Add tests for fill methods

freqtrade/exchange/exchange.py

@@ -608,22 +608,24 @@ class Exchange:
         """
         if self.exchange_has('fetchL2OrderBook'):
             ob = self.fetch_l2_order_book(pair, 20)
-            book_entry_type = 'asks' if side == 'buy' else 'bids'
+            ob_type = 'asks' if side == 'buy' else 'bids'
 
             remaining_amount = amount
             filled_amount = 0
-            for book_entry in ob[book_entry_type]:
+            for book_entry in ob[ob_type]:
                 book_entry_price = book_entry[0]
                 book_entry_coin_volume = book_entry[1]
-                book_entry_ref_currency_volume = book_entry_price * book_entry_coin_volume
                 if remaining_amount > 0:
-                    if remaining_amount < book_entry_ref_currency_volume:
+                    if remaining_amount < book_entry_coin_volume:
                         filled_amount += remaining_amount * book_entry_price
                     else:
-                        filled_amount += book_entry_ref_currency_volume * book_entry_price
-                    remaining_amount -= book_entry_ref_currency_volume
+                        filled_amount += book_entry_coin_volume * book_entry_price
+                    remaining_amount -= book_entry_coin_volume
                 else:
                     break
+            else:
+                # If remaining_amount wasn't consumed completely (break was not called)
+                filled_amount += remaining_amount * book_entry_price
             forecast_avg_filled_price = filled_amount / amount
             return self.price_to_precision(pair, forecast_avg_filled_price)
 

tests/conftest.py

@@ -1087,6 +1087,40 @@ def order_book_l2():
     })
 
 
+@pytest.fixture
+def order_book_l2_usd():
+    return MagicMock(return_value={
+        'symbol': 'LTC/USDT',
+        'bids': [
+            [25.563, 49.269],
+            [25.562, 83.0],
+            [25.56, 106.0],
+            [25.559, 15.381],
+            [25.558, 29.299],
+            [25.557, 34.624],
+            [25.556, 10.0],
+            [25.555, 14.684],
+            [25.554, 45.91],
+            [25.553, 50.0]
+        ],
+        'asks': [
+            [25.566, 14.27],
+            [25.567, 48.484],
+            [25.568, 92.349],
+            [25.572, 31.48],
+            [25.573, 23.0],
+            [25.574, 20.0],
+            [25.575, 89.606],
+            [25.576, 262.016],
+            [25.577, 178.557],
+            [25.578, 78.614]
+            ],
+        'timestamp': None,
+        'datetime': None,
+        'nonce': 2372149736
+    })
+
+
 @pytest.fixture
 def ohlcv_history_list():
     return [

tests/exchange/test_exchange.py

@@ -947,6 +947,70 @@ def test_create_dry_run_order(default_conf, mocker, side, exchange_name):
     assert order["symbol"] == "ETH/BTC"
 
 
+@pytest.mark.parametrize("side,startprice,endprice", [
+    ("buy", 25.563, 25.566),
+    ("sell", 25.566, 25.563)
+])
+@pytest.mark.parametrize("exchange_name", EXCHANGES)
+def test_create_dry_run_order_limit_fill(default_conf, mocker, side, startprice, endprice,
+                                         exchange_name, order_book_l2_usd):
+    default_conf['dry_run'] = True
+    exchange = get_patched_exchange(mocker, default_conf, id=exchange_name)
+    mocker.patch.multiple('freqtrade.exchange.Exchange',
+                          exchange_has=MagicMock(return_value=True),
+                          fetch_l2_order_book=order_book_l2_usd,
+                          )
+
+    order = exchange.create_dry_run_order(
+        pair='LTC/USDT', ordertype='limit', side=side, amount=1, rate=startprice)
+    assert 'id' in order
+    assert f'dry_run_{side}_' in order["id"]
+    assert order["side"] == side
+    assert order["type"] == "limit"
+    assert order["symbol"] == "LTC/USDT"
+
+    order_closed = exchange.fetch_dry_run_order(order['id'])
+    assert order_book_l2_usd.call_count == 1
+    assert order_closed['status'] == 'open'
+    assert not order['fee']
+
+    order_book_l2_usd.reset_mock()
+    order_closed['price'] = endprice
+
+    order_closed = exchange.fetch_dry_run_order(order['id'])
+    assert order_closed['status'] == 'closed'
+    assert order['fee']
+
+
+@pytest.mark.parametrize("side,amount,endprice", [
+    ("buy", 1, 25.566),
+    ("buy", 100, 25.5672),  # Requires interpolation
+    ("buy", 1000, 25.575),  # More than orderbook return
+    ("sell", 1, 25.563),
+    ("sell", 100, 25.5625),  # Requires interpolation
+    ("sell", 1000, 25.5555),  # More than orderbook return
+])
+@pytest.mark.parametrize("exchange_name", EXCHANGES)
+def test_create_dry_run_order_market_fill(default_conf, mocker, side, amount, endprice,
+                                          exchange_name, order_book_l2_usd):
+    default_conf['dry_run'] = True
+    exchange = get_patched_exchange(mocker, default_conf, id=exchange_name)
+    mocker.patch.multiple('freqtrade.exchange.Exchange',
+                          exchange_has=MagicMock(return_value=True),
+                          fetch_l2_order_book=order_book_l2_usd,
+                          )
+
+    order = exchange.create_dry_run_order(
+        pair='LTC/USDT', ordertype='market', side=side, amount=amount, rate=25.5)
+    assert 'id' in order
+    assert f'dry_run_{side}_' in order["id"]
+    assert order["side"] == side
+    assert order["type"] == "market"
+    assert order["symbol"] == "LTC/USDT"
+    assert order['status'] == 'closed'
+    assert round(order["average"], 4) == round(endprice, 4)
+
+
 @pytest.mark.parametrize("side", [
     ("buy"),
     ("sell")