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merged order book

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This commit is contained in:
Gert Wohlgemuth
2018-06-12 09:46:23 -07:00
parent 9438e75b0a e35c041081
commit cb934327d5
65 changed files with 1366 additions and 961 deletions
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75
freqtrade/tests/optimize/test_backtesting.py
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@@ -13,7 +13,7 @@ from arrow import Arrow
from freqtrade import optimize
from freqtrade.analyze import Analyze
from freqtrade.arguments import Arguments
from freqtrade.arguments import Arguments, TimeRange
from freqtrade.optimize.backtesting import Backtesting, start, setup_configuration
from freqtrade.tests.conftest import log_has
@@ -30,7 +30,7 @@ def trim_dictlist(dict_list, num):
def load_data_test(what):
timerange = ((None, 'line'), None, -100)
timerange = TimeRange(None, 'line', 0, -101)
data = optimize.load_data(None, ticker_interval='1m',
pairs=['UNITTEST/BTC'], timerange=timerange)
pair = data['UNITTEST/BTC']
@@ -112,14 +112,14 @@ def mocked_load_data(datadir, pairs=[], ticker_interval='0m', refresh_pairs=Fals
# use for mock freqtrade.exchange.get_ticker_history'
def _load_pair_as_ticks(pair, tickfreq):
ticks = optimize.load_data(None, ticker_interval=tickfreq, pairs=[pair])
ticks = trim_dictlist(ticks, -200)
ticks = trim_dictlist(ticks, -201)
return ticks[pair]
# FIX: fixturize this?
def _make_backtest_conf(mocker, conf=None, pair='UNITTEST/BTC', record=None):
data = optimize.load_data(None, ticker_interval='8m', pairs=[pair])
data = trim_dictlist(data, -200)
data = trim_dictlist(data, -201)
mocker.patch('freqtrade.exchange.validate_pairs', MagicMock(return_value=True))
backtesting = Backtesting(conf)
return {
@@ -183,7 +183,7 @@ def test_setup_configuration_without_arguments(mocker, default_conf, caplog) ->
assert 'pair_whitelist' in config['exchange']
assert 'datadir' in config
assert log_has(
'Parameter --datadir detected: {} ...'.format(config['datadir']),
'Using data folder: {} ...'.format(config['datadir']),
caplog.record_tuples
)
assert 'ticker_interval' in config
@@ -220,7 +220,8 @@ def test_setup_configuration_with_arguments(mocker, default_conf, caplog) -> Non
'--realistic-simulation',
'--refresh-pairs-cached',
'--timerange', ':100',
'--export', '/bar/foo'
'--export', '/bar/foo',
'--export-filename', 'foo_bar.json'
]
config = setup_configuration(get_args(args))
@@ -231,7 +232,7 @@ def test_setup_configuration_with_arguments(mocker, default_conf, caplog) -> Non
assert 'pair_whitelist' in config['exchange']
assert 'datadir' in config
assert log_has(
'Parameter --datadir detected: {} ...'.format(config['datadir']),
'Using data folder: {} ...'.format(config['datadir']),
caplog.record_tuples
)
assert 'ticker_interval' in config
@@ -261,6 +262,11 @@ def test_setup_configuration_with_arguments(mocker, default_conf, caplog) -> Non
'Parameter --export detected: {} ...'.format(config['export']),
caplog.record_tuples
)
assert 'exportfilename' in config
assert log_has(
'Storing backtest results to {} ...'.format(config['exportfilename']),
caplog.record_tuples
)
def test_start(mocker, fee, default_conf, caplog) -> None:
@@ -288,23 +294,6 @@ def test_start(mocker, fee, default_conf, caplog) -> None:
assert start_mock.call_count == 1
def test_backtesting__init__(mocker, default_conf) -> None:
"""
Test Backtesting.__init__() method
"""
init_mock = MagicMock()
mocker.patch('freqtrade.optimize.backtesting.Backtesting._init', init_mock)
backtesting = Backtesting(default_conf)
assert backtesting.config == default_conf
assert backtesting.analyze is None
assert backtesting.ticker_interval is None
assert backtesting.tickerdata_to_dataframe is None
assert backtesting.populate_buy_trend is None
assert backtesting.populate_sell_trend is None
assert init_mock.call_count == 1
def test_backtesting_init(mocker, default_conf) -> None:
"""
Test Backtesting._init() method
@@ -324,13 +313,13 @@ def test_tickerdata_to_dataframe(default_conf, mocker) -> None:
Test Backtesting.tickerdata_to_dataframe() method
"""
mocker.patch('freqtrade.exchange.validate_pairs', MagicMock(return_value=True))
timerange = ((None, 'line'), None, -100)
timerange = TimeRange(None, 'line', 0, -100)
tick = optimize.load_tickerdata_file(None, 'UNITTEST/BTC', '1m', timerange=timerange)
tickerlist = {'UNITTEST/BTC': tick}
backtesting = Backtesting(default_conf)
data = backtesting.tickerdata_to_dataframe(tickerlist)
assert len(data['UNITTEST/BTC']) == 100
assert len(data['UNITTEST/BTC']) == 99
# Load Analyze to compare the result between Backtesting function and Analyze are the same
analyze = Analyze(default_conf)
@@ -354,7 +343,7 @@ def test_get_timeframe(default_conf, mocker) -> None:
)
min_date, max_date = backtesting.get_timeframe(data)
assert min_date.isoformat() == '2017-11-04T23:02:00+00:00'
assert max_date.isoformat() == '2017-11-14T22:59:00+00:00'
assert max_date.isoformat() == '2017-11-14T22:58:00+00:00'
def test_generate_text_table(default_conf, mocker):
@@ -376,16 +365,15 @@ def test_generate_text_table(default_conf, mocker):
)
result_str = (
'pair buy count avg profit % '
'total profit BTC avg duration profit loss\n'
'------- ----------- -------------- '
'------------------ -------------- -------- ------\n'
'ETH/BTC 2 15.00 '
'0.60000000 20.0 2 0\n'
'TOTAL 2 15.00 '
'0.60000000 20.0 2 0'
'| pair | buy count | avg profit % | '
'total profit BTC | avg duration | profit | loss |\n'
'|:--------|------------:|---------------:|'
'-------------------:|---------------:|---------:|-------:|\n'
'| ETH/BTC | 2 | 15.00 | '
'0.60000000 | 20.0 | 2 | 0 |\n'
'| TOTAL | 2 | 15.00 | '
'0.60000000 | 20.0 | 2 | 0 |'
)
assert backtesting._generate_text_table(data={'ETH/BTC': {}}, results=results) == result_str
@@ -492,7 +480,7 @@ def test_processed(default_conf, mocker) -> None:
def test_backtest_pricecontours(default_conf, fee, mocker) -> None:
mocker.patch('freqtrade.optimize.backtesting.exchange.get_fee', fee)
tests = [['raise', 17], ['lower', 0], ['sine', 17]]
tests = [['raise', 17], ['lower', 0], ['sine', 16]]
for [contour, numres] in tests:
simple_backtest(default_conf, contour, numres, mocker)
@@ -620,10 +608,12 @@ def test_backtest_start_live(default_conf, mocker, caplog):
args = [
'--config', 'config.json',
'--strategy', 'DefaultStrategy',
'--datadir', 'freqtrade/tests/testdata',
'backtesting',
'--ticker-interval', '1m',
'--live',
'--timerange', '-100'
'--timerange', '-100',
'--realistic-simulation'
]
args = get_args(args)
start(args)
@@ -633,13 +623,14 @@ def test_backtest_start_live(default_conf, mocker, caplog):
'Using ticker_interval: 1m ...',
'Parameter -l/--live detected ...',
'Using max_open_trades: 1 ...',
'Parameter --timerange detected: -100 ..',
'Parameter --datadir detected: freqtrade/tests/testdata ...',
'Parameter --timerange detected: -100 ...',
'Using data folder: freqtrade/tests/testdata ...',
'Using stake_currency: BTC ...',
'Using stake_amount: 0.001 ...',
'Downloading data for all pairs in whitelist ...',
'Measuring data from 2017-11-14T19:32:00+00:00 up to 2017-11-14T22:59:00+00:00 (0 days)..'
'Measuring data from 2017-11-14T19:31:00+00:00 up to 2017-11-14T22:58:00+00:00 (0 days)..',
'Parameter --realistic-simulation detected ...'
]
for line in exists:
log_has(line, caplog.record_tuples)
assert log_has(line, caplog.record_tuples)