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Partial exit using average price (#6545)

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Introduce Partial exits
This commit is contained in:
Kavinkumar
2022-07-31 17:49:04 +05:30
committed by GitHub
parent 369c6da5d8
commit a4bada3ebe
20 changed files with 1462 additions and 347 deletions
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199
tests/exchange/test_exchange.py
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@@ -27,6 +27,57 @@ from tests.conftest import get_mock_coro, get_patched_exchange, log_has, log_has
# Make sure to always keep one exchange here which is NOT subclassed!!
EXCHANGES = ['bittrex', 'binance', 'kraken', 'ftx', 'gateio']
get_entry_rate_data = [
('other', 20, 19, 10, 0.0, 20), # Full ask side
('ask', 20, 19, 10, 0.0, 20), # Full ask side
('ask', 20, 19, 10, 1.0, 10), # Full last side
('ask', 20, 19, 10, 0.5, 15), # Between ask and last
('ask', 20, 19, 10, 0.7, 13), # Between ask and last
('ask', 20, 19, 10, 0.3, 17), # Between ask and last
('ask', 5, 6, 10, 1.0, 5), # last bigger than ask
('ask', 5, 6, 10, 0.5, 5), # last bigger than ask
('ask', 20, 19, 10, None, 20), # price_last_balance missing
('ask', 10, 20, None, 0.5, 10), # last not available - uses ask
('ask', 4, 5, None, 0.5, 4), # last not available - uses ask
('ask', 4, 5, None, 1, 4), # last not available - uses ask
('ask', 4, 5, None, 0, 4), # last not available - uses ask
('same', 21, 20, 10, 0.0, 20), # Full bid side
('bid', 21, 20, 10, 0.0, 20), # Full bid side
('bid', 21, 20, 10, 1.0, 10), # Full last side
('bid', 21, 20, 10, 0.5, 15), # Between bid and last
('bid', 21, 20, 10, 0.7, 13), # Between bid and last
('bid', 21, 20, 10, 0.3, 17), # Between bid and last
('bid', 6, 5, 10, 1.0, 5), # last bigger than bid
('bid', 21, 20, 10, None, 20), # price_last_balance missing
('bid', 6, 5, 10, 0.5, 5), # last bigger than bid
('bid', 21, 20, None, 0.5, 20), # last not available - uses bid
('bid', 6, 5, None, 0.5, 5), # last not available - uses bid
('bid', 6, 5, None, 1, 5), # last not available - uses bid
('bid', 6, 5, None, 0, 5), # last not available - uses bid
]
get_sell_rate_data = [
('bid', 12.0, 11.0, 11.5, 0.0, 11.0), # full bid side
('bid', 12.0, 11.0, 11.5, 1.0, 11.5), # full last side
('bid', 12.0, 11.0, 11.5, 0.5, 11.25), # between bid and lat
('bid', 12.0, 11.2, 10.5, 0.0, 11.2), # Last smaller than bid
('bid', 12.0, 11.2, 10.5, 1.0, 11.2), # Last smaller than bid - uses bid
('bid', 12.0, 11.2, 10.5, 0.5, 11.2), # Last smaller than bid - uses bid
('bid', 0.003, 0.002, 0.005, 0.0, 0.002),
('bid', 0.003, 0.002, 0.005, None, 0.002),
('ask', 12.0, 11.0, 12.5, 0.0, 12.0), # full ask side
('ask', 12.0, 11.0, 12.5, 1.0, 12.5), # full last side
('ask', 12.0, 11.0, 12.5, 0.5, 12.25), # between bid and lat
('ask', 12.2, 11.2, 10.5, 0.0, 12.2), # Last smaller than ask
('ask', 12.0, 11.0, 10.5, 1.0, 12.0), # Last smaller than ask - uses ask
('ask', 12.0, 11.2, 10.5, 0.5, 12.0), # Last smaller than ask - uses ask
('ask', 10.0, 11.0, 11.0, 0.0, 10.0),
('ask', 10.11, 11.2, 11.0, 0.0, 10.11),
('ask', 0.001, 0.002, 11.0, 0.0, 0.001),
('ask', 0.006, 1.0, 11.0, 0.0, 0.006),
('ask', 0.006, 1.0, 11.0, None, 0.006),
]
def ccxt_exceptionhandlers(mocker, default_conf, api_mock, exchange_name,
fun, mock_ccxt_fun, retries=API_RETRY_COUNT + 1, **kwargs):
@@ -2360,34 +2411,7 @@ def test_fetch_l2_order_book_exception(default_conf, mocker, exchange_name):
exchange.fetch_l2_order_book(pair='ETH/BTC', limit=50)
@pytest.mark.parametrize("side,ask,bid,last,last_ab,expected", [
('other', 20, 19, 10, 0.0, 20), # Full ask side
('ask', 20, 19, 10, 0.0, 20), # Full ask side
('ask', 20, 19, 10, 1.0, 10), # Full last side
('ask', 20, 19, 10, 0.5, 15), # Between ask and last
('ask', 20, 19, 10, 0.7, 13), # Between ask and last
('ask', 20, 19, 10, 0.3, 17), # Between ask and last
('ask', 5, 6, 10, 1.0, 5), # last bigger than ask
('ask', 5, 6, 10, 0.5, 5), # last bigger than ask
('ask', 20, 19, 10, None, 20), # price_last_balance missing
('ask', 10, 20, None, 0.5, 10), # last not available - uses ask
('ask', 4, 5, None, 0.5, 4), # last not available - uses ask
('ask', 4, 5, None, 1, 4), # last not available - uses ask
('ask', 4, 5, None, 0, 4), # last not available - uses ask
('same', 21, 20, 10, 0.0, 20), # Full bid side
('bid', 21, 20, 10, 0.0, 20), # Full bid side
('bid', 21, 20, 10, 1.0, 10), # Full last side
('bid', 21, 20, 10, 0.5, 15), # Between bid and last
('bid', 21, 20, 10, 0.7, 13), # Between bid and last
('bid', 21, 20, 10, 0.3, 17), # Between bid and last
('bid', 6, 5, 10, 1.0, 5), # last bigger than bid
('bid', 21, 20, 10, None, 20), # price_last_balance missing
('bid', 6, 5, 10, 0.5, 5), # last bigger than bid
('bid', 21, 20, None, 0.5, 20), # last not available - uses bid
('bid', 6, 5, None, 0.5, 5), # last not available - uses bid
('bid', 6, 5, None, 1, 5), # last not available - uses bid
('bid', 6, 5, None, 0, 5), # last not available - uses bid
])
@pytest.mark.parametrize("side,ask,bid,last,last_ab,expected", get_entry_rate_data)
def test_get_entry_rate(mocker, default_conf, caplog, side, ask, bid,
last, last_ab, expected) -> None:
caplog.set_level(logging.DEBUG)
@@ -2411,27 +2435,7 @@ def test_get_entry_rate(mocker, default_conf, caplog, side, ask, bid,
assert not log_has("Using cached entry rate for ETH/BTC.", caplog)
@pytest.mark.parametrize('side,ask,bid,last,last_ab,expected', [
('bid', 12.0, 11.0, 11.5, 0.0, 11.0), # full bid side
('bid', 12.0, 11.0, 11.5, 1.0, 11.5), # full last side
('bid', 12.0, 11.0, 11.5, 0.5, 11.25), # between bid and lat
('bid', 12.0, 11.2, 10.5, 0.0, 11.2), # Last smaller than bid
('bid', 12.0, 11.2, 10.5, 1.0, 11.2), # Last smaller than bid - uses bid
('bid', 12.0, 11.2, 10.5, 0.5, 11.2), # Last smaller than bid - uses bid
('bid', 0.003, 0.002, 0.005, 0.0, 0.002),
('bid', 0.003, 0.002, 0.005, None, 0.002),
('ask', 12.0, 11.0, 12.5, 0.0, 12.0), # full ask side
('ask', 12.0, 11.0, 12.5, 1.0, 12.5), # full last side
('ask', 12.0, 11.0, 12.5, 0.5, 12.25), # between bid and lat
('ask', 12.2, 11.2, 10.5, 0.0, 12.2), # Last smaller than ask
('ask', 12.0, 11.0, 10.5, 1.0, 12.0), # Last smaller than ask - uses ask
('ask', 12.0, 11.2, 10.5, 0.5, 12.0), # Last smaller than ask - uses ask
('ask', 10.0, 11.0, 11.0, 0.0, 10.0),
('ask', 10.11, 11.2, 11.0, 0.0, 10.11),
('ask', 0.001, 0.002, 11.0, 0.0, 0.001),
('ask', 0.006, 1.0, 11.0, 0.0, 0.006),
('ask', 0.006, 1.0, 11.0, None, 0.006),
])
@pytest.mark.parametrize('side,ask,bid,last,last_ab,expected', get_sell_rate_data)
def test_get_exit_rate(default_conf, mocker, caplog, side, bid, ask,
last, last_ab, expected) -> None:
caplog.set_level(logging.DEBUG)
@@ -2481,14 +2485,14 @@ def test_get_ticker_rate_error(mocker, entry, default_conf, caplog, side, is_sho
@pytest.mark.parametrize('is_short,side,expected', [
(False, 'bid', 0.043936), # Value from order_book_l2 fitxure - bids side
(False, 'ask', 0.043949), # Value from order_book_l2 fitxure - asks side
(False, 'other', 0.043936), # Value from order_book_l2 fitxure - bids side
(False, 'same', 0.043949), # Value from order_book_l2 fitxure - asks side
(True, 'bid', 0.043936), # Value from order_book_l2 fitxure - bids side
(True, 'ask', 0.043949), # Value from order_book_l2 fitxure - asks side
(True, 'other', 0.043949), # Value from order_book_l2 fitxure - asks side
(True, 'same', 0.043936), # Value from order_book_l2 fitxure - bids side
(False, 'bid', 0.043936), # Value from order_book_l2 fixture - bids side
(False, 'ask', 0.043949), # Value from order_book_l2 fixture - asks side
(False, 'other', 0.043936), # Value from order_book_l2 fixture - bids side
(False, 'same', 0.043949), # Value from order_book_l2 fixture - asks side
(True, 'bid', 0.043936), # Value from order_book_l2 fixture - bids side
(True, 'ask', 0.043949), # Value from order_book_l2 fixture - asks side
(True, 'other', 0.043949), # Value from order_book_l2 fixture - asks side
(True, 'same', 0.043936), # Value from order_book_l2 fixture - bids side
])
def test_get_exit_rate_orderbook(
default_conf, mocker, caplog, is_short, side, expected, order_book_l2):
@@ -2521,7 +2525,8 @@ def test_get_exit_rate_orderbook_exception(default_conf, mocker, caplog):
exchange = get_patched_exchange(mocker, default_conf)
with pytest.raises(PricingError):
exchange.get_rate(pair, refresh=True, side="exit", is_short=False)
assert log_has_re(r"Exit Price at location 1 from orderbook could not be determined\..*",
assert log_has_re(rf"{pair} - Exit Price at location 1 from orderbook "
rf"could not be determined\..*",
caplog)
@@ -2548,6 +2553,84 @@ def test_get_exit_rate_exception(default_conf, mocker, is_short):
assert exchange.get_rate(pair, refresh=True, side="exit", is_short=is_short) == 0.13
@pytest.mark.parametrize("side,ask,bid,last,last_ab,expected", get_entry_rate_data)
@pytest.mark.parametrize("side2", ['bid', 'ask'])
@pytest.mark.parametrize("use_order_book", [True, False])
def test_get_rates_testing_buy(mocker, default_conf, caplog, side, ask, bid,
last, last_ab, expected,
side2, use_order_book, order_book_l2) -> None:
caplog.set_level(logging.DEBUG)
if last_ab is None:
del default_conf['entry_pricing']['price_last_balance']
else:
default_conf['entry_pricing']['price_last_balance'] = last_ab
default_conf['entry_pricing']['price_side'] = side
default_conf['exit_pricing']['price_side'] = side2
default_conf['exit_pricing']['use_order_book'] = use_order_book
api_mock = MagicMock()
api_mock.fetch_l2_order_book = order_book_l2
api_mock.fetch_ticker = MagicMock(
return_value={'ask': ask, 'last': last, 'bid': bid})
exchange = get_patched_exchange(mocker, default_conf, api_mock)
assert exchange.get_rates('ETH/BTC', refresh=True, is_short=False)[0] == expected
assert not log_has("Using cached buy rate for ETH/BTC.", caplog)
api_mock.fetch_l2_order_book.reset_mock()
api_mock.fetch_ticker.reset_mock()
assert exchange.get_rates('ETH/BTC', refresh=False, is_short=False)[0] == expected
assert log_has("Using cached buy rate for ETH/BTC.", caplog)
assert api_mock.fetch_l2_order_book.call_count == 0
assert api_mock.fetch_ticker.call_count == 0
# Running a 2nd time with Refresh on!
caplog.clear()
assert exchange.get_rates('ETH/BTC', refresh=True, is_short=False)[0] == expected
assert not log_has("Using cached buy rate for ETH/BTC.", caplog)
assert api_mock.fetch_l2_order_book.call_count == int(use_order_book)
assert api_mock.fetch_ticker.call_count == 1
@pytest.mark.parametrize('side,ask,bid,last,last_ab,expected', get_sell_rate_data)
@pytest.mark.parametrize("side2", ['bid', 'ask'])
@pytest.mark.parametrize("use_order_book", [True, False])
def test_get_rates_testing_sell(default_conf, mocker, caplog, side, bid, ask,
last, last_ab, expected,
side2, use_order_book, order_book_l2) -> None:
caplog.set_level(logging.DEBUG)
default_conf['exit_pricing']['price_side'] = side
if last_ab is not None:
default_conf['exit_pricing']['price_last_balance'] = last_ab
default_conf['entry_pricing']['price_side'] = side2
default_conf['entry_pricing']['use_order_book'] = use_order_book
api_mock = MagicMock()
api_mock.fetch_l2_order_book = order_book_l2
api_mock.fetch_ticker = MagicMock(
return_value={'ask': ask, 'last': last, 'bid': bid})
exchange = get_patched_exchange(mocker, default_conf, api_mock)
pair = "ETH/BTC"
# Test regular mode
rate = exchange.get_rates(pair, refresh=True, is_short=False)[1]
assert not log_has("Using cached sell rate for ETH/BTC.", caplog)
assert isinstance(rate, float)
assert rate == expected
# Use caching
api_mock.fetch_l2_order_book.reset_mock()
api_mock.fetch_ticker.reset_mock()
rate = exchange.get_rates(pair, refresh=False, is_short=False)[1]
assert rate == expected
assert log_has("Using cached sell rate for ETH/BTC.", caplog)
assert api_mock.fetch_l2_order_book.call_count == 0
assert api_mock.fetch_ticker.call_count == 0
@pytest.mark.parametrize("exchange_name", EXCHANGES)
@pytest.mark.asyncio
async def test___async_get_candle_history_sort(default_conf, mocker, exchange_name):