
pair = 'ETH/BTC'
async def mock_candle_hist(pair, timeframe, candle_type, since_ms):
return pair, timeframe, candle_type, ohlcv
exchange._async_get_candle_history = Mock(wraps=mock_candle_hist)
# one_call calculation * 1.8 should do 2 calls
since = 5 * 60 * exchange.ohlcv_candle_limit('5m', CandleType.SPOT) * 1.8
ret = exchange.get_historic_ohlcv_as_df(
pair,
"5m",
int((arrow.utcnow().int_timestamp - since) * 1000),
candle_type=candle_type
)
assert exchange._async_get_candle_history.call_count == 2
# Returns twice the above OHLCV data
assert len(ret) == 2
assert isinstance(ret, DataFrame)
assert 'date' in ret.columns
assert 'open' in ret.columns
assert 'close' in ret.columns
assert 'high' in ret.columns
@pytest.mark.asyncio
@pytest.mark.parametrize("exchange_name", EXCHANGES)
@pytest.mark.parametrize('candle_type', [CandleType.MARK, CandleType.SPOT])
@@ -2063,7 +2048,7 @@ async def test__async_get_historic_ohlcv(default_conf, mocker, caplog, exchange_
exchange._api_async.fetch_ohlcv = get_mock_coro(ohlcv)
pair = 'ETH/USDT'
respair, restf, _, res = await exchange._async_get_historic_ohlcv(
respair, restf, _, res, _ = await exchange._async_get_historic_ohlcv(
pair, "5m", 1500000000000, candle_type=candle_type, is_new_pair=False)
assert respair == pair
assert restf == '5m'
@@ -2074,7 +2059,7 @@ async def test__async_get_historic_ohlcv(default_conf, mocker, caplog, exchange_
exchange._api_async.fetch_ohlcv.reset_mock()
end_ts = 1_500_500_000_000
start_ts = 1_500_000_000_000
respair, restf, _, res = await exchange._async_get_historic_ohlcv(
respair, restf, _, res, _ = await exchange._async_get_historic_ohlcv(
pair, "5m", since_ms=start_ts, candle_type=candle_type, is_new_pair=False,
until_ms=end_ts
)
@@ -2306,7 +2291,7 @@ async def test__async_get_candle_history(default_conf, mocker, caplog, exchange_
pair = 'ETH/BTC'
res = await exchange._async_get_candle_history(pair, "5m", CandleType.SPOT)
assert type(res) is tuple
assert len(res) == 4
assert len(res) == 5
assert res[0] == pair
assert res[1] == "5m"
assert res[2] == CandleType.SPOT
@@ -2393,7 +2378,7 @@ async def test__async_get_candle_history_empty(default_conf, mocker, caplog):
pair = 'ETH/BTC'
res = await exchange._async_get_candle_history(pair, "5m", CandleType.SPOT)
assert type(res) is tuple
assert len(res) == 4
assert len(res) == 5
assert res[0] == pair
assert res[1] == "5m"
assert res[2] == CandleType.SPOT
@@ -3162,24 +3147,24 @@ def test_cancel_stoploss_order(default_conf, mocker, exchange_name):
def test_cancel_stoploss_order_with_result(default_conf, mocker, exchange_name):
default_conf['dry_run'] = False
mocker.patch('freqtrade.exchange.Exchange.fetch_stoploss_order', return_value={'for': 123})
mocker.patch('freqtrade.exchange.Gateio.fetch_stoploss_order', return_value={'for': 123})
mocker.patch('freqtrade.exchange.Gate.fetch_stoploss_order', return_value={'for': 123})
exchange = get_patched_exchange(mocker, default_conf, id=exchange_name)
res = {'fee': {}, 'status': 'canceled', 'amount': 1234}
mocker.patch('freqtrade.exchange.Exchange.cancel_stoploss_order', return_value=res)
mocker.patch('freqtrade.exchange.Gateio.cancel_stoploss_order', return_value=res)
mocker.patch('freqtrade.exchange.Gate.cancel_stoploss_order', return_value=res)
co = exchange.cancel_stoploss_order_with_result(order_id='_', pair='TKN/BTC', amount=555)
assert co == res
mocker.patch('freqtrade.exchange.Exchange.cancel_stoploss_order', return_value='canceled')
mocker.patch('freqtrade.exchange.Gateio.cancel_stoploss_order', return_value='canceled')
mocker.patch('freqtrade.exchange.Gate.cancel_stoploss_order', return_value='canceled')
# Fall back to fetch_stoploss_order
co = exchange.cancel_stoploss_order_with_result(order_id='_', pair='TKN/BTC', amount=555)
assert co == {'for': 123}
exc = InvalidOrderException("")
mocker.patch('freqtrade.exchange.Exchange.fetch_stoploss_order', side_effect=exc)
mocker.patch('freqtrade.exchange.Gateio.fetch_stoploss_order', side_effect=exc)
mocker.patch('freqtrade.exchange.Gate.fetch_stoploss_order', side_effect=exc)
co = exchange.cancel_stoploss_order_with_result(order_id='_', pair='TKN/BTC', amount=555)
assert co['amount'] == 555
assert co == {'fee': {}, 'status': 'canceled', 'amount': 555, 'info': {}}
@@ -3187,7 +3172,7 @@ def test_cancel_stoploss_order_with_result(default_conf, mocker, exchange_name):
with pytest.raises(InvalidOrderException):
exc = InvalidOrderException("Did not find order")
mocker.patch('freqtrade.exchange.Exchange.cancel_stoploss_order', side_effect=exc)
mocker.patch('freqtrade.exchange.Gateio.cancel_stoploss_order', side_effect=exc)
mocker.patch('freqtrade.exchange.Gate.cancel_stoploss_order', side_effect=exc)
exchange = get_patched_exchange(mocker, default_conf, id=exchange_name)
exchange.cancel_stoploss_order_with_result(order_id='_', pair='TKN/BTC', amount=123)
@@ -3967,14 +3952,14 @@ def test_set_margin_mode(mocker, default_conf, margin_mode):
("bittrex", TradingMode.MARGIN, MarginMode.ISOLATED, True),
("bittrex", TradingMode.FUTURES, MarginMode.CROSS, True),
("bittrex", TradingMode.FUTURES, MarginMode.ISOLATED, True),
("gateio", TradingMode.MARGIN, MarginMode.ISOLATED, True),
("gate", TradingMode.MARGIN, MarginMode.ISOLATED, True),
("okx", TradingMode.SPOT, None, False),
("okx", TradingMode.MARGIN, MarginMode.CROSS, True),
("okx", TradingMode.MARGIN, MarginMode.ISOLATED, True),
("okx", TradingMode.FUTURES, MarginMode.CROSS, True),
("binance", TradingMode.FUTURES, MarginMode.ISOLATED, False),
("gateio", TradingMode.FUTURES, MarginMode.ISOLATED, False),
("gate", TradingMode.FUTURES, MarginMode.ISOLATED, False),
("okx", TradingMode.FUTURES, MarginMode.ISOLATED, False),
# * Remove once implemented
@@ -3982,16 +3967,16 @@ def test_set_margin_mode(mocker, default_conf, margin_mode):
("binance", TradingMode.FUTURES, MarginMode.CROSS, True),
("kraken", TradingMode.MARGIN, MarginMode.CROSS, True),
("kraken", TradingMode.FUTURES, MarginMode.CROSS, True),
("gateio", TradingMode.MARGIN, MarginMode.CROSS, True),
("gateio", TradingMode.FUTURES, MarginMode.CROSS, True),
("gate", TradingMode.MARGIN, MarginMode.CROSS, True),
("gate", TradingMode.FUTURES, MarginMode.CROSS, True),
# * Uncomment once implemented
# ("binance", TradingMode.MARGIN, MarginMode.CROSS, False),
# ("binance", TradingMode.FUTURES, MarginMode.CROSS, False),
# ("kraken", TradingMode.MARGIN, MarginMode.CROSS, False),
# ("kraken", TradingMode.FUTURES, MarginMode.CROSS, False),
# ("gateio", TradingMode.MARGIN, MarginMode.CROSS, False),
# ("gateio", TradingMode.FUTURES, MarginMode.CROSS, False),
# ("gate", TradingMode.MARGIN, MarginMode.CROSS, False),
# ("gate", TradingMode.FUTURES, MarginMode.CROSS, False),
])
def test_validate_trading_mode_and_margin_mode(
default_conf,
@@ -4013,10 +3998,10 @@ 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"}}),
("bybit", "futures", {"options": {"defaultType": "swap"}}),
("gate", "futures", {"options": {"defaultType": "swap"}}),
("hitbtc", "futures", {"options": {"defaultType": "swap"}}),
("kraken", "futures", {"options": {"defaultType": "swap"}}),
("kucoin", "futures", {"options": {"defaultType": "swap"}}),
@@ -4047,7 +4032,7 @@ def test_get_max_leverage_from_margin(default_conf, mocker, pair, nominal_value,
default_conf['margin_mode'] = 'isolated'
api_mock = MagicMock()
type(api_mock).has = PropertyMock(return_value={'fetchLeverageTiers': False})
exchange = get_patched_exchange(mocker, default_conf, api_mock, id="gateio")
exchange = get_patched_exchange(mocker, default_conf, api_mock, id="gate")
assert exchange.get_max_leverage(pair, nominal_value) == max_lev
@@ -4192,10 +4177,10 @@ def test_combine_funding_and_mark(
# ('kraken', "2021-09-01 00:00:00", "2021-09-01 07:59:59", 30.0, -0.0012443999999999999),
# ('kraken', "2021-09-01 00:00:00", "2021-09-01 12:00:00", 30.0, 0.0045759),
# ('kraken', "2021-09-01 00:00:01", "2021-09-01 08:00:00", 30.0, -0.0008289),
('gateio', 0, 2, "2021-09-01 00:10:00", "2021-09-01 04:00:00", 30.0, 0.0),
('gateio', 0, 2, "2021-09-01 00:00:00", "2021-09-01 08:00:00", 30.0, -0.0009140999),
('gateio', 0, 2, "2021-09-01 00:00:00", "2021-09-01 12:00:00", 30.0, -0.0009140999),
('gateio', 1, 2, "2021-09-01 00:00:01", "2021-09-01 08:00:00", 30.0, -0.0002493),
('gate', 0, 2, "2021-09-01 00:10:00", "2021-09-01 04:00:00", 30.0, 0.0),
('gate', 0, 2, "2021-09-01 00:00:00", "2021-09-01 08:00:00", 30.0, -0.0009140999),
('gate', 0, 2, "2021-09-01 00:00:00", "2021-09-01 12:00:00", 30.0, -0.0009140999),
('gate', 1, 2, "2021-09-01 00:00:01", "2021-09-01 08:00:00", 30.0, -0.0002493),
('binance', 0, 2, "2021-09-01 00:00:00", "2021-09-01 08:00:00", 50.0, -0.0015235),
# TODO: Uncoment once _calculate_funding_fees can pas time_in_ratio to exchange._get_funding_fee
# ('kraken', "2021-09-01 00:00:00", "2021-09-01 08:00:00", 50.0, -0.0024895),
@@ -4253,7 +4238,7 @@ def test__fetch_and_calculate_funding_fees(
d2 = datetime.strptime(f"{d2} +0000", '%Y-%m-%d %H:%M:%S %z')
funding_rate_history = {
'binance': funding_rate_history_octohourly,
'gateio': funding_rate_history_octohourly,
'gate': funding_rate_history_octohourly,
}[exchange][rate_start:rate_end]
api_mock = MagicMock()
api_mock.fetch_funding_rate_history = get_mock_coro(return_value=funding_rate_history)
@@ -4282,7 +4267,7 @@ def test__fetch_and_calculate_funding_fees(
@pytest.mark.parametrize('exchange,expected_fees', [
('binance', -0.0009140999999999999),
('gateio', -0.0009140999999999999),
('gate', -0.0009140999999999999),
])
def test__fetch_and_calculate_funding_fees_datetime_called(
mocker,
@@ -4423,7 +4408,7 @@ def test__order_contracts_to_amount(
'info': {},
},
{
# Realistic stoploss order on gateio.
# Realistic stoploss order on gate.
'id': '123456380',
'clientOrderId': '12345638203',
'timestamp': None,
@@ -4622,6 +4607,7 @@ def test_liquidation_price_is_none(
is_short=is_short,
amount=71200.81144,
stake_amount=open_rate * 71200.81144,
leverage=5,
wallet_balance=-56354.57,
mm_ex_1=0.10,
upnl_ex_1=0.0
@@ -4642,7 +4628,7 @@ def test_liquidation_price_is_none(
("binance", False, 'futures', 'cross', 1535443.01, 356512.508,
-448192.89, 16300.000, 109.488, 32481.980, 0.025, 26316.89)
])
def test_liquidation_price(
def test_liquidation_price_binance(
mocker, default_conf, exchange_name, open_rate, is_short, trading_mode,
margin_mode, wallet_balance, mm_ex_1, upnl_ex_1, maintenance_amt, amount, mm_ratio, expected
):
@@ -4660,6 +4646,7 @@ def test_liquidation_price(
upnl_ex_1=upnl_ex_1,
amount=amount,
stake_amount=open_rate * amount,
leverage=5,
), 2)) == expected
@@ -4954,22 +4941,22 @@ 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,
@@ -5002,24 +4989,24 @@ 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'])
@pytest.mark.parametrize("exchange_name", ['bittrex', 'binance', 'kraken', 'gate', 'okx'])
def test__get_params(mocker, default_conf, exchange_name):
api_mock = MagicMock()
mocker.patch('freqtrade.exchange.Exchange.exchange_has', return_value=True)
@@ -5081,6 +5068,7 @@ def test__get_params(mocker, default_conf, exchange_name):
def test_get_liquidation_price1(mocker, default_conf):
api_mock = MagicMock()
leverage = 9.97
positions = [
{
'info': {},
@@ -5093,7 +5081,7 @@ def test_get_liquidation_price1(mocker, default_conf):
'maintenanceMarginPercentage': 0.025,
'entryPrice': 18.884,
'notional': 15.1072,
'leverage': 9.97,
'leverage': leverage,
'unrealizedPnl': 0.0048,
'contracts': 8,
'contractSize': 0.1,
@@ -5123,6 +5111,7 @@ def test_get_liquidation_price1(mocker, default_conf):
is_short=False,
amount=0.8,
stake_amount=18.884 * 0.8,
leverage=leverage,
wallet_balance=18.884 * 0.8,
)
assert liq_price == 17.47
@@ -5135,6 +5124,7 @@ def test_get_liquidation_price1(mocker, default_conf):
is_short=False,
amount=0.8,
stake_amount=18.884 * 0.8,
leverage=leverage,
wallet_balance=18.884 * 0.8,
)
assert liq_price == 17.540699999999998
@@ -5147,6 +5137,7 @@ def test_get_liquidation_price1(mocker, default_conf):
is_short=False,
amount=0.8,
stake_amount=18.884 * 0.8,
leverage=leverage,
wallet_balance=18.884 * 0.8,
)
assert liq_price is None
@@ -5160,17 +5151,18 @@ def test_get_liquidation_price1(mocker, default_conf):
is_short=False,
amount=0.8,
stake_amount=18.884 * 0.8,
leverage=leverage,
wallet_balance=18.884 * 0.8,
)
@pytest.mark.parametrize('liquidation_buffer', [0.0, 0.05])
@pytest.mark.parametrize('liquidation_buffer', [0.0])
@pytest.mark.parametrize(
"is_short,trading_mode,exchange_name,margin_mode,leverage,open_rate,amount,expected_liq", [
(False, 'spot', 'binance', '', 5.0, 10.0, 1.0, None),
(True, 'spot', 'binance', '', 5.0, 10.0, 1.0, None),
(False, 'spot', 'gateio', '', 5.0, 10.0, 1.0, None),
(True, 'spot', 'gateio', '', 5.0, 10.0, 1.0, None),
(False, 'spot', 'gate', '', 5.0, 10.0, 1.0, None),
(True, 'spot', 'gate', '', 5.0, 10.0, 1.0, None),
(False, 'spot', 'okx', '', 5.0, 10.0, 1.0, None),
(True, 'spot', 'okx', '', 5.0, 10.0, 1.0, None),
# Binance, short
@@ -5183,16 +5175,26 @@ def test_get_liquidation_price1(mocker, default_conf):
(False, 'futures', 'binance', 'isolated', 5, 8, 1.0, 6.454545454545454),
(False, 'futures', 'binance', 'isolated', 3, 10, 1.0, 6.723905723905723),
(False, 'futures', 'binance', 'isolated', 5, 10, 0.6, 8.063973063973064),
# Gateio/okx, short
(True, 'futures', 'gateio', 'isolated', 5, 10, 1.0, 11.87413417771621),
(True, 'futures', 'gateio', 'isolated', 5, 10, 2.0, 11.87413417771621),
(True, 'futures', 'gateio', 'isolated', 3, 10, 1.0, 13.193482419684678),
(True, 'futures', 'gateio', 'isolated', 5, 8, 1.0, 9.499307342172967),
# Gate/okx, short
(True, 'futures', 'gate', 'isolated', 5, 10, 1.0, 11.87413417771621),
(True, 'futures', 'gate', 'isolated', 5, 10, 2.0, 11.87413417771621),
(True, 'futures', 'gate', 'isolated', 3, 10, 1.0, 13.193482419684678),
(True, 'futures', 'gate', 'isolated', 5, 8, 1.0, 9.499307342172967),
(True, 'futures', 'okx', 'isolated', 3, 10, 1.0, 13.193482419684678),
# Gateio/okx, long
(False, 'futures', 'gateio', 'isolated', 5.0, 10.0, 1.0, 8.085708510208207),
(False, 'futures', 'gateio', 'isolated', 3.0, 10.0, 1.0, 6.738090425173506),
# Gate/okx, long
(False, 'futures', 'gate', 'isolated', 5.0, 10.0, 1.0, 8.085708510208207),
(False, 'futures', 'gate', 'isolated', 3.0, 10.0, 1.0, 6.738090425173506),
(False, 'futures', 'okx', 'isolated', 3.0, 10.0, 1.0, 6.738090425173506),
# bybit, long
(False, 'futures', 'bybit', 'isolated', 1.0, 10.0, 1.0, 0.1),
(False, 'futures', 'bybit', 'isolated', 3.0, 10.0, 1.0, 6.7666666),
(False, 'futures', 'bybit', 'isolated', 5.0, 10.0, 1.0, 8.1),
(False, 'futures', 'bybit', 'isolated', 10.0, 10.0, 1.0, 9.1),
# bybit, short
(True, 'futures', 'bybit', 'isolated', 1.0, 10.0, 1.0, 19.9),
(True, 'futures', 'bybit', 'isolated', 3.0, 10.0, 1.0, 13.233333),
(True, 'futures', 'bybit', 'isolated', 5.0, 10.0, 1.0, 11.9),
(True, 'futures', 'bybit', 'isolated', 10.0, 10.0, 1.0, 10.9),
]
)
def test_get_liquidation_price(
@@ -5238,7 +5240,7 @@ def test_get_liquidation_price(
leverage = 5, open_rate = 10, amount = 0.6
((1.6 + 0.01) - (1 * 0.6 * 10)) / ((0.6 * 0.01) - (1 * 0.6)) = 7.39057239057239
Gateio/Okx, Short
Gate/Okx, Short
leverage = 5, open_rate = 10, amount = 1.0
(open_rate + (wallet_balance / position)) / (1 + (mm_ratio + taker_fee_rate))
(10 + (2 / 1.0)) / (1 + (0.01 + 0.0006)) = 11.87413417771621
@@ -5249,7 +5251,7 @@ def test_get_liquidation_price(
leverage = 5, open_rate = 8, amount = 1.0
(8 + (1.6 / 1.0)) / (1 + (0.01 + 0.0006)) = 9.499307342172967
Gateio/Okx, Long
Gate/Okx, Long
leverage = 5, open_rate = 10, amount = 1.0
(open_rate - (wallet_balance / position)) / (1 - (mm_ratio + taker_fee_rate))
(10 - (2 / 1)) / (1 - (0.01 + 0.0006)) = 8.085708510208207
@@ -5264,7 +5266,7 @@ def test_get_liquidation_price(
default_conf_usdt['trading_mode'] = trading_mode
default_conf_usdt['exchange']['name'] = exchange_name
default_conf_usdt['margin_mode'] = margin_mode
mocker.patch('freqtrade.exchange.Gateio.validate_ordertypes')
mocker.patch('freqtrade.exchange.Gate.validate_ordertypes')
exchange = get_patched_exchange(mocker, default_conf_usdt, id=exchange_name)
exchange.get_maintenance_ratio_and_amt = MagicMock(return_value=(0.01, 0.01))
@@ -5278,7 +5280,7 @@ def test_get_liquidation_price(
amount=amount,
stake_amount=amount * open_rate / leverage,
wallet_balance=amount * open_rate / leverage,
# leverage=leverage,
leverage=leverage,
is_short=is_short,
)
if expected_liq is None:

34
tests/exchange/test_gateio.py → tests/exchange/test_gate.py
View File

@@ -5,22 +5,22 @@ import pytest
from freqtrade.enums import MarginMode, TradingMode
from freqtrade.exceptions import OperationalException
from freqtrade.exchange import Gateio
from freqtrade.exchange import Gate
from freqtrade.resolvers.exchange_resolver import ExchangeResolver
from tests.conftest import get_patched_exchange
def test_validate_order_types_gateio(default_conf, mocker):
default_conf['exchange']['name'] = 'gateio'
def test_validate_order_types_gate(default_conf, mocker):
default_conf['exchange']['name'] = 'gate'
mocker.patch('freqtrade.exchange.Exchange._init_ccxt')
mocker.patch('freqtrade.exchange.Exchange._load_markets', return_value={})
mocker.patch('freqtrade.exchange.Exchange.validate_pairs')
mocker.patch('freqtrade.exchange.Exchange.validate_timeframes')
mocker.patch('freqtrade.exchange.Exchange.validate_stakecurrency')
mocker.patch('freqtrade.exchange.Exchange.validate_pricing')
mocker.patch('freqtrade.exchange.Exchange.name', 'Bittrex')
exch = ExchangeResolver.load_exchange('gateio', default_conf, True)
assert isinstance(exch, Gateio)
mocker.patch('freqtrade.exchange.Exchange.name', 'Gate')
exch = ExchangeResolver.load_exchange('gate', default_conf, True)
assert isinstance(exch, Gate)
default_conf['order_types'] = {
'entry': 'market',
@@ -31,18 +31,18 @@ def test_validate_order_types_gateio(default_conf, mocker):
with pytest.raises(OperationalException,
match=r'Exchange .* does not support market orders.'):
ExchangeResolver.load_exchange('gateio', default_conf, True)
ExchangeResolver.load_exchange('gate', default_conf, True)
# market-orders supported on futures markets.
default_conf['trading_mode'] = 'futures'
default_conf['margin_mode'] = 'isolated'
ex = ExchangeResolver.load_exchange('gateio', default_conf, True)
ex = ExchangeResolver.load_exchange('gate', default_conf, True)
assert ex
@pytest.mark.usefixtures("init_persistence")
def test_fetch_stoploss_order_gateio(default_conf, mocker):
exchange = get_patched_exchange(mocker, default_conf, id='gateio')
def test_fetch_stoploss_order_gate(default_conf, mocker):
exchange = get_patched_exchange(mocker, default_conf, id='gate')
fetch_order_mock = MagicMock()
exchange.fetch_order = fetch_order_mock
@@ -56,7 +56,7 @@ def test_fetch_stoploss_order_gateio(default_conf, mocker):
default_conf['trading_mode'] = 'futures'
default_conf['margin_mode'] = 'isolated'
exchange = get_patched_exchange(mocker, default_conf, id='gateio')
exchange = get_patched_exchange(mocker, default_conf, id='gate')
exchange.fetch_order = MagicMock(return_value={
'status': 'closed',
@@ -73,8 +73,8 @@ def test_fetch_stoploss_order_gateio(default_conf, mocker):
assert exchange.fetch_order.call_args_list[1][1]['order_id'] == '222555'
def test_cancel_stoploss_order_gateio(default_conf, mocker):
exchange = get_patched_exchange(mocker, default_conf, id='gateio')
def test_cancel_stoploss_order_gate(default_conf, mocker):
exchange = get_patched_exchange(mocker, default_conf, id='gate')
cancel_order_mock = MagicMock()
exchange.cancel_order = cancel_order_mock
@@ -90,8 +90,8 @@ def test_cancel_stoploss_order_gateio(default_conf, mocker):
(1501, 1499, 1501, "sell"),
(1499, 1501, 1499, "buy")
])
def test_stoploss_adjust_gateio(mocker, default_conf, sl1, sl2, sl3, side):
exchange = get_patched_exchange(mocker, default_conf, id='gateio')
def test_stoploss_adjust_gate(mocker, default_conf, sl1, sl2, sl3, side):
exchange = get_patched_exchange(mocker, default_conf, id='gate')
order = {
'price': 1500,
'stopPrice': 1500,
@@ -104,7 +104,7 @@ def test_stoploss_adjust_gateio(mocker, default_conf, sl1, sl2, sl3, side):
('taker', 0.0005, 0.0001554325),
('maker', 0.0, 0.0),
])
def test_fetch_my_trades_gateio(mocker, default_conf, takerormaker, rate, cost):
def test_fetch_my_trades_gate(mocker, default_conf, takerormaker, rate, cost):
mocker.patch('freqtrade.exchange.Exchange.exchange_has', return_value=True)
tick = {'ETH/USDT:USDT': {
'info': {'user_id': '',
@@ -134,7 +134,7 @@ def test_fetch_my_trades_gateio(mocker, default_conf, takerormaker, rate, cost):
'takerOrMaker': takerormaker,
'amount': 1, # 1 contract
}])
exchange = get_patched_exchange(mocker, default_conf, api_mock=api_mock, id='gateio')
exchange = get_patched_exchange(mocker, default_conf, api_mock=api_mock, id='gate')
exchange._trading_fees = tick
trades = exchange.get_trades_for_order('22255', 'ETH/USDT:USDT', datetime.now(timezone.utc))
trade = trades[0]

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', [

4
tests/freqai/test_freqai_datakitchen.py
View File

@@ -82,7 +82,7 @@ def test_compute_distances(mocker, freqai_conf):
freqai = make_data_dictionary(mocker, freqai_conf)
freqai_conf['freqai']['feature_parameters'].update({"DI_threshold": 1})
avg_mean_dist = freqai.dk.compute_distances()
assert round(avg_mean_dist, 2) == 1.99
assert round(avg_mean_dist, 2) == 1.98
def test_use_SVM_to_remove_outliers_and_outlier_protection(mocker, freqai_conf, caplog):
@@ -90,7 +90,7 @@ def test_use_SVM_to_remove_outliers_and_outlier_protection(mocker, freqai_conf,
freqai_conf['freqai']['feature_parameters'].update({"outlier_protection_percentage": 0.1})
freqai.dk.use_SVM_to_remove_outliers(predict=False)
assert log_has_re(
"SVM detected 7.36%",
"SVM detected 7.83%",
caplog,
)

90
tests/freqai/test_freqai_interface.py
View File

@@ -222,6 +222,9 @@ def test_start_backtesting(mocker, freqai_conf, model, num_files, strat, caplog)
if 'test_4ac' in model:
freqai_conf["freqaimodel_path"] = str(Path(__file__).parents[1] / "freqai" / "test_models")
freqai_conf.get("freqai", {}).get("feature_parameters", {}).update(
{"indicator_periods_candles": [2]})
strategy = get_patched_freqai_strategy(mocker, freqai_conf)
exchange = get_patched_exchange(mocker, freqai_conf)
strategy.dp = DataProvider(freqai_conf, exchange)
@@ -232,15 +235,14 @@ def test_start_backtesting(mocker, freqai_conf, model, num_files, strat, caplog)
timerange = TimeRange.parse_timerange("20180110-20180130")
freqai.dd.load_all_pair_histories(timerange, freqai.dk)
sub_timerange = TimeRange.parse_timerange("20180110-20180130")
corr_df, base_df = freqai.dd.get_base_and_corr_dataframes(sub_timerange, "LTC/BTC", freqai.dk)
_, base_df = freqai.dd.get_base_and_corr_dataframes(sub_timerange, "LTC/BTC", freqai.dk)
df = base_df[freqai_conf["timeframe"]]
df = freqai.dk.use_strategy_to_populate_indicators(strategy, corr_df, base_df, "LTC/BTC")
df = freqai.cache_corr_pairlist_dfs(df, freqai.dk)
for i in range(5):
df[f'%-constant_{i}'] = i
metadata = {"pair": "LTC/BTC"}
freqai.start_backtesting(df, metadata, freqai.dk)
freqai.start_backtesting(df, metadata, freqai.dk, strategy)
model_folders = [x for x in freqai.dd.full_path.iterdir() if x.is_dir()]
assert len(model_folders) == num_files
@@ -261,6 +263,8 @@ def test_start_backtesting_subdaily_backtest_period(mocker, freqai_conf):
freqai_conf.update({"timerange": "20180120-20180124"})
freqai_conf.get("freqai", {}).update({"backtest_period_days": 0.5})
freqai_conf.get("freqai", {}).update({"save_backtest_models": True})
freqai_conf.get("freqai", {}).get("feature_parameters", {}).update(
{"indicator_periods_candles": [2]})
strategy = get_patched_freqai_strategy(mocker, freqai_conf)
exchange = get_patched_exchange(mocker, freqai_conf)
strategy.dp = DataProvider(freqai_conf, exchange)
@@ -271,12 +275,11 @@ def test_start_backtesting_subdaily_backtest_period(mocker, freqai_conf):
timerange = TimeRange.parse_timerange("20180110-20180130")
freqai.dd.load_all_pair_histories(timerange, freqai.dk)
sub_timerange = TimeRange.parse_timerange("20180110-20180130")
corr_df, base_df = freqai.dd.get_base_and_corr_dataframes(sub_timerange, "LTC/BTC", freqai.dk)
df = freqai.dk.use_strategy_to_populate_indicators(strategy, corr_df, base_df, "LTC/BTC")
_, base_df = freqai.dd.get_base_and_corr_dataframes(sub_timerange, "LTC/BTC", freqai.dk)
df = base_df[freqai_conf["timeframe"]]
metadata = {"pair": "LTC/BTC"}
freqai.start_backtesting(df, metadata, freqai.dk)
freqai.start_backtesting(df, metadata, freqai.dk, strategy)
model_folders = [x for x in freqai.dd.full_path.iterdir() if x.is_dir()]
assert len(model_folders) == 9
@@ -287,6 +290,8 @@ def test_start_backtesting_subdaily_backtest_period(mocker, freqai_conf):
def test_start_backtesting_from_existing_folder(mocker, freqai_conf, caplog):
freqai_conf.update({"timerange": "20180120-20180130"})
freqai_conf.get("freqai", {}).update({"save_backtest_models": True})
freqai_conf.get("freqai", {}).get("feature_parameters", {}).update(
{"indicator_periods_candles": [2]})
strategy = get_patched_freqai_strategy(mocker, freqai_conf)
exchange = get_patched_exchange(mocker, freqai_conf)
strategy.dp = DataProvider(freqai_conf, exchange)
@@ -296,15 +301,14 @@ def test_start_backtesting_from_existing_folder(mocker, freqai_conf, caplog):
freqai.dk = FreqaiDataKitchen(freqai_conf)
timerange = TimeRange.parse_timerange("20180110-20180130")
freqai.dd.load_all_pair_histories(timerange, freqai.dk)
sub_timerange = TimeRange.parse_timerange("20180110-20180130")
corr_df, base_df = freqai.dd.get_base_and_corr_dataframes(sub_timerange, "LTC/BTC", freqai.dk)
df = freqai.dk.use_strategy_to_populate_indicators(strategy, corr_df, base_df, "LTC/BTC")
sub_timerange = TimeRange.parse_timerange("20180101-20180130")
_, base_df = freqai.dd.get_base_and_corr_dataframes(sub_timerange, "LTC/BTC", freqai.dk)
df = base_df[freqai_conf["timeframe"]]
pair = "ADA/BTC"
metadata = {"pair": pair}
freqai.dk.pair = pair
freqai.start_backtesting(df, metadata, freqai.dk)
freqai.start_backtesting(df, metadata, freqai.dk, strategy)
model_folders = [x for x in freqai.dd.full_path.iterdir() if x.is_dir()]
assert len(model_folders) == 2
@@ -322,14 +326,13 @@ def test_start_backtesting_from_existing_folder(mocker, freqai_conf, caplog):
timerange = TimeRange.parse_timerange("20180110-20180130")
freqai.dd.load_all_pair_histories(timerange, freqai.dk)
sub_timerange = TimeRange.parse_timerange("20180110-20180130")
corr_df, base_df = freqai.dd.get_base_and_corr_dataframes(sub_timerange, "LTC/BTC", freqai.dk)
df = freqai.dk.use_strategy_to_populate_indicators(strategy, corr_df, base_df, "LTC/BTC")
_, base_df = freqai.dd.get_base_and_corr_dataframes(sub_timerange, "LTC/BTC", freqai.dk)
df = base_df[freqai_conf["timeframe"]]
pair = "ADA/BTC"
metadata = {"pair": pair}
freqai.dk.pair = pair
freqai.start_backtesting(df, metadata, freqai.dk)
freqai.start_backtesting(df, metadata, freqai.dk, strategy)
assert log_has_re(
"Found backtesting prediction file ",
@@ -339,7 +342,7 @@ def test_start_backtesting_from_existing_folder(mocker, freqai_conf, caplog):
pair = "ETH/BTC"
metadata = {"pair": pair}
freqai.dk.pair = pair
freqai.start_backtesting(df, metadata, freqai.dk)
freqai.start_backtesting(df, metadata, freqai.dk, strategy)
path = (freqai.dd.full_path / freqai.dk.backtest_predictions_folder)
prediction_files = [x for x in path.iterdir() if x.is_file()]
@@ -373,57 +376,6 @@ def test_backtesting_fit_live_predictions(mocker, freqai_conf, caplog):
shutil.rmtree(Path(freqai.dk.full_path))
def test_follow_mode(mocker, freqai_conf):
freqai_conf.update({"timerange": "20180110-20180130"})
strategy = get_patched_freqai_strategy(mocker, freqai_conf)
exchange = get_patched_exchange(mocker, freqai_conf)
strategy.dp = DataProvider(freqai_conf, exchange)
strategy.freqai_info = freqai_conf.get("freqai", {})
freqai = strategy.freqai
freqai.live = True
freqai.dk = FreqaiDataKitchen(freqai_conf)
timerange = TimeRange.parse_timerange("20180110-20180130")
freqai.dd.load_all_pair_histories(timerange, freqai.dk)
metadata = {"pair": "ADA/BTC"}
freqai.dd.set_pair_dict_info(metadata)
data_load_timerange = TimeRange.parse_timerange("20180110-20180130")
new_timerange = TimeRange.parse_timerange("20180120-20180130")
freqai.extract_data_and_train_model(
new_timerange, "ADA/BTC", strategy, freqai.dk, data_load_timerange)
assert Path(freqai.dk.data_path / f"{freqai.dk.model_filename}_model.joblib").is_file()
assert Path(freqai.dk.data_path / f"{freqai.dk.model_filename}_metadata.json").is_file()
assert Path(freqai.dk.data_path / f"{freqai.dk.model_filename}_trained_df.pkl").is_file()
assert Path(freqai.dk.data_path / f"{freqai.dk.model_filename}_svm_model.joblib").is_file()
# start the follower and ask it to predict on existing files
freqai_conf.get("freqai", {}).update({"follow_mode": "true"})
strategy = get_patched_freqai_strategy(mocker, freqai_conf)
exchange = get_patched_exchange(mocker, freqai_conf)
strategy.dp = DataProvider(freqai_conf, exchange)
strategy.freqai_info = freqai_conf.get("freqai", {})
freqai = strategy.freqai
freqai.live = True
freqai.dk = FreqaiDataKitchen(freqai_conf, freqai.live)
timerange = TimeRange.parse_timerange("20180110-20180130")
freqai.dd.load_all_pair_histories(timerange, freqai.dk)
df = strategy.dp.get_pair_dataframe('ADA/BTC', '5m')
freqai.dk.pair = "ADA/BTC"
freqai.start_live(df, metadata, strategy, freqai.dk)
assert len(freqai.dk.return_dataframe.index) == 5702
shutil.rmtree(Path(freqai.dk.full_path))
def test_principal_component_analysis(mocker, freqai_conf):
freqai_conf.update({"timerange": "20180110-20180130"})
freqai_conf.get("freqai", {}).get("feature_parameters", {}).update(

4
tests/optimize/conftest.py
View File

@@ -48,8 +48,8 @@ def hyperopt_results():
return pd.DataFrame(
{
'pair': ['ETH/USDT', 'ETH/USDT', 'ETH/USDT', 'ETH/USDT'],
'profit_ratio': [-0.1, 0.2, -0.1, 0.3],
'profit_abs': [-0.2, 0.4, -0.2, 0.6],
'profit_ratio': [-0.1, 0.2, -0.12, 0.3],
'profit_abs': [-0.2, 0.4, -0.21, 0.6],
'trade_duration': [10, 30, 10, 10],
'amount': [0.1, 0.1, 0.1, 0.1],
'exit_reason': [ExitType.STOP_LOSS, ExitType.ROI, ExitType.STOP_LOSS, ExitType.ROI],

2
tests/optimize/test_backtest_detail.py
View File

@@ -919,6 +919,7 @@ def test_backtest_results(default_conf, fee, mocker, caplog, data: BTContainer)
default_conf["trailing_stop_positive"] = data.trailing_stop_positive
default_conf["trailing_stop_positive_offset"] = data.trailing_stop_positive_offset
default_conf["use_exit_signal"] = data.use_exit_signal
default_conf["max_open_trades"] = 10
mocker.patch("freqtrade.exchange.Exchange.get_fee", return_value=0.0)
mocker.patch("freqtrade.exchange.Exchange.get_min_pair_stake_amount", return_value=0.00001)
@@ -951,7 +952,6 @@ def test_backtest_results(default_conf, fee, mocker, caplog, data: BTContainer)
processed=data_processed,
start_date=min_date,
end_date=max_date,
max_open_trades=10,
)
results = result['results']

219
tests/optimize/test_backtesting.py
View File

@@ -19,12 +19,12 @@ from freqtrade.data.btanalysis import BT_DATA_COLUMNS, evaluate_result_multi
from freqtrade.data.converter import clean_ohlcv_dataframe
from freqtrade.data.dataprovider import DataProvider
from freqtrade.data.history import get_timerange
from freqtrade.enums import ExitType, RunMode
from freqtrade.enums import CandleType, ExitType, RunMode
from freqtrade.exceptions import DependencyException, OperationalException
from freqtrade.exchange.exchange import timeframe_to_next_date
from freqtrade.optimize.backtest_caching import get_strategy_run_id
from freqtrade.optimize.backtesting import Backtesting
from freqtrade.persistence import LocalTrade
from freqtrade.persistence import LocalTrade, Trade
from freqtrade.resolvers import StrategyResolver
from tests.conftest import (CURRENT_TEST_STRATEGY, get_args, log_has, log_has_re, patch_exchange,
patched_configuration_load_config_file)
@@ -96,7 +96,6 @@ def _make_backtest_conf(mocker, datadir, conf=None, pair='UNITTEST/BTC'):
'processed': processed,
'start_date': min_date,
'end_date': max_date,
'max_open_trades': 10,
}
@@ -360,7 +359,6 @@ def test_backtesting_start(default_conf, mocker, testdatadir, caplog) -> None:
PropertyMock(return_value=['UNITTEST/BTC']))
default_conf['timeframe'] = '1m'
default_conf['datadir'] = testdatadir
default_conf['export'] = 'signals'
default_conf['exportfilename'] = 'export.txt'
default_conf['timerange'] = '-1510694220'
@@ -396,7 +394,6 @@ def test_backtesting_start_no_data(default_conf, mocker, caplog, testdatadir) ->
PropertyMock(return_value=['UNITTEST/BTC']))
default_conf['timeframe'] = "1m"
default_conf['datadir'] = testdatadir
default_conf['export'] = 'none'
default_conf['timerange'] = '20180101-20180102'
@@ -417,7 +414,6 @@ def test_backtesting_no_pair_left(default_conf, mocker, caplog, testdatadir) ->
PropertyMock(return_value=[]))
default_conf['timeframe'] = "1m"
default_conf['datadir'] = testdatadir
default_conf['export'] = 'none'
default_conf['timerange'] = '20180101-20180102'
@@ -451,7 +447,6 @@ def test_backtesting_pairlist_list(default_conf, mocker, caplog, testdatadir, ti
mocker.patch('freqtrade.plugins.pairlistmanager.PairListManager.refresh_pairlist')
default_conf['ticker_interval'] = "1m"
default_conf['datadir'] = testdatadir
default_conf['export'] = 'none'
# Use stoploss from strategy
del default_conf['stoploss']
@@ -619,7 +614,7 @@ def test_backtest__enter_trade_futures(default_conf_usdt, fee, mocker) -> None:
assert trade is None
def test_backtest__get_sell_trade_entry(default_conf, fee, mocker) -> None:
def test_backtest__check_trade_exit(default_conf, fee, mocker) -> None:
default_conf['use_exit_signal'] = False
mocker.patch('freqtrade.exchange.Exchange.get_fee', fee)
mocker.patch("freqtrade.exchange.Exchange.get_min_pair_stake_amount", return_value=0.00001)
@@ -665,7 +660,7 @@ def test_backtest__get_sell_trade_entry(default_conf, fee, mocker) -> None:
]
# No data available.
res = backtesting._get_exit_trade_entry(trade, row_sell, True)
res = backtesting._check_trade_exit(trade, row_sell)
assert res is not None
assert res.exit_reason == ExitType.ROI.value
assert res.close_date_utc == datetime(2020, 1, 1, 5, 0, tzinfo=timezone.utc)
@@ -678,12 +673,14 @@ def test_backtest__get_sell_trade_entry(default_conf, fee, mocker) -> None:
[], columns=['date', 'open', 'high', 'low', 'close', 'enter_long', 'exit_long',
'enter_short', 'exit_short', 'long_tag', 'short_tag', 'exit_tag'])
res = backtesting._get_exit_trade_entry(trade, row, True)
res = backtesting._check_trade_exit(trade, row)
assert res is None
def test_backtest_one(default_conf, fee, mocker, testdatadir) -> None:
default_conf['use_exit_signal'] = False
default_conf['max_open_trades'] = 10
mocker.patch('freqtrade.exchange.Exchange.get_fee', fee)
mocker.patch("freqtrade.exchange.Exchange.get_min_pair_stake_amount", return_value=0.00001)
mocker.patch("freqtrade.exchange.Exchange.get_max_pair_stake_amount", return_value=float('inf'))
@@ -701,7 +698,6 @@ def test_backtest_one(default_conf, fee, mocker, testdatadir) -> None:
processed=deepcopy(processed),
start_date=min_date,
end_date=max_date,
max_open_trades=10,
)
results = result['results']
assert not results.empty
@@ -785,6 +781,8 @@ def test_backtest_one_detail(default_conf_usdt, fee, mocker, testdatadir, use_de
def custom_entry_price(proposed_rate, **kwargs):
return proposed_rate * 0.997
default_conf_usdt['max_open_trades'] = 10
backtesting = Backtesting(default_conf_usdt)
backtesting._set_strategy(backtesting.strategylist[0])
backtesting.strategy.populate_entry_trend = advise_entry
@@ -792,10 +790,10 @@ def test_backtest_one_detail(default_conf_usdt, fee, mocker, testdatadir, use_de
pair = 'XRP/ETH'
# Pick a timerange adapted to the pair we use to test
timerange = TimeRange.parse_timerange('20191010-20191013')
data = history.load_data(datadir=testdatadir, timeframe='5m', pairs=['XRP/ETH'],
data = history.load_data(datadir=testdatadir, timeframe='5m', pairs=[pair],
timerange=timerange)
if use_detail:
data_1m = history.load_data(datadir=testdatadir, timeframe='1m', pairs=['XRP/ETH'],
data_1m = history.load_data(datadir=testdatadir, timeframe='1m', pairs=[pair],
timerange=timerange)
backtesting.detail_data = data_1m
processed = backtesting.strategy.advise_all_indicators(data)
@@ -805,7 +803,6 @@ def test_backtest_one_detail(default_conf_usdt, fee, mocker, testdatadir, use_de
processed=deepcopy(processed),
start_date=min_date,
end_date=max_date,
max_open_trades=10,
)
results = result['results']
assert not results.empty
@@ -849,6 +846,164 @@ def test_backtest_one_detail(default_conf_usdt, fee, mocker, testdatadir, use_de
assert late_entry > 0
@pytest.mark.parametrize('use_detail', [True, False])
def test_backtest_one_detail_futures(
default_conf_usdt, fee, mocker, testdatadir, use_detail) -> None:
default_conf_usdt['use_exit_signal'] = False
default_conf_usdt['trading_mode'] = 'futures'
default_conf_usdt['margin_mode'] = 'isolated'
default_conf_usdt['candle_type_def'] = CandleType.FUTURES
mocker.patch('freqtrade.exchange.Exchange.get_fee', fee)
mocker.patch("freqtrade.exchange.Exchange.get_min_pair_stake_amount", return_value=0.00001)
mocker.patch("freqtrade.exchange.Exchange.get_max_pair_stake_amount", return_value=float('inf'))
mocker.patch('freqtrade.plugins.pairlistmanager.PairListManager.whitelist',
PropertyMock(return_value=['XRP/USDT:USDT']))
mocker.patch("freqtrade.exchange.Exchange.get_maintenance_ratio_and_amt",
return_value=(0.01, 0.01))
default_conf_usdt['timeframe'] = '1h'
if use_detail:
default_conf_usdt['timeframe_detail'] = '5m'
patch_exchange(mocker)
def advise_entry(df, *args, **kwargs):
# Mock function to force several entries
df.loc[(df['rsi'] < 40), 'enter_long'] = 1
return df
def custom_entry_price(proposed_rate, **kwargs):
return proposed_rate * 0.997
default_conf_usdt['max_open_trades'] = 10
backtesting = Backtesting(default_conf_usdt)
backtesting._set_strategy(backtesting.strategylist[0])
backtesting.strategy.populate_entry_trend = advise_entry
backtesting.strategy.custom_entry_price = custom_entry_price
pair = 'XRP/USDT:USDT'
# Pick a timerange adapted to the pair we use to test
timerange = TimeRange.parse_timerange('20211117-20211119')
data = history.load_data(datadir=Path(testdatadir), timeframe='1h', pairs=[pair],
timerange=timerange, candle_type=CandleType.FUTURES)
backtesting.load_bt_data_detail()
processed = backtesting.strategy.advise_all_indicators(data)
min_date, max_date = get_timerange(processed)
result = backtesting.backtest(
processed=deepcopy(processed),
start_date=min_date,
end_date=max_date,
)
results = result['results']
assert not results.empty
# Timeout settings from default_conf = entry: 10, exit: 30
assert len(results) == (5 if use_detail else 2)
assert 'orders' in results.columns
data_pair = processed[pair]
data_1m_pair = backtesting.detail_data[pair] if use_detail else pd.DataFrame()
late_entry = 0
for _, t in results.iterrows():
assert len(t['orders']) == 2
entryo = t['orders'][0]
entry_ts = datetime.fromtimestamp(entryo['order_filled_timestamp'] // 1000, tz=timezone.utc)
if entry_ts > t['open_date']:
late_entry += 1
# Get "entry fill" candle
ln = (data_1m_pair.loc[data_1m_pair["date"] == entry_ts]
if use_detail else data_pair.loc[data_pair["date"] == entry_ts])
# Check open trade rate aligns to open rate
assert not ln.empty
assert round(ln.iloc[0]["low"], 6) <= round(
t["open_rate"], 6) <= round(ln.iloc[0]["high"], 6)
# check close trade rate aligns to close rate or is between high and low
ln1 = data_pair.loc[data_pair["date"] == t["close_date"]]
if use_detail:
ln1_1m = data_1m_pair.loc[data_1m_pair["date"] == t["close_date"]]
assert not ln1.empty or not ln1_1m.empty
else:
assert not ln1.empty
ln2 = ln1_1m if ln1.empty else ln1
assert (round(ln2.iloc[0]["low"], 6) <= round(
t["close_rate"], 6) <= round(ln2.iloc[0]["high"], 6))
assert -0.0181 < Trade.trades[1].funding_fees < -0.01
# assert late_entry > 0
@pytest.mark.parametrize('use_detail', [True, False])
def test_backtest_one_detail_futures_funding_fees(
default_conf_usdt, fee, mocker, testdatadir, use_detail) -> None:
default_conf_usdt['use_exit_signal'] = False
default_conf_usdt['trading_mode'] = 'futures'
default_conf_usdt['margin_mode'] = 'isolated'
default_conf_usdt['candle_type_def'] = CandleType.FUTURES
default_conf_usdt['minimal_roi'] = {'0': 1}
default_conf_usdt['dry_run_wallet'] = 100000
mocker.patch('freqtrade.exchange.Exchange.get_fee', fee)
mocker.patch("freqtrade.exchange.Exchange.get_min_pair_stake_amount", return_value=0.00001)
mocker.patch("freqtrade.exchange.Exchange.get_max_pair_stake_amount", return_value=float('inf'))
mocker.patch('freqtrade.plugins.pairlistmanager.PairListManager.whitelist',
PropertyMock(return_value=['XRP/USDT:USDT']))
mocker.patch("freqtrade.exchange.Exchange.get_maintenance_ratio_and_amt",
return_value=(0.01, 0.01))
default_conf_usdt['timeframe'] = '1h'
if use_detail:
default_conf_usdt['timeframe_detail'] = '5m'
patch_exchange(mocker)
def advise_entry(df, *args, **kwargs):
# Mock function to force several entries
df.loc[:, 'enter_long'] = 1
return df
def adjust_trade_position(trade, current_time, **kwargs):
if current_time > datetime(2021, 11, 18, 2, 0, 0, tzinfo=timezone.utc):
return None
return default_conf_usdt['stake_amount']
default_conf_usdt['max_open_trades'] = 1
backtesting = Backtesting(default_conf_usdt)
backtesting._set_strategy(backtesting.strategylist[0])
backtesting.strategy.populate_entry_trend = advise_entry
backtesting.strategy.adjust_trade_position = adjust_trade_position
backtesting.strategy.leverage = lambda **kwargs: 1
backtesting.strategy.position_adjustment_enable = True
pair = 'XRP/USDT:USDT'
# Pick a timerange adapted to the pair we use to test
timerange = TimeRange.parse_timerange('20211117-20211119')
data = history.load_data(datadir=Path(testdatadir), timeframe='1h', pairs=[pair],
timerange=timerange, candle_type=CandleType.FUTURES)
backtesting.load_bt_data_detail()
processed = backtesting.strategy.advise_all_indicators(data)
min_date, max_date = get_timerange(processed)
result = backtesting.backtest(
processed=deepcopy(processed),
start_date=min_date,
end_date=max_date,
)
results = result['results']
assert not results.empty
# Only one result - as we're not selling.
assert len(results) == 1
assert 'orders' in results.columns
for t in Trade.trades:
# At least 4 adjustment orders
assert t.nr_of_successful_entries >= 6
# Funding fees will vary depending on the number of adjustment orders
# That number is a lot higher with detail data.
assert -20 < t.funding_fees < -0.1
def test_backtest_timedout_entry_orders(default_conf, fee, mocker, testdatadir) -> None:
# This strategy intentionally places unfillable orders.
default_conf['strategy'] = 'StrategyTestV3CustomEntryPrice'
@@ -859,6 +1014,7 @@ def test_backtest_timedout_entry_orders(default_conf, fee, mocker, testdatadir)
mocker.patch("freqtrade.exchange.Exchange.get_min_pair_stake_amount", return_value=0.00001)
mocker.patch("freqtrade.exchange.Exchange.get_max_pair_stake_amount", return_value=float('inf'))
patch_exchange(mocker)
default_conf['max_open_trades'] = 1
backtesting = Backtesting(default_conf)
backtesting._set_strategy(backtesting.strategylist[0])
# Testing dataframe contains 11 candles. Expecting 10 timed out orders.
@@ -871,7 +1027,6 @@ def test_backtest_timedout_entry_orders(default_conf, fee, mocker, testdatadir)
processed=deepcopy(data),
start_date=min_date,
end_date=max_date,
max_open_trades=1,
)
assert result['timedout_entry_orders'] == 10
@@ -879,6 +1034,7 @@ def test_backtest_timedout_entry_orders(default_conf, fee, mocker, testdatadir)
def test_backtest_1min_timeframe(default_conf, fee, mocker, testdatadir) -> None:
default_conf['use_exit_signal'] = False
default_conf['max_open_trades'] = 1
mocker.patch('freqtrade.exchange.Exchange.get_fee', fee)
mocker.patch("freqtrade.exchange.Exchange.get_min_pair_stake_amount", return_value=0.00001)
mocker.patch("freqtrade.exchange.Exchange.get_max_pair_stake_amount", return_value=float('inf'))
@@ -896,7 +1052,6 @@ def test_backtest_1min_timeframe(default_conf, fee, mocker, testdatadir) -> None
processed=processed,
start_date=min_date,
end_date=max_date,
max_open_trades=1,
)
assert not results['results'].empty
assert len(results['results']) == 1
@@ -904,6 +1059,8 @@ def test_backtest_1min_timeframe(default_conf, fee, mocker, testdatadir) -> None
def test_backtest_trim_no_data_left(default_conf, fee, mocker, testdatadir) -> None:
default_conf['use_exit_signal'] = False
default_conf['max_open_trades'] = 10
mocker.patch('freqtrade.exchange.Exchange.get_fee', fee)
mocker.patch("freqtrade.exchange.Exchange.get_min_pair_stake_amount", return_value=0.00001)
mocker.patch("freqtrade.exchange.Exchange.get_max_pair_stake_amount", return_value=float('inf'))
@@ -927,7 +1084,6 @@ def test_backtest_trim_no_data_left(default_conf, fee, mocker, testdatadir) -> N
processed=deepcopy(processed),
start_date=min_date,
end_date=max_date,
max_open_trades=10,
)
@@ -948,6 +1104,7 @@ def test_processed(default_conf, mocker, testdatadir) -> None:
def test_backtest_dataprovider_analyzed_df(default_conf, fee, mocker, testdatadir) -> None:
default_conf['use_exit_signal'] = False
default_conf['max_open_trades'] = 10
mocker.patch('freqtrade.exchange.Exchange.get_fee', fee)
mocker.patch("freqtrade.exchange.Exchange.get_min_pair_stake_amount", return_value=0.00001)
mocker.patch("freqtrade.exchange.Exchange.get_max_pair_stake_amount", return_value=100000)
@@ -981,7 +1138,6 @@ def test_backtest_dataprovider_analyzed_df(default_conf, fee, mocker, testdatadi
processed=deepcopy(processed),
start_date=min_date,
end_date=max_date,
max_open_trades=10,
)
assert count == 5
@@ -998,6 +1154,7 @@ def test_backtest_pricecontours_protections(default_conf, fee, mocker, testdatad
default_conf['enable_protections'] = True
default_conf['timeframe'] = '1m'
default_conf['max_open_trades'] = 1
mocker.patch('freqtrade.exchange.Exchange.get_fee', fee)
mocker.patch("freqtrade.exchange.Exchange.get_min_pair_stake_amount", return_value=0.00001)
mocker.patch("freqtrade.exchange.Exchange.get_max_pair_stake_amount", return_value=float('inf'))
@@ -1024,7 +1181,6 @@ def test_backtest_pricecontours_protections(default_conf, fee, mocker, testdatad
processed=processed,
start_date=min_date,
end_date=max_date,
max_open_trades=1,
)
assert len(results['results']) == numres
@@ -1062,11 +1218,12 @@ def test_backtest_pricecontours(default_conf, fee, mocker, testdatadir,
processed = backtesting.strategy.advise_all_indicators(data)
min_date, max_date = get_timerange(processed)
assert isinstance(processed, dict)
backtesting.strategy.max_open_trades = 1
backtesting.config.update({'max_open_trades': 1})
results = backtesting.backtest(
processed=processed,
start_date=min_date,
end_date=max_date,
max_open_trades=1,
)
assert len(results['results']) == expected
@@ -1077,7 +1234,7 @@ def test_backtest_clash_buy_sell(mocker, default_conf, testdatadir):
buy_value = 1
sell_value = 1
return _trend(dataframe, buy_value, sell_value)
default_conf['max_open_trades'] = 10
backtest_conf = _make_backtest_conf(mocker, conf=default_conf, datadir=testdatadir)
backtesting = Backtesting(default_conf)
backtesting._set_strategy(backtesting.strategylist[0])
@@ -1094,6 +1251,7 @@ def test_backtest_only_sell(mocker, default_conf, testdatadir):
sell_value = 1
return _trend(dataframe, buy_value, sell_value)
default_conf['max_open_trades'] = 10
backtest_conf = _make_backtest_conf(mocker, conf=default_conf, datadir=testdatadir)
backtesting = Backtesting(default_conf)
backtesting._set_strategy(backtesting.strategylist[0])
@@ -1107,6 +1265,7 @@ def test_backtest_alternate_buy_sell(default_conf, fee, mocker, testdatadir):
mocker.patch("freqtrade.exchange.Exchange.get_min_pair_stake_amount", return_value=0.00001)
mocker.patch("freqtrade.exchange.Exchange.get_max_pair_stake_amount", return_value=float('inf'))
mocker.patch('freqtrade.exchange.Exchange.get_fee', fee)
default_conf['max_open_trades'] = 10
backtest_conf = _make_backtest_conf(mocker, conf=default_conf,
pair='UNITTEST/BTC', datadir=testdatadir)
default_conf['timeframe'] = '1m'
@@ -1165,6 +1324,7 @@ def test_backtest_multi_pair(default_conf, fee, mocker, tres, pair, testdatadir)
if tres > 0:
data[pair] = data[pair][tres:].reset_index()
default_conf['timeframe'] = '5m'
default_conf['max_open_trades'] = 3
backtesting = Backtesting(default_conf)
backtesting._set_strategy(backtesting.strategylist[0])
@@ -1173,11 +1333,11 @@ def test_backtest_multi_pair(default_conf, fee, mocker, tres, pair, testdatadir)
processed = backtesting.strategy.advise_all_indicators(data)
min_date, max_date = get_timerange(processed)
backtest_conf = {
'processed': deepcopy(processed),
'start_date': min_date,
'end_date': max_date,
'max_open_trades': 3,
}
results = backtesting.backtest(**backtest_conf)
@@ -1195,11 +1355,12 @@ def test_backtest_multi_pair(default_conf, fee, mocker, tres, pair, testdatadir)
backtesting.dataprovider.get_analyzed_dataframe('NXT/BTC', '5m')[0]
) == len(data['NXT/BTC']) - 1 - backtesting.strategy.startup_candle_count
backtesting.strategy.max_open_trades = 1
backtesting.config.update({'max_open_trades': 1})
backtest_conf = {
'processed': deepcopy(processed),
'start_date': min_date,
'end_date': max_date,
'max_open_trades': 1,
}
results = backtesting.backtest(**backtest_conf)
assert len(evaluate_result_multi(results['results'], '5m', 1)) == 0
@@ -1460,7 +1621,7 @@ 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)
@@ -1491,7 +1652,7 @@ 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',
@@ -1507,7 +1668,7 @@ 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',
@@ -1552,7 +1713,7 @@ 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)
@@ -1575,8 +1736,8 @@ 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}',
]

2
tests/optimize/test_backtesting_adjust_position.py
View File

@@ -17,6 +17,7 @@ from tests.conftest import patch_exchange
def test_backtest_position_adjustment(default_conf, fee, mocker, testdatadir) -> None:
default_conf['use_exit_signal'] = False
default_conf['max_open_trades'] = 10
mocker.patch('freqtrade.exchange.Exchange.get_fee', fee)
mocker.patch('freqtrade.optimize.backtesting.amount_to_contract_precision',
lambda x, *args, **kwargs: round(x, 8))
@@ -41,7 +42,6 @@ def test_backtest_position_adjustment(default_conf, fee, mocker, testdatadir) ->
processed=deepcopy(processed),
start_date=min_date,
end_date=max_date,
max_open_trades=10,
)
results = result['results']
assert not results.empty

149
tests/optimize/test_hyperopt.py
View File

@@ -1,5 +1,6 @@
# pragma pylint: disable=missing-docstring,W0212,C0103
from datetime import datetime, timedelta
from functools import wraps
from pathlib import Path
from unittest.mock import ANY, MagicMock, PropertyMock
@@ -7,6 +8,7 @@ import pandas as pd
import pytest
from arrow import Arrow
from filelock import Timeout
from skopt.space import Integer
from freqtrade.commands.optimize_commands import setup_optimize_configuration, start_hyperopt
from freqtrade.data.history import load_data
@@ -292,6 +294,8 @@ def test_params_no_optimize_details(hyperopt) -> None:
assert res['roi']['0'] == 0.04
assert "stoploss" in res
assert res['stoploss']['stoploss'] == -0.1
assert "max_open_trades" in res
assert res['max_open_trades']['max_open_trades'] == 1
def test_start_calls_optimizer(mocker, hyperopt_conf, capsys) -> None:
@@ -334,8 +338,7 @@ def test_start_calls_optimizer(mocker, hyperopt_conf, capsys) -> None:
assert dumper2.call_count == 1
assert hasattr(hyperopt.backtesting.strategy, "advise_exit")
assert hasattr(hyperopt.backtesting.strategy, "advise_entry")
assert hasattr(hyperopt, "max_open_trades")
assert hyperopt.max_open_trades == hyperopt_conf['max_open_trades']
assert hyperopt.backtesting.strategy.max_open_trades == hyperopt_conf['max_open_trades']
assert hasattr(hyperopt.backtesting, "_position_stacking")
@@ -474,6 +477,7 @@ def test_generate_optimizer(mocker, hyperopt_conf) -> None:
'trailing_stop_positive': 0.02,
'trailing_stop_positive_offset_p1': 0.05,
'trailing_only_offset_is_reached': False,
'max_open_trades': 3,
}
response_expected = {
'loss': 1.9147239021396234,
@@ -499,7 +503,9 @@ def test_generate_optimizer(mocker, hyperopt_conf) -> None:
'trailing': {'trailing_only_offset_is_reached': False,
'trailing_stop': True,
'trailing_stop_positive': 0.02,
'trailing_stop_positive_offset': 0.07}},
'trailing_stop_positive_offset': 0.07},
'max_open_trades': {'max_open_trades': 3}
},
'params_dict': optimizer_param,
'params_not_optimized': {'buy': {}, 'protection': {}, 'sell': {}},
'results_metrics': ANY,
@@ -548,7 +554,8 @@ def test_print_json_spaces_all(mocker, hyperopt_conf, capsys) -> None:
'buy': {'mfi-value': None},
'sell': {'sell-mfi-value': None},
'roi': {}, 'stoploss': {'stoploss': None},
'trailing': {'trailing_stop': None}
'trailing': {'trailing_stop': None},
'max_open_trades': {'max_open_trades': None}
},
'results_metrics': generate_result_metrics(),
}])
@@ -571,7 +578,7 @@ def test_print_json_spaces_all(mocker, hyperopt_conf, capsys) -> None:
out, err = capsys.readouterr()
result_str = (
'{"params":{"mfi-value":null,"sell-mfi-value":null},"minimal_roi"'
':{},"stoploss":null,"trailing_stop":null}'
':{},"stoploss":null,"trailing_stop":null,"max_open_trades":null}'
)
assert result_str in out # noqa: E501
# Should be called for historical candle data
@@ -702,8 +709,7 @@ def test_simplified_interface_roi_stoploss(mocker, hyperopt_conf, capsys) -> Non
assert hasattr(hyperopt.backtesting.strategy, "advise_exit")
assert hasattr(hyperopt.backtesting.strategy, "advise_entry")
assert hasattr(hyperopt, "max_open_trades")
assert hyperopt.max_open_trades == hyperopt_conf['max_open_trades']
assert hyperopt.backtesting.strategy.max_open_trades == hyperopt_conf['max_open_trades']
assert hasattr(hyperopt.backtesting, "_position_stacking")
@@ -776,8 +782,7 @@ def test_simplified_interface_buy(mocker, hyperopt_conf, capsys) -> None:
assert dumper2.call_count == 1
assert hasattr(hyperopt.backtesting.strategy, "advise_exit")
assert hasattr(hyperopt.backtesting.strategy, "advise_entry")
assert hasattr(hyperopt, "max_open_trades")
assert hyperopt.max_open_trades == hyperopt_conf['max_open_trades']
assert hyperopt.backtesting.strategy.max_open_trades == hyperopt_conf['max_open_trades']
assert hasattr(hyperopt.backtesting, "_position_stacking")
@@ -819,8 +824,7 @@ def test_simplified_interface_sell(mocker, hyperopt_conf, capsys) -> None:
assert dumper2.call_count == 1
assert hasattr(hyperopt.backtesting.strategy, "advise_exit")
assert hasattr(hyperopt.backtesting.strategy, "advise_entry")
assert hasattr(hyperopt, "max_open_trades")
assert hyperopt.max_open_trades == hyperopt_conf['max_open_trades']
assert hyperopt.backtesting.strategy.max_open_trades == hyperopt_conf['max_open_trades']
assert hasattr(hyperopt.backtesting, "_position_stacking")
@@ -874,6 +878,7 @@ def test_in_strategy_auto_hyperopt(mocker, hyperopt_conf, tmpdir, fee) -> None:
assert hyperopt.backtesting.strategy.buy_rsi.value == 35
assert hyperopt.backtesting.strategy.sell_rsi.value == 74
assert hyperopt.backtesting.strategy.protection_cooldown_lookback.value == 30
assert hyperopt.backtesting.strategy.max_open_trades == 1
buy_rsi_range = hyperopt.backtesting.strategy.buy_rsi.range
assert isinstance(buy_rsi_range, range)
# Range from 0 - 50 (inclusive)
@@ -884,6 +889,7 @@ def test_in_strategy_auto_hyperopt(mocker, hyperopt_conf, tmpdir, fee) -> None:
assert hyperopt.backtesting.strategy.protection_cooldown_lookback.value != 30
assert hyperopt.backtesting.strategy.buy_rsi.value != 35
assert hyperopt.backtesting.strategy.sell_rsi.value != 74
assert hyperopt.backtesting.strategy.max_open_trades != 1
hyperopt.custom_hyperopt.generate_estimator = lambda *args, **kwargs: 'ET1'
with pytest.raises(OperationalException, match="Estimator ET1 not supported."):
@@ -984,3 +990,124 @@ def test_SKDecimal():
assert space.transform([2.0]) == [200]
assert space.transform([1.0]) == [100]
assert space.transform([1.5, 1.6]) == [150, 160]
def test_stake_amount_unlimited_max_open_trades(mocker, hyperopt_conf, tmpdir, fee) -> None:
# This test is to ensure that unlimited max_open_trades are ignored for the backtesting
# if we have an unlimited stake amount
patch_exchange(mocker)
mocker.patch('freqtrade.exchange.Exchange.get_fee', fee)
(Path(tmpdir) / 'hyperopt_results').mkdir(parents=True)
hyperopt_conf.update({
'strategy': 'HyperoptableStrategy',
'user_data_dir': Path(tmpdir),
'hyperopt_random_state': 42,
'spaces': ['trades'],
'stake_amount': 'unlimited'
})
hyperopt = Hyperopt(hyperopt_conf)
mocker.patch('freqtrade.optimize.hyperopt.Hyperopt._get_params_dict',
return_value={
'max_open_trades': -1
})
assert isinstance(hyperopt.custom_hyperopt, HyperOptAuto)
assert hyperopt.backtesting.strategy.max_open_trades == 1
hyperopt.start()
assert hyperopt.backtesting.strategy.max_open_trades == 1
def test_max_open_trades_dump(mocker, hyperopt_conf, tmpdir, fee, capsys) -> None:
# This test is to ensure that after hyperopting, max_open_trades is never
# saved as inf in the output json params
patch_exchange(mocker)
mocker.patch('freqtrade.exchange.Exchange.get_fee', fee)
(Path(tmpdir) / 'hyperopt_results').mkdir(parents=True)
hyperopt_conf.update({
'strategy': 'HyperoptableStrategy',
'user_data_dir': Path(tmpdir),
'hyperopt_random_state': 42,
'spaces': ['trades'],
})
hyperopt = Hyperopt(hyperopt_conf)
mocker.patch('freqtrade.optimize.hyperopt.Hyperopt._get_params_dict',
return_value={
'max_open_trades': -1
})
assert isinstance(hyperopt.custom_hyperopt, HyperOptAuto)
hyperopt.start()
out, err = capsys.readouterr()
assert 'max_open_trades = -1' in out
assert 'max_open_trades = inf' not in out
##############
hyperopt_conf.update({'print_json': True})
hyperopt = Hyperopt(hyperopt_conf)
mocker.patch('freqtrade.optimize.hyperopt.Hyperopt._get_params_dict',
return_value={
'max_open_trades': -1
})
assert isinstance(hyperopt.custom_hyperopt, HyperOptAuto)
hyperopt.start()
out, err = capsys.readouterr()
assert '"max_open_trades":-1' in out
def test_max_open_trades_consistency(mocker, hyperopt_conf, tmpdir, fee) -> None:
# This test is to ensure that max_open_trades is the same across all functions needing it
# after it has been changed from the hyperopt
patch_exchange(mocker)
mocker.patch('freqtrade.exchange.Exchange.get_fee', return_value=0)
(Path(tmpdir) / 'hyperopt_results').mkdir(parents=True)
hyperopt_conf.update({
'strategy': 'HyperoptableStrategy',
'user_data_dir': Path(tmpdir),
'hyperopt_random_state': 42,
'spaces': ['trades'],
'stake_amount': 'unlimited',
'dry_run_wallet': 8,
'available_capital': 8,
'dry_run': True,
'epochs': 1
})
hyperopt = Hyperopt(hyperopt_conf)
assert isinstance(hyperopt.custom_hyperopt, HyperOptAuto)
hyperopt.custom_hyperopt.max_open_trades_space = lambda: [
Integer(1, 10, name='max_open_trades')]
first_time_evaluated = False
def stake_amount_interceptor(func):
@wraps(func)
def wrapper(*args, **kwargs):
nonlocal first_time_evaluated
stake_amount = func(*args, **kwargs)
if first_time_evaluated is False:
assert stake_amount == 1
first_time_evaluated = True
return stake_amount
return wrapper
hyperopt.backtesting.wallets._calculate_unlimited_stake_amount = stake_amount_interceptor(
hyperopt.backtesting.wallets._calculate_unlimited_stake_amount)
hyperopt.start()
assert hyperopt.backtesting.strategy.max_open_trades == 8
assert hyperopt.config['max_open_trades'] == 8

52
tests/optimize/test_hyperopt_tools.py
View File

@@ -66,52 +66,58 @@ def test_load_previous_results2(mocker, testdatadir, caplog) -> None:
@pytest.mark.parametrize("spaces, expected_results", [
(['buy'],
{'buy': True, 'sell': False, 'roi': False, 'stoploss': False, 'trailing': False,
'protection': False}),
'protection': False, 'trades': False}),
(['sell'],
{'buy': False, 'sell': True, 'roi': False, 'stoploss': False, 'trailing': False,
'protection': False}),
'protection': False, 'trades': False}),
(['roi'],
{'buy': False, 'sell': False, 'roi': True, 'stoploss': False, 'trailing': False,
'protection': False}),
'protection': False, 'trades': False}),
(['stoploss'],
{'buy': False, 'sell': False, 'roi': False, 'stoploss': True, 'trailing': False,
'protection': False}),
'protection': False, 'trades': False}),
(['trailing'],
{'buy': False, 'sell': False, 'roi': False, 'stoploss': False, 'trailing': True,
'protection': False}),
'protection': False, 'trades': False}),
(['buy', 'sell', 'roi', 'stoploss'],
{'buy': True, 'sell': True, 'roi': True, 'stoploss': True, 'trailing': False,
'protection': False}),
'protection': False, 'trades': False}),
(['buy', 'sell', 'roi', 'stoploss', 'trailing'],
{'buy': True, 'sell': True, 'roi': True, 'stoploss': True, 'trailing': True,
'protection': False}),
'protection': False, 'trades': False}),
(['buy', 'roi'],
{'buy': True, 'sell': False, 'roi': True, 'stoploss': False, 'trailing': False,
'protection': False}),
'protection': False, 'trades': False}),
(['all'],
{'buy': True, 'sell': True, 'roi': True, 'stoploss': True, 'trailing': True,
'protection': True}),
'protection': True, 'trades': True}),
(['default'],
{'buy': True, 'sell': True, 'roi': True, 'stoploss': True, 'trailing': False,
'protection': False}),
'protection': False, 'trades': False}),
(['default', 'trailing'],
{'buy': True, 'sell': True, 'roi': True, 'stoploss': True, 'trailing': True,
'protection': False}),
'protection': False, 'trades': False}),
(['all', 'buy'],
{'buy': True, 'sell': True, 'roi': True, 'stoploss': True, 'trailing': True,
'protection': True}),
'protection': True, 'trades': True}),
(['default', 'buy'],
{'buy': True, 'sell': True, 'roi': True, 'stoploss': True, 'trailing': False,
'protection': False}),
'protection': False, 'trades': False}),
(['all'],
{'buy': True, 'sell': True, 'roi': True, 'stoploss': True, 'trailing': True,
'protection': True}),
'protection': True, 'trades': True}),
(['protection'],
{'buy': False, 'sell': False, 'roi': False, 'stoploss': False, 'trailing': False,
'protection': True}),
'protection': True, 'trades': False}),
(['trades'],
{'buy': False, 'sell': False, 'roi': False, 'stoploss': False, 'trailing': False,
'protection': False, 'trades': True}),
(['default', 'trades'],
{'buy': True, 'sell': True, 'roi': True, 'stoploss': True, 'trailing': False,
'protection': False, 'trades': True}),
])
def test_has_space(hyperopt_conf, spaces, expected_results):
for s in ['buy', 'sell', 'roi', 'stoploss', 'trailing', 'protection']:
for s in ['buy', 'sell', 'roi', 'stoploss', 'trailing', 'protection', 'trades']:
hyperopt_conf.update({'spaces': spaces})
assert HyperoptTools.has_space(hyperopt_conf, s) == expected_results[s]
@@ -193,6 +199,9 @@ def test_export_params(tmpdir):
"346": 0.08499,
"507": 0.049,
"1595": 0
},
"max_open_trades": {
"max_open_trades": 5
}
},
"params_not_optimized": {
@@ -219,6 +228,7 @@ def test_export_params(tmpdir):
assert "roi" in content["params"]
assert "stoploss" in content["params"]
assert "trailing" in content["params"]
assert "max_open_trades" in content["params"]
def test_try_export_params(default_conf, tmpdir, caplog, mocker):
@@ -297,6 +307,9 @@ def test_params_print(capsys):
"trailing_stop_positive_offset": 0.1,
"trailing_only_offset_is_reached": True
},
"max_open_trades": {
"max_open_trades": 5
}
}
HyperoptTools._params_pretty_print(params, 'buy', 'No header', non_optimized)
@@ -327,6 +340,13 @@ def test_params_print(capsys):
assert re.search('trailing_stop_positive_offset = 0.1 # value loaded.*\n', captured.out)
assert re.search('trailing_only_offset_is_reached = True # value loaded.*\n', captured.out)
HyperoptTools._params_pretty_print(
params, 'max_open_trades', "Max Open Trades:", non_optimized)
captured = capsys.readouterr()
assert re.search("# Max Open Trades:", captured.out)
assert re.search('max_open_trades = 5 # value loaded.*\n', captured.out)
def test_hyperopt_serializer():

25
tests/persistence/test_persistence.py
View File

@@ -1868,13 +1868,18 @@ def test_get_exit_order_count(fee, is_short):
@pytest.mark.usefixtures("init_persistence")
def test_update_order_from_ccxt(caplog):
def test_update_order_from_ccxt(caplog, time_machine):
start = datetime(2023, 1, 1, 4, tzinfo=timezone.utc)
time_machine.move_to(start, tick=False)
# Most basic order return (only has orderid)
o = Order.parse_from_ccxt_object({'id': '1234'}, 'ADA/USDT', 'buy')
o = Order.parse_from_ccxt_object({'id': '1234'}, 'ADA/USDT', 'buy', 20.01, 1234.6)
assert isinstance(o, Order)
assert o.ft_pair == 'ADA/USDT'
assert o.ft_order_side == 'buy'
assert o.order_id == '1234'
assert o.ft_price == 1234.6
assert o.ft_amount == 20.01
assert o.ft_is_open
ccxt_order = {
'id': '1234',
@@ -1888,13 +1893,15 @@ def test_update_order_from_ccxt(caplog):
'status': 'open',
'timestamp': 1599394315123
}
o = Order.parse_from_ccxt_object(ccxt_order, 'ADA/USDT', 'buy')
o = Order.parse_from_ccxt_object(ccxt_order, 'ADA/USDT', 'buy', 20.01, 1234.6)
assert isinstance(o, Order)
assert o.ft_pair == 'ADA/USDT'
assert o.ft_order_side == 'buy'
assert o.order_id == '1234'
assert o.order_type == 'limit'
assert o.price == 1234.5
assert o.ft_price == 1234.6
assert o.ft_amount == 20.01
assert o.filled == 9
assert o.remaining == 11
assert o.order_date is not None
@@ -1913,7 +1920,9 @@ def test_update_order_from_ccxt(caplog):
assert o.filled == 20.0
assert o.remaining == 0.0
assert not o.ft_is_open
assert o.order_filled_date is not None
assert o.order_filled_date == start
# Move time
time_machine.move_to(start + timedelta(hours=1), tick=False)
ccxt_order.update({'id': 'somethingelse'})
with pytest.raises(DependencyException, match=r"Order-id's don't match"):
@@ -1926,6 +1935,12 @@ def test_update_order_from_ccxt(caplog):
# Call regular update - shouldn't fail.
Order.update_orders([o], {'id': '1234'})
assert o.order_filled_date == start
# Fill order again - shouldn't update filled date
ccxt_order.update({'id': '1234'})
Order.update_orders([o], ccxt_order)
assert o.order_filled_date == start
@pytest.mark.usefixtures("init_persistence")
@@ -2539,6 +2554,8 @@ def test_recalc_trade_from_orders_dca(data) -> None:
ft_pair=trade.pair,
order_id=f"order_{order[0]}_{idx}",
ft_is_open=False,
ft_amount=amount,
ft_price=price,
status="closed",
symbol=trade.pair,
order_type="market",

11
tests/plugins/test_protections.py
View File

@@ -39,6 +39,8 @@ def generate_mock_trade(pair: str, fee: float, is_open: bool,
order_id=f'{pair}-{trade.entry_side}-{trade.open_date}',
ft_is_open=False,
ft_pair=pair,
ft_amount=trade.amount,
ft_price=trade.open_rate,
amount=trade.amount,
filled=trade.amount,
remaining=0,
@@ -49,16 +51,19 @@ def generate_mock_trade(pair: str, fee: float, is_open: bool,
side=trade.entry_side,
))
if not is_open:
close_price = open_rate * (2 - profit_rate if is_short else profit_rate)
trade.orders.append(Order(
ft_order_side=trade.exit_side,
order_id=f'{pair}-{trade.exit_side}-{trade.close_date}',
ft_is_open=False,
ft_pair=pair,
ft_amount=trade.amount,
ft_price=trade.open_rate,
amount=trade.amount,
filled=trade.amount,
remaining=0,
price=open_rate * (2 - profit_rate if is_short else profit_rate),
average=open_rate * (2 - profit_rate if is_short else profit_rate),
price=close_price,
average=close_price,
status="closed",
order_type="market",
side=trade.exit_side,
@@ -66,7 +71,7 @@ def generate_mock_trade(pair: str, fee: float, is_open: bool,
trade.recalc_open_trade_value()
if not is_open:
trade.close(open_rate * (2 - profit_rate if is_short else profit_rate))
trade.close(close_price)
trade.exit_reason = exit_reason
Trade.query.session.add(trade)

102
tests/rpc/test_rpc_apiserver.py
View File

@@ -1,8 +1,6 @@
"""
Unit test file for rpc/api_server.py
"""
import json
import logging
import time
from datetime import datetime, timedelta, timezone
@@ -68,22 +66,23 @@ def botclient(default_conf, mocker):
ApiServer.shutdown()
def client_post(client, url, data={}):
def client_post(client: TestClient, url, data={}):
return client.post(url,
content=data,
json=data,
headers={'Authorization': _basic_auth_str(_TEST_USER, _TEST_PASS),
'Origin': 'http://example.com',
'content-type': 'application/json'
})
def client_get(client, url):
def client_get(client: TestClient, url):
# Add fake Origin to ensure CORS kicks in
return client.get(url, headers={'Authorization': _basic_auth_str(_TEST_USER, _TEST_PASS),
'Origin': 'http://example.com'})
def client_delete(client, url):
def client_delete(client: TestClient, url):
# Add fake Origin to ensure CORS kicks in
return client.delete(url, headers={'Authorization': _basic_auth_str(_TEST_USER, _TEST_PASS),
'Origin': 'http://example.com'})
@@ -561,7 +560,7 @@ def test_api_locks(botclient):
assert rc.json()['lock_count'] == 1
rc = client_post(client, f"{BASE_URI}/locks/delete",
data='{"pair": "XRP/BTC"}')
data={"pair": "XRP/BTC"})
assert_response(rc)
assert rc.json()['lock_count'] == 0
@@ -707,6 +706,46 @@ def test_api_delete_trade(botclient, mocker, fee, markets, is_short):
assert_response(rc, 502)
@pytest.mark.parametrize('is_short', [True, False])
def test_api_delete_open_order(botclient, mocker, fee, markets, ticker, is_short):
ftbot, client = botclient
patch_get_signal(ftbot, enter_long=not is_short, enter_short=is_short)
stoploss_mock = MagicMock()
cancel_mock = MagicMock()
mocker.patch.multiple(
'freqtrade.exchange.Exchange',
markets=PropertyMock(return_value=markets),
fetch_ticker=ticker,
cancel_order=cancel_mock,
cancel_stoploss_order=stoploss_mock,
)
rc = client_delete(client, f"{BASE_URI}/trades/10/open-order")
assert_response(rc, 502)
assert 'Invalid trade_id.' in rc.json()['error']
create_mock_trades(fee, is_short=is_short)
Trade.commit()
rc = client_delete(client, f"{BASE_URI}/trades/5/open-order")
assert_response(rc, 502)
assert 'No open order for trade_id' in rc.json()['error']
trade = Trade.get_trades([Trade.id == 6]).first()
mocker.patch('freqtrade.exchange.Exchange.fetch_order',
side_effect=ExchangeError)
rc = client_delete(client, f"{BASE_URI}/trades/6/open-order")
assert_response(rc, 502)
assert 'Order not found.' in rc.json()['error']
trade = Trade.get_trades([Trade.id == 6]).first()
mocker.patch('freqtrade.exchange.Exchange.fetch_order',
return_value=trade.orders[-1].to_ccxt_object())
rc = client_delete(client, f"{BASE_URI}/trades/6/open-order")
assert_response(rc)
assert cancel_mock.call_count == 1
def test_api_logs(botclient):
ftbot, client = botclient
rc = client_get(client, f"{BASE_URI}/logs")
@@ -1062,7 +1101,7 @@ def test_api_blacklist(botclient, mocker):
# Add ETH/BTC to blacklist
rc = client_post(client, f"{BASE_URI}/blacklist",
data='{"blacklist": ["ETH/BTC"]}')
data={"blacklist": ["ETH/BTC"]})
assert_response(rc)
assert rc.json() == {"blacklist": ["DOGE/BTC", "HOT/BTC", "ETH/BTC"],
"blacklist_expanded": ["ETH/BTC"],
@@ -1072,7 +1111,7 @@ def test_api_blacklist(botclient, mocker):
}
rc = client_post(client, f"{BASE_URI}/blacklist",
data='{"blacklist": ["XRP/.*"]}')
data={"blacklist": ["XRP/.*"]})
assert_response(rc)
assert rc.json() == {"blacklist": ["DOGE/BTC", "HOT/BTC", "ETH/BTC", "XRP/.*"],
"blacklist_expanded": ["ETH/BTC", "XRP/BTC", "XRP/USDT"],
@@ -1134,7 +1173,7 @@ def test_api_force_entry(botclient, mocker, fee, endpoint):
ftbot, client = botclient
rc = client_post(client, f"{BASE_URI}/{endpoint}",
data='{"pair": "ETH/BTC"}')
data={"pair": "ETH/BTC"})
assert_response(rc, 502)
assert rc.json() == {"error": f"Error querying /api/v1/{endpoint}: Force_entry not enabled."}
@@ -1144,7 +1183,7 @@ def test_api_force_entry(botclient, mocker, fee, endpoint):
fbuy_mock = MagicMock(return_value=None)
mocker.patch("freqtrade.rpc.RPC._rpc_force_entry", fbuy_mock)
rc = client_post(client, f"{BASE_URI}/{endpoint}",
data='{"pair": "ETH/BTC"}')
data={"pair": "ETH/BTC"})
assert_response(rc)
assert rc.json() == {"status": "Error entering long trade for pair ETH/BTC."}
@@ -1171,7 +1210,7 @@ def test_api_force_entry(botclient, mocker, fee, endpoint):
mocker.patch("freqtrade.rpc.RPC._rpc_force_entry", fbuy_mock)
rc = client_post(client, f"{BASE_URI}/{endpoint}",
data='{"pair": "ETH/BTC"}')
data={"pair": "ETH/BTC"})
assert_response(rc)
assert rc.json() == {
'amount': 1.0,
@@ -1246,7 +1285,7 @@ def test_api_forceexit(botclient, mocker, ticker, fee, markets):
patch_get_signal(ftbot)
rc = client_post(client, f"{BASE_URI}/forceexit",
data='{"tradeid": "1"}')
data={"tradeid": "1"})
assert_response(rc, 502)
assert rc.json() == {"error": "Error querying /api/v1/forceexit: invalid argument"}
Trade.query.session.rollback()
@@ -1255,7 +1294,7 @@ def test_api_forceexit(botclient, mocker, ticker, fee, markets):
trade = Trade.get_trades([Trade.id == 5]).first()
assert pytest.approx(trade.amount) == 123
rc = client_post(client, f"{BASE_URI}/forceexit",
data='{"tradeid": "5", "ordertype": "market", "amount": 23}')
data={"tradeid": "5", "ordertype": "market", "amount": 23})
assert_response(rc)
assert rc.json() == {'result': 'Created sell order for trade 5.'}
Trade.query.session.rollback()
@@ -1265,7 +1304,7 @@ def test_api_forceexit(botclient, mocker, ticker, fee, markets):
assert trade.is_open is True
rc = client_post(client, f"{BASE_URI}/forceexit",
data='{"tradeid": "5"}')
data={"tradeid": "5"})
assert_response(rc)
assert rc.json() == {'result': 'Created sell order for trade 5.'}
Trade.query.session.rollback()
@@ -1418,7 +1457,7 @@ def test_api_pair_history(botclient, ohlcv_history):
"No data for UNITTEST/BTC, 5m in 20200111-20200112 found.")
def test_api_plot_config(botclient):
def test_api_plot_config(botclient, mocker):
ftbot, client = botclient
rc = client_get(client, f"{BASE_URI}/plot_config")
@@ -1442,6 +1481,21 @@ def test_api_plot_config(botclient):
assert isinstance(rc.json()['main_plot'], dict)
assert isinstance(rc.json()['subplots'], dict)
rc = client_get(client, f"{BASE_URI}/plot_config?strategy=freqai_test_classifier")
assert_response(rc)
res = rc.json()
assert 'target_roi' in res['subplots']
assert 'do_predict' in res['subplots']
rc = client_get(client, f"{BASE_URI}/plot_config?strategy=HyperoptableStrategy")
assert_response(rc)
assert rc.json()['subplots'] == {}
mocker.patch('freqtrade.rpc.api_server.api_v1.get_rpc_optional', return_value=None)
rc = client_get(client, f"{BASE_URI}/plot_config")
assert_response(rc)
def test_api_strategies(botclient, tmpdir):
ftbot, client = botclient
@@ -1554,13 +1608,13 @@ 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
@@ -1616,7 +1670,7 @@ def test_api_backtesting(botclient, mocker, fee, caplog, tmpdir):
"dry_run_wallet": 1000,
"enable_protections": False
}
rc = client_post(client, f"{BASE_URI}/backtest", data=json.dumps(data))
rc = client_post(client, f"{BASE_URI}/backtest", data=data)
assert_response(rc)
result = rc.json()
@@ -1667,7 +1721,7 @@ def test_api_backtesting(botclient, mocker, fee, caplog, tmpdir):
assert result['status'] == 'running'
# Post to backtest that's still running
rc = client_post(client, f"{BASE_URI}/backtest", data=json.dumps(data))
rc = client_post(client, f"{BASE_URI}/backtest", data=data)
assert_response(rc, 502)
result = rc.json()
assert 'Bot Background task already running' in result['error']
@@ -1675,7 +1729,7 @@ def test_api_backtesting(botclient, mocker, fee, caplog, tmpdir):
ApiServer._bgtask_running = False
# Rerun backtest (should get previous result)
rc = client_post(client, f"{BASE_URI}/backtest", data=json.dumps(data))
rc = client_post(client, f"{BASE_URI}/backtest", data=data)
assert_response(rc)
result = rc.json()
assert log_has_re('Reusing result of previous backtest.*', caplog)
@@ -1684,7 +1738,7 @@ def test_api_backtesting(botclient, mocker, fee, caplog, tmpdir):
mocker.patch('freqtrade.optimize.backtesting.Backtesting.backtest_one_strategy',
side_effect=DependencyException())
rc = client_post(client, f"{BASE_URI}/backtest", data=json.dumps(data))
rc = client_post(client, f"{BASE_URI}/backtest", data=data)
assert log_has("Backtesting caused an error: ", caplog)
# Delete backtesting to avoid leakage since the backtest-object may stick around.
@@ -1698,7 +1752,7 @@ def test_api_backtesting(botclient, mocker, fee, caplog, tmpdir):
# Disallow base64 strategies
data['strategy'] = "xx:cHJpbnQoImhlbGxvIHdvcmxkIik="
rc = client_post(client, f"{BASE_URI}/backtest", data=json.dumps(data))
rc = client_post(client, f"{BASE_URI}/backtest", data=data)
assert_response(rc, 500)
@@ -1766,7 +1820,7 @@ def test_api_ws_subscribe(botclient, mocker):
assert sub_mock.call_count == 1
def test_api_ws_requests(botclient, mocker, caplog):
def test_api_ws_requests(botclient, caplog):
caplog.set_level(logging.DEBUG)
ftbot, client = botclient

38
tests/rpc/test_rpc_telegram.py
View File

@@ -99,7 +99,7 @@ def test_telegram_init(default_conf, mocker, caplog) -> None:
message_str = ("rpc.telegram is listening for following commands: [['status'], ['profit'], "
"['balance'], ['start'], ['stop'], "
"['forcesell', 'forceexit', 'fx'], ['forcebuy', 'forcelong'], ['forceshort'], "
"['trades'], ['delete'], ['performance'], "
"['trades'], ['delete'], ['coo', 'cancel_open_order'], ['performance'], "
"['buys', 'entries'], ['sells', 'exits'], ['mix_tags'], "
"['stats'], ['daily'], ['weekly'], ['monthly'], "
"['count'], ['locks'], ['unlock', 'delete_locks'], "
@@ -253,6 +253,8 @@ def test_telegram_status_multi_entry(default_conf, update, mocker, fee) -> None:
ft_order_side='buy',
ft_pair=trade.pair,
ft_is_open=False,
ft_amount=trade.amount,
ft_price=trade.open_rate,
status="closed",
symbol=trade.pair,
order_type="market",
@@ -1676,6 +1678,40 @@ def test_telegram_delete_trade(mocker, update, default_conf, fee, is_short):
assert "Please make sure to take care of this asset" in msg_mock.call_args_list[0][0][0]
@pytest.mark.parametrize('is_short', [True, False])
def test_telegram_delete_open_order(mocker, update, default_conf, fee, is_short, ticker):
mocker.patch.multiple(
'freqtrade.exchange.Exchange',
fetch_ticker=ticker,
)
telegram, _, msg_mock = get_telegram_testobject(mocker, default_conf)
context = MagicMock()
context.args = []
telegram._cancel_open_order(update=update, context=context)
assert "Trade-id not set." in msg_mock.call_args_list[0][0][0]
msg_mock.reset_mock()
create_mock_trades(fee, is_short=is_short)
context = MagicMock()
context.args = [5]
telegram._cancel_open_order(update=update, context=context)
assert "No open order for trade_id" in msg_mock.call_args_list[0][0][0]
msg_mock.reset_mock()
trade = Trade.get_trades([Trade.id == 6]).first()
mocker.patch('freqtrade.exchange.Exchange.fetch_order',
return_value=trade.orders[-1].to_ccxt_object())
context = MagicMock()
context.args = [6]
telegram._cancel_open_order(update=update, context=context)
assert msg_mock.call_count == 1
assert "Open order canceled." in msg_mock.call_args_list[0][0][0]
def test_help_handle(default_conf, update, mocker) -> None:
telegram, _, msg_mock = get_telegram_testobject(mocker, default_conf)

64
tests/strategy/strats/freqai_rl_test_strat.py
View File

@@ -1,11 +1,11 @@
import logging
from functools import reduce
from typing import Dict
import pandas as pd
import talib.abstract as ta
from pandas import DataFrame
from freqtrade.strategy import IStrategy, merge_informative_pair
from freqtrade.strategy import IStrategy
logger = logging.getLogger(__name__)
@@ -22,52 +22,40 @@ class freqai_rl_test_strat(IStrategy):
process_only_new_candles = True
stoploss = -0.05
use_exit_signal = True
startup_candle_count: int = 30
startup_candle_count: int = 300
can_short = False
def populate_any_indicators(
self, pair, df, tf, informative=None, set_generalized_indicators=False
):
def feature_engineering_expand_all(self, dataframe: DataFrame, period: int,
metadata: Dict, **kwargs):
if informative is None:
informative = self.dp.get_pair_dataframe(pair, tf)
dataframe["%-rsi-period"] = ta.RSI(dataframe, timeperiod=period)
# first loop is automatically duplicating indicators for time periods
for t in self.freqai_info["feature_parameters"]["indicator_periods_candles"]:
return dataframe
t = int(t)
informative[f"%-{pair}rsi-period_{t}"] = ta.RSI(informative, timeperiod=t)
def feature_engineering_expand_basic(self, dataframe: DataFrame, metadata: Dict, **kwargs):
# The following columns are necessary for RL models.
informative[f"%-{pair}raw_close"] = informative["close"]
informative[f"%-{pair}raw_open"] = informative["open"]
informative[f"%-{pair}raw_high"] = informative["high"]
informative[f"%-{pair}raw_low"] = informative["low"]
dataframe["%-pct-change"] = dataframe["close"].pct_change()
dataframe["%-raw_volume"] = dataframe["volume"]
indicators = [col for col in informative if col.startswith("%")]
# This loop duplicates and shifts all indicators to add a sense of recency to data
for n in range(self.freqai_info["feature_parameters"]["include_shifted_candles"] + 1):
if n == 0:
continue
informative_shift = informative[indicators].shift(n)
informative_shift = informative_shift.add_suffix("_shift-" + str(n))
informative = pd.concat((informative, informative_shift), axis=1)
return dataframe
df = merge_informative_pair(df, informative, self.config["timeframe"], tf, ffill=True)
skip_columns = [
(s + "_" + tf) for s in ["date", "open", "high", "low", "close", "volume"]
]
df = df.drop(columns=skip_columns)
def feature_engineering_standard(self, dataframe: DataFrame, metadata: Dict, **kwargs):
# Add generalized indicators here (because in live, it will call this
# function to populate indicators during training). Notice how we ensure not to
# add them multiple times
if set_generalized_indicators:
# For RL, there are no direct targets to set. This is filler (neutral)
# until the agent sends an action.
df["&-action"] = 0
dataframe["%-day_of_week"] = dataframe["date"].dt.dayofweek
dataframe["%-hour_of_day"] = dataframe["date"].dt.hour
return df
dataframe["%-raw_close"] = dataframe["close"]
dataframe["%-raw_open"] = dataframe["open"]
dataframe["%-raw_high"] = dataframe["high"]
dataframe["%-raw_low"] = dataframe["low"]
return dataframe
def set_freqai_targets(self, dataframe: DataFrame, metadata: Dict, **kwargs):
dataframe["&-action"] = 0
return dataframe
def populate_indicators(self, dataframe: DataFrame, metadata: dict) -> DataFrame:

63
tests/strategy/strats/freqai_test_classifier.py
View File

@@ -1,12 +1,12 @@
import logging
from functools import reduce
from typing import Dict
import numpy as np
import pandas as pd
import talib.abstract as ta
from pandas import DataFrame
from freqtrade.strategy import DecimalParameter, IntParameter, IStrategy, merge_informative_pair
from freqtrade.strategy import DecimalParameter, IntParameter, IStrategy
logger = logging.getLogger(__name__)
@@ -57,55 +57,36 @@ class freqai_test_classifier(IStrategy):
informative_pairs.append((pair, tf))
return informative_pairs
def populate_any_indicators(
self, pair, df, tf, informative=None, set_generalized_indicators=False
):
def feature_engineering_expand_all(self, dataframe: DataFrame, period: int,
metadata: Dict, **kwargs):
coin = pair.split('/')[0]
dataframe["%-rsi-period"] = ta.RSI(dataframe, timeperiod=period)
dataframe["%-mfi-period"] = ta.MFI(dataframe, timeperiod=period)
dataframe["%-adx-period"] = ta.ADX(dataframe, timeperiod=period)
if informative is None:
informative = self.dp.get_pair_dataframe(pair, tf)
return dataframe
# first loop is automatically duplicating indicators for time periods
for t in self.freqai_info["feature_parameters"]["indicator_periods_candles"]:
def feature_engineering_expand_basic(self, dataframe: DataFrame, metadata: Dict, **kwargs):
t = int(t)
informative[f"%-{coin}rsi-period_{t}"] = ta.RSI(informative, timeperiod=t)
informative[f"%-{coin}mfi-period_{t}"] = ta.MFI(informative, timeperiod=t)
informative[f"%-{coin}adx-period_{t}"] = ta.ADX(informative, window=t)
dataframe["%-pct-change"] = dataframe["close"].pct_change()
dataframe["%-raw_volume"] = dataframe["volume"]
dataframe["%-raw_price"] = dataframe["close"]
informative[f"%-{coin}pct-change"] = informative["close"].pct_change()
informative[f"%-{coin}raw_volume"] = informative["volume"]
informative[f"%-{coin}raw_price"] = informative["close"]
return dataframe
indicators = [col for col in informative if col.startswith("%")]
# This loop duplicates and shifts all indicators to add a sense of recency to data
for n in range(self.freqai_info["feature_parameters"]["include_shifted_candles"] + 1):
if n == 0:
continue
informative_shift = informative[indicators].shift(n)
informative_shift = informative_shift.add_suffix("_shift-" + str(n))
informative = pd.concat((informative, informative_shift), axis=1)
def feature_engineering_standard(self, dataframe: DataFrame, metadata: Dict, **kwargs):
df = merge_informative_pair(df, informative, self.config["timeframe"], tf, ffill=True)
skip_columns = [
(s + "_" + tf) for s in ["date", "open", "high", "low", "close", "volume"]
]
df = df.drop(columns=skip_columns)
dataframe["%-day_of_week"] = dataframe["date"].dt.dayofweek
dataframe["%-hour_of_day"] = dataframe["date"].dt.hour
# Add generalized indicators here (because in live, it will call this
# function to populate indicators during training). Notice how we ensure not to
# add them multiple times
if set_generalized_indicators:
df["%-day_of_week"] = (df["date"].dt.dayofweek + 1) / 7
df["%-hour_of_day"] = (df["date"].dt.hour + 1) / 25
return dataframe
# user adds targets here by prepending them with &- (see convention below)
# If user wishes to use multiple targets, a multioutput prediction model
# needs to be used such as templates/CatboostPredictionMultiModel.py
df['&s-up_or_down'] = np.where(df["close"].shift(-100) > df["close"], 'up', 'down')
def set_freqai_targets(self, dataframe: DataFrame, metadata: Dict, **kwargs):
return df
dataframe['&s-up_or_down'] = np.where(dataframe["close"].shift(-100) >
dataframe["close"], 'up', 'down')
return dataframe
def populate_indicators(self, dataframe: DataFrame, metadata: dict) -> DataFrame:

68
tests/strategy/strats/freqai_test_multimodel_classifier_strat.py
View File

@@ -1,12 +1,12 @@
import logging
from functools import reduce
from typing import Dict
import numpy as np
import pandas as pd
import talib.abstract as ta
from pandas import DataFrame
from freqtrade.strategy import DecimalParameter, IntParameter, IStrategy, merge_informative_pair
from freqtrade.strategy import DecimalParameter, IntParameter, IStrategy
logger = logging.getLogger(__name__)
@@ -44,59 +44,39 @@ class freqai_test_multimodel_classifier_strat(IStrategy):
)
max_roi_time_long = IntParameter(0, 800, default=400, space="sell", optimize=False, load=True)
def populate_any_indicators(
self, pair, df, tf, informative=None, set_generalized_indicators=False
):
def feature_engineering_expand_all(self, dataframe: DataFrame, period: int,
metadata: Dict, **kwargs):
coin = pair.split('/')[0]
dataframe["%-rsi-period"] = ta.RSI(dataframe, timeperiod=period)
dataframe["%-mfi-period"] = ta.MFI(dataframe, timeperiod=period)
dataframe["%-adx-period"] = ta.ADX(dataframe, timeperiod=period)
if informative is None:
informative = self.dp.get_pair_dataframe(pair, tf)
return dataframe
# first loop is automatically duplicating indicators for time periods
for t in self.freqai_info["feature_parameters"]["indicator_periods_candles"]:
def feature_engineering_expand_basic(self, dataframe: DataFrame, metadata: Dict, **kwargs):
t = int(t)
informative[f"%-{coin}rsi-period_{t}"] = ta.RSI(informative, timeperiod=t)
informative[f"%-{coin}mfi-period_{t}"] = ta.MFI(informative, timeperiod=t)
informative[f"%-{coin}adx-period_{t}"] = ta.ADX(informative, window=t)
dataframe["%-pct-change"] = dataframe["close"].pct_change()
dataframe["%-raw_volume"] = dataframe["volume"]
dataframe["%-raw_price"] = dataframe["close"]
informative[f"%-{coin}pct-change"] = informative["close"].pct_change()
informative[f"%-{coin}raw_volume"] = informative["volume"]
informative[f"%-{coin}raw_price"] = informative["close"]
return dataframe
indicators = [col for col in informative if col.startswith("%")]
# This loop duplicates and shifts all indicators to add a sense of recency to data
for n in range(self.freqai_info["feature_parameters"]["include_shifted_candles"] + 1):
if n == 0:
continue
informative_shift = informative[indicators].shift(n)
informative_shift = informative_shift.add_suffix("_shift-" + str(n))
informative = pd.concat((informative, informative_shift), axis=1)
def feature_engineering_standard(self, dataframe: DataFrame, metadata: Dict, **kwargs):
df = merge_informative_pair(df, informative, self.config["timeframe"], tf, ffill=True)
skip_columns = [
(s + "_" + tf) for s in ["date", "open", "high", "low", "close", "volume"]
]
df = df.drop(columns=skip_columns)
dataframe["%-day_of_week"] = dataframe["date"].dt.dayofweek
dataframe["%-hour_of_day"] = dataframe["date"].dt.hour
# Add generalized indicators here (because in live, it will call this
# function to populate indicators during training). Notice how we ensure not to
# add them multiple times
if set_generalized_indicators:
df["%-day_of_week"] = (df["date"].dt.dayofweek + 1) / 7
df["%-hour_of_day"] = (df["date"].dt.hour + 1) / 25
return dataframe
# user adds targets here by prepending them with &- (see convention below)
# If user wishes to use multiple targets, a multioutput prediction model
# needs to be used such as templates/CatboostPredictionMultiModel.py
df['&s-up_or_down'] = np.where(df["close"].shift(-50) >
df["close"], 'up', 'down')
def set_freqai_targets(self, dataframe: DataFrame, metadata: Dict, **kwargs):
df['&s-up_or_down2'] = np.where(df["close"].shift(-50) >
df["close"], 'up2', 'down2')
dataframe['&s-up_or_down'] = np.where(dataframe["close"].shift(-50) >
dataframe["close"], 'up', 'down')
return df
dataframe['&s-up_or_down2'] = np.where(dataframe["close"].shift(-50) >
dataframe["close"], 'up2', 'down2')
return dataframe
def populate_indicators(self, dataframe: DataFrame, metadata: dict) -> DataFrame:

96
tests/strategy/strats/freqai_test_multimodel_strat.py
View File

@@ -1,11 +1,11 @@
import logging
from functools import reduce
from typing import Dict
import pandas as pd
import talib.abstract as ta
from pandas import DataFrame
from freqtrade.strategy import DecimalParameter, IntParameter, IStrategy, merge_informative_pair
from freqtrade.strategy import DecimalParameter, IntParameter, IStrategy
logger = logging.getLogger(__name__)
@@ -43,74 +43,54 @@ class freqai_test_multimodel_strat(IStrategy):
)
max_roi_time_long = IntParameter(0, 800, default=400, space="sell", optimize=False, load=True)
def populate_any_indicators(
self, pair, df, tf, informative=None, set_generalized_indicators=False
):
def feature_engineering_expand_all(self, dataframe: DataFrame, period: int,
metadata: Dict, **kwargs):
coin = pair.split('/')[0]
dataframe["%-rsi-period"] = ta.RSI(dataframe, timeperiod=period)
dataframe["%-mfi-period"] = ta.MFI(dataframe, timeperiod=period)
dataframe["%-adx-period"] = ta.ADX(dataframe, timeperiod=period)
if informative is None:
informative = self.dp.get_pair_dataframe(pair, tf)
return dataframe
# first loop is automatically duplicating indicators for time periods
for t in self.freqai_info["feature_parameters"]["indicator_periods_candles"]:
def feature_engineering_expand_basic(self, dataframe: DataFrame, metadata: Dict, **kwargs):
t = int(t)
informative[f"%-{coin}rsi-period_{t}"] = ta.RSI(informative, timeperiod=t)
informative[f"%-{coin}mfi-period_{t}"] = ta.MFI(informative, timeperiod=t)
informative[f"%-{coin}adx-period_{t}"] = ta.ADX(informative, window=t)
dataframe["%-pct-change"] = dataframe["close"].pct_change()
dataframe["%-raw_volume"] = dataframe["volume"]
dataframe["%-raw_price"] = dataframe["close"]
informative[f"%-{coin}pct-change"] = informative["close"].pct_change()
informative[f"%-{coin}raw_volume"] = informative["volume"]
informative[f"%-{coin}raw_price"] = informative["close"]
return dataframe
indicators = [col for col in informative if col.startswith("%")]
# This loop duplicates and shifts all indicators to add a sense of recency to data
for n in range(self.freqai_info["feature_parameters"]["include_shifted_candles"] + 1):
if n == 0:
continue
informative_shift = informative[indicators].shift(n)
informative_shift = informative_shift.add_suffix("_shift-" + str(n))
informative = pd.concat((informative, informative_shift), axis=1)
def feature_engineering_standard(self, dataframe: DataFrame, metadata: Dict, **kwargs):
df = merge_informative_pair(df, informative, self.config["timeframe"], tf, ffill=True)
skip_columns = [
(s + "_" + tf) for s in ["date", "open", "high", "low", "close", "volume"]
]
df = df.drop(columns=skip_columns)
dataframe["%-day_of_week"] = dataframe["date"].dt.dayofweek
dataframe["%-hour_of_day"] = dataframe["date"].dt.hour
# Add generalized indicators here (because in live, it will call this
# function to populate indicators during training). Notice how we ensure not to
# add them multiple times
if set_generalized_indicators:
df["%-day_of_week"] = (df["date"].dt.dayofweek + 1) / 7
df["%-hour_of_day"] = (df["date"].dt.hour + 1) / 25
return dataframe
# user adds targets here by prepending them with &- (see convention below)
# If user wishes to use multiple targets, a multioutput prediction model
# needs to be used such as templates/CatboostPredictionMultiModel.py
df["&-s_close"] = (
df["close"]
.shift(-self.freqai_info["feature_parameters"]["label_period_candles"])
.rolling(self.freqai_info["feature_parameters"]["label_period_candles"])
.mean()
/ df["close"]
- 1
def set_freqai_targets(self, dataframe: DataFrame, metadata: Dict, **kwargs):
dataframe["&-s_close"] = (
dataframe["close"]
.shift(-self.freqai_info["feature_parameters"]["label_period_candles"])
.rolling(self.freqai_info["feature_parameters"]["label_period_candles"])
.mean()
/ dataframe["close"]
- 1
)
df["&-s_range"] = (
df["close"]
.shift(-self.freqai_info["feature_parameters"]["label_period_candles"])
.rolling(self.freqai_info["feature_parameters"]["label_period_candles"])
.max()
-
df["close"]
.shift(-self.freqai_info["feature_parameters"]["label_period_candles"])
.rolling(self.freqai_info["feature_parameters"]["label_period_candles"])
.min()
)
dataframe["&-s_range"] = (
dataframe["close"]
.shift(-self.freqai_info["feature_parameters"]["label_period_candles"])
.rolling(self.freqai_info["feature_parameters"]["label_period_candles"])
.max()
-
dataframe["close"]
.shift(-self.freqai_info["feature_parameters"]["label_period_candles"])
.rolling(self.freqai_info["feature_parameters"]["label_period_candles"])
.min()
)
return df
return dataframe
def populate_indicators(self, dataframe: DataFrame, metadata: dict) -> DataFrame:

74
tests/strategy/strats/freqai_test_strat.py
View File

@@ -1,11 +1,11 @@
import logging
from functools import reduce
from typing import Dict
import pandas as pd
import talib.abstract as ta
from pandas import DataFrame
from freqtrade.strategy import DecimalParameter, IntParameter, IStrategy, merge_informative_pair
from freqtrade.strategy import DecimalParameter, IntParameter, IStrategy
logger = logging.getLogger(__name__)
@@ -43,62 +43,42 @@ class freqai_test_strat(IStrategy):
)
max_roi_time_long = IntParameter(0, 800, default=400, space="sell", optimize=False, load=True)
def populate_any_indicators(
self, pair, df, tf, informative=None, set_generalized_indicators=False
):
def feature_engineering_expand_all(self, dataframe: DataFrame, period: int,
metadata: Dict, **kwargs):
coin = pair.split('/')[0]
dataframe["%-rsi-period"] = ta.RSI(dataframe, timeperiod=period)
dataframe["%-mfi-period"] = ta.MFI(dataframe, timeperiod=period)
dataframe["%-adx-period"] = ta.ADX(dataframe, timeperiod=period)
if informative is None:
informative = self.dp.get_pair_dataframe(pair, tf)
return dataframe
# first loop is automatically duplicating indicators for time periods
for t in self.freqai_info["feature_parameters"]["indicator_periods_candles"]:
def feature_engineering_expand_basic(self, dataframe: DataFrame, metadata: Dict, **kwargs):
t = int(t)
informative[f"%-{coin}rsi-period_{t}"] = ta.RSI(informative, timeperiod=t)
informative[f"%-{coin}mfi-period_{t}"] = ta.MFI(informative, timeperiod=t)
informative[f"%-{coin}adx-period_{t}"] = ta.ADX(informative, window=t)
dataframe["%-pct-change"] = dataframe["close"].pct_change()
dataframe["%-raw_volume"] = dataframe["volume"]
dataframe["%-raw_price"] = dataframe["close"]
informative[f"%-{coin}pct-change"] = informative["close"].pct_change()
informative[f"%-{coin}raw_volume"] = informative["volume"]
informative[f"%-{coin}raw_price"] = informative["close"]
return dataframe
indicators = [col for col in informative if col.startswith("%")]
# This loop duplicates and shifts all indicators to add a sense of recency to data
for n in range(self.freqai_info["feature_parameters"]["include_shifted_candles"] + 1):
if n == 0:
continue
informative_shift = informative[indicators].shift(n)
informative_shift = informative_shift.add_suffix("_shift-" + str(n))
informative = pd.concat((informative, informative_shift), axis=1)
def feature_engineering_standard(self, dataframe: DataFrame, metadata: Dict, **kwargs):
df = merge_informative_pair(df, informative, self.config["timeframe"], tf, ffill=True)
skip_columns = [
(s + "_" + tf) for s in ["date", "open", "high", "low", "close", "volume"]
]
df = df.drop(columns=skip_columns)
dataframe["%-day_of_week"] = dataframe["date"].dt.dayofweek
dataframe["%-hour_of_day"] = dataframe["date"].dt.hour
# Add generalized indicators here (because in live, it will call this
# function to populate indicators during training). Notice how we ensure not to
# add them multiple times
if set_generalized_indicators:
df["%-day_of_week"] = (df["date"].dt.dayofweek + 1) / 7
df["%-hour_of_day"] = (df["date"].dt.hour + 1) / 25
return dataframe
# user adds targets here by prepending them with &- (see convention below)
# If user wishes to use multiple targets, a multioutput prediction model
# needs to be used such as templates/CatboostPredictionMultiModel.py
df["&-s_close"] = (
df["close"]
.shift(-self.freqai_info["feature_parameters"]["label_period_candles"])
.rolling(self.freqai_info["feature_parameters"]["label_period_candles"])
.mean()
/ df["close"]
- 1
def set_freqai_targets(self, dataframe: DataFrame, metadata: Dict, **kwargs):
dataframe["&-s_close"] = (
dataframe["close"]
.shift(-self.freqai_info["feature_parameters"]["label_period_candles"])
.rolling(self.freqai_info["feature_parameters"]["label_period_candles"])
.mean()
/ dataframe["close"]
- 1
)
return df
return dataframe
def populate_indicators(self, dataframe: DataFrame, metadata: dict) -> DataFrame:

5
tests/strategy/strats/hyperoptable_strategy.py
View File

@@ -34,6 +34,11 @@ class HyperoptableStrategy(StrategyTestV3):
protection_enabled = BooleanParameter(default=True)
protection_cooldown_lookback = IntParameter([0, 50], default=30)
# Invalid plot config ...
plot_config = {
"main_plot": {},
}
@property
def protections(self):
prot = []

3
tests/strategy/strats/strategy_test_v3.py
View File

@@ -30,6 +30,9 @@ class StrategyTestV3(IStrategy):
"0": 0.04
}
# Optimal max_open_trades for the strategy
max_open_trades = -1
# Optimal stoploss designed for the strategy
stoploss = -0.10

61
tests/strategy/test_strategy_loading.py
View File

@@ -6,6 +6,7 @@ from pathlib import Path
import pytest
from pandas import DataFrame
from freqtrade.configuration import Configuration
from freqtrade.exceptions import OperationalException
from freqtrade.resolvers import StrategyResolver
from freqtrade.strategy.interface import IStrategy
@@ -175,6 +176,18 @@ def test_strategy_override_stoploss(caplog, default_conf):
assert log_has("Override strategy 'stoploss' with value in config file: -0.5.", caplog)
def test_strategy_override_max_open_trades(caplog, default_conf):
caplog.set_level(logging.INFO)
default_conf.update({
'strategy': CURRENT_TEST_STRATEGY,
'max_open_trades': 7
})
strategy = StrategyResolver.load_strategy(default_conf)
assert strategy.max_open_trades == 7
assert log_has("Override strategy 'max_open_trades' with value in config file: 7.", caplog)
def test_strategy_override_trailing_stop(caplog, default_conf):
caplog.set_level(logging.INFO)
default_conf.update({
@@ -349,6 +362,38 @@ def test_strategy_override_use_exit_profit_only(caplog, default_conf):
assert log_has("Override strategy 'exit_profit_only' with value in config file: True.", caplog)
def test_strategy_max_open_trades_infinity_from_strategy(caplog, default_conf):
caplog.set_level(logging.INFO)
default_conf.update({
'strategy': CURRENT_TEST_STRATEGY,
})
del default_conf['max_open_trades']
strategy = StrategyResolver.load_strategy(default_conf)
# this test assumes -1 set to 'max_open_trades' in CURRENT_TEST_STRATEGY
assert strategy.max_open_trades == float('inf')
assert default_conf['max_open_trades'] == float('inf')
def test_strategy_max_open_trades_infinity_from_config(caplog, default_conf, mocker):
caplog.set_level(logging.INFO)
default_conf.update({
'strategy': CURRENT_TEST_STRATEGY,
'max_open_trades': -1,
'exchange': 'binance'
})
configuration = Configuration(args=default_conf)
parsed_config = configuration.get_config()
assert parsed_config['max_open_trades'] == float('inf')
strategy = StrategyResolver.load_strategy(parsed_config)
assert strategy.max_open_trades == float('inf')
@ pytest.mark.filterwarnings("ignore:deprecated")
def test_missing_implements(default_conf, caplog):
@@ -438,3 +483,19 @@ def test_strategy_interface_versioning(dataframe_1m, default_conf):
assert isinstance(exitdf, DataFrame)
assert 'sell' not in exitdf
assert 'exit_long' in exitdf
def test_strategy_ft_load_params_from_file(mocker, default_conf):
default_conf.update({'strategy': 'StrategyTestV2'})
del default_conf['max_open_trades']
mocker.patch('freqtrade.strategy.hyper.HyperStrategyMixin.load_params_from_file',
return_value={
'params': {
'max_open_trades': {
'max_open_trades': -1
}
}
})
strategy = StrategyResolver.load_strategy(default_conf)
assert strategy.max_open_trades == float('inf')
assert strategy.config['max_open_trades'] == float('inf')

58
tests/test_binance_mig.py Normal file
View File

@@ -0,0 +1,58 @@
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['trading_mode'] = 'futures'
migrate_binance_futures_names(default_conf_usdt)
assert log_has('Migrating binance futures pairs in database.', caplog)

4
tests/test_configuration.py
View File

@@ -58,6 +58,7 @@ def test_load_config_incorrect_stake_amount(default_conf) -> None:
def test_load_config_file(default_conf, mocker, caplog) -> None:
del default_conf['user_data_dir']
default_conf['datadir'] = str(default_conf['datadir'])
file_mock = mocker.patch('freqtrade.configuration.load_config.open', mocker.mock_open(
read_data=json.dumps(default_conf)
))
@@ -69,6 +70,7 @@ def test_load_config_file(default_conf, mocker, caplog) -> None:
def test_load_config_file_error(default_conf, mocker, caplog) -> None:
del default_conf['user_data_dir']
default_conf['datadir'] = str(default_conf['datadir'])
filedata = json.dumps(default_conf).replace(
'"stake_amount": 0.001,', '"stake_amount": .001,')
mocker.patch('freqtrade.configuration.load_config.open', mocker.mock_open(read_data=filedata))
@@ -80,6 +82,7 @@ def test_load_config_file_error(default_conf, mocker, caplog) -> None:
def test_load_config_file_error_range(default_conf, mocker, caplog) -> None:
del default_conf['user_data_dir']
default_conf['datadir'] = str(default_conf['datadir'])
filedata = json.dumps(default_conf).replace(
'"stake_amount": 0.001,', '"stake_amount": .001,')
mocker.patch.object(Path, "read_text", MagicMock(return_value=filedata))
@@ -238,6 +241,7 @@ def test_print_config(default_conf, mocker, caplog) -> None:
conf1 = deepcopy(default_conf)
# Delete non-json elements from default_conf
del conf1['user_data_dir']
conf1['datadir'] = str(conf1['datadir'])
config_files = [conf1]
configsmock = MagicMock(side_effect=config_files)

25
tests/test_freqtradebot.py
View File

@@ -737,20 +737,22 @@ def test_process_informative_pairs_added(default_conf_usdt, ticker_usdt, mocker)
@pytest.mark.parametrize("is_short,trading_mode,exchange_name,margin_mode,liq_buffer,liq_price", [
(False, 'spot', 'binance', None, 0.0, None),
(True, 'spot', 'binance', None, 0.0, None),
(False, 'spot', 'gateio', None, 0.0, None),
(True, 'spot', 'gateio', None, 0.0, None),
(False, 'spot', 'gate', None, 0.0, None),
(True, 'spot', 'gate', None, 0.0, None),
(False, 'spot', 'okx', None, 0.0, None),
(True, 'spot', 'okx', None, 0.0, None),
(True, 'futures', 'binance', 'isolated', 0.0, 11.88151815181518),
(False, 'futures', 'binance', 'isolated', 0.0, 8.080471380471382),
(True, 'futures', 'gateio', 'isolated', 0.0, 11.87413417771621),
(False, 'futures', 'gateio', 'isolated', 0.0, 8.085708510208207),
(True, 'futures', 'gate', 'isolated', 0.0, 11.87413417771621),
(False, 'futures', 'gate', 'isolated', 0.0, 8.085708510208207),
(True, 'futures', 'binance', 'isolated', 0.05, 11.7874422442244),
(False, 'futures', 'binance', 'isolated', 0.05, 8.17644781144781),
(True, 'futures', 'gateio', 'isolated', 0.05, 11.7804274688304),
(False, 'futures', 'gateio', 'isolated', 0.05, 8.181423084697796),
(True, 'futures', 'gate', 'isolated', 0.05, 11.7804274688304),
(False, 'futures', 'gate', 'isolated', 0.05, 8.181423084697796),
(True, 'futures', 'okx', 'isolated', 0.0, 11.87413417771621),
(False, 'futures', 'okx', 'isolated', 0.0, 8.085708510208207),
(True, 'futures', 'bybit', 'isolated', 0.0, 11.9),
(False, 'futures', 'bybit', 'isolated', 0.0, 8.1),
])
def test_execute_entry(mocker, default_conf_usdt, fee, limit_order,
limit_order_open, is_short, trading_mode,
@@ -766,11 +768,11 @@ def test_execute_entry(mocker, default_conf_usdt, fee, limit_order,
((wb + cum_b) - (side_1 * position * ep1)) / ((position * mmr_b) - (side_1 * position))
((2 + 0.01) - (1 * 1 * 10)) / ((1 * 0.01) - (1 * 1)) = 8.070707070707071
exchange_name = gateio/okx, is_short = true
exchange_name = gate/okx, is_short = true
(open_rate + (wallet_balance / position)) / (1 + (mm_ratio + taker_fee_rate))
(10 + (2 / 1)) / (1 + (0.01 + 0.0006)) = 11.87413417771621
exchange_name = gateio/okx, is_short = false
exchange_name = gate/okx, is_short = false
(open_rate - (wallet_balance / position)) / (1 - (mm_ratio + taker_fee_rate))
(10 - (2 / 1)) / (1 - (0.01 + 0.0006)) = 8.085708510208207
"""
@@ -783,7 +785,7 @@ def test_execute_entry(mocker, default_conf_usdt, fee, limit_order,
default_conf_usdt['exchange']['name'] = exchange_name
if margin_mode:
default_conf_usdt['margin_mode'] = margin_mode
mocker.patch('freqtrade.exchange.Gateio.validate_ordertypes')
mocker.patch('freqtrade.exchange.Gate.validate_ordertypes')
patch_RPCManager(mocker)
patch_exchange(mocker, id=exchange_name)
freqtrade = FreqtradeBot(default_conf_usdt)
@@ -1168,6 +1170,8 @@ def test_handle_stoploss_on_exchange(mocker, default_conf_usdt, fee, caplog, is_
order_id='100',
ft_pair=trade.pair,
ft_is_open=True,
ft_amount=trade.amount,
ft_price=0.0,
))
assert trade
@@ -4615,6 +4619,7 @@ def test_get_real_amount_open_trade_usdt(default_conf_usdt, fee, mocker):
'amount': amount,
'status': 'open',
'side': 'buy',
'price': 0.245441,
}
freqtrade = get_patched_freqtradebot(mocker, default_conf_usdt)
order_obj = Order.parse_from_ccxt_object(order, 'LTC/ETH', 'buy')
@@ -5023,7 +5028,7 @@ def test_startup_update_open_orders(mocker, default_conf_usdt, fee, caplog, is_s
assert log_has_re(r"Error updating Order .*", caplog)
mocker.patch('freqtrade.exchange.Exchange.fetch_order', side_effect=InvalidOrderException)
hto_mock = mocker.patch('freqtrade.freqtradebot.FreqtradeBot.handle_timedout_order')
hto_mock = mocker.patch('freqtrade.freqtradebot.FreqtradeBot.handle_cancel_order')
# Orders which are no longer found after X days should be assumed as canceled.
freqtrade.startup_update_open_orders()
assert log_has_re(r"Order is older than \d days.*", caplog)

5
tests/test_misc.py
View File

@@ -5,6 +5,7 @@ from copy import deepcopy
from pathlib import Path
from unittest.mock import MagicMock
import pandas as pd
import pytest
from freqtrade.misc import (dataframe_to_json, decimals_per_coin, deep_merge_dicts, file_dump_json,
@@ -231,3 +232,7 @@ def test_dataframe_json(ohlcv_history):
assert len(ohlcv_history) == len(dataframe)
assert_frame_equal(ohlcv_history, dataframe)
ohlcv_history.at[1, 'date'] = pd.NaT
json = dataframe_to_json(ohlcv_history)
dataframe = json_to_dataframe(json)

3
tests/test_plotting.py
View File

@@ -45,7 +45,6 @@ def test_init_plotscript(default_conf, mocker, testdatadir):
default_conf['timerange'] = "20180110-20180112"
default_conf['trade_source'] = "file"
default_conf['timeframe'] = "5m"
default_conf["datadir"] = testdatadir
default_conf['exportfilename'] = testdatadir / "backtest-result.json"
supported_markets = ["TRX/BTC", "ADA/BTC"]
ret = init_plotscript(default_conf, supported_markets)
@@ -394,7 +393,6 @@ def test_load_and_plot_trades(default_conf, mocker, caplog, testdatadir):
patch_exchange(mocker)
default_conf['trade_source'] = 'file'
default_conf["datadir"] = testdatadir
default_conf['exportfilename'] = testdatadir / "backtest-result.json"
default_conf['indicators1'] = ["sma5", "ema10"]
default_conf['indicators2'] = ["macd"]
@@ -451,7 +449,6 @@ def test_start_plot_profit_error(mocker):
def test_plot_profit(default_conf, mocker, testdatadir):
patch_exchange(mocker)
default_conf['trade_source'] = 'file'
default_conf['datadir'] = testdatadir
default_conf['exportfilename'] = testdatadir / 'backtest-result_test_nofile.json'
default_conf['pairs'] = ['ETH/BTC', 'LTC/BTC']

2
tests/test_wallets.py
View File

@@ -190,7 +190,7 @@ def test_get_trade_stake_amount_unlimited_amount(default_conf, ticker, balance_r
(1, 15, 10, 10000, None, 0), # Below min stake and min_stake > stake_available
(20, 50, 100, 10000, None, 0), # Below min stake and stake * 1.3 > min_stake
(1000, None, 1000, 10000, None, 1000), # No min-stake-amount could be determined
(2000, 15, 2000, 3000, 1500, 500), # Rebuy - resulting in too high stake amount. Adjusting.
(2000, 15, 2000, 3000, 1500, 1500), # Rebuy - resulting in too high stake amount. Adjusting.
])
def test_validate_stake_amount(
mocker,

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