diff --git a/docs/includes/pairlists.md b/docs/includes/pairlists.md index 69e12d5dc..b612a4ddf 100644 --- a/docs/includes/pairlists.md +++ b/docs/includes/pairlists.md @@ -165,6 +165,7 @@ Example to remove the first 10 pairs from the pairlist: ```json "pairlists": [ + // ... { "method": "OffsetFilter", "offset": 10 @@ -190,6 +191,19 @@ Sorts pairs by past trade performance, as follows: Trade count is used as a tie breaker. +You can use the `minutes` parameter to only consider performance of the past X minutes (rolling window). +Not defining this parameter (or setting it to 0) will use all-time performance. + +```json +"pairlists": [ + // ... + { + "method": "PerformanceFilter", + "minutes": 1440 // rolling 24h + } +], +``` + !!! Note `PerformanceFilter` does not support backtesting mode. diff --git a/docs/leverage.md b/docs/leverage.md index c4b975a0b..9448c64c3 100644 --- a/docs/leverage.md +++ b/docs/leverage.md @@ -15,3 +15,7 @@ For longs, the currency which pays the interest fee for the `borrowed` will alre Rollover fee = P (borrowed money) * R (quat_hourly_interest) * ceiling(T/4) (in hours) I (interest) = Opening fee + Rollover fee [source](https://support.kraken.com/hc/en-us/articles/206161568-What-are-the-fees-for-margin-trading-) + +# TODO-lev: Mention that says you can't run 2 bots on the same account with leverage, + +#TODO-lev: Create a huge risk disclaimer \ No newline at end of file diff --git a/docs/strategy-advanced.md b/docs/strategy-advanced.md index 4409af6ea..2b9517f3b 100644 --- a/docs/strategy-advanced.md +++ b/docs/strategy-advanced.md @@ -288,6 +288,12 @@ Stoploss values returned from `custom_stoploss()` always specify a percentage re The helper function [`stoploss_from_open()`](strategy-customization.md#stoploss_from_open) can be used to convert from an open price relative stop, to a current price relative stop which can be returned from `custom_stoploss()`. +### Calculating stoploss percentage from absolute price + +Stoploss values returned from `custom_stoploss()` always specify a percentage relative to `current_rate`. In order to set a stoploss at specified absolute price level, we need to use `stop_rate` to calculate what percentage relative to the `current_rate` will give you the same result as if the percentage was specified from the open price. + +The helper function [`stoploss_from_absolute()`](strategy-customization.md#stoploss_from_absolute) can be used to convert from an absolute price, to a current price relative stop which can be returned from `custom_stoploss()`. + #### Stepped stoploss Instead of continuously trailing behind the current price, this example sets fixed stoploss price levels based on the current profit. diff --git a/docs/strategy-customization.md b/docs/strategy-customization.md index cfea60d22..725252b30 100644 --- a/docs/strategy-customization.md +++ b/docs/strategy-customization.md @@ -639,6 +639,167 @@ Stoploss values returned from `custom_stoploss` must specify a percentage relati Full examples can be found in the [Custom stoploss](strategy-advanced.md#custom-stoploss) section of the Documentation. +!!! Note + Providing invalid input to `stoploss_from_open()` may produce "CustomStoploss function did not return valid stoploss" warnings. + This may happen if `current_profit` parameter is below specified `open_relative_stop`. Such situations may arise when closing trade + is blocked by `confirm_trade_exit()` method. Warnings can be solved by never blocking stop loss sells by checking `sell_reason` in + `confirm_trade_exit()`, or by using `return stoploss_from_open(...) or 1` idiom, which will request to not change stop loss when + `current_profit < open_relative_stop`. + +### *stoploss_from_absolute()* + +In some situations it may be confusing to deal with stops relative to current rate. Instead, you may define a stoploss level using an absolute price. + +??? Example "Returning a stoploss using absolute price from the custom stoploss function" + + If we want to trail a stop price at 2xATR below current proce we can call `stoploss_from_absolute(current_rate - (candle['atr'] * 2), current_rate)`. + + ``` python + + from datetime import datetime + from freqtrade.persistence import Trade + from freqtrade.strategy import IStrategy, stoploss_from_open + + class AwesomeStrategy(IStrategy): + + use_custom_stoploss = True + + def populate_indicators_1h(self, dataframe: DataFrame, metadata: dict) -> DataFrame: + dataframe['atr'] = ta.ATR(dataframe, timeperiod=14) + return dataframe + + def custom_stoploss(self, pair: str, trade: 'Trade', current_time: datetime, + current_rate: float, current_profit: float, **kwargs) -> float: + dataframe, _ = self.dp.get_analyzed_dataframe(pair, self.timeframe) + candle = dataframe.iloc[-1].squeeze() + return stoploss_from_absolute(current_rate - (candle['atr'] * 2), current_rate) + + ``` + +### *@informative()* + +``` python +def informative(timeframe: str, asset: str = '', + fmt: Optional[Union[str, Callable[[KwArg(str)], str]]] = None, + ffill: bool = True) -> Callable[[PopulateIndicators], PopulateIndicators]: + """ + A decorator for populate_indicators_Nn(self, dataframe, metadata), allowing these functions to + define informative indicators. + + Example usage: + + @informative('1h') + def populate_indicators_1h(self, dataframe: DataFrame, metadata: dict) -> DataFrame: + dataframe['rsi'] = ta.RSI(dataframe, timeperiod=14) + return dataframe + + :param timeframe: Informative timeframe. Must always be equal or higher than strategy timeframe. + :param asset: Informative asset, for example BTC, BTC/USDT, ETH/BTC. Do not specify to use + current pair. + :param fmt: Column format (str) or column formatter (callable(name, asset, timeframe)). When not + specified, defaults to: + * {base}_{quote}_{column}_{timeframe} if asset is specified. + * {column}_{timeframe} if asset is not specified. + Format string supports these format variables: + * {asset} - full name of the asset, for example 'BTC/USDT'. + * {base} - base currency in lower case, for example 'eth'. + * {BASE} - same as {base}, except in upper case. + * {quote} - quote currency in lower case, for example 'usdt'. + * {QUOTE} - same as {quote}, except in upper case. + * {column} - name of dataframe column. + * {timeframe} - timeframe of informative dataframe. + :param ffill: ffill dataframe after merging informative pair. + """ +``` + +In most common case it is possible to easily define informative pairs by using a decorator. All decorated `populate_indicators_*` methods run in isolation, +not having access to data from other informative pairs, in the end all informative dataframes are merged and passed to main `populate_indicators()` method. +When hyperopting, use of hyperoptable parameter `.value` attribute is not supported. Please use `.range` attribute. See [optimizing an indicator parameter](hyperopt.md#optimizing-an-indicator-parameter) +for more information. + +??? Example "Fast and easy way to define informative pairs" + + Most of the time we do not need power and flexibility offered by `merge_informative_pair()`, therefore we can use a decorator to quickly define informative pairs. + + ``` python + + from datetime import datetime + from freqtrade.persistence import Trade + from freqtrade.strategy import IStrategy, informative + + class AwesomeStrategy(IStrategy): + + # This method is not required. + # def informative_pairs(self): ... + + # Define informative upper timeframe for each pair. Decorators can be stacked on same + # method. Available in populate_indicators as 'rsi_30m' and 'rsi_1h'. + @informative('30m') + @informative('1h') + def populate_indicators_1h(self, dataframe: DataFrame, metadata: dict) -> DataFrame: + dataframe['rsi'] = ta.RSI(dataframe, timeperiod=14) + return dataframe + + # Define BTC/STAKE informative pair. Available in populate_indicators and other methods as + # 'btc_rsi_1h'. Current stake currency should be specified as {stake} format variable + # instead of hardcoding actual stake currency. Available in populate_indicators and other + # methods as 'btc_usdt_rsi_1h' (when stake currency is USDT). + @informative('1h', 'BTC/{stake}') + def populate_indicators_btc_1h(self, dataframe: DataFrame, metadata: dict) -> DataFrame: + dataframe['rsi'] = ta.RSI(dataframe, timeperiod=14) + return dataframe + + # Define BTC/ETH informative pair. You must specify quote currency if it is different from + # stake currency. Available in populate_indicators and other methods as 'eth_btc_rsi_1h'. + @informative('1h', 'ETH/BTC') + def populate_indicators_eth_btc_1h(self, dataframe: DataFrame, metadata: dict) -> DataFrame: + dataframe['rsi'] = ta.RSI(dataframe, timeperiod=14) + return dataframe + + # Define BTC/STAKE informative pair. A custom formatter may be specified for formatting + # column names. A callable `fmt(**kwargs) -> str` may be specified, to implement custom + # formatting. Available in populate_indicators and other methods as 'rsi_upper'. + @informative('1h', 'BTC/{stake}', '{column}') + def populate_indicators_btc_1h_2(self, dataframe: DataFrame, metadata: dict) -> DataFrame: + dataframe['rsi_upper'] = ta.RSI(dataframe, timeperiod=14) + return dataframe + + def populate_indicators(self, dataframe: DataFrame, metadata: dict) -> DataFrame: + # Strategy timeframe indicators for current pair. + dataframe['rsi'] = ta.RSI(dataframe, timeperiod=14) + # Informative pairs are available in this method. + dataframe['rsi_less'] = dataframe['rsi'] < dataframe['rsi_1h'] + return dataframe + + ``` + +!!! Note + Do not use `@informative` decorator if you need to use data of one informative pair when generating another informative pair. Instead, define informative pairs + manually as described [in the DataProvider section](#complete-data-provider-sample). + +!!! Note + Use string formatting when accessing informative dataframes of other pairs. This will allow easily changing stake currency in config without having to adjust strategy code. + + ``` python + def populate_buy_trend(self, dataframe: DataFrame, metadata: dict) -> DataFrame: + stake = self.config['stake_currency'] + dataframe.loc[ + ( + (dataframe[f'btc_{stake}_rsi_1h'] < 35) + & + (dataframe['volume'] > 0) + ), + ['buy', 'buy_tag']] = (1, 'buy_signal_rsi') + + return dataframe + ``` + + Alternatively column renaming may be used to remove stake currency from column names: `@informative('1h', 'BTC/{stake}', fmt='{base}_{column}_{timeframe}')`. + +!!! Warning "Duplicate method names" + Methods tagged with `@informative()` decorator must always have unique names! Re-using same name (for example when copy-pasting already defined informative method) + will overwrite previously defined method and not produce any errors due to limitations of Python programming language. In such cases you will find that indicators + created in earlier-defined methods are not available in the dataframe. Carefully review method names and make sure they are unique! ## Additional data (Wallets) diff --git a/freqtrade/commands/hyperopt_commands.py b/freqtrade/commands/hyperopt_commands.py index d2d30f399..ec1ff92cf 100755 --- a/freqtrade/commands/hyperopt_commands.py +++ b/freqtrade/commands/hyperopt_commands.py @@ -53,7 +53,7 @@ def start_hyperopt_list(args: Dict[str, Any]) -> None: if epochs and export_csv: HyperoptTools.export_csv_file( - config, epochs, total_epochs, not config.get('hyperopt_list_best', False), export_csv + config, epochs, export_csv ) diff --git a/freqtrade/edge/edge_positioning.py b/freqtrade/edge/edge_positioning.py index b945dd1bd..bee96c746 100644 --- a/freqtrade/edge/edge_positioning.py +++ b/freqtrade/edge/edge_positioning.py @@ -119,7 +119,7 @@ class Edge: ) # Download informative pairs too res = defaultdict(list) - for p, t in self.strategy.informative_pairs(): + for p, t in self.strategy.gather_informative_pairs(): res[t].append(p) for timeframe, inf_pairs in res.items(): timerange_startup = deepcopy(self._timerange) diff --git a/freqtrade/exchange/bibox.py b/freqtrade/exchange/bibox.py index f0c2dd00b..074dd2b10 100644 --- a/freqtrade/exchange/bibox.py +++ b/freqtrade/exchange/bibox.py @@ -20,4 +20,7 @@ class Bibox(Exchange): # fetchCurrencies API point requires authentication for Bibox, # so switch it off for Freqtrade load_markets() - _ccxt_config: Dict = {"has": {"fetchCurrencies": False}} + @property + def _ccxt_config(self) -> Dict: + # Parameters to add directly to ccxt sync/async initialization. + return {"has": {"fetchCurrencies": False}} diff --git a/freqtrade/exchange/binance.py b/freqtrade/exchange/binance.py index 8dced3894..35f427c34 100644 --- a/freqtrade/exchange/binance.py +++ b/freqtrade/exchange/binance.py @@ -1,10 +1,13 @@ """ Binance exchange subclass """ +import json import logging -from typing import Dict, List +from pathlib import Path +from typing import Dict, List, Optional, Tuple import arrow import ccxt +from freqtrade.enums import Collateral, TradingMode from freqtrade.exceptions import (DDosProtection, InsufficientFundsError, InvalidOrderException, OperationalException, TemporaryError) from freqtrade.exchange import Exchange @@ -26,36 +29,74 @@ class Binance(Exchange): "l2_limit_range": [5, 10, 20, 50, 100, 500, 1000], } - def stoploss_adjust(self, stop_loss: float, order: Dict) -> bool: + _supported_trading_mode_collateral_pairs: List[Tuple[TradingMode, Collateral]] = [ + # TradingMode.SPOT always supported and not required in this list + # (TradingMode.MARGIN, Collateral.CROSS), # TODO-lev: Uncomment once supported + # (TradingMode.FUTURES, Collateral.CROSS), # TODO-lev: Uncomment once supported + # (TradingMode.FUTURES, Collateral.ISOLATED) # TODO-lev: Uncomment once supported + ] + + @property + def _ccxt_config(self) -> Dict: + # Parameters to add directly to ccxt sync/async initialization. + if self.trading_mode == TradingMode.MARGIN: + return { + "options": { + "defaultType": "margin" + } + } + elif self.trading_mode == TradingMode.FUTURES: + return { + "options": { + "defaultType": "future" + } + } + else: + return {} + + def stoploss_adjust(self, stop_loss: float, order: Dict, side: str) -> bool: """ Verify stop_loss against stoploss-order value (limit or price) Returns True if adjustment is necessary. + :param side: "buy" or "sell" """ - return order['type'] == 'stop_loss_limit' and stop_loss > float(order['info']['stopPrice']) + + return order['type'] == 'stop_loss_limit' and ( + (side == "sell" and stop_loss > float(order['info']['stopPrice'])) or + (side == "buy" and stop_loss < float(order['info']['stopPrice'])) + ) @retrier(retries=0) - def stoploss(self, pair: str, amount: float, stop_price: float, order_types: Dict) -> Dict: + def stoploss(self, pair: str, amount: float, stop_price: float, + order_types: Dict, side: str, leverage: float) -> Dict: """ creates a stoploss limit order. this stoploss-limit is binance-specific. It may work with a limited number of other exchanges, but this has not been tested yet. + :param side: "buy" or "sell" """ # Limit price threshold: As limit price should always be below stop-price limit_price_pct = order_types.get('stoploss_on_exchange_limit_ratio', 0.99) - rate = stop_price * limit_price_pct + if side == "sell": + # TODO: Name limit_rate in other exchange subclasses + rate = stop_price * limit_price_pct + else: + rate = stop_price * (2 - limit_price_pct) ordertype = "stop_loss_limit" stop_price = self.price_to_precision(pair, stop_price) + bad_stop_price = (stop_price <= rate) if side == "sell" else (stop_price >= rate) + # Ensure rate is less than stop price - if stop_price <= rate: + if bad_stop_price: raise OperationalException( - 'In stoploss limit order, stop price should be more than limit price') + 'In stoploss limit order, stop price should be better than limit price') if self._config['dry_run']: dry_order = self.create_dry_run_order( - pair, ordertype, "sell", amount, stop_price) + pair, ordertype, side, amount, stop_price, leverage) return dry_order try: @@ -66,7 +107,8 @@ class Binance(Exchange): rate = self.price_to_precision(pair, rate) - order = self._api.create_order(symbol=pair, type=ordertype, side='sell', + self._lev_prep(pair, leverage) + order = self._api.create_order(symbol=pair, type=ordertype, side=side, amount=amount, price=rate, params=params) logger.info('stoploss limit order added for %s. ' 'stop price: %s. limit: %s', pair, stop_price, rate) @@ -74,21 +116,96 @@ class Binance(Exchange): return order except ccxt.InsufficientFunds as e: raise InsufficientFundsError( - f'Insufficient funds to create {ordertype} sell order on market {pair}. ' - f'Tried to sell amount {amount} at rate {rate}. ' + f'Insufficient funds to create {ordertype} {side} order on market {pair}. ' + f'Tried to {side} amount {amount} at rate {rate}. ' f'Message: {e}') from e except ccxt.InvalidOrder as e: # Errors: # `binance Order would trigger immediately.` raise InvalidOrderException( - f'Could not create {ordertype} sell order on market {pair}. ' - f'Tried to sell amount {amount} at rate {rate}. ' + f'Could not create {ordertype} {side} order on market {pair}. ' + f'Tried to {side} amount {amount} at rate {rate}. ' f'Message: {e}') from e except ccxt.DDoSProtection as e: raise DDosProtection(e) from e except (ccxt.NetworkError, ccxt.ExchangeError) as e: raise TemporaryError( - f'Could not place sell order due to {e.__class__.__name__}. Message: {e}') from e + f'Could not place {side} order due to {e.__class__.__name__}. Message: {e}') from e + except ccxt.BaseError as e: + raise OperationalException(e) from e + + @retrier + def fill_leverage_brackets(self): + """ + Assigns property _leverage_brackets to a dictionary of information about the leverage + allowed on each pair + """ + if self.trading_mode == TradingMode.FUTURES: + try: + if self._config['dry_run']: + leverage_brackets_path = ( + Path(__file__).parent / 'binance_leverage_brackets.json' + ) + with open(leverage_brackets_path) as json_file: + leverage_brackets = json.load(json_file) + else: + leverage_brackets = self._api.load_leverage_brackets() + + for pair, brackets in leverage_brackets.items(): + self._leverage_brackets[pair] = [ + [ + min_amount, + float(margin_req) + ] for [ + min_amount, + margin_req + ] in brackets + ] + + except ccxt.DDoSProtection as e: + raise DDosProtection(e) from e + except (ccxt.NetworkError, ccxt.ExchangeError) as e: + raise TemporaryError(f'Could not fetch leverage amounts due to' + f'{e.__class__.__name__}. Message: {e}') from e + except ccxt.BaseError as e: + raise OperationalException(e) from e + + def get_max_leverage(self, pair: Optional[str], nominal_value: Optional[float]) -> float: + """ + Returns the maximum leverage that a pair can be traded at + :param pair: The base/quote currency pair being traded + :nominal_value: The total value of the trade in quote currency (collateral + debt) + """ + pair_brackets = self._leverage_brackets[pair] + max_lev = 1.0 + for [min_amount, margin_req] in pair_brackets: + if nominal_value >= min_amount: + max_lev = 1/margin_req + return max_lev + + @ retrier + def _set_leverage( + self, + leverage: float, + pair: Optional[str] = None, + trading_mode: Optional[TradingMode] = None + ): + """ + Set's the leverage before making a trade, in order to not + have the same leverage on every trade + """ + trading_mode = trading_mode or self.trading_mode + + if self._config['dry_run'] or trading_mode != TradingMode.FUTURES: + return + + try: + self._api.set_leverage(symbol=pair, leverage=leverage) + except ccxt.DDoSProtection as e: + raise DDosProtection(e) from e + except (ccxt.NetworkError, ccxt.ExchangeError) as e: + raise TemporaryError( + f'Could not set leverage due to {e.__class__.__name__}. Message: {e}') from e except ccxt.BaseError as e: raise OperationalException(e) from e diff --git a/freqtrade/exchange/binance_leverage_brackets.json b/freqtrade/exchange/binance_leverage_brackets.json new file mode 100644 index 000000000..4450b015e --- /dev/null +++ b/freqtrade/exchange/binance_leverage_brackets.json @@ -0,0 +1,1214 @@ +{ + "1000SHIB/USDT": [ + [0.0, "0.01"], + [5000.0, "0.025"], + [25000.0, "0.05"], + [100000.0, "0.1"], + [250000.0, "0.125"], + [1000000.0, "0.5"] + ], + "1INCH/USDT": [ + [0.0, "0.012"], + [5000.0, "0.025"], + [25000.0, "0.05"], + [100000.0, "0.1"], + [250000.0, "0.125"], + [1000000.0, "0.5"] + ], + "AAVE/USDT": [ + [0.0, "0.01"], + [50000.0, "0.02"], + [250000.0, "0.05"], + [1000000.0, "0.1"], + [2000000.0, "0.125"], + [5000000.0, "0.1665"], + [10000000.0, "0.25"] + ], + "ADA/BUSD": [ + [0.0, "0.025"], + [100000.0, "0.05"], + [500000.0, "0.1"], + [1000000.0, "0.15"], + [2000000.0, "0.25"], + [5000000.0, "0.5"] + ], + "ADA/USDT": [ + [0.0, "0.0065"], + [10000.0, "0.01"], + [50000.0, "0.02"], + [250000.0, "0.05"], + [1000000.0, "0.1"], + [2000000.0, "0.125"], + [5000000.0, "0.15"], + [10000000.0, "0.25"] + ], + "AKRO/USDT": [ + [0.0, "0.012"], + [5000.0, "0.025"], + [25000.0, "0.05"], + [100000.0, "0.1"], + [250000.0, "0.125"], + [1000000.0, "0.5"] + ], + "ALGO/USDT": [ + [0.0, "0.01"], + [50000.0, "0.025"], + [150000.0, "0.05"], + [250000.0, "0.1"], + [500000.0, "0.125"], + [1000000.0, "0.25"], + [2000000.0, "0.5"] + ], + "ALICE/USDT": [ + [0.0, "0.01"], + [5000.0, "0.025"], + [25000.0, "0.05"], + [100000.0, "0.1"], + [250000.0, "0.125"], + [1000000.0, "0.5"] + ], + "ALPHA/USDT": [ + [0.0, "0.01"], + [5000.0, "0.025"], + [25000.0, "0.05"], + [100000.0, "0.1"], + [250000.0, "0.125"], + [1000000.0, "0.5"] + ], + "ANKR/USDT": [ + [0.0, "0.012"], + [5000.0, "0.025"], + [25000.0, "0.05"], + [100000.0, "0.1"], + [250000.0, "0.125"], + [1000000.0, "0.5"] + ], + "ATA/USDT": [ + [0.0, "0.01"], + [5000.0, "0.025"], + [25000.0, "0.05"], + 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[100000.0, "0.1"], + [250000.0, "0.125"], + [1000000.0, "0.5"] + ] +} diff --git a/freqtrade/exchange/exchange.py b/freqtrade/exchange/exchange.py index 2b9b08d70..4617fd4c2 100644 --- a/freqtrade/exchange/exchange.py +++ b/freqtrade/exchange/exchange.py @@ -22,6 +22,7 @@ from pandas import DataFrame from freqtrade.constants import (DEFAULT_AMOUNT_RESERVE_PERCENT, NON_OPEN_EXCHANGE_STATES, ListPairsWithTimeframes) from freqtrade.data.converter import ohlcv_to_dataframe, trades_dict_to_list +from freqtrade.enums import Collateral, TradingMode from freqtrade.exceptions import (DDosProtection, ExchangeError, InsufficientFundsError, InvalidOrderException, OperationalException, PricingError, RetryableOrderError, TemporaryError) @@ -48,9 +49,6 @@ class Exchange: _config: Dict = {} - # Parameters to add directly to ccxt sync/async initialization. - _ccxt_config: Dict = {} - # Parameters to add directly to buy/sell calls (like agreeing to trading agreement) _params: Dict = {} @@ -74,6 +72,10 @@ class Exchange: } _ft_has: Dict = {} + _supported_trading_mode_collateral_pairs: List[Tuple[TradingMode, Collateral]] = [ + # TradingMode.SPOT always supported and not required in this list + ] + def __init__(self, config: Dict[str, Any], validate: bool = True) -> None: """ Initializes this module with the given config, @@ -83,6 +85,7 @@ class Exchange: self._api: ccxt.Exchange = None self._api_async: ccxt_async.Exchange = None self._markets: Dict = {} + self._leverage_brackets: Dict = {} self._config.update(config) @@ -125,14 +128,25 @@ class Exchange: self._trades_pagination = self._ft_has['trades_pagination'] self._trades_pagination_arg = self._ft_has['trades_pagination_arg'] + self.trading_mode: TradingMode = ( + TradingMode(config.get('trading_mode')) + if config.get('trading_mode') + else TradingMode.SPOT + ) + self.collateral: Optional[Collateral] = ( + Collateral(config.get('collateral')) + if config.get('collateral') + else None + ) + # Initialize ccxt objects - ccxt_config = self._ccxt_config.copy() + ccxt_config = self._ccxt_config ccxt_config = deep_merge_dicts(exchange_config.get('ccxt_config', {}), ccxt_config) ccxt_config = deep_merge_dicts(exchange_config.get('ccxt_sync_config', {}), ccxt_config) self._api = self._init_ccxt(exchange_config, ccxt_kwargs=ccxt_config) - ccxt_async_config = self._ccxt_config.copy() + ccxt_async_config = self._ccxt_config ccxt_async_config = deep_merge_dicts(exchange_config.get('ccxt_config', {}), ccxt_async_config) ccxt_async_config = deep_merge_dicts(exchange_config.get('ccxt_async_config', {}), @@ -140,6 +154,9 @@ class Exchange: self._api_async = self._init_ccxt( exchange_config, ccxt_async, ccxt_kwargs=ccxt_async_config) + if self.trading_mode != TradingMode.SPOT: + self.fill_leverage_brackets() + logger.info('Using Exchange "%s"', self.name) if validate: @@ -157,7 +174,7 @@ class Exchange: self.validate_order_time_in_force(config.get('order_time_in_force', {})) self.validate_required_startup_candles(config.get('startup_candle_count', 0), config.get('timeframe', '')) - + self.validate_trading_mode_and_collateral(self.trading_mode, self.collateral) # Converts the interval provided in minutes in config to seconds self.markets_refresh_interval: int = exchange_config.get( "markets_refresh_interval", 60) * 60 @@ -190,6 +207,7 @@ class Exchange: 'secret': exchange_config.get('secret'), 'password': exchange_config.get('password'), 'uid': exchange_config.get('uid', ''), + # 'options': exchange_config.get('options', {}) } if ccxt_kwargs: logger.info('Applying additional ccxt config: %s', ccxt_kwargs) @@ -210,6 +228,11 @@ class Exchange: return api + @property + def _ccxt_config(self) -> Dict: + # Parameters to add directly to ccxt sync/async initialization. + return {} + @property def name(self) -> str: """exchange Name (from ccxt)""" @@ -355,6 +378,7 @@ class Exchange: # Also reload async markets to avoid issues with newly listed pairs self._load_async_markets(reload=True) self._last_markets_refresh = arrow.utcnow().int_timestamp + self.fill_leverage_brackets() except ccxt.BaseError: logger.exception("Could not reload markets.") @@ -370,7 +394,7 @@ class Exchange: raise OperationalException( 'Could not load markets, therefore cannot start. ' 'Please investigate the above error for more details.' - ) + ) quote_currencies = self.get_quote_currencies() if stake_currency not in quote_currencies: raise OperationalException( @@ -482,6 +506,25 @@ class Exchange: f"This strategy requires {startup_candles} candles to start. " f"{self.name} only provides {candle_limit} for {timeframe}.") + def validate_trading_mode_and_collateral( + self, + trading_mode: TradingMode, + collateral: Optional[Collateral] # Only None when trading_mode = TradingMode.SPOT + ): + """ + Checks if freqtrade can perform trades using the configured + trading mode(Margin, Futures) and Collateral(Cross, Isolated) + Throws OperationalException: + If the trading_mode/collateral type are not supported by freqtrade on this exchange + """ + if trading_mode != TradingMode.SPOT and ( + (trading_mode, collateral) not in self._supported_trading_mode_collateral_pairs + ): + collateral_value = collateral and collateral.value + raise OperationalException( + f"Freqtrade does not support {collateral_value} {trading_mode.value} on {self.name}" + ) + def exchange_has(self, endpoint: str) -> bool: """ Checks if exchange implements a specific API endpoint. @@ -541,8 +584,8 @@ class Exchange: else: return 1 / pow(10, precision) - def get_min_pair_stake_amount(self, pair: str, price: float, - stoploss: float) -> Optional[float]: + def get_min_pair_stake_amount(self, pair: str, price: float, stoploss: float, + leverage: Optional[float] = 1.0) -> Optional[float]: try: market = self.markets[pair] except KeyError: @@ -576,12 +619,24 @@ class Exchange: # The value returned should satisfy both limits: for amount (base currency) and # for cost (quote, stake currency), so max() is used here. # See also #2575 at github. - return max(min_stake_amounts) * amount_reserve_percent + return self._get_stake_amount_considering_leverage( + max(min_stake_amounts) * amount_reserve_percent, + leverage or 1.0 + ) + + def _get_stake_amount_considering_leverage(self, stake_amount: float, leverage: float): + """ + Takes the minimum stake amount for a pair with no leverage and returns the minimum + stake amount when leverage is considered + :param stake_amount: The stake amount for a pair before leverage is considered + :param leverage: The amount of leverage being used on the current trade + """ + return stake_amount / leverage # Dry-run methods def create_dry_run_order(self, pair: str, ordertype: str, side: str, amount: float, - rate: float, params: Dict = {}) -> Dict[str, Any]: + rate: float, leverage: float, params: Dict = {}) -> Dict[str, Any]: order_id = f'dry_run_{side}_{datetime.now().timestamp()}' _amount = self.amount_to_precision(pair, amount) dry_order: Dict[str, Any] = { @@ -598,7 +653,8 @@ class Exchange: 'timestamp': arrow.utcnow().int_timestamp * 1000, 'status': "closed" if ordertype == "market" else "open", 'fee': None, - 'info': {} + 'info': {}, + 'leverage': leverage } if dry_order["type"] in ["stop_loss_limit", "stop-loss-limit"]: dry_order["info"] = {"stopPrice": dry_order["price"]} @@ -608,7 +664,7 @@ class Exchange: average = self.get_dry_market_fill_price(pair, side, amount, rate) dry_order.update({ 'average': average, - 'cost': dry_order['amount'] * average, + 'cost': (dry_order['amount'] * average) / leverage }) dry_order = self.add_dry_order_fee(pair, dry_order) @@ -716,17 +772,26 @@ class Exchange: # Order handling - def create_order(self, pair: str, ordertype: str, side: str, amount: float, - rate: float, time_in_force: str = 'gtc') -> Dict: - - if self._config['dry_run']: - dry_order = self.create_dry_run_order(pair, ordertype, side, amount, rate) - return dry_order + def _lev_prep(self, pair: str, leverage: float): + if self.trading_mode != TradingMode.SPOT: + self.set_margin_mode(pair, self.collateral) + self._set_leverage(leverage, pair) + def _get_params(self, ordertype: str, leverage: float, time_in_force: str = 'gtc') -> Dict: params = self._params.copy() if time_in_force != 'gtc' and ordertype != 'market': param = self._ft_has.get('time_in_force_parameter', '') params.update({param: time_in_force}) + return params + + def create_order(self, pair: str, ordertype: str, side: str, amount: float, + rate: float, leverage: float = 1.0, time_in_force: str = 'gtc') -> Dict: + # TODO-lev: remove default for leverage + if self._config['dry_run']: + dry_order = self.create_dry_run_order(pair, ordertype, side, amount, rate, leverage) + return dry_order + + params = self._get_params(ordertype, leverage, time_in_force) try: # Set the precision for amount and price(rate) as accepted by the exchange @@ -735,6 +800,7 @@ class Exchange: or self._api.options.get("createMarketBuyOrderRequiresPrice", False)) rate_for_order = self.price_to_precision(pair, rate) if needs_price else None + self._lev_prep(pair, leverage) order = self._api.create_order(pair, ordertype, side, amount, rate_for_order, params) self._log_exchange_response('create_order', order) @@ -758,14 +824,15 @@ class Exchange: except ccxt.BaseError as e: raise OperationalException(e) from e - def stoploss_adjust(self, stop_loss: float, order: Dict) -> bool: + def stoploss_adjust(self, stop_loss: float, order: Dict, side: str) -> bool: """ Verify stop_loss against stoploss-order value (limit or price) Returns True if adjustment is necessary. """ raise OperationalException(f"stoploss is not implemented for {self.name}.") - def stoploss(self, pair: str, amount: float, stop_price: float, order_types: Dict) -> Dict: + def stoploss(self, pair: str, amount: float, stop_price: float, + order_types: Dict, side: str, leverage: float) -> Dict: """ creates a stoploss order. The precise ordertype is determined by the order_types dict or exchange default. @@ -1528,6 +1595,69 @@ class Exchange: self._async_get_trade_history(pair=pair, since=since, until=until, from_id=from_id)) + def fill_leverage_brackets(self): + """ + # TODO-lev: Should maybe be renamed, leverage_brackets might not be accurate for kraken + Assigns property _leverage_brackets to a dictionary of information about the leverage + allowed on each pair + """ + return + + def get_max_leverage(self, pair: Optional[str], nominal_value: Optional[float]) -> float: + """ + Returns the maximum leverage that a pair can be traded at + :param pair: The base/quote currency pair being traded + :nominal_value: The total value of the trade in quote currency (collateral + debt) + """ + return 1.0 + + @retrier + def _set_leverage( + self, + leverage: float, + pair: Optional[str] = None, + trading_mode: Optional[TradingMode] = None + ): + """ + Set's the leverage before making a trade, in order to not + have the same leverage on every trade + """ + # TODO-lev: Make a documentation page that says you can't run 2 bots + # TODO-lev: on the same account with leverage + if self._config['dry_run'] or not self.exchange_has("setLeverage"): + # Some exchanges only support one collateral type + return + + try: + self._api.set_leverage(symbol=pair, leverage=leverage) + except ccxt.DDoSProtection as e: + raise DDosProtection(e) from e + except (ccxt.NetworkError, ccxt.ExchangeError) as e: + raise TemporaryError( + f'Could not set leverage due to {e.__class__.__name__}. Message: {e}') from e + except ccxt.BaseError as e: + raise OperationalException(e) from e + + @retrier + def set_margin_mode(self, pair: str, collateral: Collateral, params: dict = {}): + ''' + Set's the margin mode on the exchange to cross or isolated for a specific pair + :param symbol: base/quote currency pair (e.g. "ADA/USDT") + ''' + if self._config['dry_run'] or not self.exchange_has("setMarginMode"): + # Some exchanges only support one collateral type + return + + try: + self._api.set_margin_mode(pair, collateral.value, params) + except ccxt.DDoSProtection as e: + raise DDosProtection(e) from e + except (ccxt.NetworkError, ccxt.ExchangeError) as e: + raise TemporaryError( + f'Could not set margin mode due to {e.__class__.__name__}. Message: {e}') from e + except ccxt.BaseError as e: + raise OperationalException(e) from e + def is_exchange_known_ccxt(exchange_name: str, ccxt_module: CcxtModuleType = None) -> bool: return exchange_name in ccxt_exchanges(ccxt_module) diff --git a/freqtrade/exchange/ftx.py b/freqtrade/exchange/ftx.py index 6cd549d60..62adea04c 100644 --- a/freqtrade/exchange/ftx.py +++ b/freqtrade/exchange/ftx.py @@ -1,9 +1,10 @@ """ FTX exchange subclass """ import logging -from typing import Any, Dict +from typing import Any, Dict, List, Optional, Tuple import ccxt +from freqtrade.enums import Collateral, TradingMode from freqtrade.exceptions import (DDosProtection, InsufficientFundsError, InvalidOrderException, OperationalException, TemporaryError) from freqtrade.exchange import Exchange @@ -21,6 +22,12 @@ class Ftx(Exchange): "ohlcv_candle_limit": 1500, } + _supported_trading_mode_collateral_pairs: List[Tuple[TradingMode, Collateral]] = [ + # TradingMode.SPOT always supported and not required in this list + # (TradingMode.MARGIN, Collateral.CROSS), # TODO-lev: Uncomment once supported + # (TradingMode.FUTURES, Collateral.CROSS) # TODO-lev: Uncomment once supported + ] + def market_is_tradable(self, market: Dict[str, Any]) -> bool: """ Check if the market symbol is tradable by Freqtrade. @@ -31,15 +38,19 @@ class Ftx(Exchange): return (parent_check and market.get('spot', False) is True) - def stoploss_adjust(self, stop_loss: float, order: Dict) -> bool: + def stoploss_adjust(self, stop_loss: float, order: Dict, side: str) -> bool: """ Verify stop_loss against stoploss-order value (limit or price) Returns True if adjustment is necessary. """ - return order['type'] == 'stop' and stop_loss > float(order['price']) + return order['type'] == 'stop' and ( + side == "sell" and stop_loss > float(order['price']) or + side == "buy" and stop_loss < float(order['price']) + ) @retrier(retries=0) - def stoploss(self, pair: str, amount: float, stop_price: float, order_types: Dict) -> Dict: + def stoploss(self, pair: str, amount: float, stop_price: float, + order_types: Dict, side: str, leverage: float) -> Dict: """ Creates a stoploss order. depending on order_types.stoploss configuration, uses 'market' or limit order. @@ -47,7 +58,10 @@ class Ftx(Exchange): Limit orders are defined by having orderPrice set, otherwise a market order is used. """ limit_price_pct = order_types.get('stoploss_on_exchange_limit_ratio', 0.99) - limit_rate = stop_price * limit_price_pct + if side == "sell": + limit_rate = stop_price * limit_price_pct + else: + limit_rate = stop_price * (2 - limit_price_pct) ordertype = "stop" @@ -55,7 +69,7 @@ class Ftx(Exchange): if self._config['dry_run']: dry_order = self.create_dry_run_order( - pair, ordertype, "sell", amount, stop_price) + pair, ordertype, side, amount, stop_price, leverage) return dry_order try: @@ -67,7 +81,8 @@ class Ftx(Exchange): params['stopPrice'] = stop_price amount = self.amount_to_precision(pair, amount) - order = self._api.create_order(symbol=pair, type=ordertype, side='sell', + self._lev_prep(pair, leverage) + order = self._api.create_order(symbol=pair, type=ordertype, side=side, amount=amount, params=params) self._log_exchange_response('create_stoploss_order', order) logger.info('stoploss order added for %s. ' @@ -75,19 +90,19 @@ class Ftx(Exchange): return order except ccxt.InsufficientFunds as e: raise InsufficientFundsError( - f'Insufficient funds to create {ordertype} sell order on market {pair}. ' + f'Insufficient funds to create {ordertype} {side} order on market {pair}. ' f'Tried to create stoploss with amount {amount} at stoploss {stop_price}. ' f'Message: {e}') from e except ccxt.InvalidOrder as e: raise InvalidOrderException( - f'Could not create {ordertype} sell order on market {pair}. ' + f'Could not create {ordertype} {side} order on market {pair}. ' f'Tried to create stoploss with amount {amount} at stoploss {stop_price}. ' f'Message: {e}') from e except ccxt.DDoSProtection as e: raise DDosProtection(e) from e except (ccxt.NetworkError, ccxt.ExchangeError) as e: raise TemporaryError( - f'Could not place sell order due to {e.__class__.__name__}. Message: {e}') from e + f'Could not place {side} order due to {e.__class__.__name__}. Message: {e}') from e except ccxt.BaseError as e: raise OperationalException(e) from e @@ -152,3 +167,18 @@ class Ftx(Exchange): if order['type'] == 'stop': return safe_value_fallback2(order, order, 'id_stop', 'id') return order['id'] + + def fill_leverage_brackets(self): + """ + FTX leverage is static across the account, and doesn't change from pair to pair, + so _leverage_brackets doesn't need to be set + """ + return + + def get_max_leverage(self, pair: Optional[str], nominal_value: Optional[float]) -> float: + """ + Returns the maximum leverage that a pair can be traded at, which is always 20 on ftx + :param pair: Here for super method, not used on FTX + :nominal_value: Here for super method, not used on FTX + """ + return 20.0 diff --git a/freqtrade/exchange/kraken.py b/freqtrade/exchange/kraken.py index 1b069aa6c..19d0a4967 100644 --- a/freqtrade/exchange/kraken.py +++ b/freqtrade/exchange/kraken.py @@ -1,9 +1,10 @@ """ Kraken exchange subclass """ import logging -from typing import Any, Dict +from typing import Any, Dict, List, Optional, Tuple import ccxt +from freqtrade.enums import Collateral, TradingMode from freqtrade.exceptions import (DDosProtection, InsufficientFundsError, InvalidOrderException, OperationalException, TemporaryError) from freqtrade.exchange import Exchange @@ -23,6 +24,12 @@ class Kraken(Exchange): "trades_pagination_arg": "since", } + _supported_trading_mode_collateral_pairs: List[Tuple[TradingMode, Collateral]] = [ + # TradingMode.SPOT always supported and not required in this list + # (TradingMode.MARGIN, Collateral.CROSS), # TODO-lev: Uncomment once supported + # (TradingMode.FUTURES, Collateral.CROSS) # TODO-lev: No CCXT support + ] + def market_is_tradable(self, market: Dict[str, Any]) -> bool: """ Check if the market symbol is tradable by Freqtrade. @@ -67,16 +74,19 @@ class Kraken(Exchange): except ccxt.BaseError as e: raise OperationalException(e) from e - def stoploss_adjust(self, stop_loss: float, order: Dict) -> bool: + def stoploss_adjust(self, stop_loss: float, order: Dict, side: str) -> bool: """ Verify stop_loss against stoploss-order value (limit or price) Returns True if adjustment is necessary. """ - return (order['type'] in ('stop-loss', 'stop-loss-limit') - and stop_loss > float(order['price'])) + return (order['type'] in ('stop-loss', 'stop-loss-limit') and ( + (side == "sell" and stop_loss > float(order['price'])) or + (side == "buy" and stop_loss < float(order['price'])) + )) @retrier(retries=0) - def stoploss(self, pair: str, amount: float, stop_price: float, order_types: Dict) -> Dict: + def stoploss(self, pair: str, amount: float, stop_price: float, + order_types: Dict, side: str, leverage: float) -> Dict: """ Creates a stoploss market order. Stoploss market orders is the only stoploss type supported by kraken. @@ -86,7 +96,10 @@ class Kraken(Exchange): if order_types.get('stoploss', 'market') == 'limit': ordertype = "stop-loss-limit" limit_price_pct = order_types.get('stoploss_on_exchange_limit_ratio', 0.99) - limit_rate = stop_price * limit_price_pct + if side == "sell": + limit_rate = stop_price * limit_price_pct + else: + limit_rate = stop_price * (2 - limit_price_pct) params['price2'] = self.price_to_precision(pair, limit_rate) else: ordertype = "stop-loss" @@ -95,13 +108,13 @@ class Kraken(Exchange): if self._config['dry_run']: dry_order = self.create_dry_run_order( - pair, ordertype, "sell", amount, stop_price) + pair, ordertype, side, amount, stop_price, leverage) return dry_order try: amount = self.amount_to_precision(pair, amount) - order = self._api.create_order(symbol=pair, type=ordertype, side='sell', + order = self._api.create_order(symbol=pair, type=ordertype, side=side, amount=amount, price=stop_price, params=params) self._log_exchange_response('create_stoploss_order', order) logger.info('stoploss order added for %s. ' @@ -109,18 +122,70 @@ class Kraken(Exchange): return order except ccxt.InsufficientFunds as e: raise InsufficientFundsError( - f'Insufficient funds to create {ordertype} sell order on market {pair}. ' + f'Insufficient funds to create {ordertype} {side} order on market {pair}. ' f'Tried to create stoploss with amount {amount} at stoploss {stop_price}. ' f'Message: {e}') from e except ccxt.InvalidOrder as e: raise InvalidOrderException( - f'Could not create {ordertype} sell order on market {pair}. ' + f'Could not create {ordertype} {side} order on market {pair}. ' f'Tried to create stoploss with amount {amount} at stoploss {stop_price}. ' f'Message: {e}') from e except ccxt.DDoSProtection as e: raise DDosProtection(e) from e except (ccxt.NetworkError, ccxt.ExchangeError) as e: raise TemporaryError( - f'Could not place sell order due to {e.__class__.__name__}. Message: {e}') from e + f'Could not place {side} order due to {e.__class__.__name__}. Message: {e}') from e except ccxt.BaseError as e: raise OperationalException(e) from e + + def fill_leverage_brackets(self): + """ + Assigns property _leverage_brackets to a dictionary of information about the leverage + allowed on each pair + """ + leverages = {} + + for pair, market in self.markets.items(): + leverages[pair] = [1] + info = market['info'] + leverage_buy = info.get('leverage_buy', []) + leverage_sell = info.get('leverage_sell', []) + if len(leverage_buy) > 0 or len(leverage_sell) > 0: + if leverage_buy != leverage_sell: + logger.warning( + f"The buy({leverage_buy}) and sell({leverage_sell}) leverage are not equal" + "for {pair}. Please notify freqtrade because this has never happened before" + ) + if max(leverage_buy) <= max(leverage_sell): + leverages[pair] += [int(lev) for lev in leverage_buy] + else: + leverages[pair] += [int(lev) for lev in leverage_sell] + else: + leverages[pair] += [int(lev) for lev in leverage_buy] + self._leverage_brackets = leverages + + def get_max_leverage(self, pair: Optional[str], nominal_value: Optional[float]) -> float: + """ + Returns the maximum leverage that a pair can be traded at + :param pair: The base/quote currency pair being traded + :nominal_value: Here for super class, not needed on Kraken + """ + return float(max(self._leverage_brackets[pair])) + + def _set_leverage( + self, + leverage: float, + pair: Optional[str] = None, + trading_mode: Optional[TradingMode] = None + ): + """ + Kraken set's the leverage as an option in the order object, so we need to + add it to params + """ + return + + def _get_params(self, ordertype: str, leverage: float, time_in_force: str = 'gtc') -> Dict: + params = super()._get_params(ordertype, leverage, time_in_force) + if leverage > 1.0: + params['leverage'] = leverage + return params diff --git a/freqtrade/freqtradebot.py b/freqtrade/freqtradebot.py index 17135eecb..43a7571f7 100644 --- a/freqtrade/freqtradebot.py +++ b/freqtrade/freqtradebot.py @@ -85,10 +85,10 @@ class FreqtradeBot(LoggingMixin): self.dataprovider = DataProvider(self.config, self.exchange, self.pairlists) - # Attach Dataprovider to Strategy baseclass - IStrategy.dp = self.dataprovider - # Attach Wallets to Strategy baseclass - IStrategy.wallets = self.wallets + # Attach Dataprovider to strategy instance + self.strategy.dp = self.dataprovider + # Attach Wallets to strategy instance + self.strategy.wallets = self.wallets # Initializing Edge only if enabled self.edge = Edge(self.config, self.exchange, self.strategy) if \ @@ -162,7 +162,7 @@ class FreqtradeBot(LoggingMixin): # Refreshing candles self.dataprovider.refresh(self.pairlists.create_pair_list(self.active_pair_whitelist), - self.strategy.informative_pairs()) + self.strategy.gather_informative_pairs()) strategy_safe_wrapper(self.strategy.bot_loop_start, supress_error=True)() @@ -735,9 +735,14 @@ class FreqtradeBot(LoggingMixin): :return: True if the order succeeded, and False in case of problems. """ try: - stoploss_order = self.exchange.stoploss(pair=trade.pair, amount=trade.amount, - stop_price=stop_price, - order_types=self.strategy.order_types) + stoploss_order = self.exchange.stoploss( + pair=trade.pair, + amount=trade.amount, + stop_price=stop_price, + order_types=self.strategy.order_types, + side=trade.exit_side, + leverage=trade.leverage + ) order_obj = Order.parse_from_ccxt_object(stoploss_order, trade.pair, 'stoploss') trade.orders.append(order_obj) @@ -829,11 +834,11 @@ class FreqtradeBot(LoggingMixin): # if trailing stoploss is enabled we check if stoploss value has changed # in which case we cancel stoploss order and put another one with new # value immediately - self.handle_trailing_stoploss_on_exchange(trade, stoploss_order) + self.handle_trailing_stoploss_on_exchange(trade, stoploss_order, side=trade.exit_side) return False - def handle_trailing_stoploss_on_exchange(self, trade: Trade, order: dict) -> None: + def handle_trailing_stoploss_on_exchange(self, trade: Trade, order: dict, side: str) -> None: """ Check to see if stoploss on exchange should be updated in case of trailing stoploss on exchange @@ -841,7 +846,7 @@ class FreqtradeBot(LoggingMixin): :param order: Current on exchange stoploss order :return: None """ - if self.exchange.stoploss_adjust(trade.stop_loss, order): + if self.exchange.stoploss_adjust(trade.stop_loss, order, side): # we check if the update is necessary update_beat = self.strategy.order_types.get('stoploss_on_exchange_interval', 60) if (datetime.utcnow() - trade.stoploss_last_update).total_seconds() >= update_beat: diff --git a/freqtrade/leverage/interest.py b/freqtrade/leverage/interest.py index aacbb3532..2878ad784 100644 --- a/freqtrade/leverage/interest.py +++ b/freqtrade/leverage/interest.py @@ -20,7 +20,7 @@ def interest( :param exchange_name: The exchanged being trading on :param borrowed: The amount of currency being borrowed - :param rate: The rate of interest + :param rate: The rate of interest (i.e daily interest rate) :param hours: The time in hours that the currency has been borrowed for Raises: @@ -36,7 +36,8 @@ def interest( # Rounded based on https://kraken-fees-calculator.github.io/ return borrowed * rate * (one+ceil(hours/four)) elif exchange_name == "ftx": - # TODO-lev: Add FTX interest formula - raise OperationalException(f"Leverage not available on {exchange_name} with freqtrade") + # As Explained under #Interest rates section in + # https://help.ftx.com/hc/en-us/articles/360053007671-Spot-Margin-Trading-Explainer + return borrowed * rate * ceil(hours)/twenty_four else: raise OperationalException(f"Leverage not available on {exchange_name} with freqtrade") diff --git a/freqtrade/optimize/backtesting.py b/freqtrade/optimize/backtesting.py index 3c0fbd086..b43222fb3 100644 --- a/freqtrade/optimize/backtesting.py +++ b/freqtrade/optimize/backtesting.py @@ -157,7 +157,7 @@ class Backtesting: self.strategy: IStrategy = strategy strategy.dp = self.dataprovider # Attach Wallets to Strategy baseclass - IStrategy.wallets = self.wallets + strategy.wallets = self.wallets # Set stoploss_on_exchange to false for backtesting, # since a "perfect" stoploss-sell is assumed anyway # And the regular "stoploss" function would not apply to that case diff --git a/freqtrade/optimize/edge_cli.py b/freqtrade/optimize/edge_cli.py index 417faa685..f211da750 100644 --- a/freqtrade/optimize/edge_cli.py +++ b/freqtrade/optimize/edge_cli.py @@ -8,6 +8,7 @@ from typing import Any, Dict from freqtrade import constants from freqtrade.configuration import TimeRange, validate_config_consistency +from freqtrade.data.dataprovider import DataProvider from freqtrade.edge import Edge from freqtrade.optimize.optimize_reports import generate_edge_table from freqtrade.resolvers import ExchangeResolver, StrategyResolver @@ -33,6 +34,7 @@ class EdgeCli: self.config['stake_amount'] = constants.UNLIMITED_STAKE_AMOUNT self.exchange = ExchangeResolver.load_exchange(self.config['exchange']['name'], self.config) self.strategy = StrategyResolver.load_strategy(self.config) + self.strategy.dp = DataProvider(config, None) validate_config_consistency(self.config) diff --git a/freqtrade/optimize/hyperopt_tools.py b/freqtrade/optimize/hyperopt_tools.py index b2e024f65..cfbc2757e 100755 --- a/freqtrade/optimize/hyperopt_tools.py +++ b/freqtrade/optimize/hyperopt_tools.py @@ -7,6 +7,7 @@ from pathlib import Path from typing import Any, Dict, Iterator, List, Optional, Tuple import numpy as np +import pandas as pd import rapidjson import tabulate from colorama import Fore, Style @@ -298,8 +299,8 @@ class HyperoptTools(): f"Objective: {results['loss']:.5f}") @staticmethod - def prepare_trials_columns(trials, legacy_mode: bool, has_drawdown: bool) -> str: - + def prepare_trials_columns(trials: pd.DataFrame, legacy_mode: bool, + has_drawdown: bool) -> pd.DataFrame: trials['Best'] = '' if 'results_metrics.winsdrawslosses' not in trials.columns: @@ -435,8 +436,7 @@ class HyperoptTools(): return table @staticmethod - def export_csv_file(config: dict, results: list, total_epochs: int, highlight_best: bool, - csv_file: str) -> None: + def export_csv_file(config: dict, results: list, csv_file: str) -> None: """ Log result to csv-file """ diff --git a/freqtrade/persistence/models.py b/freqtrade/persistence/models.py index 84e402ce5..fe97c4a70 100644 --- a/freqtrade/persistence/models.py +++ b/freqtrade/persistence/models.py @@ -2,7 +2,7 @@ This module contains the class to persist trades into SQLite """ import logging -from datetime import datetime, timezone +from datetime import datetime, timedelta, timezone from decimal import Decimal from typing import Any, Dict, List, Optional @@ -1026,17 +1026,21 @@ class Trade(_DECL_BASE, LocalTrade): return total_open_stake_amount or 0 @staticmethod - def get_overall_performance() -> List[Dict[str, Any]]: + def get_overall_performance(minutes=None) -> List[Dict[str, Any]]: """ Returns List of dicts containing all Trades, including profit and trade count NOTE: Not supported in Backtesting. """ + filters = [Trade.is_open.is_(False)] + if minutes: + start_date = datetime.now(timezone.utc) - timedelta(minutes=minutes) + filters.append(Trade.close_date >= start_date) pair_rates = Trade.query.with_entities( Trade.pair, func.sum(Trade.close_profit).label('profit_sum'), func.sum(Trade.close_profit_abs).label('profit_sum_abs'), func.count(Trade.pair).label('count') - ).filter(Trade.is_open.is_(False))\ + ).filter(*filters)\ .group_by(Trade.pair) \ .order_by(desc('profit_sum_abs')) \ .all() diff --git a/freqtrade/plugins/pairlist/PerformanceFilter.py b/freqtrade/plugins/pairlist/PerformanceFilter.py index 46a289ae6..301ee57ab 100644 --- a/freqtrade/plugins/pairlist/PerformanceFilter.py +++ b/freqtrade/plugins/pairlist/PerformanceFilter.py @@ -2,7 +2,7 @@ Performance pair list filter """ import logging -from typing import Dict, List +from typing import Any, Dict, List import pandas as pd @@ -15,6 +15,13 @@ logger = logging.getLogger(__name__) class PerformanceFilter(IPairList): + def __init__(self, exchange, pairlistmanager, + config: Dict[str, Any], pairlistconfig: Dict[str, Any], + pairlist_pos: int) -> None: + super().__init__(exchange, pairlistmanager, config, pairlistconfig, pairlist_pos) + + self._minutes = pairlistconfig.get('minutes', 0) + @property def needstickers(self) -> bool: """ @@ -40,7 +47,7 @@ class PerformanceFilter(IPairList): """ # Get the trading performance for pairs from database try: - performance = pd.DataFrame(Trade.get_overall_performance()) + performance = pd.DataFrame(Trade.get_overall_performance(self._minutes)) except AttributeError: # Performancefilter does not work in backtesting. self.log_once("PerformanceFilter is not available in this mode.", logger.warning) diff --git a/freqtrade/rpc/api_server/api_schemas.py b/freqtrade/rpc/api_server/api_schemas.py index 3adbebc16..46187f571 100644 --- a/freqtrade/rpc/api_server/api_schemas.py +++ b/freqtrade/rpc/api_server/api_schemas.py @@ -46,6 +46,12 @@ class Balances(BaseModel): value: float stake: str note: str + starting_capital: float + starting_capital_ratio: float + starting_capital_pct: float + starting_capital_fiat: float + starting_capital_fiat_ratio: float + starting_capital_fiat_pct: float class Count(BaseModel): diff --git a/freqtrade/rpc/rpc.py b/freqtrade/rpc/rpc.py index 7facacf97..b50f90de8 100644 --- a/freqtrade/rpc/rpc.py +++ b/freqtrade/rpc/rpc.py @@ -459,6 +459,9 @@ class RPC: raise RPCException('Error getting current tickers.') self._freqtrade.wallets.update(require_update=False) + starting_capital = self._freqtrade.wallets.get_starting_balance() + starting_cap_fiat = self._fiat_converter.convert_amount( + starting_capital, stake_currency, fiat_display_currency) if self._fiat_converter else 0 for coin, balance in self._freqtrade.wallets.get_all_balances().items(): if not balance.total: @@ -494,15 +497,25 @@ class RPC: else: raise RPCException('All balances are zero.') - symbol = fiat_display_currency - value = self._fiat_converter.convert_amount(total, stake_currency, - symbol) if self._fiat_converter else 0 + value = self._fiat_converter.convert_amount( + total, stake_currency, fiat_display_currency) if self._fiat_converter else 0 + + starting_capital_ratio = 0.0 + starting_capital_ratio = (total / starting_capital) - 1 if starting_capital else 0.0 + starting_cap_fiat_ratio = (value / starting_cap_fiat) - 1 if starting_cap_fiat else 0.0 + return { 'currencies': output, 'total': total, - 'symbol': symbol, + 'symbol': fiat_display_currency, 'value': value, 'stake': stake_currency, + 'starting_capital': starting_capital, + 'starting_capital_ratio': starting_capital_ratio, + 'starting_capital_pct': round(starting_capital_ratio * 100, 2), + 'starting_capital_fiat': starting_cap_fiat, + 'starting_capital_fiat_ratio': starting_cap_fiat_ratio, + 'starting_capital_fiat_pct': round(starting_cap_fiat_ratio * 100, 2), 'note': 'Simulated balances' if self._freqtrade.config['dry_run'] else '' } diff --git a/freqtrade/rpc/telegram.py b/freqtrade/rpc/telegram.py index a988d2b60..19c58b63d 100644 --- a/freqtrade/rpc/telegram.py +++ b/freqtrade/rpc/telegram.py @@ -603,12 +603,15 @@ class Telegram(RPCHandler): output = '' if self._config['dry_run']: - output += ( - f"*Warning:* Simulated balances in Dry Mode.\n" - "This mode is still experimental!\n" - "Starting capital: " - f"`{self._config['dry_run_wallet']}` {self._config['stake_currency']}.\n" - ) + output += "*Warning:* Simulated balances in Dry Mode.\n" + + output += ("Starting capital: " + f"`{result['starting_capital']}` {self._config['stake_currency']}" + ) + output += (f" `{result['starting_capital_fiat']}` " + f"{self._config['fiat_display_currency']}.\n" + ) if result['starting_capital_fiat'] > 0 else '.\n' + total_dust_balance = 0 total_dust_currencies = 0 for curr in result['currencies']: @@ -641,9 +644,12 @@ class Telegram(RPCHandler): f"{round_coin_value(total_dust_balance, result['stake'], False)}`\n") output += ("\n*Estimated Value*:\n" - f"\t`{result['stake']}: {result['total']: .8f}`\n" + f"\t`{result['stake']}: " + f"{round_coin_value(result['total'], result['stake'], False)}`" + f" `({result['starting_capital_pct']}%)`\n" f"\t`{result['symbol']}: " - f"{round_coin_value(result['value'], result['symbol'], False)}`\n") + f"{round_coin_value(result['value'], result['symbol'], False)}`" + f" `({result['starting_capital_fiat_pct']}%)`\n") self._send_msg(output, reload_able=True, callback_path="update_balance", query=update.callback_query) except RPCException as e: diff --git a/freqtrade/strategy/__init__.py b/freqtrade/strategy/__init__.py index be655fc33..2ea0ad2b4 100644 --- a/freqtrade/strategy/__init__.py +++ b/freqtrade/strategy/__init__.py @@ -3,5 +3,7 @@ from freqtrade.exchange import (timeframe_to_minutes, timeframe_to_msecs, timefr timeframe_to_prev_date, timeframe_to_seconds) from freqtrade.strategy.hyper import (BooleanParameter, CategoricalParameter, DecimalParameter, IntParameter, RealParameter) +from freqtrade.strategy.informative_decorator import informative from freqtrade.strategy.interface import IStrategy -from freqtrade.strategy.strategy_helper import merge_informative_pair, stoploss_from_open +from freqtrade.strategy.strategy_helper import (merge_informative_pair, stoploss_from_absolute, + stoploss_from_open) diff --git a/freqtrade/strategy/informative_decorator.py b/freqtrade/strategy/informative_decorator.py new file mode 100644 index 000000000..4c5f21108 --- /dev/null +++ b/freqtrade/strategy/informative_decorator.py @@ -0,0 +1,128 @@ +from typing import Any, Callable, NamedTuple, Optional, Union + +from pandas import DataFrame + +from freqtrade.exceptions import OperationalException +from freqtrade.strategy.strategy_helper import merge_informative_pair + + +PopulateIndicators = Callable[[Any, DataFrame, dict], DataFrame] + + +class InformativeData(NamedTuple): + asset: Optional[str] + timeframe: str + fmt: Union[str, Callable[[Any], str], None] + ffill: bool + + +def informative(timeframe: str, asset: str = '', + fmt: Optional[Union[str, Callable[[Any], str]]] = None, + ffill: bool = True) -> Callable[[PopulateIndicators], PopulateIndicators]: + """ + A decorator for populate_indicators_Nn(self, dataframe, metadata), allowing these functions to + define informative indicators. + + Example usage: + + @informative('1h') + def populate_indicators_1h(self, dataframe: DataFrame, metadata: dict) -> DataFrame: + dataframe['rsi'] = ta.RSI(dataframe, timeperiod=14) + return dataframe + + :param timeframe: Informative timeframe. Must always be equal or higher than strategy timeframe. + :param asset: Informative asset, for example BTC, BTC/USDT, ETH/BTC. Do not specify to use + current pair. + :param fmt: Column format (str) or column formatter (callable(name, asset, timeframe)). When not + specified, defaults to: + * {base}_{quote}_{column}_{timeframe} if asset is specified. + * {column}_{timeframe} if asset is not specified. + Format string supports these format variables: + * {asset} - full name of the asset, for example 'BTC/USDT'. + * {base} - base currency in lower case, for example 'eth'. + * {BASE} - same as {base}, except in upper case. + * {quote} - quote currency in lower case, for example 'usdt'. + * {QUOTE} - same as {quote}, except in upper case. + * {column} - name of dataframe column. + * {timeframe} - timeframe of informative dataframe. + :param ffill: ffill dataframe after merging informative pair. + """ + _asset = asset + _timeframe = timeframe + _fmt = fmt + _ffill = ffill + + def decorator(fn: PopulateIndicators): + informative_pairs = getattr(fn, '_ft_informative', []) + informative_pairs.append(InformativeData(_asset, _timeframe, _fmt, _ffill)) + setattr(fn, '_ft_informative', informative_pairs) + return fn + return decorator + + +def _format_pair_name(config, pair: str) -> str: + return pair.format(stake_currency=config['stake_currency'], + stake=config['stake_currency']).upper() + + +def _create_and_merge_informative_pair(strategy, dataframe: DataFrame, metadata: dict, + inf_data: InformativeData, + populate_indicators: PopulateIndicators): + asset = inf_data.asset or '' + timeframe = inf_data.timeframe + fmt = inf_data.fmt + config = strategy.config + + if asset: + # Insert stake currency if needed. + asset = _format_pair_name(config, asset) + else: + # Not specifying an asset will define informative dataframe for current pair. + asset = metadata['pair'] + + if '/' in asset: + base, quote = asset.split('/') + else: + # When futures are supported this may need reevaluation. + # base, quote = asset, '' + raise OperationalException('Not implemented.') + + # Default format. This optimizes for the common case: informative pairs using same stake + # currency. When quote currency matches stake currency, column name will omit base currency. + # This allows easily reconfiguring strategy to use different base currency. In a rare case + # where it is desired to keep quote currency in column name at all times user should specify + # fmt='{base}_{quote}_{column}_{timeframe}' format or similar. + if not fmt: + fmt = '{column}_{timeframe}' # Informatives of current pair + if inf_data.asset: + fmt = '{base}_{quote}_' + fmt # Informatives of other pairs + + inf_metadata = {'pair': asset, 'timeframe': timeframe} + inf_dataframe = strategy.dp.get_pair_dataframe(asset, timeframe) + inf_dataframe = populate_indicators(strategy, inf_dataframe, inf_metadata) + + formatter: Any = None + if callable(fmt): + formatter = fmt # A custom user-specified formatter function. + else: + formatter = fmt.format # A default string formatter. + + fmt_args = { + 'BASE': base.upper(), + 'QUOTE': quote.upper(), + 'base': base.lower(), + 'quote': quote.lower(), + 'asset': asset, + 'timeframe': timeframe, + } + inf_dataframe.rename(columns=lambda column: formatter(column=column, **fmt_args), + inplace=True) + + date_column = formatter(column='date', **fmt_args) + if date_column in dataframe.columns: + raise OperationalException(f'Duplicate column name {date_column} exists in ' + f'dataframe! Ensure column names are unique!') + dataframe = merge_informative_pair(dataframe, inf_dataframe, strategy.timeframe, timeframe, + ffill=inf_data.ffill, append_timeframe=False, + date_column=date_column) + return dataframe diff --git a/freqtrade/strategy/interface.py b/freqtrade/strategy/interface.py index ce193426b..34cf9f749 100644 --- a/freqtrade/strategy/interface.py +++ b/freqtrade/strategy/interface.py @@ -19,6 +19,9 @@ from freqtrade.exchange import timeframe_to_minutes, timeframe_to_seconds from freqtrade.exchange.exchange import timeframe_to_next_date from freqtrade.persistence import PairLocks, Trade from freqtrade.strategy.hyper import HyperStrategyMixin +from freqtrade.strategy.informative_decorator import (InformativeData, PopulateIndicators, + _create_and_merge_informative_pair, + _format_pair_name) from freqtrade.strategy.strategy_wrapper import strategy_safe_wrapper from freqtrade.wallets import Wallets @@ -118,7 +121,7 @@ class IStrategy(ABC, HyperStrategyMixin): # Class level variables (intentional) containing # the dataprovider (dp) (access to other candles, historic data, ...) # and wallets - access to the current balance. - dp: Optional[DataProvider] = None + dp: Optional[DataProvider] wallets: Optional[Wallets] = None # Filled from configuration stake_currency: str @@ -134,6 +137,24 @@ class IStrategy(ABC, HyperStrategyMixin): self._last_candle_seen_per_pair: Dict[str, datetime] = {} super().__init__(config) + # Gather informative pairs from @informative-decorated methods. + self._ft_informative: List[Tuple[InformativeData, PopulateIndicators]] = [] + for attr_name in dir(self.__class__): + cls_method = getattr(self.__class__, attr_name) + if not callable(cls_method): + continue + informative_data_list = getattr(cls_method, '_ft_informative', None) + if not isinstance(informative_data_list, list): + # Type check is required because mocker would return a mock object that evaluates to + # True, confusing this code. + continue + strategy_timeframe_minutes = timeframe_to_minutes(self.timeframe) + for informative_data in informative_data_list: + if timeframe_to_minutes(informative_data.timeframe) < strategy_timeframe_minutes: + raise OperationalException('Informative timeframe must be equal or higher than ' + 'strategy timeframe!') + self._ft_informative.append((informative_data, cls_method)) + @abstractmethod def populate_indicators(self, dataframe: DataFrame, metadata: dict) -> DataFrame: """ @@ -379,6 +400,23 @@ class IStrategy(ABC, HyperStrategyMixin): # END - Intended to be overridden by strategy ### + def gather_informative_pairs(self) -> ListPairsWithTimeframes: + """ + Internal method which gathers all informative pairs (user or automatically defined). + """ + informative_pairs = self.informative_pairs() + for inf_data, _ in self._ft_informative: + if inf_data.asset: + pair_tf = (_format_pair_name(self.config, inf_data.asset), inf_data.timeframe) + informative_pairs.append(pair_tf) + else: + if not self.dp: + raise OperationalException('@informative decorator with unspecified asset ' + 'requires DataProvider instance.') + for pair in self.dp.current_whitelist(): + informative_pairs.append((pair, inf_data.timeframe)) + return list(set(informative_pairs)) + def get_strategy_name(self) -> str: """ Returns strategy class name @@ -878,6 +916,12 @@ class IStrategy(ABC, HyperStrategyMixin): :return: a Dataframe with all mandatory indicators for the strategies """ logger.debug(f"Populating indicators for pair {metadata.get('pair')}.") + + # call populate_indicators_Nm() which were tagged with @informative decorator. + for inf_data, populate_fn in self._ft_informative: + dataframe = _create_and_merge_informative_pair( + self, dataframe, metadata, inf_data, populate_fn) + if self._populate_fun_len == 2: warnings.warn("deprecated - check out the Sample strategy to see " "the current function headers!", DeprecationWarning) diff --git a/freqtrade/strategy/strategy_helper.py b/freqtrade/strategy/strategy_helper.py index 9c4d2bf2d..126a9c6c5 100644 --- a/freqtrade/strategy/strategy_helper.py +++ b/freqtrade/strategy/strategy_helper.py @@ -5,7 +5,9 @@ from freqtrade.exchange import timeframe_to_minutes def merge_informative_pair(dataframe: pd.DataFrame, informative: pd.DataFrame, - timeframe: str, timeframe_inf: str, ffill: bool = True) -> pd.DataFrame: + timeframe: str, timeframe_inf: str, ffill: bool = True, + append_timeframe: bool = True, + date_column: str = 'date') -> pd.DataFrame: """ Correctly merge informative samples to the original dataframe, avoiding lookahead bias. @@ -25,6 +27,8 @@ def merge_informative_pair(dataframe: pd.DataFrame, informative: pd.DataFrame, :param timeframe: Timeframe of the original pair sample. :param timeframe_inf: Timeframe of the informative pair sample. :param ffill: Forwardfill missing values - optional but usually required + :param append_timeframe: Rename columns by appending timeframe. + :param date_column: A custom date column name. :return: Merged dataframe :raise: ValueError if the secondary timeframe is shorter than the dataframe timeframe """ @@ -33,25 +37,29 @@ def merge_informative_pair(dataframe: pd.DataFrame, informative: pd.DataFrame, minutes = timeframe_to_minutes(timeframe) if minutes == minutes_inf: # No need to forwardshift if the timeframes are identical - informative['date_merge'] = informative["date"] + informative['date_merge'] = informative[date_column] elif minutes < minutes_inf: # Subtract "small" timeframe so merging is not delayed by 1 small candle # Detailed explanation in https://github.com/freqtrade/freqtrade/issues/4073 informative['date_merge'] = ( - informative["date"] + pd.to_timedelta(minutes_inf, 'm') - pd.to_timedelta(minutes, 'm') + informative[date_column] + pd.to_timedelta(minutes_inf, 'm') - + pd.to_timedelta(minutes, 'm') ) else: raise ValueError("Tried to merge a faster timeframe to a slower timeframe." "This would create new rows, and can throw off your regular indicators.") # Rename columns to be unique - informative.columns = [f"{col}_{timeframe_inf}" for col in informative.columns] + date_merge = 'date_merge' + if append_timeframe: + date_merge = f'date_merge_{timeframe_inf}' + informative.columns = [f"{col}_{timeframe_inf}" for col in informative.columns] # Combine the 2 dataframes # all indicators on the informative sample MUST be calculated before this point dataframe = pd.merge(dataframe, informative, left_on='date', - right_on=f'date_merge_{timeframe_inf}', how='left') - dataframe = dataframe.drop(f'date_merge_{timeframe_inf}', axis=1) + right_on=date_merge, how='left') + dataframe = dataframe.drop(date_merge, axis=1) if ffill: dataframe = dataframe.ffill() @@ -97,3 +105,28 @@ def stoploss_from_open( return min(stoploss, 0.0) else: return max(stoploss, 0.0) + + +def stoploss_from_absolute(stop_rate: float, current_rate: float) -> float: + """ + Given current price and desired stop price, return a stop loss value that is relative to current + price. + + The requested stop can be positive for a stop above the open price, or negative for + a stop below the open price. The return value is always >= 0. + + Returns 0 if the resulting stop price would be above the current price. + + :param stop_rate: Stop loss price. + :param current_rate: Current asset price. + :return: Positive stop loss value relative to current price + """ + + # formula is undefined for current_rate 0, return maximum value + if current_rate == 0: + return 1 + + stoploss = 1 - (stop_rate / current_rate) + + # negative stoploss values indicate the requested stop price is higher than the current price + return max(stoploss, 0.0) diff --git a/setup.sh b/setup.sh index 217500569..aee7c80b5 100755 --- a/setup.sh +++ b/setup.sh @@ -62,7 +62,7 @@ function updateenv() { then REQUIREMENTS_PLOT="-r requirements-plot.txt" fi - if [ "${SYS_ARCH}" == "armv7l" ]; then + if [ "${SYS_ARCH}" == "armv7l" ] || [ "${SYS_ARCH}" == "armv6l" ]; then echo "Detected Raspberry, installing cython, skipping hyperopt installation." ${PYTHON} -m pip install --upgrade cython else diff --git a/tests/conftest.py b/tests/conftest.py index ad949f9e1..d54e3a9a1 100644 --- a/tests/conftest.py +++ b/tests/conftest.py @@ -18,7 +18,7 @@ from freqtrade import constants from freqtrade.commands import Arguments from freqtrade.data.converter import ohlcv_to_dataframe from freqtrade.edge import Edge, PairInfo -from freqtrade.enums import RunMode +from freqtrade.enums import Collateral, RunMode, TradingMode from freqtrade.enums.signaltype import SignalDirection from freqtrade.exchange import Exchange from freqtrade.freqtradebot import FreqtradeBot @@ -82,7 +82,13 @@ def patched_configuration_load_config_file(mocker, config) -> None: ) -def patch_exchange(mocker, api_mock=None, id='binance', mock_markets=True) -> None: +def patch_exchange( + mocker, + api_mock=None, + id='binance', + mock_markets=True, + mock_supported_modes=True +) -> None: mocker.patch('freqtrade.exchange.Exchange._load_async_markets', MagicMock(return_value={})) mocker.patch('freqtrade.exchange.Exchange.validate_pairs', MagicMock()) mocker.patch('freqtrade.exchange.Exchange.validate_timeframes', MagicMock()) @@ -91,10 +97,22 @@ def patch_exchange(mocker, api_mock=None, id='binance', mock_markets=True) -> No mocker.patch('freqtrade.exchange.Exchange.id', PropertyMock(return_value=id)) mocker.patch('freqtrade.exchange.Exchange.name', PropertyMock(return_value=id.title())) mocker.patch('freqtrade.exchange.Exchange.precisionMode', PropertyMock(return_value=2)) + if mock_markets: mocker.patch('freqtrade.exchange.Exchange.markets', PropertyMock(return_value=get_markets())) + if mock_supported_modes: + mocker.patch( + f'freqtrade.exchange.{id.capitalize()}._supported_trading_mode_collateral_pairs', + PropertyMock(return_value=[ + (TradingMode.MARGIN, Collateral.CROSS), + (TradingMode.MARGIN, Collateral.ISOLATED), + (TradingMode.FUTURES, Collateral.CROSS), + (TradingMode.FUTURES, Collateral.ISOLATED) + ]) + ) + if api_mock: mocker.patch('freqtrade.exchange.Exchange._init_ccxt', MagicMock(return_value=api_mock)) else: @@ -102,8 +120,8 @@ def patch_exchange(mocker, api_mock=None, id='binance', mock_markets=True) -> No def get_patched_exchange(mocker, config, api_mock=None, id='binance', - mock_markets=True) -> Exchange: - patch_exchange(mocker, api_mock, id, mock_markets) + mock_markets=True, mock_supported_modes=True) -> Exchange: + patch_exchange(mocker, api_mock, id, mock_markets, mock_supported_modes) config['exchange']['name'] = id try: exchange = ExchangeResolver.load_exchange(id, config) @@ -465,7 +483,10 @@ def get_markets(): 'max': 500000, }, }, - 'info': {}, + 'info': { + 'leverage_buy': ['2'], + 'leverage_sell': ['2'], + }, }, 'TKN/BTC': { 'id': 'tknbtc', @@ -491,7 +512,10 @@ def get_markets(): 'max': 500000, }, }, - 'info': {}, + 'info': { + 'leverage_buy': ['2', '3', '4', '5'], + 'leverage_sell': ['2', '3', '4', '5'], + }, }, 'BLK/BTC': { 'id': 'blkbtc', @@ -516,7 +540,10 @@ def get_markets(): 'max': 500000, }, }, - 'info': {}, + 'info': { + 'leverage_buy': ['2', '3'], + 'leverage_sell': ['2', '3'], + }, }, 'LTC/BTC': { 'id': 'ltcbtc', @@ -541,7 +568,10 @@ def get_markets(): 'max': 500000, }, }, - 'info': {}, + 'info': { + 'leverage_buy': [], + 'leverage_sell': [], + }, }, 'XRP/BTC': { 'id': 'xrpbtc', @@ -619,7 +649,10 @@ def get_markets(): 'max': None } }, - 'info': {}, + 'info': { + 'leverage_buy': [], + 'leverage_sell': [], + }, }, 'ETH/USDT': { 'id': 'USDT-ETH', @@ -735,6 +768,8 @@ def get_markets(): 'max': None } }, + 'info': { + } }, } diff --git a/tests/exchange/test_binance.py b/tests/exchange/test_binance.py index dd85c3abe..0c3e86fdd 100644 --- a/tests/exchange/test_binance.py +++ b/tests/exchange/test_binance.py @@ -1,21 +1,31 @@ from datetime import datetime, timezone from random import randint -from unittest.mock import MagicMock +from unittest.mock import MagicMock, PropertyMock import ccxt import pytest +from freqtrade.enums import Collateral, TradingMode from freqtrade.exceptions import DependencyException, InvalidOrderException, OperationalException from tests.conftest import get_mock_coro, get_patched_exchange, log_has_re from tests.exchange.test_exchange import ccxt_exceptionhandlers -@pytest.mark.parametrize('limitratio,expected', [ - (None, 220 * 0.99), - (0.99, 220 * 0.99), - (0.98, 220 * 0.98), +@pytest.mark.parametrize('limitratio,expected,side', [ + (None, 220 * 0.99, "sell"), + (0.99, 220 * 0.99, "sell"), + (0.98, 220 * 0.98, "sell"), + (None, 220 * 1.01, "buy"), + (0.99, 220 * 1.01, "buy"), + (0.98, 220 * 1.02, "buy"), ]) -def test_stoploss_order_binance(default_conf, mocker, limitratio, expected): +def test_stoploss_order_binance( + default_conf, + mocker, + limitratio, + expected, + side +): api_mock = MagicMock() order_id = 'test_prod_buy_{}'.format(randint(0, 10 ** 6)) order_type = 'stop_loss_limit' @@ -33,19 +43,32 @@ def test_stoploss_order_binance(default_conf, mocker, limitratio, expected): exchange = get_patched_exchange(mocker, default_conf, api_mock, 'binance') with pytest.raises(OperationalException): - order = exchange.stoploss(pair='ETH/BTC', amount=1, stop_price=190, - order_types={'stoploss_on_exchange_limit_ratio': 1.05}) + order = exchange.stoploss( + pair='ETH/BTC', + amount=1, + stop_price=190, + side=side, + order_types={'stoploss_on_exchange_limit_ratio': 1.05}, + leverage=1.0 + ) api_mock.create_order.reset_mock() order_types = {} if limitratio is None else {'stoploss_on_exchange_limit_ratio': limitratio} - order = exchange.stoploss(pair='ETH/BTC', amount=1, stop_price=220, order_types=order_types) + order = exchange.stoploss( + pair='ETH/BTC', + amount=1, + stop_price=220, + order_types=order_types, + side=side, + leverage=1.0 + ) assert 'id' in order assert 'info' in order assert order['id'] == order_id assert api_mock.create_order.call_args_list[0][1]['symbol'] == 'ETH/BTC' assert api_mock.create_order.call_args_list[0][1]['type'] == order_type - assert api_mock.create_order.call_args_list[0][1]['side'] == 'sell' + assert api_mock.create_order.call_args_list[0][1]['side'] == side assert api_mock.create_order.call_args_list[0][1]['amount'] == 1 # Price should be 1% below stopprice assert api_mock.create_order.call_args_list[0][1]['price'] == expected @@ -55,17 +78,31 @@ def test_stoploss_order_binance(default_conf, mocker, limitratio, expected): with pytest.raises(DependencyException): api_mock.create_order = MagicMock(side_effect=ccxt.InsufficientFunds("0 balance")) exchange = get_patched_exchange(mocker, default_conf, api_mock, 'binance') - exchange.stoploss(pair='ETH/BTC', amount=1, stop_price=220, order_types={}) + exchange.stoploss( + pair='ETH/BTC', + amount=1, + stop_price=220, + order_types={}, + side=side, + leverage=1.0) with pytest.raises(InvalidOrderException): api_mock.create_order = MagicMock( side_effect=ccxt.InvalidOrder("binance Order would trigger immediately.")) exchange = get_patched_exchange(mocker, default_conf, api_mock, 'binance') - exchange.stoploss(pair='ETH/BTC', amount=1, stop_price=220, order_types={}) + exchange.stoploss( + pair='ETH/BTC', + amount=1, + stop_price=220, + order_types={}, + side=side, + leverage=1.0 + ) ccxt_exceptionhandlers(mocker, default_conf, api_mock, "binance", "stoploss", "create_order", retries=1, - pair='ETH/BTC', amount=1, stop_price=220, order_types={}) + pair='ETH/BTC', amount=1, stop_price=220, order_types={}, + side=side, leverage=1.0) def test_stoploss_order_dry_run_binance(default_conf, mocker): @@ -78,12 +115,25 @@ def test_stoploss_order_dry_run_binance(default_conf, mocker): exchange = get_patched_exchange(mocker, default_conf, api_mock, 'binance') with pytest.raises(OperationalException): - order = exchange.stoploss(pair='ETH/BTC', amount=1, stop_price=190, - order_types={'stoploss_on_exchange_limit_ratio': 1.05}) + order = exchange.stoploss( + pair='ETH/BTC', + amount=1, + stop_price=190, + side="sell", + order_types={'stoploss_on_exchange_limit_ratio': 1.05}, + leverage=1.0 + ) api_mock.create_order.reset_mock() - order = exchange.stoploss(pair='ETH/BTC', amount=1, stop_price=220, order_types={}) + order = exchange.stoploss( + pair='ETH/BTC', + amount=1, + stop_price=220, + order_types={}, + side="sell", + leverage=1.0 + ) assert 'id' in order assert 'info' in order @@ -94,18 +144,202 @@ def test_stoploss_order_dry_run_binance(default_conf, mocker): assert order['amount'] == 1 -def test_stoploss_adjust_binance(mocker, default_conf): +@pytest.mark.parametrize('sl1,sl2,sl3,side', [ + (1501, 1499, 1501, "sell"), + (1499, 1501, 1499, "buy") +]) +def test_stoploss_adjust_binance(mocker, default_conf, sl1, sl2, sl3, side): exchange = get_patched_exchange(mocker, default_conf, id='binance') order = { 'type': 'stop_loss_limit', 'price': 1500, 'info': {'stopPrice': 1500}, } - assert exchange.stoploss_adjust(1501, order) - assert not exchange.stoploss_adjust(1499, order) + assert exchange.stoploss_adjust(sl1, order, side=side) + assert not exchange.stoploss_adjust(sl2, order, side=side) # Test with invalid order case order['type'] = 'stop_loss' - assert not exchange.stoploss_adjust(1501, order) + assert not exchange.stoploss_adjust(sl3, order, side=side) + + +@pytest.mark.parametrize('pair,nominal_value,max_lev', [ + ("BNB/BUSD", 0.0, 40.0), + ("BNB/USDT", 100.0, 153.84615384615384), + ("BTC/USDT", 170.30, 250.0), + ("BNB/BUSD", 999999.9, 10.0), + ("BNB/USDT", 5000000.0, 6.666666666666667), + ("BTC/USDT", 300000000.1, 2.0), +]) +def test_get_max_leverage_binance(default_conf, mocker, pair, nominal_value, max_lev): + exchange = get_patched_exchange(mocker, default_conf, id="binance") + exchange._leverage_brackets = { + 'BNB/BUSD': [[0.0, 0.025], + [100000.0, 0.05], + [500000.0, 0.1], + [1000000.0, 0.15], + [2000000.0, 0.25], + [5000000.0, 0.5]], + 'BNB/USDT': [[0.0, 0.0065], + [10000.0, 0.01], + [50000.0, 0.02], + [250000.0, 0.05], + [1000000.0, 0.1], + [2000000.0, 0.125], + [5000000.0, 0.15], + [10000000.0, 0.25]], + 'BTC/USDT': [[0.0, 0.004], + [50000.0, 0.005], + [250000.0, 0.01], + [1000000.0, 0.025], + [5000000.0, 0.05], + [20000000.0, 0.1], + [50000000.0, 0.125], + [100000000.0, 0.15], + [200000000.0, 0.25], + [300000000.0, 0.5]], + } + assert exchange.get_max_leverage(pair, nominal_value) == max_lev + + +def test_fill_leverage_brackets_binance(default_conf, mocker): + api_mock = MagicMock() + api_mock.load_leverage_brackets = MagicMock(return_value={ + 'ADA/BUSD': [[0.0, 0.025], + [100000.0, 0.05], + [500000.0, 0.1], + [1000000.0, 0.15], + [2000000.0, 0.25], + [5000000.0, 0.5]], + 'BTC/USDT': [[0.0, 0.004], + [50000.0, 0.005], + [250000.0, 0.01], + [1000000.0, 0.025], + [5000000.0, 0.05], + [20000000.0, 0.1], + [50000000.0, 0.125], + [100000000.0, 0.15], + [200000000.0, 0.25], + [300000000.0, 0.5]], + "ZEC/USDT": [[0.0, 0.01], + [5000.0, 0.025], + [25000.0, 0.05], + [100000.0, 0.1], + [250000.0, 0.125], + [1000000.0, 0.5]], + + }) + default_conf['dry_run'] = False + default_conf['trading_mode'] = TradingMode.FUTURES + default_conf['collateral'] = Collateral.ISOLATED + exchange = get_patched_exchange(mocker, default_conf, api_mock, id="binance") + exchange.fill_leverage_brackets() + + assert exchange._leverage_brackets == { + 'ADA/BUSD': [[0.0, 0.025], + [100000.0, 0.05], + [500000.0, 0.1], + [1000000.0, 0.15], + [2000000.0, 0.25], + [5000000.0, 0.5]], + 'BTC/USDT': [[0.0, 0.004], + [50000.0, 0.005], + [250000.0, 0.01], + [1000000.0, 0.025], + [5000000.0, 0.05], + [20000000.0, 0.1], + [50000000.0, 0.125], + [100000000.0, 0.15], + [200000000.0, 0.25], + [300000000.0, 0.5]], + "ZEC/USDT": [[0.0, 0.01], + [5000.0, 0.025], + [25000.0, 0.05], + [100000.0, 0.1], + [250000.0, 0.125], + [1000000.0, 0.5]], + } + + api_mock = MagicMock() + api_mock.load_leverage_brackets = MagicMock() + type(api_mock).has = PropertyMock(return_value={'loadLeverageBrackets': True}) + + ccxt_exceptionhandlers( + mocker, + default_conf, + api_mock, + "binance", + "fill_leverage_brackets", + "load_leverage_brackets" + ) + + +def test_fill_leverage_brackets_binance_dryrun(default_conf, mocker): + api_mock = MagicMock() + default_conf['trading_mode'] = TradingMode.FUTURES + default_conf['collateral'] = Collateral.ISOLATED + exchange = get_patched_exchange(mocker, default_conf, api_mock, id="binance") + exchange.fill_leverage_brackets() + + leverage_brackets = { + "1000SHIB/USDT": [ + [0.0, 0.01], + [5000.0, 0.025], + [25000.0, 0.05], + [100000.0, 0.1], + [250000.0, 0.125], + [1000000.0, 0.5] + ], + "1INCH/USDT": [ + [0.0, 0.012], + [5000.0, 0.025], + [25000.0, 0.05], + [100000.0, 0.1], + [250000.0, 0.125], + [1000000.0, 0.5] + ], + "AAVE/USDT": [ + [0.0, 0.01], + [50000.0, 0.02], + [250000.0, 0.05], + [1000000.0, 0.1], + [2000000.0, 0.125], + [5000000.0, 0.1665], + [10000000.0, 0.25] + ], + "ADA/BUSD": [ + [0.0, 0.025], + [100000.0, 0.05], + [500000.0, 0.1], + [1000000.0, 0.15], + [2000000.0, 0.25], + [5000000.0, 0.5] + ] + } + + for key, value in leverage_brackets.items(): + assert exchange._leverage_brackets[key] == value + + +def test__set_leverage_binance(mocker, default_conf): + + api_mock = MagicMock() + 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) + + ccxt_exceptionhandlers( + mocker, + default_conf, + api_mock, + "binance", + "_set_leverage", + "set_leverage", + pair="XRP/USDT", + leverage=5.0, + trading_mode=TradingMode.FUTURES + ) @pytest.mark.asyncio @@ -138,3 +372,15 @@ async def test__async_get_historic_ohlcv_binance(default_conf, mocker, caplog): assert exchange._api_async.fetch_ohlcv.call_count == 2 assert res == ohlcv assert log_has_re(r"Candle-data for ETH/BTC available starting with .*", caplog) + + +@pytest.mark.parametrize("trading_mode,collateral,config", [ + ("", "", {}), + ("margin", "cross", {"options": {"defaultType": "margin"}}), + ("futures", "isolated", {"options": {"defaultType": "future"}}), +]) +def test__ccxt_config(default_conf, mocker, trading_mode, collateral, config): + default_conf['trading_mode'] = trading_mode + default_conf['collateral'] = collateral + exchange = get_patched_exchange(mocker, default_conf, id="binance") + assert exchange._ccxt_config == config diff --git a/tests/exchange/test_exchange.py b/tests/exchange/test_exchange.py index 97bc33429..8b16a9f12 100644 --- a/tests/exchange/test_exchange.py +++ b/tests/exchange/test_exchange.py @@ -11,6 +11,7 @@ import ccxt import pytest from pandas import DataFrame +from freqtrade.enums import Collateral, TradingMode from freqtrade.exceptions import (DDosProtection, DependencyException, InvalidOrderException, OperationalException, PricingError, TemporaryError) from freqtrade.exchange import Binance, Bittrex, Exchange, Kraken @@ -131,6 +132,7 @@ def test_init_ccxt_kwargs(default_conf, mocker, caplog): assert log_has("Applying additional ccxt config: {'TestKWARG': 11, 'TestKWARG44': 11}", caplog) assert ex._api.headers == {'hello': 'world'} + assert ex._ccxt_config == {} Exchange._headers = {} @@ -395,7 +397,11 @@ def test_get_min_pair_stake_amount(mocker, default_conf) -> None: PropertyMock(return_value=markets) ) result = exchange.get_min_pair_stake_amount('ETH/BTC', 1, stoploss) - assert isclose(result, 2 * (1+0.05) / (1-abs(stoploss))) + expected_result = 2 * (1+0.05) / (1-abs(stoploss)) + assert isclose(result, expected_result) + # With Leverage + result = exchange.get_min_pair_stake_amount('ETH/BTC', 1, stoploss, 3.0) + assert isclose(result, expected_result/3) # min amount is set markets["ETH/BTC"]["limits"] = { @@ -407,7 +413,11 @@ def test_get_min_pair_stake_amount(mocker, default_conf) -> None: PropertyMock(return_value=markets) ) result = exchange.get_min_pair_stake_amount('ETH/BTC', 2, stoploss) - assert isclose(result, 2 * 2 * (1+0.05) / (1-abs(stoploss))) + expected_result = 2 * 2 * (1+0.05) / (1-abs(stoploss)) + assert isclose(result, expected_result) + # With Leverage + result = exchange.get_min_pair_stake_amount('ETH/BTC', 2, stoploss, 5.0) + assert isclose(result, expected_result/5) # min amount and cost are set (cost is minimal) markets["ETH/BTC"]["limits"] = { @@ -419,7 +429,11 @@ def test_get_min_pair_stake_amount(mocker, default_conf) -> None: PropertyMock(return_value=markets) ) result = exchange.get_min_pair_stake_amount('ETH/BTC', 2, stoploss) - assert isclose(result, max(2, 2 * 2) * (1+0.05) / (1-abs(stoploss))) + expected_result = max(2, 2 * 2) * (1+0.05) / (1-abs(stoploss)) + assert isclose(result, expected_result) + # With Leverage + result = exchange.get_min_pair_stake_amount('ETH/BTC', 2, stoploss, 10) + assert isclose(result, expected_result/10) # min amount and cost are set (amount is minial) markets["ETH/BTC"]["limits"] = { @@ -431,14 +445,26 @@ def test_get_min_pair_stake_amount(mocker, default_conf) -> None: PropertyMock(return_value=markets) ) result = exchange.get_min_pair_stake_amount('ETH/BTC', 2, stoploss) - assert isclose(result, max(8, 2 * 2) * (1+0.05) / (1-abs(stoploss))) + expected_result = max(8, 2 * 2) * (1+0.05) / (1-abs(stoploss)) + assert isclose(result, expected_result) + # With Leverage + result = exchange.get_min_pair_stake_amount('ETH/BTC', 2, stoploss, 7.0) + assert isclose(result, expected_result/7.0) result = exchange.get_min_pair_stake_amount('ETH/BTC', 2, -0.4) - assert isclose(result, max(8, 2 * 2) * 1.5) + expected_result = max(8, 2 * 2) * 1.5 + assert isclose(result, expected_result) + # With Leverage + result = exchange.get_min_pair_stake_amount('ETH/BTC', 2, -0.4, 8.0) + assert isclose(result, expected_result/8.0) # Really big stoploss result = exchange.get_min_pair_stake_amount('ETH/BTC', 2, -1) - assert isclose(result, max(8, 2 * 2) * 1.5) + expected_result = max(8, 2 * 2) * 1.5 + assert isclose(result, expected_result) + # With Leverage + result = exchange.get_min_pair_stake_amount('ETH/BTC', 2, -1, 12.0) + assert isclose(result, expected_result/12) def test_get_min_pair_stake_amount_real_data(mocker, default_conf) -> None: @@ -456,10 +482,10 @@ def test_get_min_pair_stake_amount_real_data(mocker, default_conf) -> None: PropertyMock(return_value=markets) ) result = exchange.get_min_pair_stake_amount('ETH/BTC', 0.020405, stoploss) - assert round(result, 8) == round( - max(0.0001, 0.001 * 0.020405) * (1+0.05) / (1-abs(stoploss)), - 8 - ) + expected_result = max(0.0001, 0.001 * 0.020405) * (1+0.05) / (1-abs(stoploss)) + assert round(result, 8) == round(expected_result, 8) + result = exchange.get_min_pair_stake_amount('ETH/BTC', 0.020405, stoploss, 3.0) + assert round(result, 8) == round(expected_result/3, 8) def test_set_sandbox(default_conf, mocker): @@ -970,7 +996,13 @@ def test_create_dry_run_order(default_conf, mocker, side, exchange_name): exchange = get_patched_exchange(mocker, default_conf, id=exchange_name) order = exchange.create_dry_run_order( - pair='ETH/BTC', ordertype='limit', side=side, amount=1, rate=200) + pair='ETH/BTC', + ordertype='limit', + side=side, + amount=1, + rate=200, + leverage=1.0 + ) assert 'id' in order assert f'dry_run_{side}_' in order["id"] assert order["side"] == side @@ -993,7 +1025,13 @@ def test_create_dry_run_order_limit_fill(default_conf, mocker, side, startprice, ) order = exchange.create_dry_run_order( - pair='LTC/USDT', ordertype='limit', side=side, amount=1, rate=startprice) + pair='LTC/USDT', + ordertype='limit', + side=side, + amount=1, + rate=startprice, + leverage=1.0 + ) assert order_book_l2_usd.call_count == 1 assert 'id' in order assert f'dry_run_{side}_' in order["id"] @@ -1039,7 +1077,13 @@ def test_create_dry_run_order_market_fill(default_conf, mocker, side, rate, amou ) order = exchange.create_dry_run_order( - pair='LTC/USDT', ordertype='market', side=side, amount=amount, rate=rate) + pair='LTC/USDT', + ordertype='market', + side=side, + amount=amount, + rate=rate, + leverage=1.0 + ) assert 'id' in order assert f'dry_run_{side}_' in order["id"] assert order["side"] == side @@ -1049,10 +1093,7 @@ def test_create_dry_run_order_market_fill(default_conf, mocker, side, rate, amou assert round(order["average"], 4) == round(endprice, 4) -@pytest.mark.parametrize("side", [ - ("buy"), - ("sell") -]) +@pytest.mark.parametrize("side", ["buy", "sell"]) @pytest.mark.parametrize("ordertype,rate,marketprice", [ ("market", None, None), ("market", 200, True), @@ -1074,9 +1115,17 @@ def test_create_order(default_conf, mocker, side, ordertype, rate, marketprice, mocker.patch('freqtrade.exchange.Exchange.amount_to_precision', lambda s, x, y: y) mocker.patch('freqtrade.exchange.Exchange.price_to_precision', lambda s, x, y: y) exchange = get_patched_exchange(mocker, default_conf, api_mock, id=exchange_name) + exchange._set_leverage = MagicMock() + exchange.set_margin_mode = MagicMock() order = exchange.create_order( - pair='ETH/BTC', ordertype=ordertype, side=side, amount=1, rate=200) + pair='ETH/BTC', + ordertype=ordertype, + side=side, + amount=1, + rate=200, + leverage=1.0 + ) assert 'id' in order assert 'info' in order @@ -1086,6 +1135,21 @@ def test_create_order(default_conf, mocker, side, ordertype, rate, marketprice, assert api_mock.create_order.call_args[0][2] == side assert api_mock.create_order.call_args[0][3] == 1 assert api_mock.create_order.call_args[0][4] is rate + assert exchange._set_leverage.call_count == 0 + assert exchange.set_margin_mode.call_count == 0 + + exchange.trading_mode = TradingMode.FUTURES + order = exchange.create_order( + pair='ETH/BTC', + ordertype=ordertype, + side=side, + amount=1, + rate=200, + leverage=3.0 + ) + + assert exchange._set_leverage.call_count == 1 + assert exchange.set_margin_mode.call_count == 1 def test_buy_dry_run(default_conf, mocker): @@ -2624,10 +2688,17 @@ def test_get_fee(default_conf, mocker, exchange_name): def test_stoploss_order_unsupported_exchange(default_conf, mocker): exchange = get_patched_exchange(mocker, default_conf, id='bittrex') with pytest.raises(OperationalException, match=r"stoploss is not implemented .*"): - exchange.stoploss(pair='ETH/BTC', amount=1, stop_price=220, order_types={}) + exchange.stoploss( + pair='ETH/BTC', + amount=1, + stop_price=220, + order_types={}, + side="sell", + leverage=1.0 + ) with pytest.raises(OperationalException, match=r"stoploss is not implemented .*"): - exchange.stoploss_adjust(1, {}) + exchange.stoploss_adjust(1, {}, side="sell") def test_merge_ft_has_dict(default_conf, mocker): @@ -2972,7 +3043,123 @@ def test_calculate_fee_rate(mocker, default_conf, order, expected) -> None: (3, 5, 5), (4, 5, 2), (5, 5, 1), - ]) def test_calculate_backoff(retrycount, max_retries, expected): assert calculate_backoff(retrycount, max_retries) == expected + + +@pytest.mark.parametrize('exchange', ['binance', 'kraken', 'ftx']) +@pytest.mark.parametrize('stake_amount,leverage,min_stake_with_lev', [ + (9.0, 3.0, 3.0), + (20.0, 5.0, 4.0), + (100.0, 100.0, 1.0) +]) +def test_get_stake_amount_considering_leverage( + exchange, + stake_amount, + leverage, + min_stake_with_lev, + mocker, + default_conf +): + exchange = get_patched_exchange(mocker, default_conf, id=exchange) + assert exchange._get_stake_amount_considering_leverage( + stake_amount, leverage) == min_stake_with_lev + + +@pytest.mark.parametrize("exchange_name,trading_mode", [ + ("binance", TradingMode.FUTURES), + ("ftx", TradingMode.MARGIN), + ("ftx", TradingMode.FUTURES) +]) +def test__set_leverage(mocker, default_conf, exchange_name, trading_mode): + + api_mock = MagicMock() + api_mock.set_leverage = MagicMock() + type(api_mock).has = PropertyMock(return_value={'setLeverage': True}) + default_conf['dry_run'] = False + + ccxt_exceptionhandlers( + mocker, + default_conf, + api_mock, + exchange_name, + "_set_leverage", + "set_leverage", + pair="XRP/USDT", + leverage=5.0, + trading_mode=trading_mode + ) + + +@pytest.mark.parametrize("collateral", [ + (Collateral.CROSS), + (Collateral.ISOLATED) +]) +def test_set_margin_mode(mocker, default_conf, collateral): + + api_mock = MagicMock() + api_mock.set_margin_mode = MagicMock() + type(api_mock).has = PropertyMock(return_value={'setMarginMode': True}) + default_conf['dry_run'] = False + + ccxt_exceptionhandlers( + mocker, + default_conf, + api_mock, + "binance", + "set_margin_mode", + "set_margin_mode", + pair="XRP/USDT", + collateral=collateral + ) + + +@pytest.mark.parametrize("exchange_name, trading_mode, collateral, exception_thrown", [ + ("binance", TradingMode.SPOT, None, False), + ("binance", TradingMode.MARGIN, Collateral.ISOLATED, True), + ("kraken", TradingMode.SPOT, None, False), + ("kraken", TradingMode.MARGIN, Collateral.ISOLATED, True), + ("kraken", TradingMode.FUTURES, Collateral.ISOLATED, True), + ("ftx", TradingMode.SPOT, None, False), + ("ftx", TradingMode.MARGIN, Collateral.ISOLATED, True), + ("ftx", TradingMode.FUTURES, Collateral.ISOLATED, True), + ("bittrex", TradingMode.SPOT, None, False), + ("bittrex", TradingMode.MARGIN, Collateral.CROSS, True), + ("bittrex", TradingMode.MARGIN, Collateral.ISOLATED, True), + ("bittrex", TradingMode.FUTURES, Collateral.CROSS, True), + ("bittrex", TradingMode.FUTURES, Collateral.ISOLATED, True), + + # TODO-lev: Remove once implemented + ("binance", TradingMode.MARGIN, Collateral.CROSS, True), + ("binance", TradingMode.FUTURES, Collateral.CROSS, True), + ("binance", TradingMode.FUTURES, Collateral.ISOLATED, True), + ("kraken", TradingMode.MARGIN, Collateral.CROSS, True), + ("kraken", TradingMode.FUTURES, Collateral.CROSS, True), + ("ftx", TradingMode.MARGIN, Collateral.CROSS, True), + ("ftx", TradingMode.FUTURES, Collateral.CROSS, True), + + # TODO-lev: Uncomment once implemented + # ("binance", TradingMode.MARGIN, Collateral.CROSS, False), + # ("binance", TradingMode.FUTURES, Collateral.CROSS, False), + # ("binance", TradingMode.FUTURES, Collateral.ISOLATED, False), + # ("kraken", TradingMode.MARGIN, Collateral.CROSS, False), + # ("kraken", TradingMode.FUTURES, Collateral.CROSS, False), + # ("ftx", TradingMode.MARGIN, Collateral.CROSS, False), + # ("ftx", TradingMode.FUTURES, Collateral.CROSS, False) +]) +def test_validate_trading_mode_and_collateral( + default_conf, + mocker, + exchange_name, + trading_mode, + collateral, + exception_thrown +): + exchange = get_patched_exchange( + mocker, default_conf, id=exchange_name, mock_supported_modes=False) + if (exception_thrown): + with pytest.raises(OperationalException): + exchange.validate_trading_mode_and_collateral(trading_mode, collateral) + else: + exchange.validate_trading_mode_and_collateral(trading_mode, collateral) diff --git a/tests/exchange/test_ftx.py b/tests/exchange/test_ftx.py index 3794bb79c..ca6b24d64 100644 --- a/tests/exchange/test_ftx.py +++ b/tests/exchange/test_ftx.py @@ -14,7 +14,11 @@ from .test_exchange import ccxt_exceptionhandlers STOPLOSS_ORDERTYPE = 'stop' -def test_stoploss_order_ftx(default_conf, mocker): +@pytest.mark.parametrize('order_price,exchangelimitratio,side', [ + (217.8, 1.05, "sell"), + (222.2, 0.95, "buy"), +]) +def test_stoploss_order_ftx(default_conf, mocker, order_price, exchangelimitratio, side): api_mock = MagicMock() order_id = 'test_prod_buy_{}'.format(randint(0, 10 ** 6)) @@ -32,12 +36,18 @@ def test_stoploss_order_ftx(default_conf, mocker): exchange = get_patched_exchange(mocker, default_conf, api_mock, 'ftx') # stoploss_on_exchange_limit_ratio is irrelevant for ftx market orders - order = exchange.stoploss(pair='ETH/BTC', amount=1, stop_price=190, - order_types={'stoploss_on_exchange_limit_ratio': 1.05}) + order = exchange.stoploss( + pair='ETH/BTC', + amount=1, + stop_price=190, + side=side, + order_types={'stoploss_on_exchange_limit_ratio': exchangelimitratio}, + leverage=1.0 + ) assert api_mock.create_order.call_args_list[0][1]['symbol'] == 'ETH/BTC' assert api_mock.create_order.call_args_list[0][1]['type'] == STOPLOSS_ORDERTYPE - assert api_mock.create_order.call_args_list[0][1]['side'] == 'sell' + assert api_mock.create_order.call_args_list[0][1]['side'] == side assert api_mock.create_order.call_args_list[0][1]['amount'] == 1 assert 'orderPrice' not in api_mock.create_order.call_args_list[0][1]['params'] assert 'stopPrice' in api_mock.create_order.call_args_list[0][1]['params'] @@ -47,51 +57,79 @@ def test_stoploss_order_ftx(default_conf, mocker): api_mock.create_order.reset_mock() - order = exchange.stoploss(pair='ETH/BTC', amount=1, stop_price=220, order_types={}) + order = exchange.stoploss( + pair='ETH/BTC', + amount=1, + stop_price=220, + order_types={}, + side=side, + leverage=1.0 + ) assert 'id' in order assert 'info' in order assert order['id'] == order_id assert api_mock.create_order.call_args_list[0][1]['symbol'] == 'ETH/BTC' assert api_mock.create_order.call_args_list[0][1]['type'] == STOPLOSS_ORDERTYPE - assert api_mock.create_order.call_args_list[0][1]['side'] == 'sell' + assert api_mock.create_order.call_args_list[0][1]['side'] == side assert api_mock.create_order.call_args_list[0][1]['amount'] == 1 assert 'orderPrice' not in api_mock.create_order.call_args_list[0][1]['params'] assert api_mock.create_order.call_args_list[0][1]['params']['stopPrice'] == 220 api_mock.create_order.reset_mock() - order = exchange.stoploss(pair='ETH/BTC', amount=1, stop_price=220, - order_types={'stoploss': 'limit'}) + order = exchange.stoploss( + pair='ETH/BTC', + amount=1, + stop_price=220, + order_types={'stoploss': 'limit'}, side=side, + leverage=1.0 + ) assert 'id' in order assert 'info' in order assert order['id'] == order_id assert api_mock.create_order.call_args_list[0][1]['symbol'] == 'ETH/BTC' assert api_mock.create_order.call_args_list[0][1]['type'] == STOPLOSS_ORDERTYPE - assert api_mock.create_order.call_args_list[0][1]['side'] == 'sell' + assert api_mock.create_order.call_args_list[0][1]['side'] == side assert api_mock.create_order.call_args_list[0][1]['amount'] == 1 assert 'orderPrice' in api_mock.create_order.call_args_list[0][1]['params'] - assert api_mock.create_order.call_args_list[0][1]['params']['orderPrice'] == 217.8 + assert api_mock.create_order.call_args_list[0][1]['params']['orderPrice'] == order_price assert api_mock.create_order.call_args_list[0][1]['params']['stopPrice'] == 220 # test exception handling with pytest.raises(DependencyException): api_mock.create_order = MagicMock(side_effect=ccxt.InsufficientFunds("0 balance")) exchange = get_patched_exchange(mocker, default_conf, api_mock, 'ftx') - exchange.stoploss(pair='ETH/BTC', amount=1, stop_price=220, order_types={}) + exchange.stoploss( + pair='ETH/BTC', + amount=1, + stop_price=220, + order_types={}, + side=side, + leverage=1.0 + ) with pytest.raises(InvalidOrderException): api_mock.create_order = MagicMock( side_effect=ccxt.InvalidOrder("ftx Order would trigger immediately.")) exchange = get_patched_exchange(mocker, default_conf, api_mock, 'ftx') - exchange.stoploss(pair='ETH/BTC', amount=1, stop_price=220, order_types={}) + exchange.stoploss( + pair='ETH/BTC', + amount=1, + stop_price=220, + order_types={}, + side=side, + leverage=1.0 + ) ccxt_exceptionhandlers(mocker, default_conf, api_mock, "ftx", "stoploss", "create_order", retries=1, - pair='ETH/BTC', amount=1, stop_price=220, order_types={}) + pair='ETH/BTC', amount=1, stop_price=220, order_types={}, + side=side, leverage=1.0) -def test_stoploss_order_dry_run_ftx(default_conf, mocker): +@pytest.mark.parametrize('side', [("sell"), ("buy")]) +def test_stoploss_order_dry_run_ftx(default_conf, mocker, side): api_mock = MagicMock() default_conf['dry_run'] = True mocker.patch('freqtrade.exchange.Exchange.amount_to_precision', lambda s, x, y: y) @@ -101,7 +139,14 @@ def test_stoploss_order_dry_run_ftx(default_conf, mocker): api_mock.create_order.reset_mock() - order = exchange.stoploss(pair='ETH/BTC', amount=1, stop_price=220, order_types={}) + order = exchange.stoploss( + pair='ETH/BTC', + amount=1, + stop_price=220, + order_types={}, + side=side, + leverage=1.0 + ) assert 'id' in order assert 'info' in order @@ -112,20 +157,24 @@ def test_stoploss_order_dry_run_ftx(default_conf, mocker): assert order['amount'] == 1 -def test_stoploss_adjust_ftx(mocker, default_conf): +@pytest.mark.parametrize('sl1,sl2,sl3,side', [ + (1501, 1499, 1501, "sell"), + (1499, 1501, 1499, "buy") +]) +def test_stoploss_adjust_ftx(mocker, default_conf, sl1, sl2, sl3, side): exchange = get_patched_exchange(mocker, default_conf, id='ftx') order = { 'type': STOPLOSS_ORDERTYPE, 'price': 1500, } - assert exchange.stoploss_adjust(1501, order) - assert not exchange.stoploss_adjust(1499, order) + assert exchange.stoploss_adjust(sl1, order, side=side) + assert not exchange.stoploss_adjust(sl2, order, side=side) # Test with invalid order case ... order['type'] = 'stop_loss_limit' - assert not exchange.stoploss_adjust(1501, order) + assert not exchange.stoploss_adjust(sl3, order, side=side) -def test_fetch_stoploss_order(default_conf, mocker, limit_sell_order): +def test_fetch_stoploss_order(default_conf, mocker, limit_sell_order, limit_buy_order): default_conf['dry_run'] = True order = MagicMock() order.myid = 123 @@ -158,6 +207,16 @@ def test_fetch_stoploss_order(default_conf, mocker, limit_sell_order): assert resp['type'] == 'stop' assert resp['status_stop'] == 'triggered' + api_mock.fetch_order = MagicMock(return_value=limit_buy_order) + + resp = exchange.fetch_stoploss_order('X', 'TKN/BTC') + assert resp + assert api_mock.fetch_order.call_count == 1 + assert resp['id_stop'] == 'mocked_limit_buy' + assert resp['id'] == 'X' + assert resp['type'] == 'stop' + assert resp['status_stop'] == 'triggered' + with pytest.raises(InvalidOrderException): api_mock.fetch_orders = MagicMock(side_effect=ccxt.InvalidOrder("Order not found")) exchange = get_patched_exchange(mocker, default_conf, api_mock, id='ftx') @@ -191,3 +250,20 @@ def test_get_order_id(mocker, default_conf): } } assert exchange.get_order_id_conditional(order) == '1111' + + +@pytest.mark.parametrize('pair,nominal_value,max_lev', [ + ("ADA/BTC", 0.0, 20.0), + ("BTC/EUR", 100.0, 20.0), + ("ZEC/USD", 173.31, 20.0), +]) +def test_get_max_leverage_ftx(default_conf, mocker, pair, nominal_value, max_lev): + exchange = get_patched_exchange(mocker, default_conf, id="ftx") + assert exchange.get_max_leverage(pair, nominal_value) == max_lev + + +def test_fill_leverage_brackets_ftx(default_conf, mocker): + # FTX only has one account wide leverage, so there's no leverage brackets + exchange = get_patched_exchange(mocker, default_conf, id="ftx") + exchange.fill_leverage_brackets() + assert exchange._leverage_brackets == {} diff --git a/tests/exchange/test_kraken.py b/tests/exchange/test_kraken.py index eb79dfc10..a8cd8d8ef 100644 --- a/tests/exchange/test_kraken.py +++ b/tests/exchange/test_kraken.py @@ -166,7 +166,11 @@ def test_get_balances_prod(default_conf, mocker): @pytest.mark.parametrize('ordertype', ['market', 'limit']) -def test_stoploss_order_kraken(default_conf, mocker, ordertype): +@pytest.mark.parametrize('side,adjustedprice', [ + ("sell", 217.8), + ("buy", 222.2), +]) +def test_stoploss_order_kraken(default_conf, mocker, ordertype, side, adjustedprice): api_mock = MagicMock() order_id = 'test_prod_buy_{}'.format(randint(0, 10 ** 6)) @@ -183,10 +187,17 @@ def test_stoploss_order_kraken(default_conf, mocker, ordertype): exchange = get_patched_exchange(mocker, default_conf, api_mock, 'kraken') - order = exchange.stoploss(pair='ETH/BTC', amount=1, stop_price=220, - order_types={'stoploss': ordertype, - 'stoploss_on_exchange_limit_ratio': 0.99 - }) + order = exchange.stoploss( + pair='ETH/BTC', + amount=1, + stop_price=220, + side=side, + order_types={ + 'stoploss': ordertype, + 'stoploss_on_exchange_limit_ratio': 0.99 + }, + leverage=1.0 + ) assert 'id' in order assert 'info' in order @@ -195,12 +206,14 @@ def test_stoploss_order_kraken(default_conf, mocker, ordertype): if ordertype == 'limit': assert api_mock.create_order.call_args_list[0][1]['type'] == STOPLOSS_LIMIT_ORDERTYPE assert api_mock.create_order.call_args_list[0][1]['params'] == { - 'trading_agreement': 'agree', 'price2': 217.8} + 'trading_agreement': 'agree', + 'price2': adjustedprice + } else: assert api_mock.create_order.call_args_list[0][1]['type'] == STOPLOSS_ORDERTYPE assert api_mock.create_order.call_args_list[0][1]['params'] == { 'trading_agreement': 'agree'} - assert api_mock.create_order.call_args_list[0][1]['side'] == 'sell' + assert api_mock.create_order.call_args_list[0][1]['side'] == side assert api_mock.create_order.call_args_list[0][1]['amount'] == 1 assert api_mock.create_order.call_args_list[0][1]['price'] == 220 @@ -208,20 +221,36 @@ def test_stoploss_order_kraken(default_conf, mocker, ordertype): with pytest.raises(DependencyException): api_mock.create_order = MagicMock(side_effect=ccxt.InsufficientFunds("0 balance")) exchange = get_patched_exchange(mocker, default_conf, api_mock, 'kraken') - exchange.stoploss(pair='ETH/BTC', amount=1, stop_price=220, order_types={}) + exchange.stoploss( + pair='ETH/BTC', + amount=1, + stop_price=220, + order_types={}, + side=side, + leverage=1.0 + ) with pytest.raises(InvalidOrderException): api_mock.create_order = MagicMock( side_effect=ccxt.InvalidOrder("kraken Order would trigger immediately.")) exchange = get_patched_exchange(mocker, default_conf, api_mock, 'kraken') - exchange.stoploss(pair='ETH/BTC', amount=1, stop_price=220, order_types={}) + exchange.stoploss( + pair='ETH/BTC', + amount=1, + stop_price=220, + order_types={}, + side=side, + leverage=1.0 + ) ccxt_exceptionhandlers(mocker, default_conf, api_mock, "kraken", "stoploss", "create_order", retries=1, - pair='ETH/BTC', amount=1, stop_price=220, order_types={}) + pair='ETH/BTC', amount=1, stop_price=220, order_types={}, + side=side, leverage=1.0) -def test_stoploss_order_dry_run_kraken(default_conf, mocker): +@pytest.mark.parametrize('side', ['buy', 'sell']) +def test_stoploss_order_dry_run_kraken(default_conf, mocker, side): api_mock = MagicMock() default_conf['dry_run'] = True mocker.patch('freqtrade.exchange.Exchange.amount_to_precision', lambda s, x, y: y) @@ -231,7 +260,14 @@ def test_stoploss_order_dry_run_kraken(default_conf, mocker): api_mock.create_order.reset_mock() - order = exchange.stoploss(pair='ETH/BTC', amount=1, stop_price=220, order_types={}) + order = exchange.stoploss( + pair='ETH/BTC', + amount=1, + stop_price=220, + order_types={}, + side=side, + leverage=1.0 + ) assert 'id' in order assert 'info' in order @@ -242,14 +278,54 @@ def test_stoploss_order_dry_run_kraken(default_conf, mocker): assert order['amount'] == 1 -def test_stoploss_adjust_kraken(mocker, default_conf): +@pytest.mark.parametrize('sl1,sl2,sl3,side', [ + (1501, 1499, 1501, "sell"), + (1499, 1501, 1499, "buy") +]) +def test_stoploss_adjust_kraken(mocker, default_conf, sl1, sl2, sl3, side): exchange = get_patched_exchange(mocker, default_conf, id='kraken') order = { 'type': STOPLOSS_ORDERTYPE, 'price': 1500, } - assert exchange.stoploss_adjust(1501, order) - assert not exchange.stoploss_adjust(1499, order) + assert exchange.stoploss_adjust(sl1, order, side=side) + assert not exchange.stoploss_adjust(sl2, order, side=side) # Test with invalid order case ... order['type'] = 'stop_loss_limit' - assert not exchange.stoploss_adjust(1501, order) + assert not exchange.stoploss_adjust(sl3, order, side=side) + + +@pytest.mark.parametrize('pair,nominal_value,max_lev', [ + ("ADA/BTC", 0.0, 3.0), + ("BTC/EUR", 100.0, 5.0), + ("ZEC/USD", 173.31, 2.0), +]) +def test_get_max_leverage_kraken(default_conf, mocker, pair, nominal_value, max_lev): + exchange = get_patched_exchange(mocker, default_conf, id="kraken") + exchange._leverage_brackets = { + 'ADA/BTC': ['2', '3'], + 'BTC/EUR': ['2', '3', '4', '5'], + 'ZEC/USD': ['2'] + } + assert exchange.get_max_leverage(pair, nominal_value) == max_lev + + +def test_fill_leverage_brackets_kraken(default_conf, mocker): + api_mock = MagicMock() + exchange = get_patched_exchange(mocker, default_conf, api_mock, id="kraken") + exchange.fill_leverage_brackets() + + assert exchange._leverage_brackets == { + 'BLK/BTC': [1, 2, 3], + 'TKN/BTC': [1, 2, 3, 4, 5], + 'ETH/BTC': [1, 2], + 'LTC/BTC': [1], + 'XRP/BTC': [1], + 'NEO/BTC': [1], + 'BTT/BTC': [1], + 'ETH/USDT': [1], + 'LTC/USDT': [1], + 'LTC/USD': [1], + 'XLTCUSDT': [1], + 'LTC/ETH': [1] + } diff --git a/tests/leverage/test_leverage.py b/tests/leverage/test_interest.py similarity index 83% rename from tests/leverage/test_leverage.py rename to tests/leverage/test_interest.py index 7b7ca0f9b..c7e787bdb 100644 --- a/tests/leverage/test_leverage.py +++ b/tests/leverage/test_interest.py @@ -22,9 +22,10 @@ twentyfive_hours = Decimal(25.0) ('kraken', 0.00025, five_hours, 0.045), ('kraken', 0.00025, twentyfive_hours, 0.12), # FTX - # TODO-lev: - implement FTX tests - # ('ftx', Decimal(0.0005), ten_mins, 0.06), - # ('ftx', Decimal(0.0005), five_hours, 0.045), + ('ftx', 0.0005, ten_mins, 0.00125), + ('ftx', 0.00025, ten_mins, 0.000625), + ('ftx', 0.00025, five_hours, 0.003125), + ('ftx', 0.00025, twentyfive_hours, 0.015625), ]) def test_interest(exchange, interest_rate, hours, expected): borrowed = Decimal(60.0) diff --git a/tests/plugins/test_pairlist.py b/tests/plugins/test_pairlist.py index 34770c03d..1ce8d172c 100644 --- a/tests/plugins/test_pairlist.py +++ b/tests/plugins/test_pairlist.py @@ -12,7 +12,8 @@ from freqtrade.persistence import Trade from freqtrade.plugins.pairlist.pairlist_helpers import expand_pairlist from freqtrade.plugins.pairlistmanager import PairListManager from freqtrade.resolvers import PairListResolver -from tests.conftest import get_patched_exchange, get_patched_freqtradebot, log_has, log_has_re +from tests.conftest import (create_mock_trades, get_patched_exchange, get_patched_freqtradebot, + log_has, log_has_re) @pytest.fixture(scope="function") @@ -663,6 +664,31 @@ def test_PerformanceFilter_error(mocker, whitelist_conf, caplog) -> None: assert log_has("PerformanceFilter is not available in this mode.", caplog) +@pytest.mark.usefixtures("init_persistence") +def test_PerformanceFilter_lookback(mocker, whitelist_conf, fee) -> None: + whitelist_conf['exchange']['pair_whitelist'].append('XRP/BTC') + whitelist_conf['pairlists'] = [ + {"method": "StaticPairList"}, + {"method": "PerformanceFilter", "minutes": 60} + ] + mocker.patch('freqtrade.exchange.Exchange.exchange_has', MagicMock(return_value=True)) + exchange = get_patched_exchange(mocker, whitelist_conf) + pm = PairListManager(exchange, whitelist_conf) + pm.refresh_pairlist() + + assert pm.whitelist == ['ETH/BTC', 'TKN/BTC', 'XRP/BTC'] + + with time_machine.travel("2021-09-01 05:00:00 +00:00") as t: + create_mock_trades(fee) + pm.refresh_pairlist() + assert pm.whitelist == ['XRP/BTC', 'ETH/BTC', 'TKN/BTC'] + + # Move to "outside" of lookback window, so original sorting is restored. + t.move_to("2021-09-01 07:00:00 +00:00") + pm.refresh_pairlist() + assert pm.whitelist == ['ETH/BTC', 'TKN/BTC', 'XRP/BTC'] + + def test_gen_pair_whitelist_not_supported(mocker, default_conf, tickers) -> None: default_conf['pairlists'] = [{'method': 'VolumePairList', 'number_assets': 10}] diff --git a/tests/rpc/test_rpc_apiserver.py b/tests/rpc/test_rpc_apiserver.py index 2852486ed..7c98b2df7 100644 --- a/tests/rpc/test_rpc_apiserver.py +++ b/tests/rpc/test_rpc_apiserver.py @@ -422,20 +422,22 @@ def test_api_stopbuy(botclient): assert ftbot.config['max_open_trades'] == 0 -def test_api_balance(botclient, mocker, rpc_balance): +def test_api_balance(botclient, mocker, rpc_balance, tickers): ftbot, client = botclient ftbot.config['dry_run'] = False mocker.patch('freqtrade.exchange.Exchange.get_balances', return_value=rpc_balance) + mocker.patch('freqtrade.exchange.Exchange.get_tickers', tickers) mocker.patch('freqtrade.exchange.Exchange.get_valid_pair_combination', side_effect=lambda a, b: f"{a}/{b}") ftbot.wallets.update() rc = client_get(client, f"{BASE_URI}/balance") assert_response(rc) - assert "currencies" in rc.json() - assert len(rc.json()["currencies"]) == 5 - assert rc.json()['currencies'][0] == { + response = rc.json() + assert "currencies" in response + assert len(response["currencies"]) == 5 + assert response['currencies'][0] == { 'currency': 'BTC', 'free': 12.0, 'balance': 12.0, @@ -443,6 +445,10 @@ def test_api_balance(botclient, mocker, rpc_balance): 'est_stake': 12.0, 'stake': 'BTC', } + assert 'starting_capital' in response + assert 'starting_capital_fiat' in response + assert 'starting_capital_pct' in response + assert 'starting_capital_ratio' in response def test_api_count(botclient, mocker, ticker, fee, markets): @@ -1218,6 +1224,7 @@ def test_api_strategies(botclient): assert_response(rc) assert rc.json() == {'strategies': [ 'HyperoptableStrategy', + 'InformativeDecoratorTest', 'StrategyTestV2', 'TestStrategyLegacyV1' ]} diff --git a/tests/rpc/test_rpc_telegram.py b/tests/rpc/test_rpc_telegram.py index 2013dad7d..21f1cd000 100644 --- a/tests/rpc/test_rpc_telegram.py +++ b/tests/rpc/test_rpc_telegram.py @@ -576,6 +576,8 @@ def test_balance_handle_too_large_response(default_conf, update, mocker) -> None 'total': 100.0, 'symbol': 100.0, 'value': 1000.0, + 'starting_capital': 1000, + 'starting_capital_fiat': 1000, }) telegram, freqtradebot, msg_mock = get_telegram_testobject(mocker, default_conf) diff --git a/tests/strategy/strats/informative_decorator_strategy.py b/tests/strategy/strats/informative_decorator_strategy.py new file mode 100644 index 000000000..a32ad79e8 --- /dev/null +++ b/tests/strategy/strats/informative_decorator_strategy.py @@ -0,0 +1,75 @@ +# pragma pylint: disable=missing-docstring, invalid-name, pointless-string-statement + +from pandas import DataFrame + +from freqtrade.strategy import informative, merge_informative_pair +from freqtrade.strategy.interface import IStrategy + + +class InformativeDecoratorTest(IStrategy): + """ + Strategy used by tests freqtrade bot. + Please do not modify this strategy, it's intended for internal use only. + Please look at the SampleStrategy in the user_data/strategy directory + or strategy repository https://github.com/freqtrade/freqtrade-strategies + for samples and inspiration. + """ + INTERFACE_VERSION = 2 + stoploss = -0.10 + timeframe = '5m' + startup_candle_count: int = 20 + + def informative_pairs(self): + return [('BTC/USDT', '5m')] + + def populate_buy_trend(self, dataframe: DataFrame, metadata: dict) -> DataFrame: + dataframe['buy'] = 0 + return dataframe + + def populate_sell_trend(self, dataframe: DataFrame, metadata: dict) -> DataFrame: + dataframe['sell'] = 0 + return dataframe + + # Decorator stacking test. + @informative('30m') + @informative('1h') + def populate_indicators_1h(self, dataframe: DataFrame, metadata: dict) -> DataFrame: + dataframe['rsi'] = 14 + return dataframe + + # Simple informative test. + @informative('1h', 'BTC/{stake}') + def populate_indicators_btc_1h(self, dataframe: DataFrame, metadata: dict) -> DataFrame: + dataframe['rsi'] = 14 + return dataframe + + # Quote currency different from stake currency test. + @informative('1h', 'ETH/BTC') + def populate_indicators_eth_btc_1h(self, dataframe: DataFrame, metadata: dict) -> DataFrame: + dataframe['rsi'] = 14 + return dataframe + + # Formatting test. + @informative('30m', 'BTC/{stake}', '{column}_{BASE}_{QUOTE}_{base}_{quote}_{asset}_{timeframe}') + def populate_indicators_btc_1h_2(self, dataframe: DataFrame, metadata: dict) -> DataFrame: + dataframe['rsi'] = 14 + return dataframe + + # Custom formatter test + @informative('30m', 'ETH/{stake}', fmt=lambda column, **kwargs: column + '_from_callable') + def populate_indicators_eth_30m(self, dataframe: DataFrame, metadata: dict) -> DataFrame: + dataframe['rsi'] = 14 + return dataframe + + def populate_indicators(self, dataframe: DataFrame, metadata: dict) -> DataFrame: + # Strategy timeframe indicators for current pair. + dataframe['rsi'] = 14 + # Informative pairs are available in this method. + dataframe['rsi_less'] = dataframe['rsi'] < dataframe['rsi_1h'] + + # Mixing manual informative pairs with decorators. + informative = self.dp.get_pair_dataframe('BTC/USDT', '5m') + informative['rsi'] = 14 + dataframe = merge_informative_pair(dataframe, informative, self.timeframe, '5m', ffill=True) + + return dataframe diff --git a/tests/strategy/test_interface.py b/tests/strategy/test_interface.py index a9cb7b6ed..61ad5b734 100644 --- a/tests/strategy/test_interface.py +++ b/tests/strategy/test_interface.py @@ -648,7 +648,7 @@ def test_is_informative_pairs_callback(default_conf): strategy = StrategyResolver.load_strategy(default_conf) # Should return empty # Uses fallback to base implementation - assert [] == strategy.informative_pairs() + assert [] == strategy.gather_informative_pairs() @pytest.mark.parametrize('error', [ diff --git a/tests/strategy/test_strategy_helpers.py b/tests/strategy/test_strategy_helpers.py index 3b84fc254..a01b55050 100644 --- a/tests/strategy/test_strategy_helpers.py +++ b/tests/strategy/test_strategy_helpers.py @@ -4,7 +4,9 @@ import numpy as np import pandas as pd import pytest -from freqtrade.strategy import merge_informative_pair, stoploss_from_open, timeframe_to_minutes +from freqtrade.data.dataprovider import DataProvider +from freqtrade.strategy import (merge_informative_pair, stoploss_from_absolute, stoploss_from_open, + timeframe_to_minutes) def generate_test_data(timeframe: str, size: int): @@ -132,3 +134,65 @@ def test_stoploss_from_open(): assert stoploss == 0 else: assert isclose(stop_price, expected_stop_price, rel_tol=0.00001) + + +def test_stoploss_from_absolute(): + assert stoploss_from_absolute(90, 100) == 1 - (90 / 100) + assert stoploss_from_absolute(100, 100) == 0 + assert stoploss_from_absolute(110, 100) == 0 + assert stoploss_from_absolute(100, 0) == 1 + assert stoploss_from_absolute(0, 100) == 1 + + +def test_informative_decorator(mocker, default_conf): + test_data_5m = generate_test_data('5m', 40) + test_data_30m = generate_test_data('30m', 40) + test_data_1h = generate_test_data('1h', 40) + data = { + ('XRP/USDT', '5m'): test_data_5m, + ('XRP/USDT', '30m'): test_data_30m, + ('XRP/USDT', '1h'): test_data_1h, + ('LTC/USDT', '5m'): test_data_5m, + ('LTC/USDT', '30m'): test_data_30m, + ('LTC/USDT', '1h'): test_data_1h, + ('BTC/USDT', '30m'): test_data_30m, + ('BTC/USDT', '5m'): test_data_5m, + ('BTC/USDT', '1h'): test_data_1h, + ('ETH/USDT', '1h'): test_data_1h, + ('ETH/USDT', '30m'): test_data_30m, + ('ETH/BTC', '1h'): test_data_1h, + } + from .strats.informative_decorator_strategy import InformativeDecoratorTest + default_conf['stake_currency'] = 'USDT' + strategy = InformativeDecoratorTest(config=default_conf) + strategy.dp = DataProvider({}, None, None) + mocker.patch.object(strategy.dp, 'current_whitelist', return_value=[ + 'XRP/USDT', 'LTC/USDT', 'BTC/USDT' + ]) + + assert len(strategy._ft_informative) == 6 # Equal to number of decorators used + informative_pairs = [('XRP/USDT', '1h'), ('LTC/USDT', '1h'), ('XRP/USDT', '30m'), + ('LTC/USDT', '30m'), ('BTC/USDT', '1h'), ('BTC/USDT', '30m'), + ('BTC/USDT', '5m'), ('ETH/BTC', '1h'), ('ETH/USDT', '30m')] + for inf_pair in informative_pairs: + assert inf_pair in strategy.gather_informative_pairs() + + def test_historic_ohlcv(pair, timeframe): + return data[(pair, timeframe or strategy.timeframe)].copy() + mocker.patch('freqtrade.data.dataprovider.DataProvider.historic_ohlcv', + side_effect=test_historic_ohlcv) + + analyzed = strategy.advise_all_indicators( + {p: data[(p, strategy.timeframe)] for p in ('XRP/USDT', 'LTC/USDT')}) + expected_columns = [ + 'rsi_1h', 'rsi_30m', # Stacked informative decorators + 'btc_usdt_rsi_1h', # BTC 1h informative + 'rsi_BTC_USDT_btc_usdt_BTC/USDT_30m', # Column formatting + 'rsi_from_callable', # Custom column formatter + 'eth_btc_rsi_1h', # Quote currency not matching stake currency + 'rsi', 'rsi_less', # Non-informative columns + 'rsi_5m', # Manual informative dataframe + ] + for _, dataframe in analyzed.items(): + for col in expected_columns: + assert col in dataframe.columns diff --git a/tests/strategy/test_strategy_loading.py b/tests/strategy/test_strategy_loading.py index d6c1197ab..e7571b798 100644 --- a/tests/strategy/test_strategy_loading.py +++ b/tests/strategy/test_strategy_loading.py @@ -35,7 +35,7 @@ def test_search_all_strategies_no_failed(): directory = Path(__file__).parent / "strats" strategies = StrategyResolver.search_all_objects(directory, enum_failed=False) assert isinstance(strategies, list) - assert len(strategies) == 3 + assert len(strategies) == 4 assert isinstance(strategies[0], dict) @@ -43,10 +43,10 @@ def test_search_all_strategies_with_failed(): directory = Path(__file__).parent / "strats" strategies = StrategyResolver.search_all_objects(directory, enum_failed=True) assert isinstance(strategies, list) - assert len(strategies) == 4 + assert len(strategies) == 5 # with enum_failed=True search_all_objects() shall find 2 good strategies # and 1 which fails to load - assert len([x for x in strategies if x['class'] is not None]) == 3 + assert len([x for x in strategies if x['class'] is not None]) == 4 assert len([x for x in strategies if x['class'] is None]) == 1 diff --git a/tests/test_freqtradebot.py b/tests/test_freqtradebot.py index 901eeff70..71926f9b7 100644 --- a/tests/test_freqtradebot.py +++ b/tests/test_freqtradebot.py @@ -78,11 +78,15 @@ def test_bot_cleanup(mocker, default_conf, caplog) -> None: assert coo_mock.call_count == 1 -def test_order_dict_dry_run(default_conf, mocker, caplog) -> None: +@pytest.mark.parametrize('runmode', [ + RunMode.DRY_RUN, + RunMode.LIVE +]) +def test_order_dict(default_conf, mocker, runmode, caplog) -> None: patch_RPCManager(mocker) patch_exchange(mocker) conf = default_conf.copy() - conf['runmode'] = RunMode.DRY_RUN + conf['runmode'] = runmode conf['order_types'] = { 'buy': 'market', 'sell': 'limit', @@ -92,45 +96,14 @@ def test_order_dict_dry_run(default_conf, mocker, caplog) -> None: conf['bid_strategy']['price_side'] = 'ask' freqtrade = FreqtradeBot(conf) + if runmode == RunMode.LIVE: + assert not log_has_re(".*stoploss_on_exchange .* dry-run", caplog) assert freqtrade.strategy.order_types['stoploss_on_exchange'] caplog.clear() # is left untouched conf = default_conf.copy() - conf['runmode'] = RunMode.DRY_RUN - conf['order_types'] = { - 'buy': 'market', - 'sell': 'limit', - 'stoploss': 'limit', - 'stoploss_on_exchange': False, - } - freqtrade = FreqtradeBot(conf) - assert not freqtrade.strategy.order_types['stoploss_on_exchange'] - assert not log_has_re(".*stoploss_on_exchange .* dry-run", caplog) - - -def test_order_dict_live(default_conf, mocker, caplog) -> None: - patch_RPCManager(mocker) - patch_exchange(mocker) - - conf = default_conf.copy() - conf['runmode'] = RunMode.LIVE - conf['order_types'] = { - 'buy': 'market', - 'sell': 'limit', - 'stoploss': 'limit', - 'stoploss_on_exchange': True, - } - conf['bid_strategy']['price_side'] = 'ask' - - freqtrade = FreqtradeBot(conf) - assert not log_has_re(".*stoploss_on_exchange .* dry-run", caplog) - assert freqtrade.strategy.order_types['stoploss_on_exchange'] - - caplog.clear() - # is left untouched - conf = default_conf.copy() - conf['runmode'] = RunMode.LIVE + conf['runmode'] = runmode conf['order_types'] = { 'buy': 'market', 'sell': 'limit', @@ -219,8 +192,14 @@ def test_edge_overrides_stake_amount(mocker, edge_conf) -> None: 'LTC/BTC', freqtrade.edge) == (999.9 * 0.5 * 0.01) / 0.21 -def test_edge_overrides_stoploss(limit_buy_order, fee, caplog, mocker, edge_conf) -> None: - +@pytest.mark.parametrize('buy_price_mult,ignore_strat_sl', [ + # Override stoploss + (0.79, False), + # Override strategy stoploss + (0.85, True) +]) +def test_edge_overrides_stoploss(limit_buy_order, fee, caplog, mocker, + buy_price_mult, ignore_strat_sl, edge_conf) -> None: patch_RPCManager(mocker) patch_exchange(mocker) patch_edge(mocker) @@ -234,9 +213,9 @@ def test_edge_overrides_stoploss(limit_buy_order, fee, caplog, mocker, edge_conf mocker.patch.multiple( 'freqtrade.exchange.Exchange', fetch_ticker=MagicMock(return_value={ - 'bid': buy_price * 0.79, - 'ask': buy_price * 0.79, - 'last': buy_price * 0.79 + 'bid': buy_price * buy_price_mult, + 'ask': buy_price * buy_price_mult, + 'last': buy_price * buy_price_mult, }), get_fee=fee, ) @@ -253,46 +232,10 @@ def test_edge_overrides_stoploss(limit_buy_order, fee, caplog, mocker, edge_conf ############################################# # stoploss shoud be hit - assert freqtrade.handle_trade(trade) is True - assert log_has('Exit for NEO/BTC detected. Reason: stop_loss', caplog) - assert trade.sell_reason == SellType.STOP_LOSS.value - - -def test_edge_should_ignore_strategy_stoploss(limit_buy_order, fee, - mocker, edge_conf) -> None: - patch_RPCManager(mocker) - patch_exchange(mocker) - patch_edge(mocker) - edge_conf['max_open_trades'] = float('inf') - - # Strategy stoploss is -0.1 but Edge imposes a stoploss at -0.2 - # Thus, if price falls 15%, stoploss should not be triggered - # - # mocking the ticker: price is falling ... - buy_price = limit_buy_order['price'] - mocker.patch.multiple( - 'freqtrade.exchange.Exchange', - fetch_ticker=MagicMock(return_value={ - 'bid': buy_price * 0.85, - 'ask': buy_price * 0.85, - 'last': buy_price * 0.85 - }), - get_fee=fee, - ) - ############################################# - - # Create a trade with "limit_buy_order" price - freqtrade = FreqtradeBot(edge_conf) - freqtrade.active_pair_whitelist = ['NEO/BTC'] - patch_get_signal(freqtrade) - freqtrade.strategy.min_roi_reached = MagicMock(return_value=False) - freqtrade.enter_positions() - trade = Trade.query.first() - trade.update(limit_buy_order) - ############################################# - - # stoploss shoud not be hit - assert freqtrade.handle_trade(trade) is False + assert freqtrade.handle_trade(trade) is not ignore_strat_sl + if not ignore_strat_sl: + assert log_has('Exit for NEO/BTC detected. Reason: stop_loss', caplog) + assert trade.sell_reason == SellType.STOP_LOSS.value def test_total_open_trades_stakes(mocker, default_conf, ticker, fee) -> None: @@ -376,8 +319,16 @@ def test_create_trade_no_stake_amount(default_conf, ticker, limit_buy_order, freqtrade.create_trade('ETH/BTC') -def test_create_trade_minimal_amount(default_conf, ticker, limit_buy_order_open, - fee, mocker) -> None: +@pytest.mark.parametrize('stake_amount,create,amount_enough,max_open_trades', [ + (0.0005, True, True, 99), + (0.000000005, True, False, 99), + (0, False, True, 99), + (UNLIMITED_STAKE_AMOUNT, False, True, 0), +]) +def test_create_trade_minimal_amount( + default_conf, ticker, limit_buy_order_open, fee, mocker, + stake_amount, create, amount_enough, max_open_trades, caplog +) -> None: patch_RPCManager(mocker) patch_exchange(mocker) buy_mock = MagicMock(return_value=limit_buy_order_open) @@ -387,78 +338,33 @@ def test_create_trade_minimal_amount(default_conf, ticker, limit_buy_order_open, create_order=buy_mock, get_fee=fee, ) - default_conf['stake_amount'] = 0.0005 + default_conf['max_open_trades'] = max_open_trades freqtrade = FreqtradeBot(default_conf) + freqtrade.config['stake_amount'] = stake_amount patch_get_signal(freqtrade) - freqtrade.create_trade('ETH/BTC') - rate, amount = buy_mock.call_args[1]['rate'], buy_mock.call_args[1]['amount'] - assert rate * amount <= default_conf['stake_amount'] - - -def test_create_trade_too_small_stake_amount(default_conf, ticker, limit_buy_order_open, - fee, mocker, caplog) -> None: - patch_RPCManager(mocker) - patch_exchange(mocker) - buy_mock = MagicMock(return_value=limit_buy_order_open) - mocker.patch.multiple( - 'freqtrade.exchange.Exchange', - fetch_ticker=ticker, - create_order=buy_mock, - get_fee=fee, - ) - - freqtrade = FreqtradeBot(default_conf) - freqtrade.config['stake_amount'] = 0.000000005 - - patch_get_signal(freqtrade) - - assert freqtrade.create_trade('ETH/BTC') - assert log_has_re(r"Stake amount for pair .* is too small.*", caplog) - - -def test_create_trade_zero_stake_amount(default_conf, ticker, limit_buy_order_open, - fee, mocker) -> None: - patch_RPCManager(mocker) - patch_exchange(mocker) - buy_mock = MagicMock(return_value=limit_buy_order_open) - mocker.patch.multiple( - 'freqtrade.exchange.Exchange', - fetch_ticker=ticker, - create_order=buy_mock, - get_fee=fee, - ) - - freqtrade = FreqtradeBot(default_conf) - freqtrade.config['stake_amount'] = 0 - - patch_get_signal(freqtrade) - - assert not freqtrade.create_trade('ETH/BTC') - - -def test_create_trade_limit_reached(default_conf, ticker, limit_buy_order_open, - fee, mocker) -> None: - patch_RPCManager(mocker) - patch_exchange(mocker) - mocker.patch.multiple( - 'freqtrade.exchange.Exchange', - fetch_ticker=ticker, - create_order=MagicMock(return_value=limit_buy_order_open), - get_fee=fee, - ) - default_conf['max_open_trades'] = 0 - default_conf['stake_amount'] = UNLIMITED_STAKE_AMOUNT - - freqtrade = FreqtradeBot(default_conf) - patch_get_signal(freqtrade) - - assert not freqtrade.create_trade('ETH/BTC') - assert freqtrade.wallets.get_trade_stake_amount('ETH/BTC', freqtrade.edge) == 0 + if create: + assert freqtrade.create_trade('ETH/BTC') + if amount_enough: + rate, amount = buy_mock.call_args[1]['rate'], buy_mock.call_args[1]['amount'] + assert rate * amount <= default_conf['stake_amount'] + else: + assert log_has_re( + r"Stake amount for pair .* is too small.*", + caplog + ) + else: + assert not freqtrade.create_trade('ETH/BTC') + if not max_open_trades: + assert freqtrade.wallets.get_trade_stake_amount('ETH/BTC', freqtrade.edge) == 0 +@pytest.mark.parametrize('whitelist,positions', [ + (["ETH/BTC"], 1), # No pairs left + ([], 0), # No pairs in whitelist +]) def test_enter_positions_no_pairs_left(default_conf, ticker, limit_buy_order_open, fee, - mocker, caplog) -> None: + whitelist, positions, mocker, caplog) -> None: patch_RPCManager(mocker) patch_exchange(mocker) mocker.patch.multiple( @@ -467,36 +373,20 @@ def test_enter_positions_no_pairs_left(default_conf, ticker, limit_buy_order_ope create_order=MagicMock(return_value=limit_buy_order_open), get_fee=fee, ) - - default_conf['exchange']['pair_whitelist'] = ["ETH/BTC"] + default_conf['exchange']['pair_whitelist'] = whitelist freqtrade = FreqtradeBot(default_conf) patch_get_signal(freqtrade) n = freqtrade.enter_positions() - assert n == 1 - assert not log_has_re(r"No currency pair in active pair whitelist.*", caplog) - n = freqtrade.enter_positions() - assert n == 0 - assert log_has_re(r"No currency pair in active pair whitelist.*", caplog) - - -def test_enter_positions_no_pairs_in_whitelist(default_conf, ticker, limit_buy_order, fee, - mocker, caplog) -> None: - patch_RPCManager(mocker) - patch_exchange(mocker) - mocker.patch.multiple( - 'freqtrade.exchange.Exchange', - fetch_ticker=ticker, - create_order=MagicMock(return_value={'id': limit_buy_order['id']}), - get_fee=fee, - ) - default_conf['exchange']['pair_whitelist'] = [] - freqtrade = FreqtradeBot(default_conf) - patch_get_signal(freqtrade) - - n = freqtrade.enter_positions() - assert n == 0 - assert log_has("Active pair whitelist is empty.", caplog) + assert n == positions + if positions: + assert not log_has_re(r"No currency pair in active pair whitelist.*", caplog) + n = freqtrade.enter_positions() + assert n == 0 + assert log_has_re(r"No currency pair in active pair whitelist.*", caplog) + else: + assert n == 0 + assert log_has("Active pair whitelist is empty.", caplog) @pytest.mark.usefixtures("init_persistence") @@ -1253,6 +1143,7 @@ def test_create_stoploss_order_insufficient_funds(mocker, default_conf, caplog, @pytest.mark.usefixtures("init_persistence") def test_handle_stoploss_on_exchange_trailing(mocker, default_conf, fee, limit_buy_order, limit_sell_order) -> None: + # TODO-lev: test for short # When trailing stoploss is set stoploss = MagicMock(return_value={'id': 13434334}) patch_RPCManager(mocker) @@ -1344,10 +1235,14 @@ def test_handle_stoploss_on_exchange_trailing(mocker, default_conf, fee, assert freqtrade.handle_stoploss_on_exchange(trade) is False cancel_order_mock.assert_called_once_with(100, 'ETH/BTC') - stoploss_order_mock.assert_called_once_with(amount=85.32423208, - pair='ETH/BTC', - order_types=freqtrade.strategy.order_types, - stop_price=0.00002346 * 0.95) + stoploss_order_mock.assert_called_once_with( + amount=85.32423208, + pair='ETH/BTC', + order_types=freqtrade.strategy.order_types, + stop_price=0.00002346 * 0.95, + side="sell", + leverage=1.0 + ) # price fell below stoploss, so dry-run sells trade. mocker.patch('freqtrade.exchange.Exchange.fetch_ticker', MagicMock(return_value={ @@ -1360,6 +1255,7 @@ def test_handle_stoploss_on_exchange_trailing(mocker, default_conf, fee, def test_handle_stoploss_on_exchange_trailing_error(mocker, default_conf, fee, caplog, limit_buy_order, limit_sell_order) -> None: + # TODO-lev: test for short # When trailing stoploss is set stoploss = MagicMock(return_value={'id': 13434334}) patch_exchange(mocker) @@ -1418,7 +1314,7 @@ def test_handle_stoploss_on_exchange_trailing_error(mocker, default_conf, fee, c side_effect=InvalidOrderException()) mocker.patch('freqtrade.exchange.Binance.fetch_stoploss_order', return_value=stoploss_order_hanging) - freqtrade.handle_trailing_stoploss_on_exchange(trade, stoploss_order_hanging) + freqtrade.handle_trailing_stoploss_on_exchange(trade, stoploss_order_hanging, side="sell") assert log_has_re(r"Could not cancel stoploss order abcd for pair ETH/BTC.*", caplog) # Still try to create order @@ -1428,7 +1324,7 @@ def test_handle_stoploss_on_exchange_trailing_error(mocker, default_conf, fee, c caplog.clear() cancel_mock = mocker.patch("freqtrade.exchange.Binance.cancel_stoploss_order", MagicMock()) mocker.patch("freqtrade.exchange.Binance.stoploss", side_effect=ExchangeError()) - freqtrade.handle_trailing_stoploss_on_exchange(trade, stoploss_order_hanging) + freqtrade.handle_trailing_stoploss_on_exchange(trade, stoploss_order_hanging, side="sell") assert cancel_mock.call_count == 1 assert log_has_re(r"Could not create trailing stoploss order for pair ETH/BTC\..*", caplog) @@ -1437,6 +1333,7 @@ def test_handle_stoploss_on_exchange_trailing_error(mocker, default_conf, fee, c def test_handle_stoploss_on_exchange_custom_stop(mocker, default_conf, fee, limit_buy_order, limit_sell_order) -> None: # When trailing stoploss is set + # TODO-lev: test for short stoploss = MagicMock(return_value={'id': 13434334}) patch_RPCManager(mocker) mocker.patch.multiple( @@ -1527,10 +1424,14 @@ def test_handle_stoploss_on_exchange_custom_stop(mocker, default_conf, fee, assert freqtrade.handle_stoploss_on_exchange(trade) is False cancel_order_mock.assert_called_once_with(100, 'ETH/BTC') - stoploss_order_mock.assert_called_once_with(amount=85.32423208, - pair='ETH/BTC', - order_types=freqtrade.strategy.order_types, - stop_price=0.00002346 * 0.96) + stoploss_order_mock.assert_called_once_with( + amount=85.32423208, + pair='ETH/BTC', + order_types=freqtrade.strategy.order_types, + stop_price=0.00002346 * 0.96, + side="sell", + leverage=1.0 + ) # price fell below stoploss, so dry-run sells trade. mocker.patch('freqtrade.exchange.Exchange.fetch_ticker', MagicMock(return_value={ @@ -1543,7 +1444,7 @@ def test_handle_stoploss_on_exchange_custom_stop(mocker, default_conf, fee, def test_tsl_on_exchange_compatible_with_edge(mocker, edge_conf, fee, caplog, limit_buy_order, limit_sell_order) -> None: - + # TODO-lev: test for short # When trailing stoploss is set stoploss = MagicMock(return_value={'id': 13434334}) patch_RPCManager(mocker) @@ -1648,36 +1549,37 @@ def test_tsl_on_exchange_compatible_with_edge(mocker, edge_conf, fee, caplog, # stoploss should be set to 1% as trailing is on assert trade.stop_loss == 0.00002346 * 0.99 cancel_order_mock.assert_called_once_with(100, 'NEO/BTC') - stoploss_order_mock.assert_called_once_with(amount=2132892.49146757, - pair='NEO/BTC', - order_types=freqtrade.strategy.order_types, - stop_price=0.00002346 * 0.99) + stoploss_order_mock.assert_called_once_with( + amount=2132892.49146757, + pair='NEO/BTC', + order_types=freqtrade.strategy.order_types, + stop_price=0.00002346 * 0.99, + side="sell", + leverage=1.0 + ) -def test_enter_positions(mocker, default_conf, caplog) -> None: +@pytest.mark.parametrize('return_value,side_effect,log_message', [ + (False, None, 'Found no enter signals for whitelisted currencies. Trying again...'), + (None, DependencyException, 'Unable to create trade for ETH/BTC: ') +]) +def test_enter_positions(mocker, default_conf, return_value, side_effect, + log_message, caplog) -> None: caplog.set_level(logging.DEBUG) freqtrade = get_patched_freqtradebot(mocker, default_conf) - mock_ct = mocker.patch('freqtrade.freqtradebot.FreqtradeBot.create_trade', - MagicMock(return_value=False)) - n = freqtrade.enter_positions() - assert n == 0 - assert log_has('Found no enter signals for whitelisted currencies. Trying again...', caplog) - # create_trade should be called once for every pair in the whitelist. - assert mock_ct.call_count == len(default_conf['exchange']['pair_whitelist']) - - -def test_enter_positions_exception(mocker, default_conf, caplog) -> None: - freqtrade = get_patched_freqtradebot(mocker, default_conf) - mock_ct = mocker.patch( 'freqtrade.freqtradebot.FreqtradeBot.create_trade', - MagicMock(side_effect=DependencyException) + MagicMock( + return_value=return_value, + side_effect=side_effect + ) ) n = freqtrade.enter_positions() assert n == 0 + assert log_has(log_message, caplog) + # create_trade should be called once for every pair in the whitelist. assert mock_ct.call_count == len(default_conf['exchange']['pair_whitelist']) - assert log_has('Unable to create trade for ETH/BTC: ', caplog) def test_exit_positions(mocker, default_conf, limit_buy_order, caplog) -> None: @@ -1771,8 +1673,13 @@ def test_update_trade_state(mocker, default_conf, limit_buy_order, caplog) -> No assert log_has_re('Found open order for.*', caplog) +@pytest.mark.parametrize('initial_amount,has_rounding_fee', [ + (90.99181073 + 1e-14, True), + (8.0, False) +]) def test_update_trade_state_withorderdict(default_conf, trades_for_order, limit_buy_order, fee, - mocker): + mocker, initial_amount, has_rounding_fee, caplog): + trades_for_order[0]['amount'] = initial_amount mocker.patch('freqtrade.exchange.Exchange.get_trades_for_order', return_value=trades_for_order) # fetch_order should not be called!! mocker.patch('freqtrade.exchange.Exchange.fetch_order', MagicMock(side_effect=ValueError)) @@ -1793,32 +1700,8 @@ def test_update_trade_state_withorderdict(default_conf, trades_for_order, limit_ freqtrade.update_trade_state(trade, '123456', limit_buy_order) assert trade.amount != amount assert trade.amount == limit_buy_order['amount'] - - -def test_update_trade_state_withorderdict_rounding_fee(default_conf, trades_for_order, fee, - limit_buy_order, mocker, caplog): - trades_for_order[0]['amount'] = limit_buy_order['amount'] + 1e-14 - mocker.patch('freqtrade.exchange.Exchange.get_trades_for_order', return_value=trades_for_order) - # fetch_order should not be called!! - mocker.patch('freqtrade.exchange.Exchange.fetch_order', MagicMock(side_effect=ValueError)) - patch_exchange(mocker) - amount = sum(x['amount'] for x in trades_for_order) - freqtrade = get_patched_freqtradebot(mocker, default_conf) - trade = Trade( - pair='LTC/ETH', - amount=amount, - exchange='binance', - open_rate=0.245441, - fee_open=fee.return_value, - fee_close=fee.return_value, - open_order_id='123456', - is_open=True, - open_date=arrow.utcnow().datetime, - ) - freqtrade.update_trade_state(trade, '123456', limit_buy_order) - assert trade.amount != amount - assert trade.amount == limit_buy_order['amount'] - assert log_has_re(r'Applying fee on amount for .*', caplog) + if has_rounding_fee: + assert log_has_re(r'Applying fee on amount for .*', caplog) def test_update_trade_state_exception(mocker, default_conf, @@ -3130,16 +3013,28 @@ def test_execute_trade_exit_insufficient_funds_error(default_conf, ticker, fee, assert mock_insuf.call_count == 1 -def test_sell_profit_only_enable_profit(default_conf, limit_buy_order, limit_buy_order_open, - fee, mocker) -> None: +@pytest.mark.parametrize('profit_only,bid,ask,handle_first,handle_second,sell_type', [ + # Enable profit + (True, 0.00001172, 0.00001173, False, True, SellType.SELL_SIGNAL.value), + # Disable profit + (False, 0.00002172, 0.00002173, True, False, SellType.SELL_SIGNAL.value), + # Enable loss + # * Shouldn't this be SellType.STOP_LOSS.value + (True, 0.00000172, 0.00000173, False, False, None), + # Disable loss + (False, 0.00000172, 0.00000173, True, False, SellType.SELL_SIGNAL.value), +]) +def test_sell_profit_only( + default_conf, limit_buy_order, limit_buy_order_open, + fee, mocker, profit_only, bid, ask, handle_first, handle_second, sell_type) -> None: patch_RPCManager(mocker) patch_exchange(mocker) mocker.patch.multiple( 'freqtrade.exchange.Exchange', fetch_ticker=MagicMock(return_value={ - 'bid': 0.00001172, - 'ask': 0.00001173, - 'last': 0.00001172 + 'bid': bid, + 'ask': ask, + 'last': bid }), create_order=MagicMock(side_effect=[ limit_buy_order_open, @@ -3149,128 +3044,29 @@ def test_sell_profit_only_enable_profit(default_conf, limit_buy_order, limit_buy ) default_conf.update({ 'use_sell_signal': True, - 'sell_profit_only': True, + 'sell_profit_only': profit_only, 'sell_profit_offset': 0.1, }) freqtrade = FreqtradeBot(default_conf) patch_get_signal(freqtrade) - freqtrade.strategy.min_roi_reached = MagicMock(return_value=False) - + if sell_type == SellType.SELL_SIGNAL.value: + freqtrade.strategy.min_roi_reached = MagicMock(return_value=False) + else: + freqtrade.strategy.stop_loss_reached = MagicMock(return_value=SellCheckTuple( + sell_type=SellType.NONE)) freqtrade.enter_positions() trade = Trade.query.first() trade.update(limit_buy_order) freqtrade.wallets.update() patch_get_signal(freqtrade, enter_long=False, exit_long=True) - assert freqtrade.handle_trade(trade) is False + assert freqtrade.handle_trade(trade) is handle_first - freqtrade.strategy.sell_profit_offset = 0.0 - assert freqtrade.handle_trade(trade) is True + if handle_second: + freqtrade.strategy.sell_profit_offset = 0.0 + assert freqtrade.handle_trade(trade) is True - assert trade.sell_reason == SellType.SELL_SIGNAL.value - - -def test_sell_profit_only_disable_profit(default_conf, limit_buy_order, limit_buy_order_open, - fee, mocker) -> None: - patch_RPCManager(mocker) - patch_exchange(mocker) - mocker.patch.multiple( - 'freqtrade.exchange.Exchange', - fetch_ticker=MagicMock(return_value={ - 'bid': 0.00002172, - 'ask': 0.00002173, - 'last': 0.00002172 - }), - create_order=MagicMock(side_effect=[ - limit_buy_order_open, - {'id': 1234553382}, - ]), - get_fee=fee, - ) - default_conf.update({ - 'use_sell_signal': True, - 'sell_profit_only': False, - }) - freqtrade = FreqtradeBot(default_conf) - patch_get_signal(freqtrade) - freqtrade.strategy.min_roi_reached = MagicMock(return_value=False) - freqtrade.enter_positions() - - trade = Trade.query.first() - trade.update(limit_buy_order) - freqtrade.wallets.update() - patch_get_signal(freqtrade, enter_long=False, exit_long=True) - assert freqtrade.handle_trade(trade) is True - assert trade.sell_reason == SellType.SELL_SIGNAL.value - - -def test_sell_profit_only_enable_loss(default_conf, limit_buy_order, limit_buy_order_open, - fee, mocker) -> None: - patch_RPCManager(mocker) - patch_exchange(mocker) - mocker.patch.multiple( - 'freqtrade.exchange.Exchange', - fetch_ticker=MagicMock(return_value={ - 'bid': 0.00000172, - 'ask': 0.00000173, - 'last': 0.00000172 - }), - create_order=MagicMock(side_effect=[ - limit_buy_order_open, - {'id': 1234553382}, - ]), - get_fee=fee, - ) - default_conf.update({ - 'use_sell_signal': True, - 'sell_profit_only': True, - }) - freqtrade = FreqtradeBot(default_conf) - patch_get_signal(freqtrade) - freqtrade.strategy.stop_loss_reached = MagicMock(return_value=SellCheckTuple( - sell_type=SellType.NONE)) - freqtrade.enter_positions() - - trade = Trade.query.first() - trade.update(limit_buy_order) - patch_get_signal(freqtrade, enter_long=False, exit_long=True) - assert freqtrade.handle_trade(trade) is False - - -def test_sell_profit_only_disable_loss(default_conf, limit_buy_order, limit_buy_order_open, - fee, mocker) -> None: - patch_RPCManager(mocker) - patch_exchange(mocker) - mocker.patch.multiple( - 'freqtrade.exchange.Exchange', - fetch_ticker=MagicMock(return_value={ - 'bid': 0.0000172, - 'ask': 0.0000173, - 'last': 0.0000172 - }), - create_order=MagicMock(side_effect=[ - limit_buy_order_open, - {'id': 1234553382}, - ]), - get_fee=fee, - ) - default_conf.update({ - 'use_sell_signal': True, - 'sell_profit_only': False, - }) - - freqtrade = FreqtradeBot(default_conf) - patch_get_signal(freqtrade) - freqtrade.strategy.min_roi_reached = MagicMock(return_value=False) - - freqtrade.enter_positions() - - trade = Trade.query.first() - trade.update(limit_buy_order) - freqtrade.wallets.update() - patch_get_signal(freqtrade, enter_long=False, exit_long=True) - assert freqtrade.handle_trade(trade) is True - assert trade.sell_reason == SellType.SELL_SIGNAL.value + assert trade.sell_reason == sell_type def test_sell_not_enough_balance(default_conf, limit_buy_order, limit_buy_order_open, @@ -3308,11 +3104,15 @@ def test_sell_not_enough_balance(default_conf, limit_buy_order, limit_buy_order_ assert trade.amount != amnt -def test__safe_exit_amount(default_conf, fee, caplog, mocker): +@pytest.mark.parametrize('amount_wallet,has_err', [ + (95.29, False), + (91.29, True) +]) +def test__safe_exit_amount(default_conf, fee, caplog, mocker, amount_wallet, has_err): patch_RPCManager(mocker) patch_exchange(mocker) amount = 95.33 - amount_wallet = 95.29 + amount_wallet = amount_wallet mocker.patch('freqtrade.wallets.Wallets.get_free', MagicMock(return_value=amount_wallet)) wallet_update = mocker.patch('freqtrade.wallets.Wallets.update') trade = Trade( @@ -3326,37 +3126,19 @@ def test__safe_exit_amount(default_conf, fee, caplog, mocker): ) freqtrade = FreqtradeBot(default_conf) patch_get_signal(freqtrade) - - wallet_update.reset_mock() - assert freqtrade._safe_exit_amount(trade.pair, trade.amount) == amount_wallet - assert log_has_re(r'.*Falling back to wallet-amount.', caplog) - assert wallet_update.call_count == 1 - caplog.clear() - wallet_update.reset_mock() - assert freqtrade._safe_exit_amount(trade.pair, amount_wallet) == amount_wallet - assert not log_has_re(r'.*Falling back to wallet-amount.', caplog) - assert wallet_update.call_count == 1 - - -def test__safe_exit_amount_error(default_conf, fee, caplog, mocker): - patch_RPCManager(mocker) - patch_exchange(mocker) - amount = 95.33 - amount_wallet = 91.29 - mocker.patch('freqtrade.wallets.Wallets.get_free', MagicMock(return_value=amount_wallet)) - trade = Trade( - pair='LTC/ETH', - amount=amount, - exchange='binance', - open_rate=0.245441, - open_order_id="123456", - fee_open=fee.return_value, - fee_close=fee.return_value, - ) - freqtrade = FreqtradeBot(default_conf) - patch_get_signal(freqtrade) - with pytest.raises(DependencyException, match=r"Not enough amount to exit."): - assert freqtrade._safe_exit_amount(trade.pair, trade.amount) + if has_err: + with pytest.raises(DependencyException, match=r"Not enough amount to exit trade."): + assert freqtrade._safe_exit_amount(trade.pair, trade.amount) + else: + wallet_update.reset_mock() + assert freqtrade._safe_exit_amount(trade.pair, trade.amount) == amount_wallet + assert log_has_re(r'.*Falling back to wallet-amount.', caplog) + assert wallet_update.call_count == 1 + caplog.clear() + wallet_update.reset_mock() + assert freqtrade._safe_exit_amount(trade.pair, amount_wallet) == amount_wallet + assert not log_has_re(r'.*Falling back to wallet-amount.', caplog) + assert wallet_update.call_count == 1 def test_locked_pairs(default_conf, ticker, fee, ticker_sell_down, mocker, caplog) -> None: @@ -4144,50 +3926,37 @@ def test_order_book_depth_of_market_high_delta(default_conf, ticker, limit_buy_o assert trade is None -def test_order_book_bid_strategy1(mocker, default_conf, order_book_l2) -> None: +@pytest.mark.parametrize('exception_thrown,ask,last,order_book_top,order_book', [ + (False, 0.045, 0.046, 2, None), + (True, 0.042, 0.046, 1, {'bids': [[]], 'asks': [[]]}) +]) +def test_order_book_bid_strategy1(mocker, default_conf, order_book_l2, exception_thrown, + ask, last, order_book_top, order_book, caplog) -> None: """ - test if function get_rate will return the order book price - instead of the ask rate + test if function get_rate will return the order book price instead of the ask rate """ patch_exchange(mocker) - ticker_mock = MagicMock(return_value={'ask': 0.045, 'last': 0.046}) + ticker_mock = MagicMock(return_value={'ask': ask, 'last': last}) mocker.patch.multiple( 'freqtrade.exchange.Exchange', - fetch_l2_order_book=order_book_l2, + fetch_l2_order_book=MagicMock(return_value=order_book) if order_book else order_book_l2, fetch_ticker=ticker_mock, - ) default_conf['exchange']['name'] = 'binance' default_conf['bid_strategy']['use_order_book'] = True - default_conf['bid_strategy']['order_book_top'] = 2 + default_conf['bid_strategy']['order_book_top'] = order_book_top default_conf['bid_strategy']['ask_last_balance'] = 0 default_conf['telegram']['enabled'] = False freqtrade = FreqtradeBot(default_conf) - assert freqtrade.exchange.get_rate('ETH/BTC', refresh=True, side="buy") == 0.043935 - assert ticker_mock.call_count == 0 - - -def test_order_book_bid_strategy_exception(mocker, default_conf, caplog) -> None: - patch_exchange(mocker) - ticker_mock = MagicMock(return_value={'ask': 0.042, 'last': 0.046}) - mocker.patch.multiple( - 'freqtrade.exchange.Exchange', - fetch_l2_order_book=MagicMock(return_value={'bids': [[]], 'asks': [[]]}), - fetch_ticker=ticker_mock, - - ) - default_conf['exchange']['name'] = 'binance' - default_conf['bid_strategy']['use_order_book'] = True - default_conf['bid_strategy']['order_book_top'] = 1 - default_conf['bid_strategy']['ask_last_balance'] = 0 - default_conf['telegram']['enabled'] = False - - freqtrade = FreqtradeBot(default_conf) - # orderbook shall be used even if tickers would be lower. - with pytest.raises(PricingError): - freqtrade.exchange.get_rate('ETH/BTC', refresh=True, side="buy") - assert log_has_re(r'Buy Price at location 1 from orderbook could not be determined.', caplog) + if exception_thrown: + with pytest.raises(PricingError): + freqtrade.exchange.get_rate('ETH/BTC', refresh=True, side="buy") + assert log_has_re( + r'Buy Price at location 1 from orderbook could not be determined.', caplog) + else: + assert freqtrade.exchange.get_rate('ETH/BTC', refresh=True, side="buy") == 0.043935 + assert ticker_mock.call_count == 0 def test_check_depth_of_market_buy(default_conf, mocker, order_book_l2) -> None: