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Add tests for fill methods

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Matthias
2021-06-04 06:44:51 +02:00
parent 1e988c97ad
commit db03a24109
3 changed files with 106 additions and 6 deletions
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14
freqtrade/exchange/exchange.py
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@@ -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)