Matthias
GitHub
commit
b7686d06a7
@ -405,7 +405,7 @@ class Arguments(object):
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raise Exception('Incorrect syntax for timerange "%s"' % text)
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@staticmethod
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def check_int_positive(value) -> int:
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def check_int_positive(value: str) -> int:
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try:
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uint = int(value)
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if uint <= 0:
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@ -10,10 +10,11 @@ import numpy as np
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import pytest
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from pandas import DataFrame, to_datetime
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from freqtrade import OperationalException
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from freqtrade.data.converter import parse_ticker_dataframe
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from freqtrade.edge import Edge, PairInfo
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from freqtrade.strategy.interface import SellType
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from freqtrade.tests.conftest import get_patched_freqtradebot
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from freqtrade.tests.conftest import get_patched_freqtradebot, log_has
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from freqtrade.tests.optimize import (BTContainer, BTrade,
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_build_backtest_dataframe,
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_get_frame_time_from_offset)
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@ -30,7 +31,50 @@ ticker_start_time = arrow.get(2018, 10, 3)
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ticker_interval_in_minute = 60
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_ohlc = {'date': 0, 'buy': 1, 'open': 2, 'high': 3, 'low': 4, 'close': 5, 'sell': 6, 'volume': 7}
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# Helpers for this test file
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def _validate_ohlc(buy_ohlc_sell_matrice):
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for index, ohlc in enumerate(buy_ohlc_sell_matrice):
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# if not high < open < low or not high < close < low
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if not ohlc[3] >= ohlc[2] >= ohlc[4] or not ohlc[3] >= ohlc[5] >= ohlc[4]:
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raise Exception('Line ' + str(index + 1) + ' of ohlc has invalid values!')
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return True
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def _build_dataframe(buy_ohlc_sell_matrice):
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_validate_ohlc(buy_ohlc_sell_matrice)
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tickers = []
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for ohlc in buy_ohlc_sell_matrice:
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ticker = {
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'date': ticker_start_time.shift(
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minutes=(
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ohlc[0] *
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ticker_interval_in_minute)).timestamp *
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1000,
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'buy': ohlc[1],
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'open': ohlc[2],
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'high': ohlc[3],
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'low': ohlc[4],
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'close': ohlc[5],
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'sell': ohlc[6]}
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tickers.append(ticker)
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frame = DataFrame(tickers)
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frame['date'] = to_datetime(frame['date'],
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unit='ms',
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utc=True,
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infer_datetime_format=True)
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return frame
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def _time_on_candle(number):
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return np.datetime64(ticker_start_time.shift(
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minutes=(number * ticker_interval_in_minute)).timestamp * 1000, 'ms')
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# End helper functions
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# Open trade should be removed from the end
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tc0 = BTContainer(data=[
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# D O H L C V B S
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@ -203,46 +247,6 @@ def test_nonexisting_stake_amount(mocker, edge_conf):
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assert edge.stake_amount('N/O', 1, 2, 1) == 0.15
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def _validate_ohlc(buy_ohlc_sell_matrice):
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for index, ohlc in enumerate(buy_ohlc_sell_matrice):
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# if not high < open < low or not high < close < low
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if not ohlc[3] >= ohlc[2] >= ohlc[4] or not ohlc[3] >= ohlc[5] >= ohlc[4]:
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raise Exception('Line ' + str(index + 1) + ' of ohlc has invalid values!')
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return True
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def _build_dataframe(buy_ohlc_sell_matrice):
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_validate_ohlc(buy_ohlc_sell_matrice)
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tickers = []
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for ohlc in buy_ohlc_sell_matrice:
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ticker = {
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'date': ticker_start_time.shift(
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minutes=(
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ohlc[0] *
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ticker_interval_in_minute)).timestamp *
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1000,
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'buy': ohlc[1],
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'open': ohlc[2],
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'high': ohlc[3],
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'low': ohlc[4],
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'close': ohlc[5],
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'sell': ohlc[6]}
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tickers.append(ticker)
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frame = DataFrame(tickers)
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frame['date'] = to_datetime(frame['date'],
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unit='ms',
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utc=True,
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infer_datetime_format=True)
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return frame
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def _time_on_candle(number):
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return np.datetime64(ticker_start_time.shift(
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minutes=(number * ticker_interval_in_minute)).timestamp * 1000, 'ms')
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def test_edge_heartbeat_calculate(mocker, edge_conf):
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freqtrade = get_patched_freqtradebot(mocker, edge_conf)
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edge = Edge(edge_conf, freqtrade.exchange, freqtrade.strategy)
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@ -298,6 +302,40 @@ def test_edge_process_downloaded_data(mocker, edge_conf):
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assert edge._last_updated <= arrow.utcnow().timestamp + 2
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def test_edge_process_no_data(mocker, edge_conf, caplog):
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edge_conf['datadir'] = None
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freqtrade = get_patched_freqtradebot(mocker, edge_conf)
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mocker.patch('freqtrade.exchange.Exchange.get_fee', MagicMock(return_value=0.001))
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mocker.patch('freqtrade.data.history.load_data', MagicMock(return_value={}))
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edge = Edge(edge_conf, freqtrade.exchange, freqtrade.strategy)
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assert not edge.calculate()
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assert len(edge._cached_pairs) == 0
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assert log_has("No data found. Edge is stopped ...", caplog.record_tuples)
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assert edge._last_updated == 0
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def test_edge_process_no_trades(mocker, edge_conf, caplog):
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edge_conf['datadir'] = None
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freqtrade = get_patched_freqtradebot(mocker, edge_conf)
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mocker.patch('freqtrade.exchange.Exchange.get_fee', MagicMock(return_value=0.001))
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mocker.patch('freqtrade.data.history.load_data', mocked_load_data)
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# Return empty
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mocker.patch('freqtrade.edge.Edge._find_trades_for_stoploss_range', MagicMock(return_value=[]))
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edge = Edge(edge_conf, freqtrade.exchange, freqtrade.strategy)
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assert not edge.calculate()
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assert len(edge._cached_pairs) == 0
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assert log_has("No trades found.", caplog.record_tuples)
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def test_edge_init_error(mocker, edge_conf,):
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edge_conf['stake_amount'] = 0.5
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mocker.patch('freqtrade.exchange.Exchange.get_fee', MagicMock(return_value=0.001))
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with pytest.raises(OperationalException, match='Edge works only with unlimited stake amount'):
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get_patched_freqtradebot(mocker, edge_conf)
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def test_process_expectancy(mocker, edge_conf):
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edge_conf['edge']['min_trade_number'] = 2
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freqtrade = get_patched_freqtradebot(mocker, edge_conf)
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@ -360,3 +398,11 @@ def test_process_expectancy(mocker, edge_conf):
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assert round(final['TEST/BTC'].risk_reward_ratio, 10) == 306.5384615384
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assert round(final['TEST/BTC'].required_risk_reward, 10) == 2.0
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assert round(final['TEST/BTC'].expectancy, 10) == 101.5128205128
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# Pop last item so no trade is profitable
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trades.pop()
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trades_df = DataFrame(trades)
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trades_df = edge._fill_calculable_fields(trades_df)
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final = edge._process_expectancy(trades_df)
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assert len(final) == 0
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assert isinstance(final, dict)
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@ -1,5 +1,4 @@
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# pragma pylint: disable=missing-docstring, C0103
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import argparse
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import pytest
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@ -185,3 +184,22 @@ def test_testdata_dl_options() -> None:
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assert args.export == 'export/folder'
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assert args.days == 30
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assert args.exchange == 'binance'
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def test_check_int_positive() -> None:
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assert Arguments.check_int_positive("3") == 3
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assert Arguments.check_int_positive("1") == 1
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assert Arguments.check_int_positive("100") == 100
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with pytest.raises(argparse.ArgumentTypeError):
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Arguments.check_int_positive("-2")
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with pytest.raises(argparse.ArgumentTypeError):
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Arguments.check_int_positive("0")
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with pytest.raises(argparse.ArgumentTypeError):
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Arguments.check_int_positive("3.5")
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with pytest.raises(argparse.ArgumentTypeError):
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Arguments.check_int_positive("DeadBeef")
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