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மனோஜ்குமார் பழனிச்சாமி
2022-05-03 19:59:23 +05:30
parent 342f1e725a 65ab6d2468
commit cb0e3dbcba
145 changed files with 7072 additions and 5772 deletions
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104
tests/exchange/test_binance.py
View File

@@ -169,90 +169,90 @@ def test_fill_leverage_tiers_binance(default_conf, mocker):
'ADA/BUSD': [
{
"tier": 1,
"notionalFloor": 0,
"notionalCap": 100000,
"minNotional": 0,
"maxNotional": 100000,
"maintenanceMarginRate": 0.025,
"maxLeverage": 20,
"info": {
"bracket": "1",
"initialLeverage": "20",
"notionalCap": "100000",
"notionalFloor": "0",
"maxNotional": "100000",
"minNotional": "0",
"maintMarginRatio": "0.025",
"cum": "0.0"
}
},
{
"tier": 2,
"notionalFloor": 100000,
"notionalCap": 500000,
"minNotional": 100000,
"maxNotional": 500000,
"maintenanceMarginRate": 0.05,
"maxLeverage": 10,
"info": {
"bracket": "2",
"initialLeverage": "10",
"notionalCap": "500000",
"notionalFloor": "100000",
"maxNotional": "500000",
"minNotional": "100000",
"maintMarginRatio": "0.05",
"cum": "2500.0"
}
},
{
"tier": 3,
"notionalFloor": 500000,
"notionalCap": 1000000,
"minNotional": 500000,
"maxNotional": 1000000,
"maintenanceMarginRate": 0.1,
"maxLeverage": 5,
"info": {
"bracket": "3",
"initialLeverage": "5",
"notionalCap": "1000000",
"notionalFloor": "500000",
"maxNotional": "1000000",
"minNotional": "500000",
"maintMarginRatio": "0.1",
"cum": "27500.0"
}
},
{
"tier": 4,
"notionalFloor": 1000000,
"notionalCap": 2000000,
"minNotional": 1000000,
"maxNotional": 2000000,
"maintenanceMarginRate": 0.15,
"maxLeverage": 3,
"info": {
"bracket": "4",
"initialLeverage": "3",
"notionalCap": "2000000",
"notionalFloor": "1000000",
"maxNotional": "2000000",
"minNotional": "1000000",
"maintMarginRatio": "0.15",
"cum": "77500.0"
}
},
{
"tier": 5,
"notionalFloor": 2000000,
"notionalCap": 5000000,
"minNotional": 2000000,
"maxNotional": 5000000,
"maintenanceMarginRate": 0.25,
"maxLeverage": 2,
"info": {
"bracket": "5",
"initialLeverage": "2",
"notionalCap": "5000000",
"notionalFloor": "2000000",
"maxNotional": "5000000",
"minNotional": "2000000",
"maintMarginRatio": "0.25",
"cum": "277500.0"
}
},
{
"tier": 6,
"notionalFloor": 5000000,
"notionalCap": 30000000,
"minNotional": 5000000,
"maxNotional": 30000000,
"maintenanceMarginRate": 0.5,
"maxLeverage": 1,
"info": {
"bracket": "6",
"initialLeverage": "1",
"notionalCap": "30000000",
"notionalFloor": "5000000",
"maxNotional": "30000000",
"minNotional": "5000000",
"maintMarginRatio": "0.5",
"cum": "1527500.0"
}
@@ -261,105 +261,105 @@ def test_fill_leverage_tiers_binance(default_conf, mocker):
"ZEC/USDT": [
{
"tier": 1,
"notionalFloor": 0,
"notionalCap": 50000,
"minNotional": 0,
"maxNotional": 50000,
"maintenanceMarginRate": 0.01,
"maxLeverage": 50,
"info": {
"bracket": "1",
"initialLeverage": "50",
"notionalCap": "50000",
"notionalFloor": "0",
"maxNotional": "50000",
"minNotional": "0",
"maintMarginRatio": "0.01",
"cum": "0.0"
}
},
{
"tier": 2,
"notionalFloor": 50000,
"notionalCap": 150000,
"minNotional": 50000,
"maxNotional": 150000,
"maintenanceMarginRate": 0.025,
"maxLeverage": 20,
"info": {
"bracket": "2",
"initialLeverage": "20",
"notionalCap": "150000",
"notionalFloor": "50000",
"maxNotional": "150000",
"minNotional": "50000",
"maintMarginRatio": "0.025",
"cum": "750.0"
}
},
{
"tier": 3,
"notionalFloor": 150000,
"notionalCap": 250000,
"minNotional": 150000,
"maxNotional": 250000,
"maintenanceMarginRate": 0.05,
"maxLeverage": 10,
"info": {
"bracket": "3",
"initialLeverage": "10",
"notionalCap": "250000",
"notionalFloor": "150000",
"maxNotional": "250000",
"minNotional": "150000",
"maintMarginRatio": "0.05",
"cum": "4500.0"
}
},
{
"tier": 4,
"notionalFloor": 250000,
"notionalCap": 500000,
"minNotional": 250000,
"maxNotional": 500000,
"maintenanceMarginRate": 0.1,
"maxLeverage": 5,
"info": {
"bracket": "4",
"initialLeverage": "5",
"notionalCap": "500000",
"notionalFloor": "250000",
"maxNotional": "500000",
"minNotional": "250000",
"maintMarginRatio": "0.1",
"cum": "17000.0"
}
},
{
"tier": 5,
"notionalFloor": 500000,
"notionalCap": 1000000,
"minNotional": 500000,
"maxNotional": 1000000,
"maintenanceMarginRate": 0.125,
"maxLeverage": 4,
"info": {
"bracket": "5",
"initialLeverage": "4",
"notionalCap": "1000000",
"notionalFloor": "500000",
"maxNotional": "1000000",
"minNotional": "500000",
"maintMarginRatio": "0.125",
"cum": "29500.0"
}
},
{
"tier": 6,
"notionalFloor": 1000000,
"notionalCap": 2000000,
"minNotional": 1000000,
"maxNotional": 2000000,
"maintenanceMarginRate": 0.25,
"maxLeverage": 2,
"info": {
"bracket": "6",
"initialLeverage": "2",
"notionalCap": "2000000",
"notionalFloor": "1000000",
"maxNotional": "2000000",
"minNotional": "1000000",
"maintMarginRatio": "0.25",
"cum": "154500.0"
}
},
{
"tier": 7,
"notionalFloor": 2000000,
"notionalCap": 30000000,
"minNotional": 2000000,
"maxNotional": 30000000,
"maintenanceMarginRate": 0.5,
"maxLeverage": 1,
"info": {
"bracket": "7",
"initialLeverage": "1",
"notionalCap": "30000000",
"notionalFloor": "2000000",
"maxNotional": "30000000",
"minNotional": "2000000",
"maintMarginRatio": "0.5",
"cum": "654500.0"
}

16
tests/exchange/test_ccxt_compat.py
View File

@@ -369,25 +369,25 @@ class TestCCXTExchange():
pair_tiers = leverage_tiers[futures_pair]
assert len(pair_tiers) > 0
oldLeverage = float('inf')
oldMaintenanceMarginRate = oldNotionalFloor = oldNotionalCap = -1
oldMaintenanceMarginRate = oldminNotional = oldmaxNotional = -1
for tier in pair_tiers:
for key in [
'maintenanceMarginRate',
'notionalFloor',
'notionalCap',
'minNotional',
'maxNotional',
'maxLeverage'
]:
assert key in tier
assert tier[key] >= 0.0
assert tier['notionalCap'] > tier['notionalFloor']
assert tier['maxNotional'] > tier['minNotional']
assert tier['maxLeverage'] <= oldLeverage
assert tier['maintenanceMarginRate'] >= oldMaintenanceMarginRate
assert tier['notionalFloor'] > oldNotionalFloor
assert tier['notionalCap'] > oldNotionalCap
assert tier['minNotional'] > oldminNotional
assert tier['maxNotional'] > oldmaxNotional
oldLeverage = tier['maxLeverage']
oldMaintenanceMarginRate = tier['maintenanceMarginRate']
oldNotionalFloor = tier['notionalFloor']
oldNotionalCap = tier['notionalCap']
oldminNotional = tier['minNotional']
oldmaxNotional = tier['maxNotional']
def test_ccxt_dry_run_liquidation_price(self, exchange_futures):
futures, futures_name = exchange_futures

79
tests/exchange/test_exchange.py
View File

@@ -282,6 +282,10 @@ def test_validate_order_time_in_force(default_conf, mocker, caplog):
(2.34559, 2, 3, 1, 2.345, 'spot'),
(2.9999, 2, 3, 1, 2.999, 'spot'),
(2.9909, 2, 3, 1, 2.990, 'spot'),
(2.9909, 2, 0, 1, 2, 'spot'),
(29991.5555, 2, 0, 1, 29991, 'spot'),
(29991.5555, 2, -1, 1, 29990, 'spot'),
(29991.5555, 2, -2, 1, 29900, 'spot'),
# Tests for Tick-size
(2.34559, 4, 0.0001, 1, 2.3455, 'spot'),
(2.34559, 4, 0.00001, 1, 2.34559, 'spot'),
@@ -433,11 +437,11 @@ def test__get_stake_amount_limit(mocker, default_conf) -> None:
)
# min
result = exchange.get_min_pair_stake_amount('ETH/BTC', 1, stoploss)
expected_result = 2 * (1+0.05) / (1-abs(stoploss))
expected_result = 2 * (1 + 0.05) / (1 - abs(stoploss))
assert isclose(result, expected_result)
# With Leverage
result = exchange.get_min_pair_stake_amount('ETH/BTC', 1, stoploss, 3.0)
assert isclose(result, expected_result/3)
assert isclose(result, expected_result / 3)
# max
result = exchange.get_max_pair_stake_amount('ETH/BTC', 2)
assert result == 10000
@@ -452,11 +456,11 @@ def test__get_stake_amount_limit(mocker, default_conf) -> None:
PropertyMock(return_value=markets)
)
result = exchange.get_min_pair_stake_amount('ETH/BTC', 2, stoploss)
expected_result = 2 * 2 * (1+0.05) / (1-abs(stoploss))
expected_result = 2 * 2 * (1 + 0.05) / (1 - abs(stoploss))
assert isclose(result, expected_result)
# With Leverage
result = exchange.get_min_pair_stake_amount('ETH/BTC', 2, stoploss, 5.0)
assert isclose(result, expected_result/5)
assert isclose(result, expected_result / 5)
# max
result = exchange.get_max_pair_stake_amount('ETH/BTC', 2)
assert result == 20000
@@ -471,11 +475,11 @@ def test__get_stake_amount_limit(mocker, default_conf) -> None:
PropertyMock(return_value=markets)
)
result = exchange.get_min_pair_stake_amount('ETH/BTC', 2, stoploss)
expected_result = max(2, 2 * 2) * (1+0.05) / (1-abs(stoploss))
expected_result = max(2, 2 * 2) * (1 + 0.05) / (1 - abs(stoploss))
assert isclose(result, expected_result)
# With Leverage
result = exchange.get_min_pair_stake_amount('ETH/BTC', 2, stoploss, 10)
assert isclose(result, expected_result/10)
assert isclose(result, expected_result / 10)
# min amount and cost are set (amount is minial)
markets["ETH/BTC"]["limits"] = {
@@ -487,11 +491,11 @@ def test__get_stake_amount_limit(mocker, default_conf) -> None:
PropertyMock(return_value=markets)
)
result = exchange.get_min_pair_stake_amount('ETH/BTC', 2, stoploss)
expected_result = max(8, 2 * 2) * (1+0.05) / (1-abs(stoploss))
expected_result = max(8, 2 * 2) * (1 + 0.05) / (1 - abs(stoploss))
assert isclose(result, expected_result)
# With Leverage
result = exchange.get_min_pair_stake_amount('ETH/BTC', 2, stoploss, 7.0)
assert isclose(result, expected_result/7.0)
assert isclose(result, expected_result / 7.0)
# Max
result = exchange.get_max_pair_stake_amount('ETH/BTC', 2)
assert result == 1000
@@ -501,7 +505,7 @@ def test__get_stake_amount_limit(mocker, default_conf) -> None:
assert isclose(result, expected_result)
# With Leverage
result = exchange.get_min_pair_stake_amount('ETH/BTC', 2, -0.4, 8.0)
assert isclose(result, expected_result/8.0)
assert isclose(result, expected_result / 8.0)
# Max
result = exchange.get_max_pair_stake_amount('ETH/BTC', 2)
assert result == 1000
@@ -512,7 +516,7 @@ def test__get_stake_amount_limit(mocker, default_conf) -> None:
assert isclose(result, expected_result)
# With Leverage
result = exchange.get_min_pair_stake_amount('ETH/BTC', 2, -1, 12.0)
assert isclose(result, expected_result/12)
assert isclose(result, expected_result / 12)
# Max
result = exchange.get_max_pair_stake_amount('ETH/BTC', 2)
assert result == 1000
@@ -540,7 +544,7 @@ def test__get_stake_amount_limit(mocker, default_conf) -> None:
)
# With Leverage, Contract size 10
result = exchange.get_min_pair_stake_amount('ETH/BTC', 2, -1, 12.0)
assert isclose(result, (expected_result/12) * 10.0)
assert isclose(result, (expected_result / 12) * 10.0)
# Max
result = exchange.get_max_pair_stake_amount('ETH/BTC', 2)
assert result == 10000
@@ -561,7 +565,7 @@ def test_get_min_pair_stake_amount_real_data(mocker, default_conf) -> None:
PropertyMock(return_value=markets)
)
result = exchange.get_min_pair_stake_amount('ETH/BTC', 0.020405, stoploss)
expected_result = max(0.0001, 0.001 * 0.020405) * (1+0.05) / (1-abs(stoploss))
expected_result = max(0.0001, 0.001 * 0.020405) * (1 + 0.05) / (1 - abs(stoploss))
assert round(result, 8) == round(expected_result, 8)
# Max
result = exchange.get_max_pair_stake_amount('ETH/BTC', 2.0)
@@ -569,12 +573,12 @@ def test_get_min_pair_stake_amount_real_data(mocker, default_conf) -> None:
# Leverage
result = exchange.get_min_pair_stake_amount('ETH/BTC', 0.020405, stoploss, 3.0)
assert round(result, 8) == round(expected_result/3, 8)
assert round(result, 8) == round(expected_result / 3, 8)
# Contract_size
markets["ETH/BTC"]["contractSize"] = 0.1
result = exchange.get_min_pair_stake_amount('ETH/BTC', 0.020405, stoploss, 3.0)
assert round(result, 8) == round((expected_result/3), 8)
assert round(result, 8) == round((expected_result / 3), 8)
# Max
result = exchange.get_max_pair_stake_amount('ETH/BTC', 12.0)
@@ -956,7 +960,7 @@ def test_validate_timeframes_emulated_ohlcv_1(default_conf, mocker):
mocker.patch('freqtrade.exchange.Exchange.validate_stakecurrency')
with pytest.raises(OperationalException,
match=r'The ccxt library does not provide the list of timeframes '
r'for the exchange ".*" and this exchange '
r'for the exchange .* and this exchange '
r'is therefore not supported. *'):
Exchange(default_conf)
@@ -977,7 +981,7 @@ def test_validate_timeframes_emulated_ohlcvi_2(default_conf, mocker):
mocker.patch('freqtrade.exchange.Exchange.validate_stakecurrency')
with pytest.raises(OperationalException,
match=r'The ccxt library does not provide the list of timeframes '
r'for the exchange ".*" and this exchange '
r'for the exchange .* and this exchange '
r'is therefore not supported. *'):
Exchange(default_conf)
@@ -2030,6 +2034,20 @@ async def test__async_get_historic_ohlcv(default_conf, mocker, caplog, exchange_
assert exchange._api_async.fetch_ohlcv.call_count > 200
assert res[0] == ohlcv[0]
exchange._api_async.fetch_ohlcv.reset_mock()
end_ts = 1_500_500_000_000
start_ts = 1_500_000_000_000
respair, restf, _, res = await exchange._async_get_historic_ohlcv(
pair, "5m", since_ms=start_ts, candle_type=candle_type, is_new_pair=False,
until_ms=end_ts
)
# Required candles
candles = (end_ts - start_ts) / 300_000
exp = candles // exchange.ohlcv_candle_limit('5m') + 1
# Depending on the exchange, this should be called between 1 and 6 times.
assert exchange._api_async.fetch_ohlcv.call_count == exp
@pytest.mark.parametrize('candle_type', [CandleType.FUTURES, CandleType.MARK, CandleType.SPOT])
def test_refresh_latest_ohlcv(mocker, default_conf, caplog, candle_type) -> None:
@@ -2766,9 +2784,10 @@ async def test__async_get_trade_history_time(default_conf, mocker, caplog, excha
# Monkey-patch async function
exchange._api_async.fetch_trades = MagicMock(side_effect=mock_get_trade_hist)
pair = 'ETH/BTC'
ret = await exchange._async_get_trade_history_time(pair,
since=fetch_trades_result[0]['timestamp'],
until=fetch_trades_result[-1]['timestamp']-1)
ret = await exchange._async_get_trade_history_time(
pair,
since=fetch_trades_result[0]['timestamp'],
until=fetch_trades_result[-1]['timestamp'] - 1)
assert type(ret) is tuple
assert ret[0] == pair
assert type(ret[1]) is list
@@ -2804,7 +2823,7 @@ async def test__async_get_trade_history_time_empty(default_conf, mocker, caplog,
exchange._async_fetch_trades = MagicMock(side_effect=mock_get_trade_hist)
pair = 'ETH/BTC'
ret = await exchange._async_get_trade_history_time(pair, since=trades_history[0][0],
until=trades_history[-1][0]-1)
until=trades_history[-1][0] - 1)
assert type(ret) is tuple
assert ret[0] == pair
assert type(ret[1]) is list
@@ -4577,8 +4596,8 @@ def test_load_leverage_tiers(mocker, default_conf, leverage_tiers, exchange_name
'ADA/USDT:USDT': [
{
'tier': 1,
'notionalFloor': 0,
'notionalCap': 500,
'minNotional': 0,
'maxNotional': 500,
'maintenanceMarginRate': 0.02,
'maxLeverage': 75,
'info': {
@@ -4618,8 +4637,8 @@ def test_load_leverage_tiers(mocker, default_conf, leverage_tiers, exchange_name
'ADA/USDT:USDT': [
{
'tier': 1,
'notionalFloor': 0,
'notionalCap': 500,
'minNotional': 0,
'maxNotional': 500,
'maintenanceMarginRate': 0.02,
'maxLeverage': 75,
'info': {
@@ -4654,15 +4673,15 @@ def test_parse_leverage_tier(mocker, default_conf):
tier = {
"tier": 1,
"notionalFloor": 0,
"notionalCap": 100000,
"minNotional": 0,
"maxNotional": 100000,
"maintenanceMarginRate": 0.025,
"maxLeverage": 20,
"info": {
"bracket": "1",
"initialLeverage": "20",
"notionalCap": "100000",
"notionalFloor": "0",
"maxNotional": "100000",
"minNotional": "0",
"maintMarginRatio": "0.025",
"cum": "0.0"
}
@@ -4678,8 +4697,8 @@ def test_parse_leverage_tier(mocker, default_conf):
tier2 = {
'tier': 1,
'notionalFloor': 0,
'notionalCap': 2000,
'minNotional': 0,
'maxNotional': 2000,
'maintenanceMarginRate': 0.01,
'maxLeverage': 75,
'info': {

48
tests/exchange/test_okx.py
View File

@@ -19,8 +19,8 @@ def test_get_maintenance_ratio_and_amt_okx(
'ETH/USDT:USDT': [
{
'tier': 1,
'notionalFloor': 0,
'notionalCap': 2000,
'minNotional': 0,
'maxNotional': 2000,
'maintenanceMarginRate': 0.01,
'maxLeverage': 75,
'info': {
@@ -39,8 +39,8 @@ def test_get_maintenance_ratio_and_amt_okx(
},
{
'tier': 2,
'notionalFloor': 2001,
'notionalCap': 4000,
'minNotional': 2001,
'maxNotional': 4000,
'maintenanceMarginRate': 0.015,
'maxLeverage': 50,
'info': {
@@ -59,8 +59,8 @@ def test_get_maintenance_ratio_and_amt_okx(
},
{
'tier': 3,
'notionalFloor': 4001,
'notionalCap': 8000,
'minNotional': 4001,
'maxNotional': 8000,
'maintenanceMarginRate': 0.02,
'maxLeverage': 20,
'info': {
@@ -81,8 +81,8 @@ def test_get_maintenance_ratio_and_amt_okx(
'ADA/USDT:USDT': [
{
'tier': 1,
'notionalFloor': 0,
'notionalCap': 500,
'minNotional': 0,
'maxNotional': 500,
'maintenanceMarginRate': 0.02,
'maxLeverage': 75,
'info': {
@@ -101,8 +101,8 @@ def test_get_maintenance_ratio_and_amt_okx(
},
{
'tier': 2,
'notionalFloor': 501,
'notionalCap': 1000,
'minNotional': 501,
'maxNotional': 1000,
'maintenanceMarginRate': 0.025,
'maxLeverage': 50,
'info': {
@@ -121,8 +121,8 @@ def test_get_maintenance_ratio_and_amt_okx(
},
{
'tier': 3,
'notionalFloor': 1001,
'notionalCap': 2000,
'minNotional': 1001,
'maxNotional': 2000,
'maintenanceMarginRate': 0.03,
'maxLeverage': 20,
'info': {
@@ -180,8 +180,8 @@ def test_load_leverage_tiers_okx(default_conf, mocker, markets):
[
{
'tier': 1,
'notionalFloor': 0,
'notionalCap': 500,
'minNotional': 0,
'maxNotional': 500,
'maintenanceMarginRate': 0.02,
'maxLeverage': 75,
'info': {
@@ -200,8 +200,8 @@ def test_load_leverage_tiers_okx(default_conf, mocker, markets):
},
{
'tier': 2,
'notionalFloor': 501,
'notionalCap': 1000,
'minNotional': 501,
'maxNotional': 1000,
'maintenanceMarginRate': 0.025,
'maxLeverage': 50,
'info': {
@@ -220,8 +220,8 @@ def test_load_leverage_tiers_okx(default_conf, mocker, markets):
},
{
'tier': 3,
'notionalFloor': 1001,
'notionalCap': 2000,
'minNotional': 1001,
'maxNotional': 2000,
'maintenanceMarginRate': 0.03,
'maxLeverage': 20,
'info': {
@@ -242,8 +242,8 @@ def test_load_leverage_tiers_okx(default_conf, mocker, markets):
[
{
'tier': 1,
'notionalFloor': 0,
'notionalCap': 2000,
'minNotional': 0,
'maxNotional': 2000,
'maintenanceMarginRate': 0.01,
'maxLeverage': 75,
'info': {
@@ -262,8 +262,8 @@ def test_load_leverage_tiers_okx(default_conf, mocker, markets):
},
{
'tier': 2,
'notionalFloor': 2001,
'notionalCap': 4000,
'minNotional': 2001,
'maxNotional': 4000,
'maintenanceMarginRate': 0.015,
'maxLeverage': 50,
'info': {
@@ -282,8 +282,8 @@ def test_load_leverage_tiers_okx(default_conf, mocker, markets):
},
{
'tier': 3,
'notionalFloor': 4001,
'notionalCap': 8000,
'minNotional': 4001,
'maxNotional': 8000,
'maintenanceMarginRate': 0.02,
'maxLeverage': 20,
'info': {