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Merge branch 'freqtrade:develop' into develop

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Robert Roman 2021-09-26 15:37:09 -05:00 committed by GitHub
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5 changed files with 124 additions and 211 deletions
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2
freqtrade/data/dataprovider.py
View File

@ -149,6 +149,8 @@ class DataProvider:
Clear pair dataframe cache.
"""
self.__cached_pairs = {}
self.__cached_pairs_backtesting = {}
self.__slice_index = 0
# Exchange functions

50
freqtrade/optimize/backtesting.py
View File

@ -85,18 +85,7 @@ class Backtesting:
"configuration or as cli argument `--timeframe 5m`")
self.timeframe = str(self.config.get('timeframe'))
self.timeframe_min = timeframe_to_minutes(self.timeframe)
# Load detail timeframe if specified
self.timeframe_detail = str(self.config.get('timeframe_detail', ''))
if self.timeframe_detail:
self.timeframe_detail_min = timeframe_to_minutes(self.timeframe_detail)
if self.timeframe_min <= self.timeframe_detail_min:
raise OperationalException(
"Detail timeframe must be smaller than strategy timeframe.")
else:
self.timeframe_detail_min = 0
self.detail_data: Dict[str, DataFrame] = {}
self.init_backtest_detail()
self.pairlists = PairListManager(self.exchange, self.config)
if 'VolumePairList' in self.pairlists.name_list:
raise OperationalException("VolumePairList not allowed for backtesting.")
@ -119,14 +108,6 @@ class Backtesting:
else:
self.fee = self.exchange.get_fee(symbol=self.pairlists.whitelist[0])
Trade.use_db = False
Trade.reset_trades()
PairLocks.timeframe = self.config['timeframe']
PairLocks.use_db = False
PairLocks.reset_locks()
self.wallets = Wallets(self.config, self.exchange, log=False)
self.timerange = TimeRange.parse_timerange(
None if self.config.get('timerange') is None else str(self.config.get('timerange')))
@ -135,9 +116,7 @@ class Backtesting:
# Add maximum startup candle count to configuration for informative pairs support
self.config['startup_candle_count'] = self.required_startup
self.exchange.validate_required_startup_candles(self.required_startup, self.timeframe)
self.progress = BTProgress()
self.abort = False
self.init_backtest()
def __del__(self):
self.cleanup()
@ -147,6 +126,28 @@ class Backtesting:
PairLocks.use_db = True
Trade.use_db = True
def init_backtest_detail(self):
# Load detail timeframe if specified
self.timeframe_detail = str(self.config.get('timeframe_detail', ''))
if self.timeframe_detail:
self.timeframe_detail_min = timeframe_to_minutes(self.timeframe_detail)
if self.timeframe_min <= self.timeframe_detail_min:
raise OperationalException(
"Detail timeframe must be smaller than strategy timeframe.")
else:
self.timeframe_detail_min = 0
self.detail_data: Dict[str, DataFrame] = {}
def init_backtest(self):
self.prepare_backtest(False)
self.wallets = Wallets(self.config, self.exchange, log=False)
self.progress = BTProgress()
self.abort = False
def _set_strategy(self, strategy: IStrategy):
"""
Load strategy into backtesting
@ -226,7 +227,8 @@ class Backtesting:
Trade.reset_trades()
self.rejected_trades = 0
self.dataprovider.clear_cache()
self._load_protections(self.strategy)
if enable_protections:
self._load_protections(self.strategy)
def check_abort(self):
"""

21
freqtrade/rpc/api_server/api_backtest.py
View File

@ -47,33 +47,34 @@ async def api_start_backtest(bt_settings: BacktestRequest, background_tasks: Bac
not ApiServer._bt
or lastconfig.get('timeframe') != strat.timeframe
or lastconfig.get('timeframe_detail') != btconfig.get('timeframe_detail')
or lastconfig.get('dry_run_wallet') != btconfig.get('dry_run_wallet', 0)
or lastconfig.get('timerange') != btconfig['timerange']
):
from freqtrade.optimize.backtesting import Backtesting
ApiServer._bt = Backtesting(btconfig)
if ApiServer._bt.timeframe_detail:
ApiServer._bt.load_bt_data_detail()
else:
ApiServer._bt.config = btconfig
ApiServer._bt.init_backtest()
# Only reload data if timeframe changed.
if (
not ApiServer._bt_data
or not ApiServer._bt_timerange
or lastconfig.get('stake_amount') != btconfig.get('stake_amount')
or lastconfig.get('enable_protections') != btconfig.get('enable_protections')
or lastconfig.get('protections') != btconfig.get('protections', [])
or lastconfig.get('timeframe') != strat.timeframe
):
lastconfig['timerange'] = btconfig['timerange']
lastconfig['protections'] = btconfig.get('protections', [])
lastconfig['enable_protections'] = btconfig.get('enable_protections')
lastconfig['dry_run_wallet'] = btconfig.get('dry_run_wallet')
lastconfig['timeframe'] = strat.timeframe
ApiServer._bt_data, ApiServer._bt_timerange = ApiServer._bt.load_bt_data()
lastconfig['timerange'] = btconfig['timerange']
lastconfig['timeframe'] = strat.timeframe
lastconfig['protections'] = btconfig.get('protections', [])
lastconfig['enable_protections'] = btconfig.get('enable_protections')
lastconfig['dry_run_wallet'] = btconfig.get('dry_run_wallet')
ApiServer._bt.abort = False
min_date, max_date = ApiServer._bt.backtest_one_strategy(
strat, ApiServer._bt_data, ApiServer._bt_timerange)
ApiServer._bt.results = generate_backtest_stats(
ApiServer._bt_data, ApiServer._bt.all_results,
min_date=min_date, max_date=max_date)

8
tests/conftest.py
View File

@ -1685,14 +1685,6 @@ def trades_for_order2():
'fee': {'cost': 0.004, 'currency': 'LTC'}}]
@pytest.fixture(scope="function")
def trades_for_order3(trades_for_order2):
# Different fee currencies for each trade
trades_for_order = deepcopy(trades_for_order2)
trades_for_order[0]['fee'] = {'cost': 0.02, 'currency': 'BNB'}
return trades_for_order
@pytest.fixture
def buy_order_fee():
return {

254
tests/test_freqtradebot.py
View File

@ -3568,8 +3568,33 @@ def test_get_real_amount_no_trade(default_conf, buy_order_fee, caplog, mocker, f
caplog)
def test_get_real_amount_stake(default_conf, trades_for_order, buy_order_fee, fee, mocker):
trades_for_order[0]['fee']['currency'] = 'ETH'
@pytest.mark.parametrize(
'fee_par,fee_reduction_amount,use_ticker_rate,expected_log', [
# basic, amount does not change
({'cost': 0.008, 'currency': 'ETH'}, 0, False, None),
# no currency in fee
({'cost': 0.004, 'currency': None}, 0, True, None),
# BNB no rate
({'cost': 0.00094518, 'currency': 'BNB'}, 0, True, (
'Fee for Trade Trade(id=None, pair=LTC/ETH, amount=8.00000000, open_rate=0.24544100,'
' open_since=closed) [buy]: 0.00094518 BNB - rate: None'
)),
# from order
({'cost': 0.004, 'currency': 'LTC'}, 0.004, False, (
'Applying fee on amount for Trade(id=None, pair=LTC/ETH, amount=8.00000000, '
'open_rate=0.24544100, open_since=closed) (from 8.0 to 7.996).'
)),
# invalid, no currency in from fee dict
({'cost': 0.008, 'currency': None}, 0, True, None),
])
def test_get_real_amount(
default_conf, trades_for_order, buy_order_fee, fee, mocker, caplog,
fee_par, fee_reduction_amount, use_ticker_rate, expected_log
):
buy_order = deepcopy(buy_order_fee)
buy_order['fee'] = fee_par
trades_for_order[0]['fee'] = fee_par
mocker.patch('freqtrade.exchange.Exchange.get_trades_for_order', return_value=trades_for_order)
amount = sum(x['amount'] for x in trades_for_order)
@ -3584,19 +3609,38 @@ def test_get_real_amount_stake(default_conf, trades_for_order, buy_order_fee, fe
)
freqtrade = get_patched_freqtradebot(mocker, default_conf)
# Amount does not change
assert freqtrade.get_real_amount(trade, buy_order_fee) == amount
if not use_ticker_rate:
mocker.patch('freqtrade.exchange.Exchange.fetch_ticker', side_effect=ExchangeError)
caplog.clear()
assert freqtrade.get_real_amount(trade, buy_order) == amount - fee_reduction_amount
if expected_log:
assert log_has(expected_log, caplog)
def test_get_real_amount_no_currency_in_fee(default_conf, trades_for_order, buy_order_fee,
fee, mocker):
@pytest.mark.parametrize(
'fee_cost, fee_currency, fee_reduction_amount, expected_fee, expected_log_amount', [
# basic, amount is reduced by fee
(None, None, 0.001, 0.001, 7.992),
# different fee currency on both trades, fee is average of both trade's fee
(0.02, 'BNB', 0.0005, 0.001518575, 7.996),
])
def test_get_real_amount_multi(
default_conf, trades_for_order2, buy_order_fee, caplog, fee, mocker, markets,
fee_cost, fee_currency, fee_reduction_amount, expected_fee, expected_log_amount,
):
limit_buy_order = deepcopy(buy_order_fee)
limit_buy_order['fee'] = {'cost': 0.004, 'currency': None}
trades_for_order[0]['fee']['currency'] = None
trades_for_order = deepcopy(trades_for_order2)
if fee_cost:
trades_for_order[0]['fee']['cost'] = fee_cost
if fee_currency:
trades_for_order[0]['fee']['currency'] = fee_currency
mocker.patch('freqtrade.exchange.Exchange.get_trades_for_order', return_value=trades_for_order)
amount = sum(x['amount'] for x in trades_for_order)
amount = float(sum(x['amount'] for x in trades_for_order))
default_conf['stake_currency'] = "ETH"
trade = Trade(
pair='LTC/ETH',
amount=amount,
@ -3606,76 +3650,7 @@ def test_get_real_amount_no_currency_in_fee(default_conf, trades_for_order, buy_
open_rate=0.245441,
open_order_id="123456"
)
freqtrade = get_patched_freqtradebot(mocker, default_conf)
# Amount does not change
assert freqtrade.get_real_amount(trade, limit_buy_order) == amount
def test_get_real_amount_BNB(default_conf, trades_for_order, buy_order_fee, fee, mocker):
trades_for_order[0]['fee']['currency'] = 'BNB'
trades_for_order[0]['fee']['cost'] = 0.00094518
mocker.patch('freqtrade.exchange.Exchange.get_trades_for_order', return_value=trades_for_order)
amount = sum(x['amount'] for x in trades_for_order)
trade = Trade(
pair='LTC/ETH',
amount=amount,
exchange='binance',
fee_open=fee.return_value,
fee_close=fee.return_value,
open_rate=0.245441,
open_order_id="123456"
)
freqtrade = get_patched_freqtradebot(mocker, default_conf)
# Amount does not change
assert freqtrade.get_real_amount(trade, buy_order_fee) == amount
def test_get_real_amount_multi(default_conf, trades_for_order2, buy_order_fee, caplog, fee, mocker):
mocker.patch('freqtrade.exchange.Exchange.get_trades_for_order', return_value=trades_for_order2)
amount = float(sum(x['amount'] for x in trades_for_order2))
trade = Trade(
pair='LTC/ETH',
amount=amount,
exchange='binance',
fee_open=fee.return_value,
fee_close=fee.return_value,
open_rate=0.245441,
open_order_id="123456"
)
freqtrade = get_patched_freqtradebot(mocker, default_conf)
# Amount is reduced by "fee"
assert freqtrade.get_real_amount(trade, buy_order_fee) == amount - (amount * 0.001)
assert log_has('Applying fee on amount for Trade(id=None, pair=LTC/ETH, amount=8.00000000, '
'open_rate=0.24544100, open_since=closed) (from 8.0 to 7.992).',
caplog)
assert trade.fee_open == 0.001
assert trade.fee_close == 0.001
assert trade.fee_open_cost is not None
assert trade.fee_open_currency is not None
assert trade.fee_close_cost is None
assert trade.fee_close_currency is None
def test_get_real_amount_multi2(default_conf, trades_for_order3, buy_order_fee, caplog, fee,
mocker, markets):
# Different fee currency on both trades
mocker.patch('freqtrade.exchange.Exchange.get_trades_for_order', return_value=trades_for_order3)
amount = float(sum(x['amount'] for x in trades_for_order3))
default_conf['stake_currency'] = 'ETH'
trade = Trade(
pair='LTC/ETH',
amount=amount,
exchange='binance',
fee_open=fee.return_value,
fee_close=fee.return_value,
open_rate=0.245441,
open_order_id="123456"
)
# Fake markets entry to enable fee parsing
markets['BNB/ETH'] = markets['ETH/BTC']
freqtrade = get_patched_freqtradebot(mocker, default_conf)
@ -3684,46 +3659,24 @@ def test_get_real_amount_multi2(default_conf, trades_for_order3, buy_order_fee,
return_value={'ask': 0.19, 'last': 0.2})
# Amount is reduced by "fee"
assert freqtrade.get_real_amount(trade, buy_order_fee) == amount - (amount * 0.0005)
assert log_has('Applying fee on amount for Trade(id=None, pair=LTC/ETH, amount=8.00000000, '
'open_rate=0.24544100, open_since=closed) (from 8.0 to 7.996).',
caplog)
# Overall fee is average of both trade's fee
assert trade.fee_open == 0.001518575
expected_amount = amount - (amount * fee_reduction_amount)
assert freqtrade.get_real_amount(trade, buy_order_fee) == expected_amount
assert log_has(
(
'Applying fee on amount for Trade(id=None, pair=LTC/ETH, amount=8.00000000, '
f'open_rate=0.24544100, open_since=closed) (from 8.0 to {expected_log_amount}).'
),
caplog
)
assert trade.fee_open == expected_fee
assert trade.fee_close == expected_fee
assert trade.fee_open_cost is not None
assert trade.fee_open_currency is not None
assert trade.fee_close_cost is None
assert trade.fee_close_currency is None
def test_get_real_amount_fromorder(default_conf, trades_for_order, buy_order_fee, fee,
caplog, mocker):
limit_buy_order = deepcopy(buy_order_fee)
limit_buy_order['fee'] = {'cost': 0.004, 'currency': 'LTC'}
mocker.patch('freqtrade.exchange.Exchange.get_trades_for_order',
return_value=[trades_for_order])
amount = float(sum(x['amount'] for x in trades_for_order))
trade = Trade(
pair='LTC/ETH',
amount=amount,
exchange='binance',
fee_open=fee.return_value,
fee_close=fee.return_value,
open_rate=0.245441,
open_order_id="123456"
)
freqtrade = get_patched_freqtradebot(mocker, default_conf)
# Ticker rate cannot be found for this to work.
mocker.patch('freqtrade.exchange.Exchange.fetch_ticker', side_effect=ExchangeError)
# Amount is reduced by "fee"
assert freqtrade.get_real_amount(trade, limit_buy_order) == amount - 0.004
assert log_has('Applying fee on amount for Trade(id=None, pair=LTC/ETH, amount=8.00000000, '
'open_rate=0.24544100, open_since=closed) (from 8.0 to 7.996).',
caplog)
def test_get_real_amount_invalid_order(default_conf, trades_for_order, buy_order_fee, fee, mocker):
limit_buy_order = deepcopy(buy_order_fee)
limit_buy_order['fee'] = {'cost': 0.004}
@ -3791,27 +3744,6 @@ def test_get_real_amount_wrong_amount_rounding(default_conf, trades_for_order, b
abs_tol=MATH_CLOSE_PREC,)
def test_get_real_amount_invalid(default_conf, trades_for_order, buy_order_fee, fee, mocker):
# Remove "Currency" from fee dict
trades_for_order[0]['fee'] = {'cost': 0.008}
mocker.patch('freqtrade.exchange.Exchange.get_trades_for_order', return_value=trades_for_order)
amount = sum(x['amount'] for x in trades_for_order)
trade = Trade(
pair='LTC/ETH',
amount=amount,
exchange='binance',
open_rate=0.245441,
fee_open=fee.return_value,
fee_close=fee.return_value,
open_order_id="123456"
)
freqtrade = get_patched_freqtradebot(mocker, default_conf)
# Amount does not change
assert freqtrade.get_real_amount(trade, buy_order_fee) == amount
def test_get_real_amount_open_trade(default_conf, fee, mocker):
amount = 12345
trade = Trade(
@ -3862,10 +3794,14 @@ def test_apply_fee_conditional(default_conf, fee, caplog, mocker,
assert walletmock.call_count == 1
@pytest.mark.parametrize("delta, is_high_delta", [
(0.1, False),
(100, True),
])
def test_order_book_depth_of_market(default_conf, ticker, limit_buy_order_open, limit_buy_order,
fee, mocker, order_book_l2):
fee, mocker, order_book_l2, delta, is_high_delta):
default_conf['bid_strategy']['check_depth_of_market']['enabled'] = True
default_conf['bid_strategy']['check_depth_of_market']['bids_to_ask_delta'] = 0.1
default_conf['bid_strategy']['check_depth_of_market']['bids_to_ask_delta'] = delta
patch_RPCManager(mocker)
patch_exchange(mocker)
mocker.patch('freqtrade.exchange.Exchange.fetch_l2_order_book', order_book_l2)
@ -3883,42 +3819,22 @@ def test_order_book_depth_of_market(default_conf, ticker, limit_buy_order_open,
freqtrade.enter_positions()
trade = Trade.query.first()
assert trade is not None
assert trade.stake_amount == 0.001
assert trade.is_open
assert trade.open_date is not None
assert trade.exchange == 'binance'
if is_high_delta:
assert trade is None
else:
assert trade is not None
assert trade.stake_amount == 0.001
assert trade.is_open
assert trade.open_date is not None
assert trade.exchange == 'binance'
assert len(Trade.query.all()) == 1
assert len(Trade.query.all()) == 1
# Simulate fulfilled LIMIT_BUY order for trade
trade.update(limit_buy_order)
# Simulate fulfilled LIMIT_BUY order for trade
trade.update(limit_buy_order)
assert trade.open_rate == 0.00001099
assert whitelist == default_conf['exchange']['pair_whitelist']
def test_order_book_depth_of_market_high_delta(default_conf, ticker, limit_buy_order,
fee, mocker, order_book_l2):
default_conf['bid_strategy']['check_depth_of_market']['enabled'] = True
# delta is 100 which is impossible to reach. hence check_depth_of_market will return false
default_conf['bid_strategy']['check_depth_of_market']['bids_to_ask_delta'] = 100
patch_RPCManager(mocker)
patch_exchange(mocker)
mocker.patch('freqtrade.exchange.Exchange.fetch_l2_order_book', order_book_l2)
mocker.patch.multiple(
'freqtrade.exchange.Exchange',
fetch_ticker=ticker,
create_order=MagicMock(return_value={'id': limit_buy_order['id']}),
get_fee=fee,
)
# Save state of current whitelist
freqtrade = FreqtradeBot(default_conf)
patch_get_signal(freqtrade)
freqtrade.enter_positions()
trade = Trade.query.first()
assert trade is None
assert trade.open_rate == 0.00001099
assert whitelist == default_conf['exchange']['pair_whitelist']
@pytest.mark.parametrize('exception_thrown,ask,last,order_book_top,order_book', [