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Initial steps to change bid/ask pricing to enter/exit

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This commit is contained in:
Matthias
2022-03-27 18:03:49 +02:00
parent d1f61c4cf9
commit bcf326a035
30 changed files with 193 additions and 131 deletions
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4
tests/exchange/test_ccxt_compat.py
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@@ -107,8 +107,8 @@ def exchange_conf():
config['exchange']['key'] = ''
config['exchange']['secret'] = ''
config['dry_run'] = False
config['bid_strategy']['use_order_book'] = True
config['ask_strategy']['use_order_book'] = True
config['entry_pricing']['use_order_book'] = True
config['exit_pricing']['use_order_book'] = True
return config

38
tests/exchange/test_exchange.py
View File

@@ -971,7 +971,7 @@ def test_validate_pricing(default_conf, mocker):
has.update({'fetchTicker': True})
default_conf['ask_strategy']['use_order_book'] = True
default_conf['exit_pricing']['use_order_book'] = True
ExchangeResolver.load_exchange('binance', default_conf)
has.update({'fetchL2OrderBook': False})
@@ -2305,10 +2305,10 @@ def test_get_buy_rate(mocker, default_conf, caplog, side, ask, bid,
last, last_ab, expected) -> None:
caplog.set_level(logging.DEBUG)
if last_ab is None:
del default_conf['bid_strategy']['ask_last_balance']
del default_conf['entry_pricing']['ask_last_balance']
else:
default_conf['bid_strategy']['ask_last_balance'] = last_ab
default_conf['bid_strategy']['price_side'] = side
default_conf['entry_pricing']['ask_last_balance'] = last_ab
default_conf['entry_pricing']['price_side'] = side
exchange = get_patched_exchange(mocker, default_conf)
mocker.patch('freqtrade.exchange.Exchange.fetch_ticker',
return_value={'ask': ask, 'last': last, 'bid': bid})
@@ -2349,9 +2349,9 @@ def test_get_sell_rate(default_conf, mocker, caplog, side, bid, ask,
last, last_ab, expected) -> None:
caplog.set_level(logging.DEBUG)
default_conf['ask_strategy']['price_side'] = side
default_conf['exit_pricing']['price_side'] = side
if last_ab is not None:
default_conf['ask_strategy']['bid_last_balance'] = last_ab
default_conf['exit_pricing']['bid_last_balance'] = last_ab
mocker.patch('freqtrade.exchange.Exchange.fetch_ticker',
return_value={'ask': ask, 'bid': bid, 'last': last})
pair = "ETH/BTC"
@@ -2381,10 +2381,10 @@ def test_get_sell_rate(default_conf, mocker, caplog, side, bid, ask,
def test_get_ticker_rate_error(mocker, entry, default_conf, caplog, side, ask, bid,
last, last_ab, expected) -> None:
caplog.set_level(logging.DEBUG)
default_conf['bid_strategy']['ask_last_balance'] = last_ab
default_conf['bid_strategy']['price_side'] = side
default_conf['ask_strategy']['price_side'] = side
default_conf['ask_strategy']['ask_last_balance'] = last_ab
default_conf['entry_pricing']['ask_last_balance'] = last_ab
default_conf['entry_pricing']['price_side'] = side
default_conf['exit_pricing']['price_side'] = side
default_conf['exit_pricing']['ask_last_balance'] = last_ab
exchange = get_patched_exchange(mocker, default_conf)
mocker.patch('freqtrade.exchange.Exchange.fetch_ticker',
return_value={'ask': ask, 'last': last, 'bid': bid})
@@ -2400,9 +2400,9 @@ def test_get_ticker_rate_error(mocker, entry, default_conf, caplog, side, ask, b
def test_get_sell_rate_orderbook(default_conf, mocker, caplog, side, expected, order_book_l2):
caplog.set_level(logging.DEBUG)
# Test orderbook mode
default_conf['ask_strategy']['price_side'] = side
default_conf['ask_strategy']['use_order_book'] = True
default_conf['ask_strategy']['order_book_top'] = 1
default_conf['exit_pricing']['price_side'] = side
default_conf['exit_pricing']['use_order_book'] = True
default_conf['exit_pricing']['order_book_top'] = 1
pair = "ETH/BTC"
mocker.patch('freqtrade.exchange.Exchange.fetch_l2_order_book', order_book_l2)
exchange = get_patched_exchange(mocker, default_conf)
@@ -2417,9 +2417,9 @@ def test_get_sell_rate_orderbook(default_conf, mocker, caplog, side, expected, o
def test_get_sell_rate_orderbook_exception(default_conf, mocker, caplog):
# Test orderbook mode
default_conf['ask_strategy']['price_side'] = 'ask'
default_conf['ask_strategy']['use_order_book'] = True
default_conf['ask_strategy']['order_book_top'] = 1
default_conf['exit_pricing']['price_side'] = 'ask'
default_conf['exit_pricing']['use_order_book'] = True
default_conf['exit_pricing']['order_book_top'] = 1
pair = "ETH/BTC"
# Test What happens if the exchange returns an empty orderbook.
mocker.patch('freqtrade.exchange.Exchange.fetch_l2_order_book',
@@ -2433,7 +2433,7 @@ def test_get_sell_rate_orderbook_exception(default_conf, mocker, caplog):
def test_get_sell_rate_exception(default_conf, mocker, caplog):
# Ticker on one side can be empty in certain circumstances.
default_conf['ask_strategy']['price_side'] = 'ask'
default_conf['exit_pricing']['price_side'] = 'ask'
pair = "ETH/BTC"
mocker.patch('freqtrade.exchange.Exchange.fetch_ticker',
return_value={'ask': None, 'bid': 0.12, 'last': None})
@@ -2441,7 +2441,7 @@ def test_get_sell_rate_exception(default_conf, mocker, caplog):
with pytest.raises(PricingError, match=r"Sell-Rate for ETH/BTC was empty."):
exchange.get_rate(pair, refresh=True, side="sell")
exchange._config['ask_strategy']['price_side'] = 'bid'
exchange._config['exit_pricing']['price_side'] = 'bid'
assert exchange.get_rate(pair, refresh=True, side="sell") == 0.12
# Reverse sides
mocker.patch('freqtrade.exchange.Exchange.fetch_ticker',
@@ -2449,7 +2449,7 @@ def test_get_sell_rate_exception(default_conf, mocker, caplog):
with pytest.raises(PricingError, match=r"Sell-Rate for ETH/BTC was empty."):
exchange.get_rate(pair, refresh=True, side="sell")
exchange._config['ask_strategy']['price_side'] = 'ask'
exchange._config['exit_pricing']['price_side'] = 'ask'
assert exchange.get_rate(pair, refresh=True, side="sell") == 0.13