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merge develop into add-single-prec

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This commit is contained in:
robcaulk
2022-11-11 18:08:51 +01:00
parent e46a57bbd0 e34f0f60a5
commit 790ff2a84b
34 changed files with 612 additions and 86 deletions
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32
tests/freqai/test_freqai_backtesting.py
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@@ -3,8 +3,11 @@ from datetime import datetime, timezone
from pathlib import Path
from unittest.mock import PropertyMock
import pytest
from freqtrade.commands.optimize_commands import setup_optimize_configuration
from freqtrade.enums import RunMode
from freqtrade.exceptions import OperationalException
from freqtrade.optimize.backtesting import Backtesting
from tests.conftest import (CURRENT_TEST_STRATEGY, get_args, log_has_re, patch_exchange,
patched_configuration_load_config_file)
@@ -51,3 +54,32 @@ def test_freqai_backtest_load_data(freqai_conf, mocker, caplog):
assert log_has_re('Increasing startup_candle_count for freqai to.*', caplog)
Backtesting.cleanup()
def test_freqai_backtest_live_models_model_not_found(freqai_conf, mocker, testdatadir, caplog):
patch_exchange(mocker)
now = datetime.now(timezone.utc)
mocker.patch('freqtrade.plugins.pairlistmanager.PairListManager.whitelist',
PropertyMock(return_value=['HULUMULU/USDT', 'XRP/USDT']))
mocker.patch('freqtrade.optimize.backtesting.history.load_data')
mocker.patch('freqtrade.optimize.backtesting.history.get_timerange', return_value=(now, now))
freqai_conf["timerange"] = ""
patched_configuration_load_config_file(mocker, freqai_conf)
args = [
'backtesting',
'--config', 'config.json',
'--datadir', str(testdatadir),
'--strategy-path', str(Path(__file__).parents[1] / 'strategy/strats'),
'--timeframe', '5m',
'--freqai-backtest-live-models'
]
args = get_args(args)
bt_config = setup_optimize_configuration(args, RunMode.BACKTEST)
with pytest.raises(OperationalException,
match=r".* Saved models are required to run backtest .*"):
Backtesting(bt_config)
Backtesting.cleanup()

1
tests/freqai/test_freqai_datadrawer.py
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@@ -22,6 +22,7 @@ def test_update_historic_data(mocker, freqai_conf):
historic_candles = len(freqai.dd.historic_data["ADA/BTC"]["5m"])
dp_candles = len(strategy.dp.get_pair_dataframe("ADA/BTC", "5m"))
candle_difference = dp_candles - historic_candles
freqai.dk.pair = "ADA/BTC"
freqai.dd.update_historic_data(strategy, freqai.dk)
updated_historic_candles = len(freqai.dd.historic_data["ADA/BTC"]["5m"])

106
tests/freqai/test_freqai_datakitchen.py
View File

@@ -1,13 +1,18 @@
import shutil
from datetime import datetime, timedelta, timezone
from pathlib import Path
from unittest.mock import MagicMock
import pytest
from freqtrade.configuration import TimeRange
from freqtrade.data.dataprovider import DataProvider
from freqtrade.exceptions import OperationalException
from tests.conftest import log_has_re
from tests.freqai.conftest import (get_patched_data_kitchen, make_data_dictionary,
make_unfiltered_dataframe)
from freqtrade.freqai.data_kitchen import FreqaiDataKitchen
from freqtrade.freqai.utils import get_timerange_backtest_live_models
from tests.conftest import get_patched_exchange, log_has_re
from tests.freqai.conftest import (get_patched_data_kitchen, get_patched_freqai_strategy,
make_data_dictionary, make_unfiltered_dataframe)
@pytest.mark.parametrize(
@@ -159,3 +164,98 @@ def test_make_train_test_datasets(mocker, freqai_conf):
assert data_dictionary
assert len(data_dictionary) == 7
assert len(data_dictionary['train_features'].index) == 1916
def test_get_pairs_timestamp_validation(mocker, freqai_conf):
exchange = get_patched_exchange(mocker, freqai_conf)
strategy = get_patched_freqai_strategy(mocker, freqai_conf)
strategy.dp = DataProvider(freqai_conf, exchange)
strategy.freqai_info = freqai_conf.get("freqai", {})
freqai = strategy.freqai
freqai.live = True
freqai.dk = FreqaiDataKitchen(freqai_conf)
freqai_conf['freqai'].update({"identifier": "invalid_id"})
model_path = freqai.dk.get_full_models_path(freqai_conf)
with pytest.raises(
OperationalException,
match=r'.*required to run backtest with the freqai-backtest-live-models.*'
):
freqai.dk.get_assets_timestamps_training_from_ready_models(model_path)
@pytest.mark.parametrize('model', [
'LightGBMRegressor'
])
def test_get_timerange_from_ready_models(mocker, freqai_conf, model):
freqai_conf.update({"freqaimodel": model})
freqai_conf.update({"timerange": "20180110-20180130"})
freqai_conf.update({"strategy": "freqai_test_strat"})
strategy = get_patched_freqai_strategy(mocker, freqai_conf)
exchange = get_patched_exchange(mocker, freqai_conf)
strategy.dp = DataProvider(freqai_conf, exchange)
strategy.freqai_info = freqai_conf.get("freqai", {})
freqai = strategy.freqai
freqai.live = True
freqai.dk = FreqaiDataKitchen(freqai_conf)
timerange = TimeRange.parse_timerange("20180101-20180130")
freqai.dd.load_all_pair_histories(timerange, freqai.dk)
freqai.dd.pair_dict = MagicMock()
data_load_timerange = TimeRange.parse_timerange("20180101-20180130")
# 1516233600 (2018-01-18 00:00) - Start Training 1
# 1516406400 (2018-01-20 00:00) - End Training 1 (Backtest slice 1)
# 1516579200 (2018-01-22 00:00) - End Training 2 (Backtest slice 2)
# 1516838400 (2018-01-25 00:00) - End Timerange
new_timerange = TimeRange("date", "date", 1516233600, 1516406400)
freqai.extract_data_and_train_model(
new_timerange, "ADA/BTC", strategy, freqai.dk, data_load_timerange)
new_timerange = TimeRange("date", "date", 1516406400, 1516579200)
freqai.extract_data_and_train_model(
new_timerange, "ADA/BTC", strategy, freqai.dk, data_load_timerange)
model_path = freqai.dk.get_full_models_path(freqai_conf)
(backtesting_timerange,
pairs_end_dates) = freqai.dk.get_timerange_and_assets_end_dates_from_ready_models(
models_path=model_path)
assert len(pairs_end_dates["ADA"]) == 2
assert backtesting_timerange.startts == 1516406400
assert backtesting_timerange.stopts == 1516838400
backtesting_string_timerange = get_timerange_backtest_live_models(freqai_conf)
assert backtesting_string_timerange == '20180120-20180125'
@pytest.mark.parametrize('model', [
'LightGBMRegressor'
])
def test_get_full_model_path(mocker, freqai_conf, model):
freqai_conf.update({"freqaimodel": model})
freqai_conf.update({"timerange": "20180110-20180130"})
freqai_conf.update({"strategy": "freqai_test_strat"})
strategy = get_patched_freqai_strategy(mocker, freqai_conf)
exchange = get_patched_exchange(mocker, freqai_conf)
strategy.dp = DataProvider(freqai_conf, exchange)
strategy.freqai_info = freqai_conf.get("freqai", {})
freqai = strategy.freqai
freqai.live = True
freqai.dk = FreqaiDataKitchen(freqai_conf)
timerange = TimeRange.parse_timerange("20180110-20180130")
freqai.dd.load_all_pair_histories(timerange, freqai.dk)
freqai.dd.pair_dict = MagicMock()
data_load_timerange = TimeRange.parse_timerange("20180110-20180130")
new_timerange = TimeRange.parse_timerange("20180120-20180130")
freqai.extract_data_and_train_model(
new_timerange, "ADA/BTC", strategy, freqai.dk, data_load_timerange)
model_path = freqai.dk.get_full_models_path(freqai_conf)
assert model_path.is_dir() is True

2
tests/freqai/test_freqai_interface.py
View File

@@ -195,6 +195,7 @@ def test_start_backtesting(mocker, freqai_conf, model, num_files, strat, caplog)
corr_df, base_df = freqai.dd.get_base_and_corr_dataframes(sub_timerange, "LTC/BTC", freqai.dk)
df = freqai.dk.use_strategy_to_populate_indicators(strategy, corr_df, base_df, "LTC/BTC")
df = freqai.cache_corr_pairlist_dfs(df, freqai.dk)
for i in range(5):
df[f'%-constant_{i}'] = i
# df.loc[:, f'%-constant_{i}'] = i
@@ -340,6 +341,7 @@ def test_follow_mode(mocker, freqai_conf):
df = strategy.dp.get_pair_dataframe('ADA/BTC', '5m')
freqai.dk.pair = "ADA/BTC"
freqai.start_live(df, metadata, strategy, freqai.dk)
assert len(freqai.dk.return_dataframe.index) == 5702

1
tests/optimize/test_backtesting.py
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@@ -764,6 +764,7 @@ def test_backtest_one(default_conf, fee, mocker, testdatadir) -> None:
'max_rate': [0.10501, 0.1038888],
'is_open': [False, False],
'enter_tag': [None, None],
"leverage": [1.0, 1.0],
"is_short": [False, False],
'open_timestamp': [1517251200000, 1517283000000],
'close_timestamp': [1517265300000, 1517285400000],

1
tests/optimize/test_backtesting_adjust_position.py
View File

@@ -72,6 +72,7 @@ def test_backtest_position_adjustment(default_conf, fee, mocker, testdatadir) ->
'max_rate': [0.10481985, 0.1038888],
'is_open': [False, False],
'enter_tag': [None, None],
'leverage': [1.0, 1.0],
'is_short': [False, False],
'open_timestamp': [1517251200000, 1517283000000],
'close_timestamp': [1517265300000, 1517285400000],

82
tests/test_configuration.py
View File

@@ -1538,3 +1538,85 @@ def test_flat_vars_to_nested_dict(caplog):
assert log_has("Loading variable 'FREQTRADE__EXCHANGE__SOME_SETTING'", caplog)
assert not log_has("Loading variable 'NOT_RELEVANT'", caplog)
def test_setup_hyperopt_freqai(mocker, default_conf, caplog) -> None:
patched_configuration_load_config_file(mocker, default_conf)
mocker.patch(
'freqtrade.configuration.configuration.create_datadir',
lambda c, x: x
)
mocker.patch(
'freqtrade.configuration.configuration.create_userdata_dir',
lambda x, *args, **kwargs: Path(x)
)
arglist = [
'hyperopt',
'--config', 'config.json',
'--strategy', CURRENT_TEST_STRATEGY,
'--timerange', '20220801-20220805',
"--freqaimodel",
"LightGBMRegressorMultiTarget",
"--analyze-per-epoch"
]
args = Arguments(arglist).get_parsed_arg()
configuration = Configuration(args)
config = configuration.get_config()
config['freqai'] = {
"enabled": True
}
with pytest.raises(
OperationalException, match=r".*analyze-per-epoch parameter is not supported.*"
):
validate_config_consistency(config)
def test_setup_freqai_backtesting(mocker, default_conf, caplog) -> None:
patched_configuration_load_config_file(mocker, default_conf)
mocker.patch(
'freqtrade.configuration.configuration.create_datadir',
lambda c, x: x
)
mocker.patch(
'freqtrade.configuration.configuration.create_userdata_dir',
lambda x, *args, **kwargs: Path(x)
)
arglist = [
'backtesting',
'--config', 'config.json',
'--strategy', CURRENT_TEST_STRATEGY,
'--timerange', '20220801-20220805',
"--freqaimodel",
"LightGBMRegressorMultiTarget",
"--freqai-backtest-live-models"
]
args = Arguments(arglist).get_parsed_arg()
configuration = Configuration(args)
config = configuration.get_config()
config['runmode'] = RunMode.BACKTEST
with pytest.raises(
OperationalException, match=r".*--freqai-backtest-live-models parameter is only.*"
):
validate_config_consistency(config)
conf = deepcopy(config)
conf['freqai'] = {
"enabled": True
}
with pytest.raises(
OperationalException, match=r".* timerange parameter is not supported with .*"
):
validate_config_consistency(conf)
conf['timerange'] = None
conf['freqai_backtest_live_models'] = False
with pytest.raises(
OperationalException, match=r".* pass --timerange if you intend to use FreqAI .*"
):
validate_config_consistency(conf)

4
tests/test_freqtradebot.py
View File

@@ -5305,7 +5305,7 @@ def test_get_valid_price(mocker, default_conf_usdt) -> None:
])
def test_update_funding_fees_schedule(mocker, default_conf, trading_mode, calls, time_machine,
t1, t2):
time_machine.move_to(f"{t1} +00:00")
time_machine.move_to(f"{t1} +00:00", tick=False)
patch_RPCManager(mocker)
patch_exchange(mocker)
@@ -5314,7 +5314,7 @@ def test_update_funding_fees_schedule(mocker, default_conf, trading_mode, calls,
default_conf['margin_mode'] = 'isolated'
freqtrade = get_patched_freqtradebot(mocker, default_conf)
time_machine.move_to(f"{t2} +00:00")
time_machine.move_to(f"{t2} +00:00", tick=False)
# Check schedule jobs in debugging with freqtrade._schedule.jobs
freqtrade._schedule.run_pending()

10
tests/test_worker.py
View File

@@ -113,6 +113,16 @@ def test_throttle_sleep_time(mocker, default_conf, caplog) -> None:
# 300 (5m) - 60 (1m - see set time above) - 5 (duration of throttled_func) = 235
assert 235.2 < sleep_mock.call_args[0][0] < 235.6
t.move_to("2022-09-01 05:04:51 +00:00")
sleep_mock.reset_mock()
# Offset of 5s, so we hit the sweet-spot between "candle" and "candle offset"
# Which should not get a throttle iteration to avoid late candle fetching
assert worker._throttle(throttled_func, throttle_secs=10, timeframe='5m',
timeframe_offset=5, x=1.2) == 42
assert sleep_mock.call_count == 1
# Time is slightly bigger than throttle secs due to the high timeframe offset.
assert 11.1 < sleep_mock.call_args[0][0] < 13.2
def test_throttle_with_assets(mocker, default_conf) -> None:
def throttled_func(nb_assets=-1):