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contract-sizes tests

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This commit is contained in:
Sam Germain
2021-12-21 15:45:16 -06:00
parent d0a300a2e1
commit 78d1a267f0
3 changed files with 443 additions and 73 deletions
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33
freqtrade/exchange/exchange.py
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@@ -372,13 +372,17 @@ class Exchange:
def _get_contract_size(self, pair: str) -> int:
if self.trading_mode == TradingMode.FUTURES:
return self.markets[pair]['contract_size']
market = self.markets[pair]
contract_size = 1
if 'contractSize' in market and market['contractSize'] is not None:
contract_size = market['contractSize']
return contract_size
else:
return 1
def _trades_contracts_to_amount(self, trades: List) -> List:
if len(trades) > 0:
contract_size = self._get_contract_size(trades[0]['pair'])
contract_size = self._get_contract_size(trades[0]['symbol'])
if contract_size != 1:
for trade in trades:
trade['amount'] = trade['amount'] * contract_size
@@ -387,10 +391,10 @@ class Exchange:
return trades
def _order_contracts_to_amount(self, order: Dict) -> Dict:
contract_size = self._get_contract_size(order['pair'])
contract_size = self._get_contract_size(order['symbol'])
if contract_size != 1:
for prop in ['amount', 'cost', 'filled', 'remaining']:
if prop in order:
if prop in order and order[prop] is not None:
order[prop] = order[prop] * contract_size
return order
@@ -611,7 +615,7 @@ class Exchange:
Re-implementation of ccxt internal methods - ensuring we can test the result is correct
based on our definitions.
"""
amount = self._amount_to_contract_size(pair, amount)
amount = self._amount_to_contracts(pair, amount)
if self.markets[pair]['precision']['amount']:
amount = float(decimal_to_precision(amount, rounding_mode=TRUNCATE,
precision=self.markets[pair]['precision']['amount'],
@@ -670,12 +674,17 @@ class Exchange:
limits = market['limits']
if ('cost' in limits and 'min' in limits['cost']
and limits['cost']['min'] is not None):
min_stake_amounts.append(limits['cost']['min'])
min_stake_amounts.append(
self._contracts_to_amount(
pair,
limits['cost']['min']
)
)
if ('amount' in limits and 'min' in limits['amount']
and limits['amount']['min'] is not None):
min_stake_amounts.append(
self._contract_size_to_amount(
self._contracts_to_amount(
pair,
limits['amount']['min'] * price
)
@@ -715,7 +724,7 @@ class Exchange:
def create_dry_run_order(self, pair: str, ordertype: str, side: str, amount: float,
rate: float, leverage: float, params: Dict = {}) -> Dict[str, Any]:
order_id = f'dry_run_{side}_{datetime.now().timestamp()}'
_amount = self._contract_size_to_amount(pair, self.amount_to_precision(pair, amount))
_amount = self._contracts_to_amount(pair, self.amount_to_precision(pair, amount))
dry_order: Dict[str, Any] = {
'id': order_id,
'symbol': pair,
@@ -865,19 +874,19 @@ class Exchange:
params.update({param: time_in_force})
return params
def _amount_to_contract_size(self, pair: str, amount: float):
def _amount_to_contracts(self, pair: str, amount: float):
if ('contractSize' in self.markets[pair]):
return amount / self.markets[pair]['contractSize']
else:
return amount
def _contract_size_to_amount(self, pair: str, amount: float):
def _contracts_to_amount(self, pair: str, num_contracts: float):
if ('contractSize' in self.markets[pair]):
return amount * self.markets[pair]['contractSize']
return num_contracts * self.markets[pair]['contractSize']
else:
return amount
return num_contracts
def create_order(self, pair: str, ordertype: str, side: str, amount: float,
rate: float, leverage: float = 1.0, time_in_force: str = 'gtc') -> Dict: