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Lock pair until a new candle arrives

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This commit is contained in:
Matthias
2020-08-24 11:09:09 +02:00
parent 8b767eedfd
commit c272944834
3 changed files with 42 additions and 26 deletions
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43
tests/strategy/test_interface.py
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@@ -1,6 +1,7 @@
# pragma pylint: disable=missing-docstring, C0103
import logging
from datetime import datetime, timedelta, timezone
from unittest.mock import MagicMock
import arrow
@@ -8,12 +9,12 @@ import pytest
from pandas import DataFrame
from freqtrade.configuration import TimeRange
from freqtrade.data.dataprovider import DataProvider
from freqtrade.data.history import load_data
from freqtrade.exceptions import StrategyError
from freqtrade.persistence import Trade
from freqtrade.resolvers import StrategyResolver
from freqtrade.strategy.strategy_wrapper import strategy_safe_wrapper
from freqtrade.data.dataprovider import DataProvider
from tests.conftest import log_has, log_has_re
from .strats.default_strategy import DefaultStrategy
@@ -87,21 +88,6 @@ def test_get_signal_exception_valueerror(default_conf, mocker, caplog, ohlcv_his
assert log_has_re(r'Strategy caused the following exception: xyz.*', caplog)
def test_get_signal_old_candle(default_conf, mocker, caplog, ohlcv_history):
caplog.set_level(logging.INFO)
# default_conf defines a 5m interval. we check interval of previous candle
# this is necessary as the last candle is removed (partial candles) by default
oldtime = arrow.utcnow().shift(minutes=-10)
ticks = DataFrame([{'buy': 1, 'date': oldtime}])
mocker.patch.object(
_STRATEGY, '_analyze_ticker_internal',
return_value=DataFrame(ticks)
)
assert (False, False) == _STRATEGY.get_signal('xyz', default_conf['timeframe'],
ohlcv_history)
assert log_has('Old candle for pair xyz. Last candle is 10 minutes old', caplog)
def test_get_signal_old_dataframe(default_conf, mocker, caplog, ohlcv_history):
# default_conf defines a 5m interval. we check interval * 2 + 5m
# this is necessary as the last candle is removed (partial candles) by default
@@ -402,6 +388,31 @@ def test_is_pair_locked(default_conf):
strategy.unlock_pair(pair)
assert not strategy.is_pair_locked(pair)
pair = 'BTC/USDT'
# Lock until 14:30
lock_time = datetime(2020, 5, 1, 14, 30, 0, tzinfo=timezone.utc)
strategy.lock_pair(pair, lock_time)
# Lock is in the past ...
assert not strategy.is_pair_locked(pair)
# latest candle is from 14:20, lock goes to 14:30
assert strategy.is_pair_locked(pair, lock_time + timedelta(minutes=-10))
assert strategy.is_pair_locked(pair, lock_time + timedelta(minutes=-50))
# latest candle is from 14:25 (lock should be lifted)
# Since this is the "new candle" available at 14:30
assert not strategy.is_pair_locked(pair, lock_time + timedelta(minutes=-4))
# Should not be locked after time expired
assert not strategy.is_pair_locked(pair, lock_time + timedelta(minutes=10))
# Change timeframe to 15m
strategy.timeframe = '15m'
# Candle from 14:14 - lock goes until 14:30
assert strategy.is_pair_locked(pair, lock_time + timedelta(minutes=-16))
assert strategy.is_pair_locked(pair, lock_time + timedelta(minutes=-15, seconds=-2))
# Candle from 14:15 - lock goes until 14:30
assert not strategy.is_pair_locked(pair, lock_time + timedelta(minutes=-15))
def test_is_informative_pairs_callback(default_conf):
default_conf.update({'strategy': 'TestStrategyLegacy'})