adelorenzo/stable
1
0
Fork 0
Code Issues Pull Requests Packages Projects Releases Wiki Activity

Unfilled order timeouts - now using timestamps from exchange

Browse Source
This commit is contained in:
Stephen Dade
2018-01-05 01:39:01 +11:00
parent c60ef181dc
commit d4fcc38a57
3 changed files with 136 additions and 153 deletions
Download Patch File Download Diff File Expand all files Collapse all files

48
freqtrade/tests/conftest.py
View File

@@ -3,6 +3,7 @@ from datetime import datetime
from unittest.mock import MagicMock
import pytest
import arrow
from jsonschema import validate
from telegram import Message, Chat, Update
@@ -123,11 +124,50 @@ def limit_buy_order():
'id': 'mocked_limit_buy',
'type': 'LIMIT_BUY',
'pair': 'mocked',
'opened': datetime.utcnow(),
'opened': arrow.utcnow().datetime,
'rate': 0.00001099,
'amount': 90.99181073,
'remaining': 0.0,
'closed': datetime.utcnow(),
'closed': arrow.utcnow().datetime,
}
@pytest.fixture
def limit_buy_order_old():
return {
'id': 'mocked_limit_buy_old',
'type': 'LIMIT_BUY',
'pair': 'BTC_ETH',
'opened': arrow.utcnow().shift(minutes=-601).datetime,
'rate': 0.00001099,
'amount': 90.99181073,
'remaining': 90.99181073,
}
@pytest.fixture
def limit_sell_order_old():
return {
'id': 'mocked_limit_sell_old',
'type': 'LIMIT_SELL',
'pair': 'BTC_ETH',
'opened': arrow.utcnow().shift(minutes=-601).datetime,
'rate': 0.00001099,
'amount': 90.99181073,
'remaining': 90.99181073,
}
@pytest.fixture
def limit_buy_order_old_partial():
return {
'id': 'mocked_limit_buy_old_partial',
'type': 'LIMIT_BUY',
'pair': 'BTC_ETH',
'opened': arrow.utcnow().shift(minutes=-601).datetime,
'rate': 0.00001099,
'amount': 90.99181073,
'remaining': 67.99181073,
}
@@ -137,11 +177,11 @@ def limit_sell_order():
'id': 'mocked_limit_sell',
'type': 'LIMIT_SELL',
'pair': 'mocked',
'opened': datetime.utcnow(),
'opened': arrow.utcnow().datetime,
'rate': 0.00001173,
'amount': 90.99181073,
'remaining': 0.0,
'closed': datetime.utcnow(),
'closed': arrow.utcnow().datetime,
}

158
freqtrade/tests/test_main.py
View File

@@ -5,7 +5,7 @@ from unittest.mock import MagicMock
import pytest
import requests
import logging
from datetime import timedelta, datetime
import arrow
from sqlalchemy import create_engine
from freqtrade import DependencyException, OperationalException
@@ -17,7 +17,7 @@ from freqtrade.misc import get_state, State
from freqtrade.persistence import Trade
def test_process_trade_creation(default_conf, ticker, health, mocker):
def test_process_trade_creation(default_conf, ticker, limit_buy_order, health, mocker):
mocker.patch.dict('freqtrade.main._CONF', default_conf)
mocker.patch.multiple('freqtrade.rpc', init=MagicMock(), send_msg=MagicMock())
mocker.patch('freqtrade.main.get_signal', side_effect=lambda s, t: True)
@@ -25,7 +25,8 @@ def test_process_trade_creation(default_conf, ticker, health, mocker):
validate_pairs=MagicMock(),
get_ticker=ticker,
get_wallet_health=health,
buy=MagicMock(return_value='mocked_limit_buy'))
buy=MagicMock(return_value='mocked_limit_buy'),
get_order=MagicMock(return_value=limit_buy_order))
init(default_conf, create_engine('sqlite://'))
trades = Trade.query.filter(Trade.is_open.is_(True)).all()
@@ -319,161 +320,104 @@ def test_close_trade(default_conf, ticker, limit_buy_order, limit_sell_order, mo
handle_trade(trade)
def test_check_handle_timedout(default_conf, ticker, health, mocker):
def test_check_handle_timedout_buy(default_conf, ticker, health, limit_buy_order_old, mocker):
mocker.patch.dict('freqtrade.main._CONF', default_conf)
cancel_order_mock = MagicMock()
mocker.patch.multiple('freqtrade.rpc', init=MagicMock(), send_msg=MagicMock())
mocker.patch.multiple('freqtrade.main.exchange',
validate_pairs=MagicMock(),
get_ticker=ticker,
get_order=MagicMock(return_value={
'closed': None,
'type': 'LIMIT_BUY',
'remaining': 1.0,
'amount': 1.0,
}),
get_order=MagicMock(return_value=limit_buy_order_old),
cancel_order=cancel_order_mock)
init(default_conf, create_engine('sqlite://'))
tradeBuy = Trade(
pair='BTC_ETH',
open_rate=1,
open_rate=0.00001099,
exchange='BITTREX',
open_order_id='123456789',
amount=1,
amount=90.99181073,
fee=0.0,
stake_amount=1,
open_date=datetime.utcnow(),
is_open=True
)
tradeSell = Trade(
pair='BTC_BCC',
open_rate=1,
exchange='BITTREX',
open_order_id='678901234',
amount=1,
fee=0.0,
stake_amount=1,
open_date=datetime.utcnow(),
close_date=datetime.utcnow(),
open_date=arrow.utcnow().shift(minutes=-601).datetime,
is_open=True
)
Trade.session.add(tradeBuy)
Trade.session.add(tradeSell)
# check it doesn't cancel any buy trades under the time limit
ret = check_handle_timedout(tradeBuy)
assert ret is False
assert cancel_order_mock.call_count == 0
trades = Trade.query.filter(Trade.open_order_id.is_(tradeBuy.open_order_id)).all()
assert len(trades) == 1
# change the trade open datetime to 601 minutes in the past
tradeBuy.open_date = datetime.utcnow() - timedelta(minutes=601)
# check it does cancel buy orders over the time limit
ret = check_handle_timedout(tradeBuy)
assert ret is True
check_handle_timedout(600)
assert cancel_order_mock.call_count == 1
trades = Trade.query.filter(Trade.open_order_id.is_(tradeBuy.open_order_id)).all()
assert len(trades) == 0
# check it doesn't cancel any sell trades under the time limit
ret = check_handle_timedout(tradeSell)
assert ret is False
assert cancel_order_mock.call_count == 1
assert tradeSell.is_open is True
# change the trade close datetime to 601 minutes in the past
tradeSell.close_date = datetime.utcnow() - timedelta(minutes=601)
# check it does cancel sell orders over the time limit
ret = check_handle_timedout(tradeSell)
assert ret is True
assert cancel_order_mock.call_count == 2
assert tradeSell.is_open is True
def test_check_handle_timedout_partial(default_conf, ticker, health, mocker):
def test_check_handle_timedout_sell(default_conf, ticker, health, limit_sell_order_old, mocker):
mocker.patch.dict('freqtrade.main._CONF', default_conf)
cancel_order_mock = MagicMock()
mocker.patch.multiple('freqtrade.rpc', init=MagicMock(), send_msg=MagicMock())
mocker.patch.multiple('freqtrade.main.exchange',
validate_pairs=MagicMock(),
get_ticker=ticker,
get_order=MagicMock(return_value={
'closed': None,
'type': 'LIMIT_BUY',
'remaining': 0.5,
'amount': 1.0,
}),
get_order=MagicMock(return_value=limit_sell_order_old),
cancel_order=cancel_order_mock)
init(default_conf, create_engine('sqlite://'))
tradeSell = Trade(
pair='BTC_ETH',
open_rate=0.00001099,
exchange='BITTREX',
open_order_id='123456789',
amount=90.99181073,
fee=0.0,
stake_amount=1,
open_date=arrow.utcnow().shift(hours=-5).datetime,
close_date=arrow.utcnow().shift(minutes=-601).datetime,
is_open=False
)
Trade.session.add(tradeSell)
# check it does cancel sell orders over the time limit
check_handle_timedout(600)
assert cancel_order_mock.call_count == 1
assert tradeSell.is_open is True
def test_check_handle_timedout_partial(default_conf, ticker, limit_buy_order_old_partial,
health, mocker):
mocker.patch.dict('freqtrade.main._CONF', default_conf)
cancel_order_mock = MagicMock()
mocker.patch.multiple('freqtrade.rpc', init=MagicMock(), send_msg=MagicMock())
mocker.patch.multiple('freqtrade.main.exchange',
validate_pairs=MagicMock(),
get_ticker=ticker,
get_order=MagicMock(return_value=limit_buy_order_old_partial),
cancel_order=cancel_order_mock)
init(default_conf, create_engine('sqlite://'))
tradeBuy = Trade(
pair='BTC_ETH',
open_rate=1,
open_rate=0.00001099,
exchange='BITTREX',
open_order_id='123456789',
amount=1,
amount=90.99181073,
fee=0.0,
stake_amount=1,
open_date=datetime.utcnow(),
is_open=True
)
tradeSell = Trade(
pair='BTC_BCC',
open_rate=1,
exchange='BITTREX',
open_order_id='678901234',
amount=1,
fee=0.0,
stake_amount=1,
open_date=datetime.utcnow(),
close_date=datetime.utcnow(),
open_date=arrow.utcnow().shift(minutes=-601).datetime,
is_open=True
)
Trade.session.add(tradeBuy)
Trade.session.add(tradeSell)
# check it doesn't cancel any buy trades under the time limit
ret = check_handle_timedout(tradeBuy)
assert ret is False
assert cancel_order_mock.call_count == 0
trades = Trade.query.filter(Trade.open_order_id.is_(tradeBuy.open_order_id)).all()
assert len(trades) == 1
# change the trade open datetime to 601 minutes in the past
tradeBuy.open_date = datetime.utcnow() - timedelta(minutes=601)
# check it does cancel buy orders over the time limit
# note this is for a partially-complete buy order
ret = check_handle_timedout(tradeBuy)
assert ret is True
check_handle_timedout(600)
assert cancel_order_mock.call_count == 1
trades = Trade.query.filter(Trade.open_order_id.is_(tradeBuy.open_order_id)).all()
assert len(trades) == 1
assert trades[0].amount == 0.5
assert trades[0].stake_amount == 0.5
# check it doesn't cancel any sell trades under the time limit
ret = check_handle_timedout(tradeSell)
assert ret is False
assert cancel_order_mock.call_count == 1
assert tradeSell.is_open is True
# change the trade close datetime to 601 minutes in the past
tradeSell.close_date = datetime.utcnow() - timedelta(minutes=601)
# check it does not cancel partially-complete sell orders over the time limit
ret = check_handle_timedout(tradeSell)
assert ret is False
assert cancel_order_mock.call_count == 1
assert tradeSell.open_order_id is not None
assert trades[0].amount == 23.0
assert trades[0].stake_amount == tradeBuy.open_rate * trades[0].amount
def test_balance_fully_ask_side(mocker):