Merge branch 'develop' into freqai_feature_engineering_functions
This commit is contained in:
Wagner Costa
commit
ed2b1b1ed1
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|
@ -147,15 +147,20 @@ jobs:
|
||||||
- name: Installation - macOS
|
- name: Installation - macOS
|
||||||
if: runner.os == 'macOS'
|
if: runner.os == 'macOS'
|
||||||
run: |
|
run: |
|
||||||
# homebrew fails to update python 3.9.1 to 3.9.1.1 due to unlinking failure
|
brew update
|
||||||
|
# homebrew fails to update python due to unlinking failures
|
||||||
|
# https://github.com/actions/runner-images/issues/6817
|
||||||
rm /usr/local/bin/2to3 || true
|
rm /usr/local/bin/2to3 || true
|
||||||
# homebrew fails to update python from 3.9 to 3.10 due to another unlinking failure
|
rm /usr/local/bin/2to3-3.11 || true
|
||||||
rm /usr/local/bin/idle3 || true
|
rm /usr/local/bin/idle3 || true
|
||||||
|
rm /usr/local/bin/idle3.11 || true
|
||||||
rm /usr/local/bin/pydoc3 || true
|
rm /usr/local/bin/pydoc3 || true
|
||||||
|
rm /usr/local/bin/pydoc3.11 || true
|
||||||
rm /usr/local/bin/python3 || true
|
rm /usr/local/bin/python3 || true
|
||||||
|
rm /usr/local/bin/python3.11 || true
|
||||||
rm /usr/local/bin/python3-config || true
|
rm /usr/local/bin/python3-config || true
|
||||||
# Ignore brew update failures - https://github.com/actions/runner-images/issues/6817
|
rm /usr/local/bin/python3.11-config || true
|
||||||
brew update || true
|
|
||||||
brew install hdf5 c-blosc
|
brew install hdf5 c-blosc
|
||||||
python -m pip install --upgrade pip wheel
|
python -m pip install --upgrade pip wheel
|
||||||
export LD_LIBRARY_PATH=${HOME}/dependencies/lib:$LD_LIBRARY_PATH
|
export LD_LIBRARY_PATH=${HOME}/dependencies/lib:$LD_LIBRARY_PATH
|
||||||
|
|
|
||||||
|
|
@ -15,7 +15,7 @@ repos:
|
||||||
additional_dependencies:
|
additional_dependencies:
|
||||||
- types-cachetools==5.2.1
|
- types-cachetools==5.2.1
|
||||||
- types-filelock==3.2.7
|
- types-filelock==3.2.7
|
||||||
- types-requests==2.28.11.5
|
- types-requests==2.28.11.7
|
||||||
- types-tabulate==0.9.0.0
|
- types-tabulate==0.9.0.0
|
||||||
- types-python-dateutil==2.8.19.5
|
- types-python-dateutil==2.8.19.5
|
||||||
# stages: [push]
|
# stages: [push]
|
||||||
|
|
|
||||||
|
|
@ -1,6 +1,7 @@
|
||||||
# 
|
# 
|
||||||
|
|
||||||
[](https://github.com/freqtrade/freqtrade/actions/)
|
[](https://github.com/freqtrade/freqtrade/actions/)
|
||||||
|
[](https://doi.org/10.21105/joss.04864)
|
||||||
[](https://coveralls.io/github/freqtrade/freqtrade?branch=develop)
|
[](https://coveralls.io/github/freqtrade/freqtrade?branch=develop)
|
||||||
[](https://www.freqtrade.io)
|
[](https://www.freqtrade.io)
|
||||||
[](https://codeclimate.com/github/freqtrade/freqtrade/maintainability)
|
[](https://codeclimate.com/github/freqtrade/freqtrade/maintainability)
|
||||||
|
|
|
||||||
|
|
@ -300,7 +300,11 @@ A backtesting result will look like that:
|
||||||
| Absolute profit | 0.00762792 BTC |
|
| Absolute profit | 0.00762792 BTC |
|
||||||
| Total profit % | 76.2% |
|
| Total profit % | 76.2% |
|
||||||
| CAGR % | 460.87% |
|
| CAGR % | 460.87% |
|
||||||
|
| Sortino | 1.88 |
|
||||||
|
| Sharpe | 2.97 |
|
||||||
|
| Calmar | 6.29 |
|
||||||
| Profit factor | 1.11 |
|
| Profit factor | 1.11 |
|
||||||
|
| Expectancy | -0.15 |
|
||||||
| Avg. stake amount | 0.001 BTC |
|
| Avg. stake amount | 0.001 BTC |
|
||||||
| Total trade volume | 0.429 BTC |
|
| Total trade volume | 0.429 BTC |
|
||||||
| | |
|
| | |
|
||||||
|
|
@ -400,7 +404,11 @@ It contains some useful key metrics about performance of your strategy on backte
|
||||||
| Absolute profit | 0.00762792 BTC |
|
| Absolute profit | 0.00762792 BTC |
|
||||||
| Total profit % | 76.2% |
|
| Total profit % | 76.2% |
|
||||||
| CAGR % | 460.87% |
|
| CAGR % | 460.87% |
|
||||||
|
| Sortino | 1.88 |
|
||||||
|
| Sharpe | 2.97 |
|
||||||
|
| Calmar | 6.29 |
|
||||||
| Profit factor | 1.11 |
|
| Profit factor | 1.11 |
|
||||||
|
| Expectancy | -0.15 |
|
||||||
| Avg. stake amount | 0.001 BTC |
|
| Avg. stake amount | 0.001 BTC |
|
||||||
| Total trade volume | 0.429 BTC |
|
| Total trade volume | 0.429 BTC |
|
||||||
| | |
|
| | |
|
||||||
|
|
@ -447,6 +455,9 @@ It contains some useful key metrics about performance of your strategy on backte
|
||||||
- `Absolute profit`: Profit made in stake currency.
|
- `Absolute profit`: Profit made in stake currency.
|
||||||
- `Total profit %`: Total profit. Aligned to the `TOTAL` row's `Tot Profit %` from the first table. Calculated as `(End capital − Starting capital) / Starting capital`.
|
- `Total profit %`: Total profit. Aligned to the `TOTAL` row's `Tot Profit %` from the first table. Calculated as `(End capital − Starting capital) / Starting capital`.
|
||||||
- `CAGR %`: Compound annual growth rate.
|
- `CAGR %`: Compound annual growth rate.
|
||||||
|
- `Sortino`: Annualized Sortino ratio.
|
||||||
|
- `Sharpe`: Annualized Sharpe ratio.
|
||||||
|
- `Calmar`: Annualized Calmar ratio.
|
||||||
- `Profit factor`: profit / loss.
|
- `Profit factor`: profit / loss.
|
||||||
- `Avg. stake amount`: Average stake amount, either `stake_amount` or the average when using dynamic stake amount.
|
- `Avg. stake amount`: Average stake amount, either `stake_amount` or the average when using dynamic stake amount.
|
||||||
- `Total trade volume`: Volume generated on the exchange to reach the above profit.
|
- `Total trade volume`: Volume generated on the exchange to reach the above profit.
|
||||||
|
|
|
||||||
|
|
@ -15,7 +15,7 @@ Mandatory parameters are marked as **Required** and have to be set in one of the
|
||||||
| `identifier` | **Required.** <br> A unique ID for the current model. If models are saved to disk, the `identifier` allows for reloading specific pre-trained models/data. <br> **Datatype:** String.
|
| `identifier` | **Required.** <br> A unique ID for the current model. If models are saved to disk, the `identifier` allows for reloading specific pre-trained models/data. <br> **Datatype:** String.
|
||||||
| `live_retrain_hours` | Frequency of retraining during dry/live runs. <br> **Datatype:** Float > 0. <br> Default: `0` (models retrain as often as possible).
|
| `live_retrain_hours` | Frequency of retraining during dry/live runs. <br> **Datatype:** Float > 0. <br> Default: `0` (models retrain as often as possible).
|
||||||
| `expiration_hours` | Avoid making predictions if a model is more than `expiration_hours` old. <br> **Datatype:** Positive integer. <br> Default: `0` (models never expire).
|
| `expiration_hours` | Avoid making predictions if a model is more than `expiration_hours` old. <br> **Datatype:** Positive integer. <br> Default: `0` (models never expire).
|
||||||
| `purge_old_models` | Delete obsolete models. <br> **Datatype:** Boolean. <br> Default: `False` (all historic models remain on disk).
|
| `purge_old_models` | Delete all unused models during live runs (not relevant to backtesting). If set to false (not default), dry/live runs will accumulate all unused models to disk. If <br> **Datatype:** Boolean. <br> Default: `True`.
|
||||||
| `save_backtest_models` | Save models to disk when running backtesting. Backtesting operates most efficiently by saving the prediction data and reusing them directly for subsequent runs (when you wish to tune entry/exit parameters). Saving backtesting models to disk also allows to use the same model files for starting a dry/live instance with the same model `identifier`. <br> **Datatype:** Boolean. <br> Default: `False` (no models are saved).
|
| `save_backtest_models` | Save models to disk when running backtesting. Backtesting operates most efficiently by saving the prediction data and reusing them directly for subsequent runs (when you wish to tune entry/exit parameters). Saving backtesting models to disk also allows to use the same model files for starting a dry/live instance with the same model `identifier`. <br> **Datatype:** Boolean. <br> Default: `False` (no models are saved).
|
||||||
| `fit_live_predictions_candles` | Number of historical candles to use for computing target (label) statistics from prediction data, instead of from the training dataset (more information can be found [here](freqai-configuration.md#creating-a-dynamic-target-threshold)). <br> **Datatype:** Positive integer.
|
| `fit_live_predictions_candles` | Number of historical candles to use for computing target (label) statistics from prediction data, instead of from the training dataset (more information can be found [here](freqai-configuration.md#creating-a-dynamic-target-threshold)). <br> **Datatype:** Positive integer.
|
||||||
| `follow_mode` | Use a `follower` that will look for models associated with a specific `identifier` and load those for inferencing. A `follower` will **not** train new models. <br> **Datatype:** Boolean. <br> Default: `False`.
|
| `follow_mode` | Use a `follower` that will look for models associated with a specific `identifier` and load those for inferencing. A `follower` will **not** train new models. <br> **Datatype:** Boolean. <br> Default: `False`.
|
||||||
|
|
|
||||||
|
|
@ -365,7 +365,7 @@ class MyAwesomeStrategy(IStrategy):
|
||||||
timeframe = '15m'
|
timeframe = '15m'
|
||||||
minimal_roi = {
|
minimal_roi = {
|
||||||
"0": 0.10
|
"0": 0.10
|
||||||
},
|
}
|
||||||
# Define the parameter spaces
|
# Define the parameter spaces
|
||||||
buy_ema_short = IntParameter(3, 50, default=5)
|
buy_ema_short = IntParameter(3, 50, default=5)
|
||||||
buy_ema_long = IntParameter(15, 200, default=50)
|
buy_ema_long = IntParameter(15, 200, default=50)
|
||||||
|
|
@ -400,7 +400,7 @@ class MyAwesomeStrategy(IStrategy):
|
||||||
return dataframe
|
return dataframe
|
||||||
|
|
||||||
def populate_exit_trend(self, dataframe: DataFrame, metadata: dict) -> DataFrame:
|
def populate_exit_trend(self, dataframe: DataFrame, metadata: dict) -> DataFrame:
|
||||||
conditions = []
|
conditions = []
|
||||||
conditions.append(qtpylib.crossed_above(
|
conditions.append(qtpylib.crossed_above(
|
||||||
dataframe[f'ema_long_{self.buy_ema_long.value}'], dataframe[f'ema_short_{self.buy_ema_short.value}']
|
dataframe[f'ema_long_{self.buy_ema_long.value}'], dataframe[f'ema_short_{self.buy_ema_short.value}']
|
||||||
))
|
))
|
||||||
|
|
|
||||||
|
|
@ -1,6 +1,7 @@
|
||||||
|
|
||||||
|
|
||||||
[](https://github.com/freqtrade/freqtrade/actions/)
|
[](https://github.com/freqtrade/freqtrade/actions/)
|
||||||
|
[](https://doi.org/10.21105/joss.04864)
|
||||||
[](https://coveralls.io/github/freqtrade/freqtrade?branch=develop)
|
[](https://coveralls.io/github/freqtrade/freqtrade?branch=develop)
|
||||||
[](https://codeclimate.com/github/freqtrade/freqtrade/maintainability)
|
[](https://codeclimate.com/github/freqtrade/freqtrade/maintainability)
|
||||||
|
|
||||||
|
|
|
||||||
|
|
@ -92,6 +92,8 @@ One account is used to share collateral between markets (trading pairs). Margin
|
||||||
"margin_mode": "cross"
|
"margin_mode": "cross"
|
||||||
```
|
```
|
||||||
|
|
||||||
|
Please read the [exchange specific notes](exchanges.md) for exchanges that support this mode and how they differ.
|
||||||
|
|
||||||
## Set leverage to use
|
## Set leverage to use
|
||||||
|
|
||||||
Different strategies and risk profiles will require different levels of leverage.
|
Different strategies and risk profiles will require different levels of leverage.
|
||||||
|
|
|
||||||
|
|
@ -11,9 +11,6 @@
|
||||||
{% endif %}
|
{% endif %}
|
||||||
<div class="md-sidebar md-sidebar--primary" data-md-component="sidebar" data-md-type="navigation" {{ hidden }}>
|
<div class="md-sidebar md-sidebar--primary" data-md-component="sidebar" data-md-type="navigation" {{ hidden }}>
|
||||||
<div class="md-sidebar__scrollwrap">
|
<div class="md-sidebar__scrollwrap">
|
||||||
<div id="widget-wrapper">
|
|
||||||
|
|
||||||
</div>
|
|
||||||
<div class="md-sidebar__inner">
|
<div class="md-sidebar__inner">
|
||||||
{% include "partials/nav.html" %}
|
{% include "partials/nav.html" %}
|
||||||
</div>
|
</div>
|
||||||
|
|
@ -44,25 +41,4 @@
|
||||||
<script src="https://code.jquery.com/jquery-3.4.1.min.js"
|
<script src="https://code.jquery.com/jquery-3.4.1.min.js"
|
||||||
integrity="sha256-CSXorXvZcTkaix6Yvo6HppcZGetbYMGWSFlBw8HfCJo=" crossorigin="anonymous"></script>
|
integrity="sha256-CSXorXvZcTkaix6Yvo6HppcZGetbYMGWSFlBw8HfCJo=" crossorigin="anonymous"></script>
|
||||||
|
|
||||||
<!-- Load binance SDK -->
|
|
||||||
<script async defer src="https://public.bnbstatic.com/static/js/broker-sdk/broker-sdk@1.0.0.min.js"></script>
|
|
||||||
|
|
||||||
<script>
|
|
||||||
window.onload = function () {
|
|
||||||
var sidebar = document.getElementById('widget-wrapper')
|
|
||||||
var newDiv = document.createElement("div");
|
|
||||||
newDiv.id = "widget";
|
|
||||||
try {
|
|
||||||
sidebar.prepend(newDiv);
|
|
||||||
|
|
||||||
window.binanceBrokerPortalSdk.initBrokerSDK('#widget', {
|
|
||||||
apiHost: 'https://www.binance.com',
|
|
||||||
brokerId: 'R4BD3S82',
|
|
||||||
slideTime: 4e4,
|
|
||||||
});
|
|
||||||
} catch(err) {
|
|
||||||
console.log(err)
|
|
||||||
}
|
|
||||||
}
|
|
||||||
</script>
|
|
||||||
{% endblock %}
|
{% endblock %}
|
||||||
|
|
|
||||||
|
|
@ -11,18 +11,3 @@
|
||||||
.rst-versions .rst-other-versions {
|
.rst-versions .rst-other-versions {
|
||||||
color: white;
|
color: white;
|
||||||
}
|
}
|
||||||
|
|
||||||
|
|
||||||
#widget-wrapper {
|
|
||||||
height: calc(220px * 0.5625 + 18px);
|
|
||||||
width: 220px;
|
|
||||||
margin: 0 auto 16px auto;
|
|
||||||
border-style: solid;
|
|
||||||
border-color: var(--md-code-bg-color);
|
|
||||||
border-width: 1px;
|
|
||||||
border-radius: 5px;
|
|
||||||
}
|
|
||||||
|
|
||||||
@media screen and (max-width: calc(76.25em - 1px)) {
|
|
||||||
#widget-wrapper { display: none; }
|
|
||||||
}
|
|
||||||
|
|
|
||||||
|
|
@ -1,5 +1,5 @@
|
||||||
""" Freqtrade bot """
|
""" Freqtrade bot """
|
||||||
__version__ = '2022.12.dev'
|
__version__ = '2023.1.dev'
|
||||||
|
|
||||||
if 'dev' in __version__:
|
if 'dev' in __version__:
|
||||||
try:
|
try:
|
||||||
|
|
|
||||||
|
|
@ -20,8 +20,8 @@ from freqtrade.persistence import LocalTrade, Trade, init_db
|
||||||
logger = logging.getLogger(__name__)
|
logger = logging.getLogger(__name__)
|
||||||
|
|
||||||
# Newest format
|
# Newest format
|
||||||
BT_DATA_COLUMNS = ['pair', 'stake_amount', 'amount', 'open_date', 'close_date',
|
BT_DATA_COLUMNS = ['pair', 'stake_amount', 'max_stake_amount', 'amount',
|
||||||
'open_rate', 'close_rate',
|
'open_date', 'close_date', 'open_rate', 'close_rate',
|
||||||
'fee_open', 'fee_close', 'trade_duration',
|
'fee_open', 'fee_close', 'trade_duration',
|
||||||
'profit_ratio', 'profit_abs', 'exit_reason',
|
'profit_ratio', 'profit_abs', 'exit_reason',
|
||||||
'initial_stop_loss_abs', 'initial_stop_loss_ratio', 'stop_loss_abs',
|
'initial_stop_loss_abs', 'initial_stop_loss_ratio', 'stop_loss_abs',
|
||||||
|
|
@ -241,6 +241,33 @@ def find_existing_backtest_stats(dirname: Union[Path, str], run_ids: Dict[str, s
|
||||||
return results
|
return results
|
||||||
|
|
||||||
|
|
||||||
|
def _load_backtest_data_df_compatibility(df: pd.DataFrame) -> pd.DataFrame:
|
||||||
|
"""
|
||||||
|
Compatibility support for older backtest data.
|
||||||
|
"""
|
||||||
|
df['open_date'] = pd.to_datetime(df['open_date'],
|
||||||
|
utc=True,
|
||||||
|
infer_datetime_format=True
|
||||||
|
)
|
||||||
|
df['close_date'] = pd.to_datetime(df['close_date'],
|
||||||
|
utc=True,
|
||||||
|
infer_datetime_format=True
|
||||||
|
)
|
||||||
|
# Compatibility support for pre short Columns
|
||||||
|
if 'is_short' not in df.columns:
|
||||||
|
df['is_short'] = False
|
||||||
|
if 'leverage' not in df.columns:
|
||||||
|
df['leverage'] = 1.0
|
||||||
|
if 'enter_tag' not in df.columns:
|
||||||
|
df['enter_tag'] = df['buy_tag']
|
||||||
|
df = df.drop(['buy_tag'], axis=1)
|
||||||
|
if 'max_stake_amount' not in df.columns:
|
||||||
|
df['max_stake_amount'] = df['stake_amount']
|
||||||
|
if 'orders' not in df.columns:
|
||||||
|
df['orders'] = None
|
||||||
|
return df
|
||||||
|
|
||||||
|
|
||||||
def load_backtest_data(filename: Union[Path, str], strategy: Optional[str] = None) -> pd.DataFrame:
|
def load_backtest_data(filename: Union[Path, str], strategy: Optional[str] = None) -> pd.DataFrame:
|
||||||
"""
|
"""
|
||||||
Load backtest data file.
|
Load backtest data file.
|
||||||
|
|
@ -269,24 +296,7 @@ def load_backtest_data(filename: Union[Path, str], strategy: Optional[str] = Non
|
||||||
data = data['strategy'][strategy]['trades']
|
data = data['strategy'][strategy]['trades']
|
||||||
df = pd.DataFrame(data)
|
df = pd.DataFrame(data)
|
||||||
if not df.empty:
|
if not df.empty:
|
||||||
df['open_date'] = pd.to_datetime(df['open_date'],
|
df = _load_backtest_data_df_compatibility(df)
|
||||||
utc=True,
|
|
||||||
infer_datetime_format=True
|
|
||||||
)
|
|
||||||
df['close_date'] = pd.to_datetime(df['close_date'],
|
|
||||||
utc=True,
|
|
||||||
infer_datetime_format=True
|
|
||||||
)
|
|
||||||
# Compatibility support for pre short Columns
|
|
||||||
if 'is_short' not in df.columns:
|
|
||||||
df['is_short'] = 0
|
|
||||||
if 'leverage' not in df.columns:
|
|
||||||
df['leverage'] = 1.0
|
|
||||||
if 'enter_tag' not in df.columns:
|
|
||||||
df['enter_tag'] = df['buy_tag']
|
|
||||||
df = df.drop(['buy_tag'], axis=1)
|
|
||||||
if 'orders' not in df.columns:
|
|
||||||
df['orders'] = None
|
|
||||||
|
|
||||||
else:
|
else:
|
||||||
# old format - only with lists.
|
# old format - only with lists.
|
||||||
|
|
|
||||||
|
|
@ -1,4 +1,6 @@
|
||||||
import logging
|
import logging
|
||||||
|
import math
|
||||||
|
from datetime import datetime
|
||||||
from typing import Dict, Tuple
|
from typing import Dict, Tuple
|
||||||
|
|
||||||
import numpy as np
|
import numpy as np
|
||||||
|
|
@ -190,3 +192,119 @@ def calculate_cagr(days_passed: int, starting_balance: float, final_balance: flo
|
||||||
:return: CAGR
|
:return: CAGR
|
||||||
"""
|
"""
|
||||||
return (final_balance / starting_balance) ** (1 / (days_passed / 365)) - 1
|
return (final_balance / starting_balance) ** (1 / (days_passed / 365)) - 1
|
||||||
|
|
||||||
|
|
||||||
|
def calculate_expectancy(trades: pd.DataFrame) -> float:
|
||||||
|
"""
|
||||||
|
Calculate expectancy
|
||||||
|
:param trades: DataFrame containing trades (requires columns close_date and profit_ratio)
|
||||||
|
:return: expectancy
|
||||||
|
"""
|
||||||
|
if len(trades) == 0:
|
||||||
|
return 0
|
||||||
|
|
||||||
|
expectancy = 1
|
||||||
|
|
||||||
|
profit_sum = trades.loc[trades['profit_abs'] > 0, 'profit_abs'].sum()
|
||||||
|
loss_sum = abs(trades.loc[trades['profit_abs'] < 0, 'profit_abs'].sum())
|
||||||
|
nb_win_trades = len(trades.loc[trades['profit_abs'] > 0])
|
||||||
|
nb_loss_trades = len(trades.loc[trades['profit_abs'] < 0])
|
||||||
|
|
||||||
|
if (nb_win_trades > 0) and (nb_loss_trades > 0):
|
||||||
|
average_win = profit_sum / nb_win_trades
|
||||||
|
average_loss = loss_sum / nb_loss_trades
|
||||||
|
risk_reward_ratio = average_win / average_loss
|
||||||
|
winrate = nb_win_trades / len(trades)
|
||||||
|
expectancy = ((1 + risk_reward_ratio) * winrate) - 1
|
||||||
|
elif nb_win_trades == 0:
|
||||||
|
expectancy = 0
|
||||||
|
|
||||||
|
return expectancy
|
||||||
|
|
||||||
|
|
||||||
|
def calculate_sortino(trades: pd.DataFrame, min_date: datetime, max_date: datetime,
|
||||||
|
starting_balance: float) -> float:
|
||||||
|
"""
|
||||||
|
Calculate sortino
|
||||||
|
:param trades: DataFrame containing trades (requires columns profit_abs)
|
||||||
|
:return: sortino
|
||||||
|
"""
|
||||||
|
if (len(trades) == 0) or (min_date is None) or (max_date is None) or (min_date == max_date):
|
||||||
|
return 0
|
||||||
|
|
||||||
|
total_profit = trades['profit_abs'] / starting_balance
|
||||||
|
days_period = max(1, (max_date - min_date).days)
|
||||||
|
|
||||||
|
expected_returns_mean = total_profit.sum() / days_period
|
||||||
|
|
||||||
|
down_stdev = np.std(trades.loc[trades['profit_abs'] < 0, 'profit_abs'] / starting_balance)
|
||||||
|
|
||||||
|
if down_stdev != 0:
|
||||||
|
sortino_ratio = expected_returns_mean / down_stdev * np.sqrt(365)
|
||||||
|
else:
|
||||||
|
# Define high (negative) sortino ratio to be clear that this is NOT optimal.
|
||||||
|
sortino_ratio = -100
|
||||||
|
|
||||||
|
# print(expected_returns_mean, down_stdev, sortino_ratio)
|
||||||
|
return sortino_ratio
|
||||||
|
|
||||||
|
|
||||||
|
def calculate_sharpe(trades: pd.DataFrame, min_date: datetime, max_date: datetime,
|
||||||
|
starting_balance: float) -> float:
|
||||||
|
"""
|
||||||
|
Calculate sharpe
|
||||||
|
:param trades: DataFrame containing trades (requires column profit_abs)
|
||||||
|
:return: sharpe
|
||||||
|
"""
|
||||||
|
if (len(trades) == 0) or (min_date is None) or (max_date is None) or (min_date == max_date):
|
||||||
|
return 0
|
||||||
|
|
||||||
|
total_profit = trades['profit_abs'] / starting_balance
|
||||||
|
days_period = max(1, (max_date - min_date).days)
|
||||||
|
|
||||||
|
expected_returns_mean = total_profit.sum() / days_period
|
||||||
|
up_stdev = np.std(total_profit)
|
||||||
|
|
||||||
|
if up_stdev != 0:
|
||||||
|
sharp_ratio = expected_returns_mean / up_stdev * np.sqrt(365)
|
||||||
|
else:
|
||||||
|
# Define high (negative) sharpe ratio to be clear that this is NOT optimal.
|
||||||
|
sharp_ratio = -100
|
||||||
|
|
||||||
|
# print(expected_returns_mean, up_stdev, sharp_ratio)
|
||||||
|
return sharp_ratio
|
||||||
|
|
||||||
|
|
||||||
|
def calculate_calmar(trades: pd.DataFrame, min_date: datetime, max_date: datetime,
|
||||||
|
starting_balance: float) -> float:
|
||||||
|
"""
|
||||||
|
Calculate calmar
|
||||||
|
:param trades: DataFrame containing trades (requires columns close_date and profit_abs)
|
||||||
|
:return: calmar
|
||||||
|
"""
|
||||||
|
if (len(trades) == 0) or (min_date is None) or (max_date is None) or (min_date == max_date):
|
||||||
|
return 0
|
||||||
|
|
||||||
|
total_profit = trades['profit_abs'].sum() / starting_balance
|
||||||
|
days_period = max(1, (max_date - min_date).days)
|
||||||
|
|
||||||
|
# adding slippage of 0.1% per trade
|
||||||
|
# total_profit = total_profit - 0.0005
|
||||||
|
expected_returns_mean = total_profit / days_period * 100
|
||||||
|
|
||||||
|
# calculate max drawdown
|
||||||
|
try:
|
||||||
|
_, _, _, _, _, max_drawdown = calculate_max_drawdown(
|
||||||
|
trades, value_col="profit_abs", starting_balance=starting_balance
|
||||||
|
)
|
||||||
|
except ValueError:
|
||||||
|
max_drawdown = 0
|
||||||
|
|
||||||
|
if max_drawdown != 0:
|
||||||
|
calmar_ratio = expected_returns_mean / max_drawdown * math.sqrt(365)
|
||||||
|
else:
|
||||||
|
# Define high (negative) calmar ratio to be clear that this is NOT optimal.
|
||||||
|
calmar_ratio = -100
|
||||||
|
|
||||||
|
# print(expected_returns_mean, max_drawdown, calmar_ratio)
|
||||||
|
return calmar_ratio
|
||||||
|
|
|
||||||
|
|
@ -31,7 +31,7 @@ class Binance(Exchange):
|
||||||
"ccxt_futures_name": "future"
|
"ccxt_futures_name": "future"
|
||||||
}
|
}
|
||||||
_ft_has_futures: Dict = {
|
_ft_has_futures: Dict = {
|
||||||
"stoploss_order_types": {"limit": "limit", "market": "market"},
|
"stoploss_order_types": {"limit": "stop", "market": "stop_market"},
|
||||||
"tickers_have_price": False,
|
"tickers_have_price": False,
|
||||||
}
|
}
|
||||||
|
|
||||||
|
|
|
||||||
|
|
@ -2035,8 +2035,8 @@ class Exchange:
|
||||||
# Fetch OHLCV asynchronously
|
# Fetch OHLCV asynchronously
|
||||||
s = '(' + arrow.get(since_ms // 1000).isoformat() + ') ' if since_ms is not None else ''
|
s = '(' + arrow.get(since_ms // 1000).isoformat() + ') ' if since_ms is not None else ''
|
||||||
logger.debug(
|
logger.debug(
|
||||||
"Fetching pair %s, interval %s, since %s %s...",
|
"Fetching pair %s, %s, interval %s, since %s %s...",
|
||||||
pair, timeframe, since_ms, s
|
pair, candle_type, timeframe, since_ms, s
|
||||||
)
|
)
|
||||||
params = deepcopy(self._ft_has.get('ohlcv_params', {}))
|
params = deepcopy(self._ft_has.get('ohlcv_params', {}))
|
||||||
candle_limit = self.ohlcv_candle_limit(
|
candle_limit = self.ohlcv_candle_limit(
|
||||||
|
|
@ -2050,11 +2050,12 @@ class Exchange:
|
||||||
limit=candle_limit, params=params)
|
limit=candle_limit, params=params)
|
||||||
else:
|
else:
|
||||||
# Funding rate
|
# Funding rate
|
||||||
data = await self._api_async.fetch_funding_rate_history(
|
data = await self._fetch_funding_rate_history(
|
||||||
pair, since=since_ms,
|
pair=pair,
|
||||||
limit=candle_limit)
|
timeframe=timeframe,
|
||||||
# Convert funding rate to candle pattern
|
limit=candle_limit,
|
||||||
data = [[x['timestamp'], x['fundingRate'], 0, 0, 0, 0] for x in data]
|
since_ms=since_ms,
|
||||||
|
)
|
||||||
# Some exchanges sort OHLCV in ASC order and others in DESC.
|
# Some exchanges sort OHLCV in ASC order and others in DESC.
|
||||||
# Ex: Bittrex returns the list of OHLCV in ASC order (oldest first, newest last)
|
# Ex: Bittrex returns the list of OHLCV in ASC order (oldest first, newest last)
|
||||||
# while GDAX returns the list of OHLCV in DESC order (newest first, oldest last)
|
# while GDAX returns the list of OHLCV in DESC order (newest first, oldest last)
|
||||||
|
|
@ -2082,6 +2083,24 @@ class Exchange:
|
||||||
raise OperationalException(f'Could not fetch historical candle (OHLCV) data '
|
raise OperationalException(f'Could not fetch historical candle (OHLCV) data '
|
||||||
f'for pair {pair}. Message: {e}') from e
|
f'for pair {pair}. Message: {e}') from e
|
||||||
|
|
||||||
|
async def _fetch_funding_rate_history(
|
||||||
|
self,
|
||||||
|
pair: str,
|
||||||
|
timeframe: str,
|
||||||
|
limit: int,
|
||||||
|
since_ms: Optional[int] = None,
|
||||||
|
) -> List[List]:
|
||||||
|
"""
|
||||||
|
Fetch funding rate history - used to selectively override this by subclasses.
|
||||||
|
"""
|
||||||
|
# Funding rate
|
||||||
|
data = await self._api_async.fetch_funding_rate_history(
|
||||||
|
pair, since=since_ms,
|
||||||
|
limit=limit)
|
||||||
|
# Convert funding rate to candle pattern
|
||||||
|
data = [[x['timestamp'], x['fundingRate'], 0, 0, 0, 0] for x in data]
|
||||||
|
return data
|
||||||
|
|
||||||
# Fetch historic trades
|
# Fetch historic trades
|
||||||
|
|
||||||
@retrier_async
|
@retrier_async
|
||||||
|
|
@ -2745,11 +2764,16 @@ class Exchange:
|
||||||
"""
|
"""
|
||||||
Important: Must be fetching data from cached values as this is used by backtesting!
|
Important: Must be fetching data from cached values as this is used by backtesting!
|
||||||
PERPETUAL:
|
PERPETUAL:
|
||||||
gateio: https://www.gate.io/help/futures/perpetual/22160/calculation-of-liquidation-price
|
gateio: https://www.gate.io/help/futures/futures/27724/liquidation-price-bankruptcy-price
|
||||||
|
> Liquidation Price = (Entry Price ± Margin / Contract Multiplier / Size) /
|
||||||
|
[ 1 ± (Maintenance Margin Ratio + Taker Rate)]
|
||||||
|
Wherein, "+" or "-" depends on whether the contract goes long or short:
|
||||||
|
"-" for long, and "+" for short.
|
||||||
|
|
||||||
okex: https://www.okex.com/support/hc/en-us/articles/
|
okex: https://www.okex.com/support/hc/en-us/articles/
|
||||||
360053909592-VI-Introduction-to-the-isolated-mode-of-Single-Multi-currency-Portfolio-margin
|
360053909592-VI-Introduction-to-the-isolated-mode-of-Single-Multi-currency-Portfolio-margin
|
||||||
|
|
||||||
:param exchange_name:
|
:param pair: Pair to calculate liquidation price for
|
||||||
:param open_rate: Entry price of position
|
:param open_rate: Entry price of position
|
||||||
:param is_short: True if the trade is a short, false otherwise
|
:param is_short: True if the trade is a short, false otherwise
|
||||||
:param amount: Absolute value of position size incl. leverage (in base currency)
|
:param amount: Absolute value of position size incl. leverage (in base currency)
|
||||||
|
|
@ -2789,7 +2813,7 @@ class Exchange:
|
||||||
def get_maintenance_ratio_and_amt(
|
def get_maintenance_ratio_and_amt(
|
||||||
self,
|
self,
|
||||||
pair: str,
|
pair: str,
|
||||||
nominal_value: float = 0.0,
|
nominal_value: float,
|
||||||
) -> Tuple[float, Optional[float]]:
|
) -> Tuple[float, Optional[float]]:
|
||||||
"""
|
"""
|
||||||
Important: Must be fetching data from cached values as this is used by backtesting!
|
Important: Must be fetching data from cached values as this is used by backtesting!
|
||||||
|
|
|
||||||
|
|
@ -9,8 +9,9 @@ from tabulate import tabulate
|
||||||
|
|
||||||
from freqtrade.constants import (DATETIME_PRINT_FORMAT, LAST_BT_RESULT_FN, UNLIMITED_STAKE_AMOUNT,
|
from freqtrade.constants import (DATETIME_PRINT_FORMAT, LAST_BT_RESULT_FN, UNLIMITED_STAKE_AMOUNT,
|
||||||
Config)
|
Config)
|
||||||
from freqtrade.data.metrics import (calculate_cagr, calculate_csum, calculate_market_change,
|
from freqtrade.data.metrics import (calculate_cagr, calculate_calmar, calculate_csum,
|
||||||
calculate_max_drawdown)
|
calculate_expectancy, calculate_market_change,
|
||||||
|
calculate_max_drawdown, calculate_sharpe, calculate_sortino)
|
||||||
from freqtrade.misc import decimals_per_coin, file_dump_joblib, file_dump_json, round_coin_value
|
from freqtrade.misc import decimals_per_coin, file_dump_joblib, file_dump_json, round_coin_value
|
||||||
from freqtrade.optimize.backtest_caching import get_backtest_metadata_filename
|
from freqtrade.optimize.backtest_caching import get_backtest_metadata_filename
|
||||||
|
|
||||||
|
|
@ -448,6 +449,10 @@ def generate_strategy_stats(pairlist: List[str],
|
||||||
'profit_total_long_abs': results.loc[~results['is_short'], 'profit_abs'].sum(),
|
'profit_total_long_abs': results.loc[~results['is_short'], 'profit_abs'].sum(),
|
||||||
'profit_total_short_abs': results.loc[results['is_short'], 'profit_abs'].sum(),
|
'profit_total_short_abs': results.loc[results['is_short'], 'profit_abs'].sum(),
|
||||||
'cagr': calculate_cagr(backtest_days, start_balance, content['final_balance']),
|
'cagr': calculate_cagr(backtest_days, start_balance, content['final_balance']),
|
||||||
|
'expectancy': calculate_expectancy(results),
|
||||||
|
'sortino': calculate_sortino(results, min_date, max_date, start_balance),
|
||||||
|
'sharpe': calculate_sharpe(results, min_date, max_date, start_balance),
|
||||||
|
'calmar': calculate_calmar(results, min_date, max_date, start_balance),
|
||||||
'profit_factor': profit_factor,
|
'profit_factor': profit_factor,
|
||||||
'backtest_start': min_date.strftime(DATETIME_PRINT_FORMAT),
|
'backtest_start': min_date.strftime(DATETIME_PRINT_FORMAT),
|
||||||
'backtest_start_ts': int(min_date.timestamp() * 1000),
|
'backtest_start_ts': int(min_date.timestamp() * 1000),
|
||||||
|
|
@ -785,8 +790,13 @@ def text_table_add_metrics(strat_results: Dict) -> str:
|
||||||
strat_results['stake_currency'])),
|
strat_results['stake_currency'])),
|
||||||
('Total profit %', f"{strat_results['profit_total']:.2%}"),
|
('Total profit %', f"{strat_results['profit_total']:.2%}"),
|
||||||
('CAGR %', f"{strat_results['cagr']:.2%}" if 'cagr' in strat_results else 'N/A'),
|
('CAGR %', f"{strat_results['cagr']:.2%}" if 'cagr' in strat_results else 'N/A'),
|
||||||
|
('Sortino', f"{strat_results['sortino']:.2f}" if 'sortino' in strat_results else 'N/A'),
|
||||||
|
('Sharpe', f"{strat_results['sharpe']:.2f}" if 'sharpe' in strat_results else 'N/A'),
|
||||||
|
('Calmar', f"{strat_results['calmar']:.2f}" if 'calmar' in strat_results else 'N/A'),
|
||||||
('Profit factor', f'{strat_results["profit_factor"]:.2f}' if 'profit_factor'
|
('Profit factor', f'{strat_results["profit_factor"]:.2f}' if 'profit_factor'
|
||||||
in strat_results else 'N/A'),
|
in strat_results else 'N/A'),
|
||||||
|
('Expectancy', f"{strat_results['expectancy']:.2f}" if 'expectancy'
|
||||||
|
in strat_results else 'N/A'),
|
||||||
('Trades per day', strat_results['trades_per_day']),
|
('Trades per day', strat_results['trades_per_day']),
|
||||||
('Avg. daily profit %',
|
('Avg. daily profit %',
|
||||||
f"{(strat_results['profit_total'] / strat_results['backtest_days']):.2%}"),
|
f"{(strat_results['profit_total'] / strat_results['backtest_days']):.2%}"),
|
||||||
|
|
|
||||||
|
|
@ -109,11 +109,10 @@ def migrate_trades_and_orders_table(
|
||||||
else:
|
else:
|
||||||
is_short = get_column_def(cols, 'is_short', '0')
|
is_short = get_column_def(cols, 'is_short', '0')
|
||||||
|
|
||||||
# Margin Properties
|
# Futures Properties
|
||||||
interest_rate = get_column_def(cols, 'interest_rate', '0.0')
|
interest_rate = get_column_def(cols, 'interest_rate', '0.0')
|
||||||
|
|
||||||
# Futures properties
|
|
||||||
funding_fees = get_column_def(cols, 'funding_fees', '0.0')
|
funding_fees = get_column_def(cols, 'funding_fees', '0.0')
|
||||||
|
max_stake_amount = get_column_def(cols, 'max_stake_amount', 'stake_amount')
|
||||||
|
|
||||||
# If ticker-interval existed use that, else null.
|
# If ticker-interval existed use that, else null.
|
||||||
if has_column(cols, 'ticker_interval'):
|
if has_column(cols, 'ticker_interval'):
|
||||||
|
|
@ -162,7 +161,8 @@ def migrate_trades_and_orders_table(
|
||||||
timeframe, open_trade_value, close_profit_abs,
|
timeframe, open_trade_value, close_profit_abs,
|
||||||
trading_mode, leverage, liquidation_price, is_short,
|
trading_mode, leverage, liquidation_price, is_short,
|
||||||
interest_rate, funding_fees, realized_profit,
|
interest_rate, funding_fees, realized_profit,
|
||||||
amount_precision, price_precision, precision_mode, contract_size
|
amount_precision, price_precision, precision_mode, contract_size,
|
||||||
|
max_stake_amount
|
||||||
)
|
)
|
||||||
select id, lower(exchange), pair, {base_currency} base_currency,
|
select id, lower(exchange), pair, {base_currency} base_currency,
|
||||||
{stake_currency} stake_currency,
|
{stake_currency} stake_currency,
|
||||||
|
|
@ -190,7 +190,8 @@ def migrate_trades_and_orders_table(
|
||||||
{is_short} is_short, {interest_rate} interest_rate,
|
{is_short} is_short, {interest_rate} interest_rate,
|
||||||
{funding_fees} funding_fees, {realized_profit} realized_profit,
|
{funding_fees} funding_fees, {realized_profit} realized_profit,
|
||||||
{amount_precision} amount_precision, {price_precision} price_precision,
|
{amount_precision} amount_precision, {price_precision} price_precision,
|
||||||
{precision_mode} precision_mode, {contract_size} contract_size
|
{precision_mode} precision_mode, {contract_size} contract_size,
|
||||||
|
{max_stake_amount} max_stake_amount
|
||||||
from {trade_back_name}
|
from {trade_back_name}
|
||||||
"""))
|
"""))
|
||||||
|
|
||||||
|
|
@ -310,8 +311,8 @@ def check_migrate(engine, decl_base, previous_tables) -> None:
|
||||||
# if ('orders' not in previous_tables
|
# if ('orders' not in previous_tables
|
||||||
# or not has_column(cols_orders, 'funding_fee')):
|
# or not has_column(cols_orders, 'funding_fee')):
|
||||||
migrating = False
|
migrating = False
|
||||||
# if not has_column(cols_trades, 'contract_size'):
|
# if not has_column(cols_orders, 'funding_fee'):
|
||||||
if not has_column(cols_orders, 'funding_fee'):
|
if not has_column(cols_trades, 'max_stake_amount'):
|
||||||
migrating = True
|
migrating = True
|
||||||
logger.info(f"Running database migration for trades - "
|
logger.info(f"Running database migration for trades - "
|
||||||
f"backup: {table_back_name}, {order_table_bak_name}")
|
f"backup: {table_back_name}, {order_table_bak_name}")
|
||||||
|
|
|
||||||
|
|
@ -293,6 +293,7 @@ class LocalTrade():
|
||||||
close_profit: Optional[float] = None
|
close_profit: Optional[float] = None
|
||||||
close_profit_abs: Optional[float] = None
|
close_profit_abs: Optional[float] = None
|
||||||
stake_amount: float = 0.0
|
stake_amount: float = 0.0
|
||||||
|
max_stake_amount: float = 0.0
|
||||||
amount: float = 0.0
|
amount: float = 0.0
|
||||||
amount_requested: Optional[float] = None
|
amount_requested: Optional[float] = None
|
||||||
open_date: datetime
|
open_date: datetime
|
||||||
|
|
@ -469,8 +470,8 @@ class LocalTrade():
|
||||||
'amount': round(self.amount, 8),
|
'amount': round(self.amount, 8),
|
||||||
'amount_requested': round(self.amount_requested, 8) if self.amount_requested else None,
|
'amount_requested': round(self.amount_requested, 8) if self.amount_requested else None,
|
||||||
'stake_amount': round(self.stake_amount, 8),
|
'stake_amount': round(self.stake_amount, 8),
|
||||||
|
'max_stake_amount': round(self.max_stake_amount, 8) if self.max_stake_amount else None,
|
||||||
'strategy': self.strategy,
|
'strategy': self.strategy,
|
||||||
'buy_tag': self.enter_tag,
|
|
||||||
'enter_tag': self.enter_tag,
|
'enter_tag': self.enter_tag,
|
||||||
'timeframe': self.timeframe,
|
'timeframe': self.timeframe,
|
||||||
|
|
||||||
|
|
@ -507,7 +508,6 @@ class LocalTrade():
|
||||||
'profit_pct': round(self.close_profit * 100, 2) if self.close_profit else None,
|
'profit_pct': round(self.close_profit * 100, 2) if self.close_profit else None,
|
||||||
'profit_abs': self.close_profit_abs,
|
'profit_abs': self.close_profit_abs,
|
||||||
|
|
||||||
'sell_reason': self.exit_reason, # Deprecated
|
|
||||||
'exit_reason': self.exit_reason,
|
'exit_reason': self.exit_reason,
|
||||||
'exit_order_status': self.exit_order_status,
|
'exit_order_status': self.exit_order_status,
|
||||||
'stop_loss_abs': self.stop_loss,
|
'stop_loss_abs': self.stop_loss,
|
||||||
|
|
@ -876,6 +876,7 @@ class LocalTrade():
|
||||||
ZERO = FtPrecise(0.0)
|
ZERO = FtPrecise(0.0)
|
||||||
current_amount = FtPrecise(0.0)
|
current_amount = FtPrecise(0.0)
|
||||||
current_stake = FtPrecise(0.0)
|
current_stake = FtPrecise(0.0)
|
||||||
|
max_stake_amount = FtPrecise(0.0)
|
||||||
total_stake = 0.0 # Total stake after all buy orders (does not subtract!)
|
total_stake = 0.0 # Total stake after all buy orders (does not subtract!)
|
||||||
avg_price = FtPrecise(0.0)
|
avg_price = FtPrecise(0.0)
|
||||||
close_profit = 0.0
|
close_profit = 0.0
|
||||||
|
|
@ -917,7 +918,9 @@ class LocalTrade():
|
||||||
exit_rate, amount=exit_amount, open_rate=avg_price)
|
exit_rate, amount=exit_amount, open_rate=avg_price)
|
||||||
else:
|
else:
|
||||||
total_stake = total_stake + self._calc_open_trade_value(tmp_amount, price)
|
total_stake = total_stake + self._calc_open_trade_value(tmp_amount, price)
|
||||||
|
max_stake_amount += (tmp_amount * price)
|
||||||
self.funding_fees = funding_fees
|
self.funding_fees = funding_fees
|
||||||
|
self.max_stake_amount = float(max_stake_amount)
|
||||||
|
|
||||||
if close_profit:
|
if close_profit:
|
||||||
self.close_profit = close_profit
|
self.close_profit = close_profit
|
||||||
|
|
@ -1169,6 +1172,7 @@ class Trade(_DECL_BASE, LocalTrade):
|
||||||
close_profit = Column(Float)
|
close_profit = Column(Float)
|
||||||
close_profit_abs = Column(Float)
|
close_profit_abs = Column(Float)
|
||||||
stake_amount = Column(Float, nullable=False)
|
stake_amount = Column(Float, nullable=False)
|
||||||
|
max_stake_amount = Column(Float)
|
||||||
amount = Column(Float)
|
amount = Column(Float)
|
||||||
amount_requested = Column(Float)
|
amount_requested = Column(Float)
|
||||||
open_date = Column(DateTime, nullable=False, default=datetime.utcnow)
|
open_date = Column(DateTime, nullable=False, default=datetime.utcnow)
|
||||||
|
|
|
||||||
|
|
@ -135,7 +135,7 @@ class VolumePairList(IPairList):
|
||||||
filtered_tickers = [
|
filtered_tickers = [
|
||||||
v for k, v in tickers.items()
|
v for k, v in tickers.items()
|
||||||
if (self._exchange.get_pair_quote_currency(k) == self._stake_currency
|
if (self._exchange.get_pair_quote_currency(k) == self._stake_currency
|
||||||
and (self._use_range or v[self._sort_key] is not None)
|
and (self._use_range or v.get(self._sort_key) is not None)
|
||||||
and v['symbol'] in _pairlist)]
|
and v['symbol'] in _pairlist)]
|
||||||
pairlist = [s['symbol'] for s in filtered_tickers]
|
pairlist = [s['symbol'] for s in filtered_tickers]
|
||||||
else:
|
else:
|
||||||
|
|
|
||||||
|
|
@ -217,8 +217,8 @@ class TradeSchema(BaseModel):
|
||||||
amount: float
|
amount: float
|
||||||
amount_requested: float
|
amount_requested: float
|
||||||
stake_amount: float
|
stake_amount: float
|
||||||
|
max_stake_amount: Optional[float]
|
||||||
strategy: str
|
strategy: str
|
||||||
buy_tag: Optional[str] # Deprecated
|
|
||||||
enter_tag: Optional[str]
|
enter_tag: Optional[str]
|
||||||
timeframe: int
|
timeframe: int
|
||||||
fee_open: Optional[float]
|
fee_open: Optional[float]
|
||||||
|
|
@ -243,7 +243,6 @@ class TradeSchema(BaseModel):
|
||||||
profit_pct: Optional[float]
|
profit_pct: Optional[float]
|
||||||
profit_abs: Optional[float]
|
profit_abs: Optional[float]
|
||||||
profit_fiat: Optional[float]
|
profit_fiat: Optional[float]
|
||||||
sell_reason: Optional[str] # Deprecated
|
|
||||||
exit_reason: Optional[str]
|
exit_reason: Optional[str]
|
||||||
exit_order_status: Optional[str]
|
exit_order_status: Optional[str]
|
||||||
stop_loss_abs: Optional[float]
|
stop_loss_abs: Optional[float]
|
||||||
|
|
|
||||||
|
|
@ -27,7 +27,7 @@ class FreqaiExampleStrategy(IStrategy):
|
||||||
plot_config = {
|
plot_config = {
|
||||||
"main_plot": {},
|
"main_plot": {},
|
||||||
"subplots": {
|
"subplots": {
|
||||||
"prediction": {"prediction": {"color": "blue"}},
|
"&-s_close": {"prediction": {"color": "blue"}},
|
||||||
"do_predict": {
|
"do_predict": {
|
||||||
"do_predict": {"color": "brown"},
|
"do_predict": {"color": "brown"},
|
||||||
},
|
},
|
||||||
|
|
@ -184,7 +184,8 @@ class FreqaiExampleStrategy(IStrategy):
|
||||||
# If user wishes to use multiple targets, they can add more by
|
# If user wishes to use multiple targets, they can add more by
|
||||||
# appending more columns with '&'. User should keep in mind that multi targets
|
# appending more columns with '&'. User should keep in mind that multi targets
|
||||||
# requires a multioutput prediction model such as
|
# requires a multioutput prediction model such as
|
||||||
# templates/CatboostPredictionMultiModel.py,
|
# freqai/prediction_models/CatboostRegressorMultiTarget.py,
|
||||||
|
# freqtrade trade --freqaimodel CatboostRegressorMultiTarget
|
||||||
|
|
||||||
# df["&-s_range"] = (
|
# df["&-s_range"] = (
|
||||||
# df["close"]
|
# df["close"]
|
||||||
|
|
|
||||||
|
|
@ -10,24 +10,24 @@ coveralls==3.3.1
|
||||||
flake8==6.0.0
|
flake8==6.0.0
|
||||||
flake8-tidy-imports==4.8.0
|
flake8-tidy-imports==4.8.0
|
||||||
mypy==0.991
|
mypy==0.991
|
||||||
pre-commit==2.20.0
|
pre-commit==2.21.0
|
||||||
pytest==7.2.0
|
pytest==7.2.0
|
||||||
pytest-asyncio==0.20.3
|
pytest-asyncio==0.20.3
|
||||||
pytest-cov==4.0.0
|
pytest-cov==4.0.0
|
||||||
pytest-mock==3.10.0
|
pytest-mock==3.10.0
|
||||||
pytest-random-order==1.1.0
|
pytest-random-order==1.1.0
|
||||||
isort==5.11.3
|
isort==5.11.4
|
||||||
# For datetime mocking
|
# For datetime mocking
|
||||||
time-machine==2.8.2
|
time-machine==2.9.0
|
||||||
# fastapi testing
|
# fastapi testing
|
||||||
httpx==0.23.1
|
httpx==0.23.1
|
||||||
|
|
||||||
# Convert jupyter notebooks to markdown documents
|
# Convert jupyter notebooks to markdown documents
|
||||||
nbconvert==7.2.6
|
nbconvert==7.2.7
|
||||||
|
|
||||||
# mypy types
|
# mypy types
|
||||||
types-cachetools==5.2.1
|
types-cachetools==5.2.1
|
||||||
types-filelock==3.2.7
|
types-filelock==3.2.7
|
||||||
types-requests==2.28.11.5
|
types-requests==2.28.11.7
|
||||||
types-tabulate==0.9.0.0
|
types-tabulate==0.9.0.0
|
||||||
types-python-dateutil==2.8.19.5
|
types-python-dateutil==2.8.19.5
|
||||||
|
|
|
||||||
|
|
@ -5,5 +5,5 @@
|
||||||
scipy==1.9.3
|
scipy==1.9.3
|
||||||
scikit-learn==1.1.3
|
scikit-learn==1.1.3
|
||||||
scikit-optimize==0.9.0
|
scikit-optimize==0.9.0
|
||||||
filelock==3.8.2
|
filelock==3.9.0
|
||||||
progressbar2==4.2.0
|
progressbar2==4.2.0
|
||||||
|
|
|
||||||
|
|
@ -1,8 +1,8 @@
|
||||||
numpy==1.23.5
|
numpy==1.24.1
|
||||||
pandas==1.5.2
|
pandas==1.5.2
|
||||||
pandas-ta==0.3.14b
|
pandas-ta==0.3.14b
|
||||||
|
|
||||||
ccxt==2.4.27
|
ccxt==2.4.60
|
||||||
# Pin cryptography for now due to rust build errors with piwheels
|
# Pin cryptography for now due to rust build errors with piwheels
|
||||||
cryptography==38.0.1; platform_machine == 'armv7l'
|
cryptography==38.0.1; platform_machine == 'armv7l'
|
||||||
cryptography==38.0.4; platform_machine != 'armv7l'
|
cryptography==38.0.4; platform_machine != 'armv7l'
|
||||||
|
|
@ -19,7 +19,7 @@ technical==1.3.0
|
||||||
tabulate==0.9.0
|
tabulate==0.9.0
|
||||||
pycoingecko==3.1.0
|
pycoingecko==3.1.0
|
||||||
jinja2==3.1.2
|
jinja2==3.1.2
|
||||||
tables==3.7.0
|
tables==3.8.0
|
||||||
blosc==1.11.1
|
blosc==1.11.1
|
||||||
joblib==1.2.0
|
joblib==1.2.0
|
||||||
pyarrow==10.0.1; platform_machine != 'armv7l'
|
pyarrow==10.0.1; platform_machine != 'armv7l'
|
||||||
|
|
@ -37,7 +37,7 @@ sdnotify==0.3.2
|
||||||
|
|
||||||
# API Server
|
# API Server
|
||||||
fastapi==0.88.0
|
fastapi==0.88.0
|
||||||
pydantic==1.10.2
|
pydantic==1.10.4
|
||||||
uvicorn==0.20.0
|
uvicorn==0.20.0
|
||||||
pyjwt==2.6.0
|
pyjwt==2.6.0
|
||||||
aiofiles==22.1.0
|
aiofiles==22.1.0
|
||||||
|
|
|
||||||
10
setup.py
10
setup.py
|
|
@ -25,6 +25,11 @@ freqai_rl = [
|
||||||
'sb3-contrib'
|
'sb3-contrib'
|
||||||
]
|
]
|
||||||
|
|
||||||
|
hdf5 = [
|
||||||
|
'tables',
|
||||||
|
'blosc',
|
||||||
|
]
|
||||||
|
|
||||||
develop = [
|
develop = [
|
||||||
'coveralls',
|
'coveralls',
|
||||||
'flake8',
|
'flake8',
|
||||||
|
|
@ -44,7 +49,7 @@ jupyter = [
|
||||||
'nbconvert',
|
'nbconvert',
|
||||||
]
|
]
|
||||||
|
|
||||||
all_extra = plot + develop + jupyter + hyperopt + freqai + freqai_rl
|
all_extra = plot + develop + jupyter + hyperopt + hdf5 + freqai + freqai_rl
|
||||||
|
|
||||||
setup(
|
setup(
|
||||||
tests_require=[
|
tests_require=[
|
||||||
|
|
@ -78,8 +83,6 @@ setup(
|
||||||
'prompt-toolkit',
|
'prompt-toolkit',
|
||||||
'numpy',
|
'numpy',
|
||||||
'pandas',
|
'pandas',
|
||||||
'tables',
|
|
||||||
'blosc',
|
|
||||||
'joblib>=1.2.0',
|
'joblib>=1.2.0',
|
||||||
'pyarrow; platform_machine != "armv7l"',
|
'pyarrow; platform_machine != "armv7l"',
|
||||||
'fastapi',
|
'fastapi',
|
||||||
|
|
@ -97,6 +100,7 @@ setup(
|
||||||
'plot': plot,
|
'plot': plot,
|
||||||
'jupyter': jupyter,
|
'jupyter': jupyter,
|
||||||
'hyperopt': hyperopt,
|
'hyperopt': hyperopt,
|
||||||
|
'hdf5': hdf5,
|
||||||
'freqai': freqai,
|
'freqai': freqai,
|
||||||
'freqai_rl': freqai_rl,
|
'freqai_rl': freqai_rl,
|
||||||
'all': all_extra,
|
'all': all_extra,
|
||||||
|
|
|
||||||
|
|
@ -1529,7 +1529,7 @@ def test_backtesting_show(mocker, testdatadir, capsys):
|
||||||
args = [
|
args = [
|
||||||
"backtesting-show",
|
"backtesting-show",
|
||||||
"--export-filename",
|
"--export-filename",
|
||||||
f"{testdatadir / 'backtest_results/backtest-result_new.json'}",
|
f"{testdatadir / 'backtest_results/backtest-result.json'}",
|
||||||
"--show-pair-list"
|
"--show-pair-list"
|
||||||
]
|
]
|
||||||
pargs = get_args(args)
|
pargs = get_args(args)
|
||||||
|
|
|
||||||
|
|
@ -12,9 +12,11 @@ from freqtrade.data.btanalysis import (BT_DATA_COLUMNS, analyze_trade_parallelis
|
||||||
get_latest_hyperopt_file, load_backtest_data,
|
get_latest_hyperopt_file, load_backtest_data,
|
||||||
load_backtest_metadata, load_trades, load_trades_from_db)
|
load_backtest_metadata, load_trades, load_trades_from_db)
|
||||||
from freqtrade.data.history import load_data, load_pair_history
|
from freqtrade.data.history import load_data, load_pair_history
|
||||||
from freqtrade.data.metrics import (calculate_cagr, calculate_csum, calculate_market_change,
|
from freqtrade.data.metrics import (calculate_cagr, calculate_calmar, calculate_csum,
|
||||||
calculate_max_drawdown, calculate_underwater,
|
calculate_expectancy, calculate_market_change,
|
||||||
combine_dataframes_with_mean, create_cum_profit)
|
calculate_max_drawdown, calculate_sharpe, calculate_sortino,
|
||||||
|
calculate_underwater, combine_dataframes_with_mean,
|
||||||
|
create_cum_profit)
|
||||||
from freqtrade.exceptions import OperationalException
|
from freqtrade.exceptions import OperationalException
|
||||||
from tests.conftest import CURRENT_TEST_STRATEGY, create_mock_trades
|
from tests.conftest import CURRENT_TEST_STRATEGY, create_mock_trades
|
||||||
from tests.conftest_trades import MOCK_TRADE_COUNT
|
from tests.conftest_trades import MOCK_TRADE_COUNT
|
||||||
|
|
@ -30,10 +32,10 @@ def test_get_latest_backtest_filename(testdatadir, mocker):
|
||||||
|
|
||||||
testdir_bt = testdatadir / "backtest_results"
|
testdir_bt = testdatadir / "backtest_results"
|
||||||
res = get_latest_backtest_filename(testdir_bt)
|
res = get_latest_backtest_filename(testdir_bt)
|
||||||
assert res == 'backtest-result_new.json'
|
assert res == 'backtest-result.json'
|
||||||
|
|
||||||
res = get_latest_backtest_filename(str(testdir_bt))
|
res = get_latest_backtest_filename(str(testdir_bt))
|
||||||
assert res == 'backtest-result_new.json'
|
assert res == 'backtest-result.json'
|
||||||
|
|
||||||
mocker.patch("freqtrade.data.btanalysis.json_load", return_value={})
|
mocker.patch("freqtrade.data.btanalysis.json_load", return_value={})
|
||||||
|
|
||||||
|
|
@ -81,7 +83,7 @@ def test_load_backtest_data_old_format(testdatadir, mocker):
|
||||||
|
|
||||||
def test_load_backtest_data_new_format(testdatadir):
|
def test_load_backtest_data_new_format(testdatadir):
|
||||||
|
|
||||||
filename = testdatadir / "backtest_results/backtest-result_new.json"
|
filename = testdatadir / "backtest_results/backtest-result.json"
|
||||||
bt_data = load_backtest_data(filename)
|
bt_data = load_backtest_data(filename)
|
||||||
assert isinstance(bt_data, DataFrame)
|
assert isinstance(bt_data, DataFrame)
|
||||||
assert set(bt_data.columns) == set(BT_DATA_COLUMNS)
|
assert set(bt_data.columns) == set(BT_DATA_COLUMNS)
|
||||||
|
|
@ -182,7 +184,7 @@ def test_extract_trades_of_period(testdatadir):
|
||||||
|
|
||||||
|
|
||||||
def test_analyze_trade_parallelism(testdatadir):
|
def test_analyze_trade_parallelism(testdatadir):
|
||||||
filename = testdatadir / "backtest_results/backtest-result_new.json"
|
filename = testdatadir / "backtest_results/backtest-result.json"
|
||||||
bt_data = load_backtest_data(filename)
|
bt_data = load_backtest_data(filename)
|
||||||
|
|
||||||
res = analyze_trade_parallelism(bt_data, "5m")
|
res = analyze_trade_parallelism(bt_data, "5m")
|
||||||
|
|
@ -256,7 +258,7 @@ def test_combine_dataframes_with_mean_no_data(testdatadir):
|
||||||
|
|
||||||
|
|
||||||
def test_create_cum_profit(testdatadir):
|
def test_create_cum_profit(testdatadir):
|
||||||
filename = testdatadir / "backtest_results/backtest-result_new.json"
|
filename = testdatadir / "backtest_results/backtest-result.json"
|
||||||
bt_data = load_backtest_data(filename)
|
bt_data = load_backtest_data(filename)
|
||||||
timerange = TimeRange.parse_timerange("20180110-20180112")
|
timerange = TimeRange.parse_timerange("20180110-20180112")
|
||||||
|
|
||||||
|
|
@ -268,11 +270,11 @@ def test_create_cum_profit(testdatadir):
|
||||||
"cum_profits", timeframe="5m")
|
"cum_profits", timeframe="5m")
|
||||||
assert "cum_profits" in cum_profits.columns
|
assert "cum_profits" in cum_profits.columns
|
||||||
assert cum_profits.iloc[0]['cum_profits'] == 0
|
assert cum_profits.iloc[0]['cum_profits'] == 0
|
||||||
assert pytest.approx(cum_profits.iloc[-1]['cum_profits']) == 8.723007518796964e-06
|
assert pytest.approx(cum_profits.iloc[-1]['cum_profits']) == 9.0225563e-05
|
||||||
|
|
||||||
|
|
||||||
def test_create_cum_profit1(testdatadir):
|
def test_create_cum_profit1(testdatadir):
|
||||||
filename = testdatadir / "backtest_results/backtest-result_new.json"
|
filename = testdatadir / "backtest_results/backtest-result.json"
|
||||||
bt_data = load_backtest_data(filename)
|
bt_data = load_backtest_data(filename)
|
||||||
# Move close-time to "off" the candle, to make sure the logic still works
|
# Move close-time to "off" the candle, to make sure the logic still works
|
||||||
bt_data['close_date'] = bt_data.loc[:, 'close_date'] + DateOffset(seconds=20)
|
bt_data['close_date'] = bt_data.loc[:, 'close_date'] + DateOffset(seconds=20)
|
||||||
|
|
@ -286,7 +288,7 @@ def test_create_cum_profit1(testdatadir):
|
||||||
"cum_profits", timeframe="5m")
|
"cum_profits", timeframe="5m")
|
||||||
assert "cum_profits" in cum_profits.columns
|
assert "cum_profits" in cum_profits.columns
|
||||||
assert cum_profits.iloc[0]['cum_profits'] == 0
|
assert cum_profits.iloc[0]['cum_profits'] == 0
|
||||||
assert pytest.approx(cum_profits.iloc[-1]['cum_profits']) == 8.723007518796964e-06
|
assert pytest.approx(cum_profits.iloc[-1]['cum_profits']) == 9.0225563e-05
|
||||||
|
|
||||||
with pytest.raises(ValueError, match='Trade dataframe empty.'):
|
with pytest.raises(ValueError, match='Trade dataframe empty.'):
|
||||||
create_cum_profit(df.set_index('date'), bt_data[bt_data["pair"] == 'NOTAPAIR'],
|
create_cum_profit(df.set_index('date'), bt_data[bt_data["pair"] == 'NOTAPAIR'],
|
||||||
|
|
@ -294,18 +296,18 @@ def test_create_cum_profit1(testdatadir):
|
||||||
|
|
||||||
|
|
||||||
def test_calculate_max_drawdown(testdatadir):
|
def test_calculate_max_drawdown(testdatadir):
|
||||||
filename = testdatadir / "backtest_results/backtest-result_new.json"
|
filename = testdatadir / "backtest_results/backtest-result.json"
|
||||||
bt_data = load_backtest_data(filename)
|
bt_data = load_backtest_data(filename)
|
||||||
_, hdate, lowdate, hval, lval, drawdown = calculate_max_drawdown(
|
_, hdate, lowdate, hval, lval, drawdown = calculate_max_drawdown(
|
||||||
bt_data, value_col="profit_abs")
|
bt_data, value_col="profit_abs")
|
||||||
assert isinstance(drawdown, float)
|
assert isinstance(drawdown, float)
|
||||||
assert pytest.approx(drawdown) == 0.12071099
|
assert pytest.approx(drawdown) == 0.29753914
|
||||||
assert isinstance(hdate, Timestamp)
|
assert isinstance(hdate, Timestamp)
|
||||||
assert isinstance(lowdate, Timestamp)
|
assert isinstance(lowdate, Timestamp)
|
||||||
assert isinstance(hval, float)
|
assert isinstance(hval, float)
|
||||||
assert isinstance(lval, float)
|
assert isinstance(lval, float)
|
||||||
assert hdate == Timestamp('2018-01-25 01:30:00', tz='UTC')
|
assert hdate == Timestamp('2018-01-16 19:30:00', tz='UTC')
|
||||||
assert lowdate == Timestamp('2018-01-25 03:50:00', tz='UTC')
|
assert lowdate == Timestamp('2018-01-16 22:25:00', tz='UTC')
|
||||||
|
|
||||||
underwater = calculate_underwater(bt_data)
|
underwater = calculate_underwater(bt_data)
|
||||||
assert isinstance(underwater, DataFrame)
|
assert isinstance(underwater, DataFrame)
|
||||||
|
|
@ -318,14 +320,15 @@ def test_calculate_max_drawdown(testdatadir):
|
||||||
|
|
||||||
|
|
||||||
def test_calculate_csum(testdatadir):
|
def test_calculate_csum(testdatadir):
|
||||||
filename = testdatadir / "backtest_results/backtest-result_new.json"
|
filename = testdatadir / "backtest_results/backtest-result.json"
|
||||||
bt_data = load_backtest_data(filename)
|
bt_data = load_backtest_data(filename)
|
||||||
csum_min, csum_max = calculate_csum(bt_data)
|
csum_min, csum_max = calculate_csum(bt_data)
|
||||||
|
|
||||||
assert isinstance(csum_min, float)
|
assert isinstance(csum_min, float)
|
||||||
assert isinstance(csum_max, float)
|
assert isinstance(csum_max, float)
|
||||||
assert csum_min < 0.01
|
assert csum_min < csum_max
|
||||||
assert csum_max > 0.02
|
assert csum_min < 0.0001
|
||||||
|
assert csum_max > 0.0002
|
||||||
csum_min1, csum_max1 = calculate_csum(bt_data, 5)
|
csum_min1, csum_max1 = calculate_csum(bt_data, 5)
|
||||||
|
|
||||||
assert csum_min1 == csum_min + 5
|
assert csum_min1 == csum_min + 5
|
||||||
|
|
@ -335,6 +338,69 @@ def test_calculate_csum(testdatadir):
|
||||||
csum_min, csum_max = calculate_csum(DataFrame())
|
csum_min, csum_max = calculate_csum(DataFrame())
|
||||||
|
|
||||||
|
|
||||||
|
def test_calculate_expectancy(testdatadir):
|
||||||
|
filename = testdatadir / "backtest_results/backtest-result.json"
|
||||||
|
bt_data = load_backtest_data(filename)
|
||||||
|
|
||||||
|
expectancy = calculate_expectancy(DataFrame())
|
||||||
|
assert expectancy == 0.0
|
||||||
|
|
||||||
|
expectancy = calculate_expectancy(bt_data)
|
||||||
|
assert isinstance(expectancy, float)
|
||||||
|
assert pytest.approx(expectancy) == 0.07151374226574791
|
||||||
|
|
||||||
|
|
||||||
|
def test_calculate_sortino(testdatadir):
|
||||||
|
filename = testdatadir / "backtest_results/backtest-result.json"
|
||||||
|
bt_data = load_backtest_data(filename)
|
||||||
|
|
||||||
|
sortino = calculate_sortino(DataFrame(), None, None, 0)
|
||||||
|
assert sortino == 0.0
|
||||||
|
|
||||||
|
sortino = calculate_sortino(
|
||||||
|
bt_data,
|
||||||
|
bt_data['open_date'].min(),
|
||||||
|
bt_data['close_date'].max(),
|
||||||
|
0.01,
|
||||||
|
)
|
||||||
|
assert isinstance(sortino, float)
|
||||||
|
assert pytest.approx(sortino) == 35.17722
|
||||||
|
|
||||||
|
|
||||||
|
def test_calculate_sharpe(testdatadir):
|
||||||
|
filename = testdatadir / "backtest_results/backtest-result.json"
|
||||||
|
bt_data = load_backtest_data(filename)
|
||||||
|
|
||||||
|
sharpe = calculate_sharpe(DataFrame(), None, None, 0)
|
||||||
|
assert sharpe == 0.0
|
||||||
|
|
||||||
|
sharpe = calculate_sharpe(
|
||||||
|
bt_data,
|
||||||
|
bt_data['open_date'].min(),
|
||||||
|
bt_data['close_date'].max(),
|
||||||
|
0.01,
|
||||||
|
)
|
||||||
|
assert isinstance(sharpe, float)
|
||||||
|
assert pytest.approx(sharpe) == 44.5078669
|
||||||
|
|
||||||
|
|
||||||
|
def test_calculate_calmar(testdatadir):
|
||||||
|
filename = testdatadir / "backtest_results/backtest-result.json"
|
||||||
|
bt_data = load_backtest_data(filename)
|
||||||
|
|
||||||
|
calmar = calculate_calmar(DataFrame(), None, None, 0)
|
||||||
|
assert calmar == 0.0
|
||||||
|
|
||||||
|
calmar = calculate_calmar(
|
||||||
|
bt_data,
|
||||||
|
bt_data['open_date'].min(),
|
||||||
|
bt_data['close_date'].max(),
|
||||||
|
0.01,
|
||||||
|
)
|
||||||
|
assert isinstance(calmar, float)
|
||||||
|
assert pytest.approx(calmar) == 559.040508
|
||||||
|
|
||||||
|
|
||||||
@pytest.mark.parametrize('start,end,days, expected', [
|
@pytest.mark.parametrize('start,end,days, expected', [
|
||||||
(64900, 176000, 3 * 365, 0.3945),
|
(64900, 176000, 3 * 365, 0.3945),
|
||||||
(64900, 176000, 365, 1.7119),
|
(64900, 176000, 365, 1.7119),
|
||||||
|
|
|
||||||
|
|
@ -23,7 +23,7 @@ from tests.exchange.test_exchange import ccxt_exceptionhandlers
|
||||||
def test_stoploss_order_binance(default_conf, mocker, limitratio, expected, side, trademode):
|
def test_stoploss_order_binance(default_conf, mocker, limitratio, expected, side, trademode):
|
||||||
api_mock = MagicMock()
|
api_mock = MagicMock()
|
||||||
order_id = 'test_prod_buy_{}'.format(randint(0, 10 ** 6))
|
order_id = 'test_prod_buy_{}'.format(randint(0, 10 ** 6))
|
||||||
order_type = 'stop_loss_limit' if trademode == TradingMode.SPOT else 'limit'
|
order_type = 'stop_loss_limit' if trademode == TradingMode.SPOT else 'stop'
|
||||||
|
|
||||||
api_mock.create_order = MagicMock(return_value={
|
api_mock.create_order = MagicMock(return_value={
|
||||||
'id': order_id,
|
'id': order_id,
|
||||||
|
|
|
||||||
|
|
@ -8,16 +8,19 @@ suitable to run with freqtrade.
|
||||||
from copy import deepcopy
|
from copy import deepcopy
|
||||||
from datetime import datetime, timedelta, timezone
|
from datetime import datetime, timedelta, timezone
|
||||||
from pathlib import Path
|
from pathlib import Path
|
||||||
|
from typing import Tuple
|
||||||
|
|
||||||
import pytest
|
import pytest
|
||||||
|
|
||||||
from freqtrade.enums import CandleType
|
from freqtrade.enums import CandleType
|
||||||
from freqtrade.exchange import timeframe_to_minutes, timeframe_to_prev_date
|
from freqtrade.exchange import timeframe_to_minutes, timeframe_to_prev_date
|
||||||
from freqtrade.exchange.exchange import timeframe_to_msecs
|
from freqtrade.exchange.exchange import Exchange, timeframe_to_msecs
|
||||||
from freqtrade.resolvers.exchange_resolver import ExchangeResolver
|
from freqtrade.resolvers.exchange_resolver import ExchangeResolver
|
||||||
from tests.conftest import get_default_conf_usdt
|
from tests.conftest import get_default_conf_usdt
|
||||||
|
|
||||||
|
|
||||||
|
EXCHANGE_FIXTURE_TYPE = Tuple[Exchange, str]
|
||||||
|
|
||||||
# Exchanges that should be tested
|
# Exchanges that should be tested
|
||||||
EXCHANGES = {
|
EXCHANGES = {
|
||||||
'bittrex': {
|
'bittrex': {
|
||||||
|
|
@ -141,19 +144,19 @@ def exchange_futures(request, exchange_conf, class_mocker):
|
||||||
@pytest.mark.longrun
|
@pytest.mark.longrun
|
||||||
class TestCCXTExchange():
|
class TestCCXTExchange():
|
||||||
|
|
||||||
def test_load_markets(self, exchange):
|
def test_load_markets(self, exchange: EXCHANGE_FIXTURE_TYPE):
|
||||||
exchange, exchangename = exchange
|
exch, exchangename = exchange
|
||||||
pair = EXCHANGES[exchangename]['pair']
|
pair = EXCHANGES[exchangename]['pair']
|
||||||
markets = exchange.markets
|
markets = exch.markets
|
||||||
assert pair in markets
|
assert pair in markets
|
||||||
assert isinstance(markets[pair], dict)
|
assert isinstance(markets[pair], dict)
|
||||||
assert exchange.market_is_spot(markets[pair])
|
assert exch.market_is_spot(markets[pair])
|
||||||
|
|
||||||
def test_has_validations(self, exchange):
|
def test_has_validations(self, exchange: EXCHANGE_FIXTURE_TYPE):
|
||||||
|
|
||||||
exchange, exchangename = exchange
|
exch, exchangename = exchange
|
||||||
|
|
||||||
exchange.validate_ordertypes({
|
exch.validate_ordertypes({
|
||||||
'entry': 'limit',
|
'entry': 'limit',
|
||||||
'exit': 'limit',
|
'exit': 'limit',
|
||||||
'stoploss': 'limit',
|
'stoploss': 'limit',
|
||||||
|
|
@ -162,13 +165,13 @@ class TestCCXTExchange():
|
||||||
if exchangename == 'gateio':
|
if exchangename == 'gateio':
|
||||||
# gateio doesn't have market orders on spot
|
# gateio doesn't have market orders on spot
|
||||||
return
|
return
|
||||||
exchange.validate_ordertypes({
|
exch.validate_ordertypes({
|
||||||
'entry': 'market',
|
'entry': 'market',
|
||||||
'exit': 'market',
|
'exit': 'market',
|
||||||
'stoploss': 'market',
|
'stoploss': 'market',
|
||||||
})
|
})
|
||||||
|
|
||||||
def test_load_markets_futures(self, exchange_futures):
|
def test_load_markets_futures(self, exchange_futures: EXCHANGE_FIXTURE_TYPE):
|
||||||
exchange, exchangename = exchange_futures
|
exchange, exchangename = exchange_futures
|
||||||
if not exchange:
|
if not exchange:
|
||||||
# exchange_futures only returns values for supported exchanges
|
# exchange_futures only returns values for supported exchanges
|
||||||
|
|
@ -181,11 +184,11 @@ class TestCCXTExchange():
|
||||||
|
|
||||||
assert exchange.market_is_future(markets[pair])
|
assert exchange.market_is_future(markets[pair])
|
||||||
|
|
||||||
def test_ccxt_fetch_tickers(self, exchange):
|
def test_ccxt_fetch_tickers(self, exchange: EXCHANGE_FIXTURE_TYPE):
|
||||||
exchange, exchangename = exchange
|
exch, exchangename = exchange
|
||||||
pair = EXCHANGES[exchangename]['pair']
|
pair = EXCHANGES[exchangename]['pair']
|
||||||
|
|
||||||
tickers = exchange.get_tickers()
|
tickers = exch.get_tickers()
|
||||||
assert pair in tickers
|
assert pair in tickers
|
||||||
assert 'ask' in tickers[pair]
|
assert 'ask' in tickers[pair]
|
||||||
assert tickers[pair]['ask'] is not None
|
assert tickers[pair]['ask'] is not None
|
||||||
|
|
@ -195,11 +198,11 @@ class TestCCXTExchange():
|
||||||
if EXCHANGES[exchangename].get('hasQuoteVolume'):
|
if EXCHANGES[exchangename].get('hasQuoteVolume'):
|
||||||
assert tickers[pair]['quoteVolume'] is not None
|
assert tickers[pair]['quoteVolume'] is not None
|
||||||
|
|
||||||
def test_ccxt_fetch_ticker(self, exchange):
|
def test_ccxt_fetch_ticker(self, exchange: EXCHANGE_FIXTURE_TYPE):
|
||||||
exchange, exchangename = exchange
|
exch, exchangename = exchange
|
||||||
pair = EXCHANGES[exchangename]['pair']
|
pair = EXCHANGES[exchangename]['pair']
|
||||||
|
|
||||||
ticker = exchange.fetch_ticker(pair)
|
ticker = exch.fetch_ticker(pair)
|
||||||
assert 'ask' in ticker
|
assert 'ask' in ticker
|
||||||
assert ticker['ask'] is not None
|
assert ticker['ask'] is not None
|
||||||
assert 'bid' in ticker
|
assert 'bid' in ticker
|
||||||
|
|
@ -208,21 +211,21 @@ class TestCCXTExchange():
|
||||||
if EXCHANGES[exchangename].get('hasQuoteVolume'):
|
if EXCHANGES[exchangename].get('hasQuoteVolume'):
|
||||||
assert ticker['quoteVolume'] is not None
|
assert ticker['quoteVolume'] is not None
|
||||||
|
|
||||||
def test_ccxt_fetch_l2_orderbook(self, exchange):
|
def test_ccxt_fetch_l2_orderbook(self, exchange: EXCHANGE_FIXTURE_TYPE):
|
||||||
exchange, exchangename = exchange
|
exch, exchangename = exchange
|
||||||
pair = EXCHANGES[exchangename]['pair']
|
pair = EXCHANGES[exchangename]['pair']
|
||||||
l2 = exchange.fetch_l2_order_book(pair)
|
l2 = exch.fetch_l2_order_book(pair)
|
||||||
assert 'asks' in l2
|
assert 'asks' in l2
|
||||||
assert 'bids' in l2
|
assert 'bids' in l2
|
||||||
assert len(l2['asks']) >= 1
|
assert len(l2['asks']) >= 1
|
||||||
assert len(l2['bids']) >= 1
|
assert len(l2['bids']) >= 1
|
||||||
l2_limit_range = exchange._ft_has['l2_limit_range']
|
l2_limit_range = exch._ft_has['l2_limit_range']
|
||||||
l2_limit_range_required = exchange._ft_has['l2_limit_range_required']
|
l2_limit_range_required = exch._ft_has['l2_limit_range_required']
|
||||||
if exchangename == 'gateio':
|
if exchangename == 'gateio':
|
||||||
# TODO: Gateio is unstable here at the moment, ignoring the limit partially.
|
# TODO: Gateio is unstable here at the moment, ignoring the limit partially.
|
||||||
return
|
return
|
||||||
for val in [1, 2, 5, 25, 100]:
|
for val in [1, 2, 5, 25, 100]:
|
||||||
l2 = exchange.fetch_l2_order_book(pair, val)
|
l2 = exch.fetch_l2_order_book(pair, val)
|
||||||
if not l2_limit_range or val in l2_limit_range:
|
if not l2_limit_range or val in l2_limit_range:
|
||||||
if val > 50:
|
if val > 50:
|
||||||
# Orderbooks are not always this deep.
|
# Orderbooks are not always this deep.
|
||||||
|
|
@ -232,7 +235,7 @@ class TestCCXTExchange():
|
||||||
assert len(l2['asks']) == val
|
assert len(l2['asks']) == val
|
||||||
assert len(l2['bids']) == val
|
assert len(l2['bids']) == val
|
||||||
else:
|
else:
|
||||||
next_limit = exchange.get_next_limit_in_list(
|
next_limit = exch.get_next_limit_in_list(
|
||||||
val, l2_limit_range, l2_limit_range_required)
|
val, l2_limit_range, l2_limit_range_required)
|
||||||
if next_limit is None:
|
if next_limit is None:
|
||||||
assert len(l2['asks']) > 100
|
assert len(l2['asks']) > 100
|
||||||
|
|
@ -245,23 +248,23 @@ class TestCCXTExchange():
|
||||||
assert len(l2['asks']) == next_limit
|
assert len(l2['asks']) == next_limit
|
||||||
assert len(l2['asks']) == next_limit
|
assert len(l2['asks']) == next_limit
|
||||||
|
|
||||||
def test_ccxt_fetch_ohlcv(self, exchange):
|
def test_ccxt_fetch_ohlcv(self, exchange: EXCHANGE_FIXTURE_TYPE):
|
||||||
exchange, exchangename = exchange
|
exch, exchangename = exchange
|
||||||
pair = EXCHANGES[exchangename]['pair']
|
pair = EXCHANGES[exchangename]['pair']
|
||||||
timeframe = EXCHANGES[exchangename]['timeframe']
|
timeframe = EXCHANGES[exchangename]['timeframe']
|
||||||
|
|
||||||
pair_tf = (pair, timeframe, CandleType.SPOT)
|
pair_tf = (pair, timeframe, CandleType.SPOT)
|
||||||
|
|
||||||
ohlcv = exchange.refresh_latest_ohlcv([pair_tf])
|
ohlcv = exch.refresh_latest_ohlcv([pair_tf])
|
||||||
assert isinstance(ohlcv, dict)
|
assert isinstance(ohlcv, dict)
|
||||||
assert len(ohlcv[pair_tf]) == len(exchange.klines(pair_tf))
|
assert len(ohlcv[pair_tf]) == len(exch.klines(pair_tf))
|
||||||
# assert len(exchange.klines(pair_tf)) > 200
|
# assert len(exch.klines(pair_tf)) > 200
|
||||||
# Assume 90% uptime ...
|
# Assume 90% uptime ...
|
||||||
assert len(exchange.klines(pair_tf)) > exchange.ohlcv_candle_limit(
|
assert len(exch.klines(pair_tf)) > exch.ohlcv_candle_limit(
|
||||||
timeframe, CandleType.SPOT) * 0.90
|
timeframe, CandleType.SPOT) * 0.90
|
||||||
# Check if last-timeframe is within the last 2 intervals
|
# Check if last-timeframe is within the last 2 intervals
|
||||||
now = datetime.now(timezone.utc) - timedelta(minutes=(timeframe_to_minutes(timeframe) * 2))
|
now = datetime.now(timezone.utc) - timedelta(minutes=(timeframe_to_minutes(timeframe) * 2))
|
||||||
assert exchange.klines(pair_tf).iloc[-1]['date'] >= timeframe_to_prev_date(timeframe, now)
|
assert exch.klines(pair_tf).iloc[-1]['date'] >= timeframe_to_prev_date(timeframe, now)
|
||||||
|
|
||||||
def ccxt__async_get_candle_history(self, exchange, exchangename, pair, timeframe, candle_type):
|
def ccxt__async_get_candle_history(self, exchange, exchangename, pair, timeframe, candle_type):
|
||||||
|
|
||||||
|
|
@ -289,17 +292,17 @@ class TestCCXTExchange():
|
||||||
assert len(candles) >= min(candle_count, candle_count1)
|
assert len(candles) >= min(candle_count, candle_count1)
|
||||||
assert candles[0][0] == since_ms or (since_ms + timeframe_ms)
|
assert candles[0][0] == since_ms or (since_ms + timeframe_ms)
|
||||||
|
|
||||||
def test_ccxt__async_get_candle_history(self, exchange):
|
def test_ccxt__async_get_candle_history(self, exchange: EXCHANGE_FIXTURE_TYPE):
|
||||||
exchange, exchangename = exchange
|
exc, exchangename = exchange
|
||||||
# For some weired reason, this test returns random lengths for bittrex.
|
# For some weired reason, this test returns random lengths for bittrex.
|
||||||
if not exchange._ft_has['ohlcv_has_history'] or exchangename in ('bittrex'):
|
if not exc._ft_has['ohlcv_has_history'] or exchangename in ('bittrex'):
|
||||||
return
|
return
|
||||||
pair = EXCHANGES[exchangename]['pair']
|
pair = EXCHANGES[exchangename]['pair']
|
||||||
timeframe = EXCHANGES[exchangename]['timeframe']
|
timeframe = EXCHANGES[exchangename]['timeframe']
|
||||||
self.ccxt__async_get_candle_history(
|
self.ccxt__async_get_candle_history(
|
||||||
exchange, exchangename, pair, timeframe, CandleType.SPOT)
|
exc, exchangename, pair, timeframe, CandleType.SPOT)
|
||||||
|
|
||||||
def test_ccxt__async_get_candle_history_futures(self, exchange_futures):
|
def test_ccxt__async_get_candle_history_futures(self, exchange_futures: EXCHANGE_FIXTURE_TYPE):
|
||||||
exchange, exchangename = exchange_futures
|
exchange, exchangename = exchange_futures
|
||||||
if not exchange:
|
if not exchange:
|
||||||
# exchange_futures only returns values for supported exchanges
|
# exchange_futures only returns values for supported exchanges
|
||||||
|
|
@ -309,7 +312,7 @@ class TestCCXTExchange():
|
||||||
self.ccxt__async_get_candle_history(
|
self.ccxt__async_get_candle_history(
|
||||||
exchange, exchangename, pair, timeframe, CandleType.FUTURES)
|
exchange, exchangename, pair, timeframe, CandleType.FUTURES)
|
||||||
|
|
||||||
def test_ccxt_fetch_funding_rate_history(self, exchange_futures):
|
def test_ccxt_fetch_funding_rate_history(self, exchange_futures: EXCHANGE_FIXTURE_TYPE):
|
||||||
exchange, exchangename = exchange_futures
|
exchange, exchangename = exchange_futures
|
||||||
if not exchange:
|
if not exchange:
|
||||||
# exchange_futures only returns values for supported exchanges
|
# exchange_futures only returns values for supported exchanges
|
||||||
|
|
@ -347,7 +350,7 @@ class TestCCXTExchange():
|
||||||
(rate['open'].min() != rate['open'].max())
|
(rate['open'].min() != rate['open'].max())
|
||||||
)
|
)
|
||||||
|
|
||||||
def test_ccxt_fetch_mark_price_history(self, exchange_futures):
|
def test_ccxt_fetch_mark_price_history(self, exchange_futures: EXCHANGE_FIXTURE_TYPE):
|
||||||
exchange, exchangename = exchange_futures
|
exchange, exchangename = exchange_futures
|
||||||
if not exchange:
|
if not exchange:
|
||||||
# exchange_futures only returns values for supported exchanges
|
# exchange_futures only returns values for supported exchanges
|
||||||
|
|
@ -371,7 +374,7 @@ class TestCCXTExchange():
|
||||||
assert mark_candles[mark_candles['date'] == prev_hour].iloc[0]['open'] != 0.0
|
assert mark_candles[mark_candles['date'] == prev_hour].iloc[0]['open'] != 0.0
|
||||||
assert mark_candles[mark_candles['date'] == this_hour].iloc[0]['open'] != 0.0
|
assert mark_candles[mark_candles['date'] == this_hour].iloc[0]['open'] != 0.0
|
||||||
|
|
||||||
def test_ccxt__calculate_funding_fees(self, exchange_futures):
|
def test_ccxt__calculate_funding_fees(self, exchange_futures: EXCHANGE_FIXTURE_TYPE):
|
||||||
exchange, exchangename = exchange_futures
|
exchange, exchangename = exchange_futures
|
||||||
if not exchange:
|
if not exchange:
|
||||||
# exchange_futures only returns values for supported exchanges
|
# exchange_futures only returns values for supported exchanges
|
||||||
|
|
@ -387,16 +390,16 @@ class TestCCXTExchange():
|
||||||
|
|
||||||
# TODO: tests fetch_trades (?)
|
# TODO: tests fetch_trades (?)
|
||||||
|
|
||||||
def test_ccxt_get_fee(self, exchange):
|
def test_ccxt_get_fee(self, exchange: EXCHANGE_FIXTURE_TYPE):
|
||||||
exchange, exchangename = exchange
|
exch, exchangename = exchange
|
||||||
pair = EXCHANGES[exchangename]['pair']
|
pair = EXCHANGES[exchangename]['pair']
|
||||||
threshold = 0.01
|
threshold = 0.01
|
||||||
assert 0 < exchange.get_fee(pair, 'limit', 'buy') < threshold
|
assert 0 < exch.get_fee(pair, 'limit', 'buy') < threshold
|
||||||
assert 0 < exchange.get_fee(pair, 'limit', 'sell') < threshold
|
assert 0 < exch.get_fee(pair, 'limit', 'sell') < threshold
|
||||||
assert 0 < exchange.get_fee(pair, 'market', 'buy') < threshold
|
assert 0 < exch.get_fee(pair, 'market', 'buy') < threshold
|
||||||
assert 0 < exchange.get_fee(pair, 'market', 'sell') < threshold
|
assert 0 < exch.get_fee(pair, 'market', 'sell') < threshold
|
||||||
|
|
||||||
def test_ccxt_get_max_leverage_spot(self, exchange):
|
def test_ccxt_get_max_leverage_spot(self, exchange: EXCHANGE_FIXTURE_TYPE):
|
||||||
spot, spot_name = exchange
|
spot, spot_name = exchange
|
||||||
if spot:
|
if spot:
|
||||||
leverage_in_market_spot = EXCHANGES[spot_name].get('leverage_in_spot_market')
|
leverage_in_market_spot = EXCHANGES[spot_name].get('leverage_in_spot_market')
|
||||||
|
|
@ -406,7 +409,7 @@ class TestCCXTExchange():
|
||||||
assert (isinstance(spot_leverage, float) or isinstance(spot_leverage, int))
|
assert (isinstance(spot_leverage, float) or isinstance(spot_leverage, int))
|
||||||
assert spot_leverage >= 1.0
|
assert spot_leverage >= 1.0
|
||||||
|
|
||||||
def test_ccxt_get_max_leverage_futures(self, exchange_futures):
|
def test_ccxt_get_max_leverage_futures(self, exchange_futures: EXCHANGE_FIXTURE_TYPE):
|
||||||
futures, futures_name = exchange_futures
|
futures, futures_name = exchange_futures
|
||||||
if futures:
|
if futures:
|
||||||
leverage_tiers_public = EXCHANGES[futures_name].get('leverage_tiers_public')
|
leverage_tiers_public = EXCHANGES[futures_name].get('leverage_tiers_public')
|
||||||
|
|
@ -419,7 +422,7 @@ class TestCCXTExchange():
|
||||||
assert (isinstance(futures_leverage, float) or isinstance(futures_leverage, int))
|
assert (isinstance(futures_leverage, float) or isinstance(futures_leverage, int))
|
||||||
assert futures_leverage >= 1.0
|
assert futures_leverage >= 1.0
|
||||||
|
|
||||||
def test_ccxt_get_contract_size(self, exchange_futures):
|
def test_ccxt_get_contract_size(self, exchange_futures: EXCHANGE_FIXTURE_TYPE):
|
||||||
futures, futures_name = exchange_futures
|
futures, futures_name = exchange_futures
|
||||||
if futures:
|
if futures:
|
||||||
futures_pair = EXCHANGES[futures_name].get(
|
futures_pair = EXCHANGES[futures_name].get(
|
||||||
|
|
@ -430,7 +433,7 @@ class TestCCXTExchange():
|
||||||
assert (isinstance(contract_size, float) or isinstance(contract_size, int))
|
assert (isinstance(contract_size, float) or isinstance(contract_size, int))
|
||||||
assert contract_size >= 0.0
|
assert contract_size >= 0.0
|
||||||
|
|
||||||
def test_ccxt_load_leverage_tiers(self, exchange_futures):
|
def test_ccxt_load_leverage_tiers(self, exchange_futures: EXCHANGE_FIXTURE_TYPE):
|
||||||
futures, futures_name = exchange_futures
|
futures, futures_name = exchange_futures
|
||||||
if futures and EXCHANGES[futures_name].get('leverage_tiers_public'):
|
if futures and EXCHANGES[futures_name].get('leverage_tiers_public'):
|
||||||
leverage_tiers = futures.load_leverage_tiers()
|
leverage_tiers = futures.load_leverage_tiers()
|
||||||
|
|
@ -463,7 +466,7 @@ class TestCCXTExchange():
|
||||||
oldminNotional = tier['minNotional']
|
oldminNotional = tier['minNotional']
|
||||||
oldmaxNotional = tier['maxNotional']
|
oldmaxNotional = tier['maxNotional']
|
||||||
|
|
||||||
def test_ccxt_dry_run_liquidation_price(self, exchange_futures):
|
def test_ccxt_dry_run_liquidation_price(self, exchange_futures: EXCHANGE_FIXTURE_TYPE):
|
||||||
futures, futures_name = exchange_futures
|
futures, futures_name = exchange_futures
|
||||||
if futures and EXCHANGES[futures_name].get('leverage_tiers_public'):
|
if futures and EXCHANGES[futures_name].get('leverage_tiers_public'):
|
||||||
|
|
||||||
|
|
@ -494,7 +497,7 @@ class TestCCXTExchange():
|
||||||
assert (isinstance(liquidation_price, float))
|
assert (isinstance(liquidation_price, float))
|
||||||
assert liquidation_price >= 0.0
|
assert liquidation_price >= 0.0
|
||||||
|
|
||||||
def test_ccxt_get_max_pair_stake_amount(self, exchange_futures):
|
def test_ccxt_get_max_pair_stake_amount(self, exchange_futures: EXCHANGE_FIXTURE_TYPE):
|
||||||
futures, futures_name = exchange_futures
|
futures, futures_name = exchange_futures
|
||||||
if futures:
|
if futures:
|
||||||
futures_pair = EXCHANGES[futures_name].get(
|
futures_pair = EXCHANGES[futures_name].get(
|
||||||
|
|
|
||||||
|
|
@ -1,5 +1,6 @@
|
||||||
import pytest
|
import pytest
|
||||||
|
|
||||||
|
from freqtrade.exceptions import OperationalException
|
||||||
from freqtrade.leverage import interest
|
from freqtrade.leverage import interest
|
||||||
from freqtrade.util import FtPrecise
|
from freqtrade.util import FtPrecise
|
||||||
|
|
||||||
|
|
@ -29,3 +30,13 @@ def test_interest(exchange, interest_rate, hours, expected):
|
||||||
rate=FtPrecise(interest_rate),
|
rate=FtPrecise(interest_rate),
|
||||||
hours=hours
|
hours=hours
|
||||||
))) == expected
|
))) == expected
|
||||||
|
|
||||||
|
|
||||||
|
def test_interest_exception():
|
||||||
|
with pytest.raises(OperationalException, match=r"Leverage not available on .* with freqtrade"):
|
||||||
|
interest(
|
||||||
|
exchange_name='bitmex',
|
||||||
|
borrowed=FtPrecise(60.0),
|
||||||
|
rate=FtPrecise(0.0005),
|
||||||
|
hours=ten_mins
|
||||||
|
)
|
||||||
|
|
|
||||||
|
|
@ -710,6 +710,7 @@ def test_backtest_one(default_conf, fee, mocker, testdatadir) -> None:
|
||||||
expected = pd.DataFrame(
|
expected = pd.DataFrame(
|
||||||
{'pair': [pair, pair],
|
{'pair': [pair, pair],
|
||||||
'stake_amount': [0.001, 0.001],
|
'stake_amount': [0.001, 0.001],
|
||||||
|
'max_stake_amount': [0.001, 0.001],
|
||||||
'amount': [0.00957442, 0.0097064],
|
'amount': [0.00957442, 0.0097064],
|
||||||
'open_date': pd.to_datetime([Arrow(2018, 1, 29, 18, 40, 0).datetime,
|
'open_date': pd.to_datetime([Arrow(2018, 1, 29, 18, 40, 0).datetime,
|
||||||
Arrow(2018, 1, 30, 3, 30, 0).datetime], utc=True
|
Arrow(2018, 1, 30, 3, 30, 0).datetime], utc=True
|
||||||
|
|
|
||||||
|
|
@ -50,6 +50,7 @@ def test_backtest_position_adjustment(default_conf, fee, mocker, testdatadir) ->
|
||||||
expected = pd.DataFrame(
|
expected = pd.DataFrame(
|
||||||
{'pair': [pair, pair],
|
{'pair': [pair, pair],
|
||||||
'stake_amount': [500.0, 100.0],
|
'stake_amount': [500.0, 100.0],
|
||||||
|
'max_stake_amount': [500.0, 100],
|
||||||
'amount': [4806.87657523, 970.63960782],
|
'amount': [4806.87657523, 970.63960782],
|
||||||
'open_date': pd.to_datetime([Arrow(2018, 1, 29, 18, 40, 0).datetime,
|
'open_date': pd.to_datetime([Arrow(2018, 1, 29, 18, 40, 0).datetime,
|
||||||
Arrow(2018, 1, 30, 3, 30, 0).datetime], utc=True
|
Arrow(2018, 1, 30, 3, 30, 0).datetime], utc=True
|
||||||
|
|
|
||||||
|
|
@ -308,7 +308,7 @@ def test_generate_pair_metrics():
|
||||||
|
|
||||||
def test_generate_daily_stats(testdatadir):
|
def test_generate_daily_stats(testdatadir):
|
||||||
|
|
||||||
filename = testdatadir / "backtest_results/backtest-result_new.json"
|
filename = testdatadir / "backtest_results/backtest-result.json"
|
||||||
bt_data = load_backtest_data(filename)
|
bt_data = load_backtest_data(filename)
|
||||||
res = generate_daily_stats(bt_data)
|
res = generate_daily_stats(bt_data)
|
||||||
assert isinstance(res, dict)
|
assert isinstance(res, dict)
|
||||||
|
|
@ -328,7 +328,7 @@ def test_generate_daily_stats(testdatadir):
|
||||||
|
|
||||||
|
|
||||||
def test_generate_trading_stats(testdatadir):
|
def test_generate_trading_stats(testdatadir):
|
||||||
filename = testdatadir / "backtest_results/backtest-result_new.json"
|
filename = testdatadir / "backtest_results/backtest-result.json"
|
||||||
bt_data = load_backtest_data(filename)
|
bt_data = load_backtest_data(filename)
|
||||||
res = generate_trading_stats(bt_data)
|
res = generate_trading_stats(bt_data)
|
||||||
assert isinstance(res, dict)
|
assert isinstance(res, dict)
|
||||||
|
|
@ -444,7 +444,7 @@ def test_generate_edge_table():
|
||||||
|
|
||||||
|
|
||||||
def test_generate_periodic_breakdown_stats(testdatadir):
|
def test_generate_periodic_breakdown_stats(testdatadir):
|
||||||
filename = testdatadir / "backtest_results/backtest-result_new.json"
|
filename = testdatadir / "backtest_results/backtest-result.json"
|
||||||
bt_data = load_backtest_data(filename).to_dict(orient='records')
|
bt_data = load_backtest_data(filename).to_dict(orient='records')
|
||||||
|
|
||||||
res = generate_periodic_breakdown_stats(bt_data, 'day')
|
res = generate_periodic_breakdown_stats(bt_data, 'day')
|
||||||
|
|
@ -472,7 +472,7 @@ def test__get_resample_from_period():
|
||||||
|
|
||||||
|
|
||||||
def test_show_sorted_pairlist(testdatadir, default_conf, capsys):
|
def test_show_sorted_pairlist(testdatadir, default_conf, capsys):
|
||||||
filename = testdatadir / "backtest_results/backtest-result_new.json"
|
filename = testdatadir / "backtest_results/backtest-result.json"
|
||||||
bt_data = load_backtest_stats(filename)
|
bt_data = load_backtest_stats(filename)
|
||||||
default_conf['backtest_show_pair_list'] = True
|
default_conf['backtest_show_pair_list'] = True
|
||||||
|
|
||||||
|
|
|
||||||
|
|
@ -0,0 +1,412 @@
|
||||||
|
# pragma pylint: disable=missing-docstring, C0103
|
||||||
|
import logging
|
||||||
|
from pathlib import Path
|
||||||
|
from unittest.mock import MagicMock
|
||||||
|
|
||||||
|
import pytest
|
||||||
|
from sqlalchemy import create_engine, text
|
||||||
|
|
||||||
|
from freqtrade.constants import DEFAULT_DB_PROD_URL
|
||||||
|
from freqtrade.enums import TradingMode
|
||||||
|
from freqtrade.exceptions import OperationalException
|
||||||
|
from freqtrade.persistence import Trade, init_db
|
||||||
|
from freqtrade.persistence.migrations import get_last_sequence_ids, set_sequence_ids
|
||||||
|
from freqtrade.persistence.models import PairLock
|
||||||
|
from tests.conftest import log_has
|
||||||
|
|
||||||
|
|
||||||
|
spot, margin, futures = TradingMode.SPOT, TradingMode.MARGIN, TradingMode.FUTURES
|
||||||
|
|
||||||
|
|
||||||
|
def test_init_create_session(default_conf):
|
||||||
|
# Check if init create a session
|
||||||
|
init_db(default_conf['db_url'])
|
||||||
|
assert hasattr(Trade, '_session')
|
||||||
|
assert 'scoped_session' in type(Trade._session).__name__
|
||||||
|
|
||||||
|
|
||||||
|
def test_init_custom_db_url(default_conf, tmpdir):
|
||||||
|
# Update path to a value other than default, but still in-memory
|
||||||
|
filename = f"{tmpdir}/freqtrade2_test.sqlite"
|
||||||
|
assert not Path(filename).is_file()
|
||||||
|
|
||||||
|
default_conf.update({'db_url': f'sqlite:///{filename}'})
|
||||||
|
|
||||||
|
init_db(default_conf['db_url'])
|
||||||
|
assert Path(filename).is_file()
|
||||||
|
r = Trade._session.execute(text("PRAGMA journal_mode"))
|
||||||
|
assert r.first() == ('wal',)
|
||||||
|
|
||||||
|
|
||||||
|
def test_init_invalid_db_url():
|
||||||
|
# Update path to a value other than default, but still in-memory
|
||||||
|
with pytest.raises(OperationalException, match=r'.*no valid database URL*'):
|
||||||
|
init_db('unknown:///some.url')
|
||||||
|
|
||||||
|
with pytest.raises(OperationalException, match=r'Bad db-url.*For in-memory database, pl.*'):
|
||||||
|
init_db('sqlite:///')
|
||||||
|
|
||||||
|
|
||||||
|
def test_init_prod_db(default_conf, mocker):
|
||||||
|
default_conf.update({'dry_run': False})
|
||||||
|
default_conf.update({'db_url': DEFAULT_DB_PROD_URL})
|
||||||
|
|
||||||
|
create_engine_mock = mocker.patch('freqtrade.persistence.models.create_engine', MagicMock())
|
||||||
|
|
||||||
|
init_db(default_conf['db_url'])
|
||||||
|
assert create_engine_mock.call_count == 1
|
||||||
|
assert create_engine_mock.mock_calls[0][1][0] == 'sqlite:///tradesv3.sqlite'
|
||||||
|
|
||||||
|
|
||||||
|
def test_init_dryrun_db(default_conf, tmpdir):
|
||||||
|
filename = f"{tmpdir}/freqtrade2_prod.sqlite"
|
||||||
|
assert not Path(filename).is_file()
|
||||||
|
default_conf.update({
|
||||||
|
'dry_run': True,
|
||||||
|
'db_url': f'sqlite:///{filename}'
|
||||||
|
})
|
||||||
|
|
||||||
|
init_db(default_conf['db_url'])
|
||||||
|
assert Path(filename).is_file()
|
||||||
|
|
||||||
|
|
||||||
|
def test_migrate_new(mocker, default_conf, fee, caplog):
|
||||||
|
"""
|
||||||
|
Test Database migration (starting with new pairformat)
|
||||||
|
"""
|
||||||
|
caplog.set_level(logging.DEBUG)
|
||||||
|
amount = 103.223
|
||||||
|
# Always create all columns apart from the last!
|
||||||
|
create_table_old = """CREATE TABLE IF NOT EXISTS "trades" (
|
||||||
|
id INTEGER NOT NULL,
|
||||||
|
exchange VARCHAR NOT NULL,
|
||||||
|
pair VARCHAR NOT NULL,
|
||||||
|
is_open BOOLEAN NOT NULL,
|
||||||
|
fee FLOAT NOT NULL,
|
||||||
|
open_rate FLOAT,
|
||||||
|
close_rate FLOAT,
|
||||||
|
close_profit FLOAT,
|
||||||
|
stake_amount FLOAT NOT NULL,
|
||||||
|
amount FLOAT,
|
||||||
|
open_date DATETIME NOT NULL,
|
||||||
|
close_date DATETIME,
|
||||||
|
open_order_id VARCHAR,
|
||||||
|
stop_loss FLOAT,
|
||||||
|
initial_stop_loss FLOAT,
|
||||||
|
max_rate FLOAT,
|
||||||
|
sell_reason VARCHAR,
|
||||||
|
strategy VARCHAR,
|
||||||
|
ticker_interval INTEGER,
|
||||||
|
stoploss_order_id VARCHAR,
|
||||||
|
PRIMARY KEY (id),
|
||||||
|
CHECK (is_open IN (0, 1))
|
||||||
|
);"""
|
||||||
|
create_table_order = """CREATE TABLE orders (
|
||||||
|
id INTEGER NOT NULL,
|
||||||
|
ft_trade_id INTEGER,
|
||||||
|
ft_order_side VARCHAR(25) NOT NULL,
|
||||||
|
ft_pair VARCHAR(25) NOT NULL,
|
||||||
|
ft_is_open BOOLEAN NOT NULL,
|
||||||
|
order_id VARCHAR(255) NOT NULL,
|
||||||
|
status VARCHAR(255),
|
||||||
|
symbol VARCHAR(25),
|
||||||
|
order_type VARCHAR(50),
|
||||||
|
side VARCHAR(25),
|
||||||
|
price FLOAT,
|
||||||
|
amount FLOAT,
|
||||||
|
filled FLOAT,
|
||||||
|
remaining FLOAT,
|
||||||
|
cost FLOAT,
|
||||||
|
order_date DATETIME,
|
||||||
|
order_filled_date DATETIME,
|
||||||
|
order_update_date DATETIME,
|
||||||
|
PRIMARY KEY (id)
|
||||||
|
);"""
|
||||||
|
insert_table_old = """INSERT INTO trades (exchange, pair, is_open, fee,
|
||||||
|
open_rate, stake_amount, amount, open_date,
|
||||||
|
stop_loss, initial_stop_loss, max_rate, ticker_interval,
|
||||||
|
open_order_id, stoploss_order_id)
|
||||||
|
VALUES ('binance', 'ETC/BTC', 1, {fee},
|
||||||
|
0.00258580, {stake}, {amount},
|
||||||
|
'2019-11-28 12:44:24.000000',
|
||||||
|
0.0, 0.0, 0.0, '5m',
|
||||||
|
'buy_order', 'dry_stop_order_id222')
|
||||||
|
""".format(fee=fee.return_value,
|
||||||
|
stake=default_conf.get("stake_amount"),
|
||||||
|
amount=amount
|
||||||
|
)
|
||||||
|
insert_orders = f"""
|
||||||
|
insert into orders (
|
||||||
|
ft_trade_id,
|
||||||
|
ft_order_side,
|
||||||
|
ft_pair,
|
||||||
|
ft_is_open,
|
||||||
|
order_id,
|
||||||
|
status,
|
||||||
|
symbol,
|
||||||
|
order_type,
|
||||||
|
side,
|
||||||
|
price,
|
||||||
|
amount,
|
||||||
|
filled,
|
||||||
|
remaining,
|
||||||
|
cost)
|
||||||
|
values (
|
||||||
|
1,
|
||||||
|
'buy',
|
||||||
|
'ETC/BTC',
|
||||||
|
0,
|
||||||
|
'dry_buy_order',
|
||||||
|
'closed',
|
||||||
|
'ETC/BTC',
|
||||||
|
'limit',
|
||||||
|
'buy',
|
||||||
|
0.00258580,
|
||||||
|
{amount},
|
||||||
|
{amount},
|
||||||
|
0,
|
||||||
|
{amount * 0.00258580}
|
||||||
|
),
|
||||||
|
(
|
||||||
|
1,
|
||||||
|
'buy',
|
||||||
|
'ETC/BTC',
|
||||||
|
1,
|
||||||
|
'dry_buy_order22',
|
||||||
|
'canceled',
|
||||||
|
'ETC/BTC',
|
||||||
|
'limit',
|
||||||
|
'buy',
|
||||||
|
0.00258580,
|
||||||
|
{amount},
|
||||||
|
{amount},
|
||||||
|
0,
|
||||||
|
{amount * 0.00258580}
|
||||||
|
),
|
||||||
|
(
|
||||||
|
1,
|
||||||
|
'stoploss',
|
||||||
|
'ETC/BTC',
|
||||||
|
1,
|
||||||
|
'dry_stop_order_id11X',
|
||||||
|
'canceled',
|
||||||
|
'ETC/BTC',
|
||||||
|
'limit',
|
||||||
|
'sell',
|
||||||
|
0.00258580,
|
||||||
|
{amount},
|
||||||
|
{amount},
|
||||||
|
0,
|
||||||
|
{amount * 0.00258580}
|
||||||
|
),
|
||||||
|
(
|
||||||
|
1,
|
||||||
|
'stoploss',
|
||||||
|
'ETC/BTC',
|
||||||
|
1,
|
||||||
|
'dry_stop_order_id222',
|
||||||
|
'open',
|
||||||
|
'ETC/BTC',
|
||||||
|
'limit',
|
||||||
|
'sell',
|
||||||
|
0.00258580,
|
||||||
|
{amount},
|
||||||
|
{amount},
|
||||||
|
0,
|
||||||
|
{amount * 0.00258580}
|
||||||
|
)
|
||||||
|
"""
|
||||||
|
engine = create_engine('sqlite://')
|
||||||
|
mocker.patch('freqtrade.persistence.models.create_engine', lambda *args, **kwargs: engine)
|
||||||
|
|
||||||
|
# Create table using the old format
|
||||||
|
with engine.begin() as connection:
|
||||||
|
connection.execute(text(create_table_old))
|
||||||
|
connection.execute(text(create_table_order))
|
||||||
|
connection.execute(text("create index ix_trades_is_open on trades(is_open)"))
|
||||||
|
connection.execute(text("create index ix_trades_pair on trades(pair)"))
|
||||||
|
connection.execute(text(insert_table_old))
|
||||||
|
connection.execute(text(insert_orders))
|
||||||
|
|
||||||
|
# fake previous backup
|
||||||
|
connection.execute(text("create table trades_bak as select * from trades"))
|
||||||
|
|
||||||
|
connection.execute(text("create table trades_bak1 as select * from trades"))
|
||||||
|
# Run init to test migration
|
||||||
|
init_db(default_conf['db_url'])
|
||||||
|
|
||||||
|
assert len(Trade.query.filter(Trade.id == 1).all()) == 1
|
||||||
|
trade = Trade.query.filter(Trade.id == 1).first()
|
||||||
|
assert trade.fee_open == fee.return_value
|
||||||
|
assert trade.fee_close == fee.return_value
|
||||||
|
assert trade.open_rate_requested is None
|
||||||
|
assert trade.close_rate_requested is None
|
||||||
|
assert trade.is_open == 1
|
||||||
|
assert trade.amount == amount
|
||||||
|
assert trade.amount_requested == amount
|
||||||
|
assert trade.stake_amount == default_conf.get("stake_amount")
|
||||||
|
assert trade.pair == "ETC/BTC"
|
||||||
|
assert trade.exchange == "binance"
|
||||||
|
assert trade.max_rate == 0.0
|
||||||
|
assert trade.min_rate is None
|
||||||
|
assert trade.stop_loss == 0.0
|
||||||
|
assert trade.initial_stop_loss == 0.0
|
||||||
|
assert trade.exit_reason is None
|
||||||
|
assert trade.strategy is None
|
||||||
|
assert trade.timeframe == '5m'
|
||||||
|
assert trade.stoploss_order_id == 'dry_stop_order_id222'
|
||||||
|
assert trade.stoploss_last_update is None
|
||||||
|
assert log_has("trying trades_bak1", caplog)
|
||||||
|
assert log_has("trying trades_bak2", caplog)
|
||||||
|
assert log_has("Running database migration for trades - backup: trades_bak2, orders_bak0",
|
||||||
|
caplog)
|
||||||
|
assert log_has("Database migration finished.", caplog)
|
||||||
|
assert pytest.approx(trade.open_trade_value) == trade._calc_open_trade_value(
|
||||||
|
trade.amount, trade.open_rate)
|
||||||
|
assert trade.close_profit_abs is None
|
||||||
|
assert trade.stake_amount == trade.max_stake_amount
|
||||||
|
|
||||||
|
orders = trade.orders
|
||||||
|
assert len(orders) == 4
|
||||||
|
assert orders[0].order_id == 'dry_buy_order'
|
||||||
|
assert orders[0].ft_order_side == 'buy'
|
||||||
|
|
||||||
|
assert orders[-1].order_id == 'dry_stop_order_id222'
|
||||||
|
assert orders[-1].ft_order_side == 'stoploss'
|
||||||
|
assert orders[-1].ft_is_open is True
|
||||||
|
|
||||||
|
assert orders[1].order_id == 'dry_buy_order22'
|
||||||
|
assert orders[1].ft_order_side == 'buy'
|
||||||
|
assert orders[1].ft_is_open is False
|
||||||
|
|
||||||
|
assert orders[2].order_id == 'dry_stop_order_id11X'
|
||||||
|
assert orders[2].ft_order_side == 'stoploss'
|
||||||
|
assert orders[2].ft_is_open is False
|
||||||
|
|
||||||
|
|
||||||
|
def test_migrate_too_old(mocker, default_conf, fee, caplog):
|
||||||
|
"""
|
||||||
|
Test Database migration (starting with new pairformat)
|
||||||
|
"""
|
||||||
|
caplog.set_level(logging.DEBUG)
|
||||||
|
amount = 103.223
|
||||||
|
create_table_old = """CREATE TABLE IF NOT EXISTS "trades" (
|
||||||
|
id INTEGER NOT NULL,
|
||||||
|
exchange VARCHAR NOT NULL,
|
||||||
|
pair VARCHAR NOT NULL,
|
||||||
|
is_open BOOLEAN NOT NULL,
|
||||||
|
fee_open FLOAT NOT NULL,
|
||||||
|
fee_close FLOAT NOT NULL,
|
||||||
|
open_rate FLOAT,
|
||||||
|
close_rate FLOAT,
|
||||||
|
close_profit FLOAT,
|
||||||
|
stake_amount FLOAT NOT NULL,
|
||||||
|
amount FLOAT,
|
||||||
|
open_date DATETIME NOT NULL,
|
||||||
|
close_date DATETIME,
|
||||||
|
open_order_id VARCHAR,
|
||||||
|
PRIMARY KEY (id),
|
||||||
|
CHECK (is_open IN (0, 1))
|
||||||
|
);"""
|
||||||
|
|
||||||
|
insert_table_old = """INSERT INTO trades (exchange, pair, is_open, fee_open, fee_close,
|
||||||
|
open_rate, stake_amount, amount, open_date)
|
||||||
|
VALUES ('binance', 'ETC/BTC', 1, {fee}, {fee},
|
||||||
|
0.00258580, {stake}, {amount},
|
||||||
|
'2019-11-28 12:44:24.000000')
|
||||||
|
""".format(fee=fee.return_value,
|
||||||
|
stake=default_conf.get("stake_amount"),
|
||||||
|
amount=amount
|
||||||
|
)
|
||||||
|
engine = create_engine('sqlite://')
|
||||||
|
mocker.patch('freqtrade.persistence.models.create_engine', lambda *args, **kwargs: engine)
|
||||||
|
|
||||||
|
# Create table using the old format
|
||||||
|
with engine.begin() as connection:
|
||||||
|
connection.execute(text(create_table_old))
|
||||||
|
connection.execute(text(insert_table_old))
|
||||||
|
|
||||||
|
# Run init to test migration
|
||||||
|
with pytest.raises(OperationalException, match=r'Your database seems to be very old'):
|
||||||
|
init_db(default_conf['db_url'])
|
||||||
|
|
||||||
|
|
||||||
|
def test_migrate_get_last_sequence_ids():
|
||||||
|
engine = MagicMock()
|
||||||
|
engine.begin = MagicMock()
|
||||||
|
engine.name = 'postgresql'
|
||||||
|
get_last_sequence_ids(engine, 'trades_bak', 'orders_bak')
|
||||||
|
|
||||||
|
assert engine.begin.call_count == 2
|
||||||
|
engine.reset_mock()
|
||||||
|
engine.begin.reset_mock()
|
||||||
|
|
||||||
|
engine.name = 'somethingelse'
|
||||||
|
get_last_sequence_ids(engine, 'trades_bak', 'orders_bak')
|
||||||
|
|
||||||
|
assert engine.begin.call_count == 0
|
||||||
|
|
||||||
|
|
||||||
|
def test_migrate_set_sequence_ids():
|
||||||
|
engine = MagicMock()
|
||||||
|
engine.begin = MagicMock()
|
||||||
|
engine.name = 'postgresql'
|
||||||
|
set_sequence_ids(engine, 22, 55, 5)
|
||||||
|
|
||||||
|
assert engine.begin.call_count == 1
|
||||||
|
engine.reset_mock()
|
||||||
|
engine.begin.reset_mock()
|
||||||
|
|
||||||
|
engine.name = 'somethingelse'
|
||||||
|
set_sequence_ids(engine, 22, 55, 6)
|
||||||
|
|
||||||
|
assert engine.begin.call_count == 0
|
||||||
|
|
||||||
|
|
||||||
|
def test_migrate_pairlocks(mocker, default_conf, fee, caplog):
|
||||||
|
"""
|
||||||
|
Test Database migration (starting with new pairformat)
|
||||||
|
"""
|
||||||
|
caplog.set_level(logging.DEBUG)
|
||||||
|
# Always create all columns apart from the last!
|
||||||
|
create_table_old = """CREATE TABLE pairlocks (
|
||||||
|
id INTEGER NOT NULL,
|
||||||
|
pair VARCHAR(25) NOT NULL,
|
||||||
|
reason VARCHAR(255),
|
||||||
|
lock_time DATETIME NOT NULL,
|
||||||
|
lock_end_time DATETIME NOT NULL,
|
||||||
|
active BOOLEAN NOT NULL,
|
||||||
|
PRIMARY KEY (id)
|
||||||
|
)
|
||||||
|
"""
|
||||||
|
create_index1 = "CREATE INDEX ix_pairlocks_pair ON pairlocks (pair)"
|
||||||
|
create_index2 = "CREATE INDEX ix_pairlocks_lock_end_time ON pairlocks (lock_end_time)"
|
||||||
|
create_index3 = "CREATE INDEX ix_pairlocks_active ON pairlocks (active)"
|
||||||
|
insert_table_old = """INSERT INTO pairlocks (
|
||||||
|
id, pair, reason, lock_time, lock_end_time, active)
|
||||||
|
VALUES (1, 'ETH/BTC', 'Auto lock', '2021-07-12 18:41:03', '2021-07-11 18:45:00', 1)
|
||||||
|
"""
|
||||||
|
insert_table_old2 = """INSERT INTO pairlocks (
|
||||||
|
id, pair, reason, lock_time, lock_end_time, active)
|
||||||
|
VALUES (2, '*', 'Lock all', '2021-07-12 18:41:03', '2021-07-12 19:00:00', 1)
|
||||||
|
"""
|
||||||
|
engine = create_engine('sqlite://')
|
||||||
|
mocker.patch('freqtrade.persistence.models.create_engine', lambda *args, **kwargs: engine)
|
||||||
|
# Create table using the old format
|
||||||
|
with engine.begin() as connection:
|
||||||
|
connection.execute(text(create_table_old))
|
||||||
|
|
||||||
|
connection.execute(text(insert_table_old))
|
||||||
|
connection.execute(text(insert_table_old2))
|
||||||
|
connection.execute(text(create_index1))
|
||||||
|
connection.execute(text(create_index2))
|
||||||
|
connection.execute(text(create_index3))
|
||||||
|
|
||||||
|
init_db(default_conf['db_url'])
|
||||||
|
|
||||||
|
assert len(PairLock.query.all()) == 2
|
||||||
|
assert len(PairLock.query.filter(PairLock.pair == '*').all()) == 1
|
||||||
|
pairlocks = PairLock.query.filter(PairLock.pair == 'ETH/BTC').all()
|
||||||
|
assert len(pairlocks) == 1
|
||||||
|
pairlocks[0].pair == 'ETH/BTC'
|
||||||
|
pairlocks[0].side == '*'
|
||||||
|
|
@ -1,78 +1,20 @@
|
||||||
# pragma pylint: disable=missing-docstring, C0103
|
# pragma pylint: disable=missing-docstring, C0103
|
||||||
import logging
|
|
||||||
from datetime import datetime, timedelta, timezone
|
from datetime import datetime, timedelta, timezone
|
||||||
from pathlib import Path
|
|
||||||
from types import FunctionType
|
from types import FunctionType
|
||||||
from unittest.mock import MagicMock
|
|
||||||
|
|
||||||
import arrow
|
import arrow
|
||||||
import pytest
|
import pytest
|
||||||
from sqlalchemy import create_engine, text
|
|
||||||
|
|
||||||
from freqtrade.constants import DATETIME_PRINT_FORMAT, DEFAULT_DB_PROD_URL
|
from freqtrade.constants import DATETIME_PRINT_FORMAT
|
||||||
from freqtrade.enums import TradingMode
|
from freqtrade.enums import TradingMode
|
||||||
from freqtrade.exceptions import DependencyException, OperationalException
|
from freqtrade.exceptions import DependencyException
|
||||||
from freqtrade.persistence import LocalTrade, Order, Trade, init_db
|
from freqtrade.persistence import LocalTrade, Order, Trade, init_db
|
||||||
from freqtrade.persistence.migrations import get_last_sequence_ids, set_sequence_ids
|
|
||||||
from freqtrade.persistence.models import PairLock
|
|
||||||
from tests.conftest import create_mock_trades, create_mock_trades_with_leverage, log_has, log_has_re
|
from tests.conftest import create_mock_trades, create_mock_trades_with_leverage, log_has, log_has_re
|
||||||
|
|
||||||
|
|
||||||
spot, margin, futures = TradingMode.SPOT, TradingMode.MARGIN, TradingMode.FUTURES
|
spot, margin, futures = TradingMode.SPOT, TradingMode.MARGIN, TradingMode.FUTURES
|
||||||
|
|
||||||
|
|
||||||
def test_init_create_session(default_conf):
|
|
||||||
# Check if init create a session
|
|
||||||
init_db(default_conf['db_url'])
|
|
||||||
assert hasattr(Trade, '_session')
|
|
||||||
assert 'scoped_session' in type(Trade._session).__name__
|
|
||||||
|
|
||||||
|
|
||||||
def test_init_custom_db_url(default_conf, tmpdir):
|
|
||||||
# Update path to a value other than default, but still in-memory
|
|
||||||
filename = f"{tmpdir}/freqtrade2_test.sqlite"
|
|
||||||
assert not Path(filename).is_file()
|
|
||||||
|
|
||||||
default_conf.update({'db_url': f'sqlite:///{filename}'})
|
|
||||||
|
|
||||||
init_db(default_conf['db_url'])
|
|
||||||
assert Path(filename).is_file()
|
|
||||||
r = Trade._session.execute(text("PRAGMA journal_mode"))
|
|
||||||
assert r.first() == ('wal',)
|
|
||||||
|
|
||||||
|
|
||||||
def test_init_invalid_db_url():
|
|
||||||
# Update path to a value other than default, but still in-memory
|
|
||||||
with pytest.raises(OperationalException, match=r'.*no valid database URL*'):
|
|
||||||
init_db('unknown:///some.url')
|
|
||||||
|
|
||||||
with pytest.raises(OperationalException, match=r'Bad db-url.*For in-memory database, pl.*'):
|
|
||||||
init_db('sqlite:///')
|
|
||||||
|
|
||||||
|
|
||||||
def test_init_prod_db(default_conf, mocker):
|
|
||||||
default_conf.update({'dry_run': False})
|
|
||||||
default_conf.update({'db_url': DEFAULT_DB_PROD_URL})
|
|
||||||
|
|
||||||
create_engine_mock = mocker.patch('freqtrade.persistence.models.create_engine', MagicMock())
|
|
||||||
|
|
||||||
init_db(default_conf['db_url'])
|
|
||||||
assert create_engine_mock.call_count == 1
|
|
||||||
assert create_engine_mock.mock_calls[0][1][0] == 'sqlite:///tradesv3.sqlite'
|
|
||||||
|
|
||||||
|
|
||||||
def test_init_dryrun_db(default_conf, tmpdir):
|
|
||||||
filename = f"{tmpdir}/freqtrade2_prod.sqlite"
|
|
||||||
assert not Path(filename).is_file()
|
|
||||||
default_conf.update({
|
|
||||||
'dry_run': True,
|
|
||||||
'db_url': f'sqlite:///{filename}'
|
|
||||||
})
|
|
||||||
|
|
||||||
init_db(default_conf['db_url'])
|
|
||||||
assert Path(filename).is_file()
|
|
||||||
|
|
||||||
|
|
||||||
@pytest.mark.parametrize('is_short', [False, True])
|
@pytest.mark.parametrize('is_short', [False, True])
|
||||||
@pytest.mark.usefixtures("init_persistence")
|
@pytest.mark.usefixtures("init_persistence")
|
||||||
def test_enter_exit_side(fee, is_short):
|
def test_enter_exit_side(fee, is_short):
|
||||||
|
|
@ -316,8 +258,7 @@ def test_interest(fee, exchange, is_short, lev, minutes, rate, interest,
|
||||||
(True, 3.0, 30.0, margin),
|
(True, 3.0, 30.0, margin),
|
||||||
])
|
])
|
||||||
@pytest.mark.usefixtures("init_persistence")
|
@pytest.mark.usefixtures("init_persistence")
|
||||||
def test_borrowed(limit_buy_order_usdt, limit_sell_order_usdt, fee,
|
def test_borrowed(fee, is_short, lev, borrowed, trading_mode):
|
||||||
caplog, is_short, lev, borrowed, trading_mode):
|
|
||||||
"""
|
"""
|
||||||
10 minute limit trade on Binance/Kraken at 1x, 3x leverage
|
10 minute limit trade on Binance/Kraken at 1x, 3x leverage
|
||||||
fee: 0.25% quote
|
fee: 0.25% quote
|
||||||
|
|
@ -1204,347 +1145,6 @@ def test_calc_profit(
|
||||||
trade.open_rate)) == round(profit_ratio, 8)
|
trade.open_rate)) == round(profit_ratio, 8)
|
||||||
|
|
||||||
|
|
||||||
def test_migrate_new(mocker, default_conf, fee, caplog):
|
|
||||||
"""
|
|
||||||
Test Database migration (starting with new pairformat)
|
|
||||||
"""
|
|
||||||
caplog.set_level(logging.DEBUG)
|
|
||||||
amount = 103.223
|
|
||||||
# Always create all columns apart from the last!
|
|
||||||
create_table_old = """CREATE TABLE IF NOT EXISTS "trades" (
|
|
||||||
id INTEGER NOT NULL,
|
|
||||||
exchange VARCHAR NOT NULL,
|
|
||||||
pair VARCHAR NOT NULL,
|
|
||||||
is_open BOOLEAN NOT NULL,
|
|
||||||
fee FLOAT NOT NULL,
|
|
||||||
open_rate FLOAT,
|
|
||||||
close_rate FLOAT,
|
|
||||||
close_profit FLOAT,
|
|
||||||
stake_amount FLOAT NOT NULL,
|
|
||||||
amount FLOAT,
|
|
||||||
open_date DATETIME NOT NULL,
|
|
||||||
close_date DATETIME,
|
|
||||||
open_order_id VARCHAR,
|
|
||||||
stop_loss FLOAT,
|
|
||||||
initial_stop_loss FLOAT,
|
|
||||||
max_rate FLOAT,
|
|
||||||
sell_reason VARCHAR,
|
|
||||||
strategy VARCHAR,
|
|
||||||
ticker_interval INTEGER,
|
|
||||||
stoploss_order_id VARCHAR,
|
|
||||||
PRIMARY KEY (id),
|
|
||||||
CHECK (is_open IN (0, 1))
|
|
||||||
);"""
|
|
||||||
create_table_order = """CREATE TABLE orders (
|
|
||||||
id INTEGER NOT NULL,
|
|
||||||
ft_trade_id INTEGER,
|
|
||||||
ft_order_side VARCHAR(25) NOT NULL,
|
|
||||||
ft_pair VARCHAR(25) NOT NULL,
|
|
||||||
ft_is_open BOOLEAN NOT NULL,
|
|
||||||
order_id VARCHAR(255) NOT NULL,
|
|
||||||
status VARCHAR(255),
|
|
||||||
symbol VARCHAR(25),
|
|
||||||
order_type VARCHAR(50),
|
|
||||||
side VARCHAR(25),
|
|
||||||
price FLOAT,
|
|
||||||
amount FLOAT,
|
|
||||||
filled FLOAT,
|
|
||||||
remaining FLOAT,
|
|
||||||
cost FLOAT,
|
|
||||||
order_date DATETIME,
|
|
||||||
order_filled_date DATETIME,
|
|
||||||
order_update_date DATETIME,
|
|
||||||
PRIMARY KEY (id)
|
|
||||||
);"""
|
|
||||||
insert_table_old = """INSERT INTO trades (exchange, pair, is_open, fee,
|
|
||||||
open_rate, stake_amount, amount, open_date,
|
|
||||||
stop_loss, initial_stop_loss, max_rate, ticker_interval,
|
|
||||||
open_order_id, stoploss_order_id)
|
|
||||||
VALUES ('binance', 'ETC/BTC', 1, {fee},
|
|
||||||
0.00258580, {stake}, {amount},
|
|
||||||
'2019-11-28 12:44:24.000000',
|
|
||||||
0.0, 0.0, 0.0, '5m',
|
|
||||||
'buy_order', 'dry_stop_order_id222')
|
|
||||||
""".format(fee=fee.return_value,
|
|
||||||
stake=default_conf.get("stake_amount"),
|
|
||||||
amount=amount
|
|
||||||
)
|
|
||||||
insert_orders = f"""
|
|
||||||
insert into orders (
|
|
||||||
ft_trade_id,
|
|
||||||
ft_order_side,
|
|
||||||
ft_pair,
|
|
||||||
ft_is_open,
|
|
||||||
order_id,
|
|
||||||
status,
|
|
||||||
symbol,
|
|
||||||
order_type,
|
|
||||||
side,
|
|
||||||
price,
|
|
||||||
amount,
|
|
||||||
filled,
|
|
||||||
remaining,
|
|
||||||
cost)
|
|
||||||
values (
|
|
||||||
1,
|
|
||||||
'buy',
|
|
||||||
'ETC/BTC',
|
|
||||||
0,
|
|
||||||
'dry_buy_order',
|
|
||||||
'closed',
|
|
||||||
'ETC/BTC',
|
|
||||||
'limit',
|
|
||||||
'buy',
|
|
||||||
0.00258580,
|
|
||||||
{amount},
|
|
||||||
{amount},
|
|
||||||
0,
|
|
||||||
{amount * 0.00258580}
|
|
||||||
),
|
|
||||||
(
|
|
||||||
1,
|
|
||||||
'buy',
|
|
||||||
'ETC/BTC',
|
|
||||||
1,
|
|
||||||
'dry_buy_order22',
|
|
||||||
'canceled',
|
|
||||||
'ETC/BTC',
|
|
||||||
'limit',
|
|
||||||
'buy',
|
|
||||||
0.00258580,
|
|
||||||
{amount},
|
|
||||||
{amount},
|
|
||||||
0,
|
|
||||||
{amount * 0.00258580}
|
|
||||||
),
|
|
||||||
(
|
|
||||||
1,
|
|
||||||
'stoploss',
|
|
||||||
'ETC/BTC',
|
|
||||||
1,
|
|
||||||
'dry_stop_order_id11X',
|
|
||||||
'canceled',
|
|
||||||
'ETC/BTC',
|
|
||||||
'limit',
|
|
||||||
'sell',
|
|
||||||
0.00258580,
|
|
||||||
{amount},
|
|
||||||
{amount},
|
|
||||||
0,
|
|
||||||
{amount * 0.00258580}
|
|
||||||
),
|
|
||||||
(
|
|
||||||
1,
|
|
||||||
'stoploss',
|
|
||||||
'ETC/BTC',
|
|
||||||
1,
|
|
||||||
'dry_stop_order_id222',
|
|
||||||
'open',
|
|
||||||
'ETC/BTC',
|
|
||||||
'limit',
|
|
||||||
'sell',
|
|
||||||
0.00258580,
|
|
||||||
{amount},
|
|
||||||
{amount},
|
|
||||||
0,
|
|
||||||
{amount * 0.00258580}
|
|
||||||
)
|
|
||||||
"""
|
|
||||||
engine = create_engine('sqlite://')
|
|
||||||
mocker.patch('freqtrade.persistence.models.create_engine', lambda *args, **kwargs: engine)
|
|
||||||
|
|
||||||
# Create table using the old format
|
|
||||||
with engine.begin() as connection:
|
|
||||||
connection.execute(text(create_table_old))
|
|
||||||
connection.execute(text(create_table_order))
|
|
||||||
connection.execute(text("create index ix_trades_is_open on trades(is_open)"))
|
|
||||||
connection.execute(text("create index ix_trades_pair on trades(pair)"))
|
|
||||||
connection.execute(text(insert_table_old))
|
|
||||||
connection.execute(text(insert_orders))
|
|
||||||
|
|
||||||
# fake previous backup
|
|
||||||
connection.execute(text("create table trades_bak as select * from trades"))
|
|
||||||
|
|
||||||
connection.execute(text("create table trades_bak1 as select * from trades"))
|
|
||||||
# Run init to test migration
|
|
||||||
init_db(default_conf['db_url'])
|
|
||||||
|
|
||||||
assert len(Trade.query.filter(Trade.id == 1).all()) == 1
|
|
||||||
trade = Trade.query.filter(Trade.id == 1).first()
|
|
||||||
assert trade.fee_open == fee.return_value
|
|
||||||
assert trade.fee_close == fee.return_value
|
|
||||||
assert trade.open_rate_requested is None
|
|
||||||
assert trade.close_rate_requested is None
|
|
||||||
assert trade.is_open == 1
|
|
||||||
assert trade.amount == amount
|
|
||||||
assert trade.amount_requested == amount
|
|
||||||
assert trade.stake_amount == default_conf.get("stake_amount")
|
|
||||||
assert trade.pair == "ETC/BTC"
|
|
||||||
assert trade.exchange == "binance"
|
|
||||||
assert trade.max_rate == 0.0
|
|
||||||
assert trade.min_rate is None
|
|
||||||
assert trade.stop_loss == 0.0
|
|
||||||
assert trade.initial_stop_loss == 0.0
|
|
||||||
assert trade.exit_reason is None
|
|
||||||
assert trade.strategy is None
|
|
||||||
assert trade.timeframe == '5m'
|
|
||||||
assert trade.stoploss_order_id == 'dry_stop_order_id222'
|
|
||||||
assert trade.stoploss_last_update is None
|
|
||||||
assert log_has("trying trades_bak1", caplog)
|
|
||||||
assert log_has("trying trades_bak2", caplog)
|
|
||||||
assert log_has("Running database migration for trades - backup: trades_bak2, orders_bak0",
|
|
||||||
caplog)
|
|
||||||
assert log_has("Database migration finished.", caplog)
|
|
||||||
assert pytest.approx(trade.open_trade_value) == trade._calc_open_trade_value(
|
|
||||||
trade.amount, trade.open_rate)
|
|
||||||
assert trade.close_profit_abs is None
|
|
||||||
|
|
||||||
orders = trade.orders
|
|
||||||
assert len(orders) == 4
|
|
||||||
assert orders[0].order_id == 'dry_buy_order'
|
|
||||||
assert orders[0].ft_order_side == 'buy'
|
|
||||||
|
|
||||||
assert orders[-1].order_id == 'dry_stop_order_id222'
|
|
||||||
assert orders[-1].ft_order_side == 'stoploss'
|
|
||||||
assert orders[-1].ft_is_open is True
|
|
||||||
|
|
||||||
assert orders[1].order_id == 'dry_buy_order22'
|
|
||||||
assert orders[1].ft_order_side == 'buy'
|
|
||||||
assert orders[1].ft_is_open is False
|
|
||||||
|
|
||||||
assert orders[2].order_id == 'dry_stop_order_id11X'
|
|
||||||
assert orders[2].ft_order_side == 'stoploss'
|
|
||||||
assert orders[2].ft_is_open is False
|
|
||||||
|
|
||||||
|
|
||||||
def test_migrate_too_old(mocker, default_conf, fee, caplog):
|
|
||||||
"""
|
|
||||||
Test Database migration (starting with new pairformat)
|
|
||||||
"""
|
|
||||||
caplog.set_level(logging.DEBUG)
|
|
||||||
amount = 103.223
|
|
||||||
create_table_old = """CREATE TABLE IF NOT EXISTS "trades" (
|
|
||||||
id INTEGER NOT NULL,
|
|
||||||
exchange VARCHAR NOT NULL,
|
|
||||||
pair VARCHAR NOT NULL,
|
|
||||||
is_open BOOLEAN NOT NULL,
|
|
||||||
fee_open FLOAT NOT NULL,
|
|
||||||
fee_close FLOAT NOT NULL,
|
|
||||||
open_rate FLOAT,
|
|
||||||
close_rate FLOAT,
|
|
||||||
close_profit FLOAT,
|
|
||||||
stake_amount FLOAT NOT NULL,
|
|
||||||
amount FLOAT,
|
|
||||||
open_date DATETIME NOT NULL,
|
|
||||||
close_date DATETIME,
|
|
||||||
open_order_id VARCHAR,
|
|
||||||
PRIMARY KEY (id),
|
|
||||||
CHECK (is_open IN (0, 1))
|
|
||||||
);"""
|
|
||||||
|
|
||||||
insert_table_old = """INSERT INTO trades (exchange, pair, is_open, fee_open, fee_close,
|
|
||||||
open_rate, stake_amount, amount, open_date)
|
|
||||||
VALUES ('binance', 'ETC/BTC', 1, {fee}, {fee},
|
|
||||||
0.00258580, {stake}, {amount},
|
|
||||||
'2019-11-28 12:44:24.000000')
|
|
||||||
""".format(fee=fee.return_value,
|
|
||||||
stake=default_conf.get("stake_amount"),
|
|
||||||
amount=amount
|
|
||||||
)
|
|
||||||
engine = create_engine('sqlite://')
|
|
||||||
mocker.patch('freqtrade.persistence.models.create_engine', lambda *args, **kwargs: engine)
|
|
||||||
|
|
||||||
# Create table using the old format
|
|
||||||
with engine.begin() as connection:
|
|
||||||
connection.execute(text(create_table_old))
|
|
||||||
connection.execute(text(insert_table_old))
|
|
||||||
|
|
||||||
# Run init to test migration
|
|
||||||
with pytest.raises(OperationalException, match=r'Your database seems to be very old'):
|
|
||||||
init_db(default_conf['db_url'])
|
|
||||||
|
|
||||||
|
|
||||||
def test_migrate_get_last_sequence_ids():
|
|
||||||
engine = MagicMock()
|
|
||||||
engine.begin = MagicMock()
|
|
||||||
engine.name = 'postgresql'
|
|
||||||
get_last_sequence_ids(engine, 'trades_bak', 'orders_bak')
|
|
||||||
|
|
||||||
assert engine.begin.call_count == 2
|
|
||||||
engine.reset_mock()
|
|
||||||
engine.begin.reset_mock()
|
|
||||||
|
|
||||||
engine.name = 'somethingelse'
|
|
||||||
get_last_sequence_ids(engine, 'trades_bak', 'orders_bak')
|
|
||||||
|
|
||||||
assert engine.begin.call_count == 0
|
|
||||||
|
|
||||||
|
|
||||||
def test_migrate_set_sequence_ids():
|
|
||||||
engine = MagicMock()
|
|
||||||
engine.begin = MagicMock()
|
|
||||||
engine.name = 'postgresql'
|
|
||||||
set_sequence_ids(engine, 22, 55, 5)
|
|
||||||
|
|
||||||
assert engine.begin.call_count == 1
|
|
||||||
engine.reset_mock()
|
|
||||||
engine.begin.reset_mock()
|
|
||||||
|
|
||||||
engine.name = 'somethingelse'
|
|
||||||
set_sequence_ids(engine, 22, 55, 6)
|
|
||||||
|
|
||||||
assert engine.begin.call_count == 0
|
|
||||||
|
|
||||||
|
|
||||||
def test_migrate_pairlocks(mocker, default_conf, fee, caplog):
|
|
||||||
"""
|
|
||||||
Test Database migration (starting with new pairformat)
|
|
||||||
"""
|
|
||||||
caplog.set_level(logging.DEBUG)
|
|
||||||
# Always create all columns apart from the last!
|
|
||||||
create_table_old = """CREATE TABLE pairlocks (
|
|
||||||
id INTEGER NOT NULL,
|
|
||||||
pair VARCHAR(25) NOT NULL,
|
|
||||||
reason VARCHAR(255),
|
|
||||||
lock_time DATETIME NOT NULL,
|
|
||||||
lock_end_time DATETIME NOT NULL,
|
|
||||||
active BOOLEAN NOT NULL,
|
|
||||||
PRIMARY KEY (id)
|
|
||||||
)
|
|
||||||
"""
|
|
||||||
create_index1 = "CREATE INDEX ix_pairlocks_pair ON pairlocks (pair)"
|
|
||||||
create_index2 = "CREATE INDEX ix_pairlocks_lock_end_time ON pairlocks (lock_end_time)"
|
|
||||||
create_index3 = "CREATE INDEX ix_pairlocks_active ON pairlocks (active)"
|
|
||||||
insert_table_old = """INSERT INTO pairlocks (
|
|
||||||
id, pair, reason, lock_time, lock_end_time, active)
|
|
||||||
VALUES (1, 'ETH/BTC', 'Auto lock', '2021-07-12 18:41:03', '2021-07-11 18:45:00', 1)
|
|
||||||
"""
|
|
||||||
insert_table_old2 = """INSERT INTO pairlocks (
|
|
||||||
id, pair, reason, lock_time, lock_end_time, active)
|
|
||||||
VALUES (2, '*', 'Lock all', '2021-07-12 18:41:03', '2021-07-12 19:00:00', 1)
|
|
||||||
"""
|
|
||||||
engine = create_engine('sqlite://')
|
|
||||||
mocker.patch('freqtrade.persistence.models.create_engine', lambda *args, **kwargs: engine)
|
|
||||||
# Create table using the old format
|
|
||||||
with engine.begin() as connection:
|
|
||||||
connection.execute(text(create_table_old))
|
|
||||||
|
|
||||||
connection.execute(text(insert_table_old))
|
|
||||||
connection.execute(text(insert_table_old2))
|
|
||||||
connection.execute(text(create_index1))
|
|
||||||
connection.execute(text(create_index2))
|
|
||||||
connection.execute(text(create_index3))
|
|
||||||
|
|
||||||
init_db(default_conf['db_url'])
|
|
||||||
|
|
||||||
assert len(PairLock.query.all()) == 2
|
|
||||||
assert len(PairLock.query.filter(PairLock.pair == '*').all()) == 1
|
|
||||||
pairlocks = PairLock.query.filter(PairLock.pair == 'ETH/BTC').all()
|
|
||||||
assert len(pairlocks) == 1
|
|
||||||
pairlocks[0].pair == 'ETH/BTC'
|
|
||||||
pairlocks[0].side == '*'
|
|
||||||
|
|
||||||
|
|
||||||
def test_adjust_stop_loss(fee):
|
def test_adjust_stop_loss(fee):
|
||||||
trade = Trade(
|
trade = Trade(
|
||||||
pair='ADA/USDT',
|
pair='ADA/USDT',
|
||||||
|
|
@ -1758,6 +1358,7 @@ def test_to_json(fee):
|
||||||
'amount': 123.0,
|
'amount': 123.0,
|
||||||
'amount_requested': 123.0,
|
'amount_requested': 123.0,
|
||||||
'stake_amount': 0.001,
|
'stake_amount': 0.001,
|
||||||
|
'max_stake_amount': None,
|
||||||
'trade_duration': None,
|
'trade_duration': None,
|
||||||
'trade_duration_s': None,
|
'trade_duration_s': None,
|
||||||
'realized_profit': 0.0,
|
'realized_profit': 0.0,
|
||||||
|
|
@ -1767,7 +1368,6 @@ def test_to_json(fee):
|
||||||
'profit_ratio': None,
|
'profit_ratio': None,
|
||||||
'profit_pct': None,
|
'profit_pct': None,
|
||||||
'profit_abs': None,
|
'profit_abs': None,
|
||||||
'sell_reason': None,
|
|
||||||
'exit_reason': None,
|
'exit_reason': None,
|
||||||
'exit_order_status': None,
|
'exit_order_status': None,
|
||||||
'stop_loss_abs': None,
|
'stop_loss_abs': None,
|
||||||
|
|
@ -1782,7 +1382,6 @@ def test_to_json(fee):
|
||||||
'min_rate': None,
|
'min_rate': None,
|
||||||
'max_rate': None,
|
'max_rate': None,
|
||||||
'strategy': None,
|
'strategy': None,
|
||||||
'buy_tag': None,
|
|
||||||
'enter_tag': None,
|
'enter_tag': None,
|
||||||
'timeframe': None,
|
'timeframe': None,
|
||||||
'exchange': 'binance',
|
'exchange': 'binance',
|
||||||
|
|
@ -1826,6 +1425,7 @@ def test_to_json(fee):
|
||||||
'amount': 100.0,
|
'amount': 100.0,
|
||||||
'amount_requested': 101.0,
|
'amount_requested': 101.0,
|
||||||
'stake_amount': 0.001,
|
'stake_amount': 0.001,
|
||||||
|
'max_stake_amount': None,
|
||||||
'trade_duration': 60,
|
'trade_duration': 60,
|
||||||
'trade_duration_s': 3600,
|
'trade_duration_s': 3600,
|
||||||
'stop_loss_abs': None,
|
'stop_loss_abs': None,
|
||||||
|
|
@ -1857,11 +1457,9 @@ def test_to_json(fee):
|
||||||
'open_order_id': None,
|
'open_order_id': None,
|
||||||
'open_rate_requested': None,
|
'open_rate_requested': None,
|
||||||
'open_trade_value': 12.33075,
|
'open_trade_value': 12.33075,
|
||||||
'sell_reason': None,
|
|
||||||
'exit_reason': None,
|
'exit_reason': None,
|
||||||
'exit_order_status': None,
|
'exit_order_status': None,
|
||||||
'strategy': None,
|
'strategy': None,
|
||||||
'buy_tag': 'buys_signal_001',
|
|
||||||
'enter_tag': 'buys_signal_001',
|
'enter_tag': 'buys_signal_001',
|
||||||
'timeframe': None,
|
'timeframe': None,
|
||||||
'exchange': 'binance',
|
'exchange': 'binance',
|
||||||
|
|
|
||||||
|
|
@ -46,13 +46,11 @@ def test_rpc_trade_status(default_conf, ticker, fee, mocker) -> None:
|
||||||
'open_rate_requested': ANY,
|
'open_rate_requested': ANY,
|
||||||
'open_trade_value': 0.0010025,
|
'open_trade_value': 0.0010025,
|
||||||
'close_rate_requested': ANY,
|
'close_rate_requested': ANY,
|
||||||
'sell_reason': ANY,
|
|
||||||
'exit_reason': ANY,
|
'exit_reason': ANY,
|
||||||
'exit_order_status': ANY,
|
'exit_order_status': ANY,
|
||||||
'min_rate': ANY,
|
'min_rate': ANY,
|
||||||
'max_rate': ANY,
|
'max_rate': ANY,
|
||||||
'strategy': ANY,
|
'strategy': ANY,
|
||||||
'buy_tag': ANY,
|
|
||||||
'enter_tag': ANY,
|
'enter_tag': ANY,
|
||||||
'timeframe': 5,
|
'timeframe': 5,
|
||||||
'open_order_id': ANY,
|
'open_order_id': ANY,
|
||||||
|
|
@ -64,6 +62,7 @@ def test_rpc_trade_status(default_conf, ticker, fee, mocker) -> None:
|
||||||
'amount': 91.07468123,
|
'amount': 91.07468123,
|
||||||
'amount_requested': 91.07468124,
|
'amount_requested': 91.07468124,
|
||||||
'stake_amount': 0.001,
|
'stake_amount': 0.001,
|
||||||
|
'max_stake_amount': ANY,
|
||||||
'trade_duration': None,
|
'trade_duration': None,
|
||||||
'trade_duration_s': None,
|
'trade_duration_s': None,
|
||||||
'close_profit': None,
|
'close_profit': None,
|
||||||
|
|
|
||||||
|
|
@ -985,6 +985,7 @@ def test_api_status(botclient, mocker, ticker, fee, markets, is_short,
|
||||||
'base_currency': 'ETH',
|
'base_currency': 'ETH',
|
||||||
'quote_currency': 'BTC',
|
'quote_currency': 'BTC',
|
||||||
'stake_amount': 0.001,
|
'stake_amount': 0.001,
|
||||||
|
'max_stake_amount': ANY,
|
||||||
'stop_loss_abs': ANY,
|
'stop_loss_abs': ANY,
|
||||||
'stop_loss_pct': ANY,
|
'stop_loss_pct': ANY,
|
||||||
'stop_loss_ratio': ANY,
|
'stop_loss_ratio': ANY,
|
||||||
|
|
@ -1014,11 +1015,9 @@ def test_api_status(botclient, mocker, ticker, fee, markets, is_short,
|
||||||
'open_order_id': open_order_id,
|
'open_order_id': open_order_id,
|
||||||
'open_rate_requested': ANY,
|
'open_rate_requested': ANY,
|
||||||
'open_trade_value': open_trade_value,
|
'open_trade_value': open_trade_value,
|
||||||
'sell_reason': None,
|
|
||||||
'exit_reason': None,
|
'exit_reason': None,
|
||||||
'exit_order_status': None,
|
'exit_order_status': None,
|
||||||
'strategy': CURRENT_TEST_STRATEGY,
|
'strategy': CURRENT_TEST_STRATEGY,
|
||||||
'buy_tag': None,
|
|
||||||
'enter_tag': None,
|
'enter_tag': None,
|
||||||
'timeframe': 5,
|
'timeframe': 5,
|
||||||
'exchange': 'binance',
|
'exchange': 'binance',
|
||||||
|
|
@ -1188,6 +1187,7 @@ def test_api_force_entry(botclient, mocker, fee, endpoint):
|
||||||
'base_currency': 'ETH',
|
'base_currency': 'ETH',
|
||||||
'quote_currency': 'BTC',
|
'quote_currency': 'BTC',
|
||||||
'stake_amount': 1,
|
'stake_amount': 1,
|
||||||
|
'max_stake_amount': ANY,
|
||||||
'stop_loss_abs': None,
|
'stop_loss_abs': None,
|
||||||
'stop_loss_pct': None,
|
'stop_loss_pct': None,
|
||||||
'stop_loss_ratio': None,
|
'stop_loss_ratio': None,
|
||||||
|
|
@ -1218,11 +1218,9 @@ def test_api_force_entry(botclient, mocker, fee, endpoint):
|
||||||
'open_order_id': '123456',
|
'open_order_id': '123456',
|
||||||
'open_rate_requested': None,
|
'open_rate_requested': None,
|
||||||
'open_trade_value': 0.24605460,
|
'open_trade_value': 0.24605460,
|
||||||
'sell_reason': None,
|
|
||||||
'exit_reason': None,
|
'exit_reason': None,
|
||||||
'exit_order_status': None,
|
'exit_order_status': None,
|
||||||
'strategy': CURRENT_TEST_STRATEGY,
|
'strategy': CURRENT_TEST_STRATEGY,
|
||||||
'buy_tag': None,
|
|
||||||
'enter_tag': None,
|
'enter_tag': None,
|
||||||
'timeframe': 5,
|
'timeframe': 5,
|
||||||
'exchange': 'binance',
|
'exchange': 'binance',
|
||||||
|
|
@ -1709,7 +1707,7 @@ def test_api_backtest_history(botclient, mocker, testdatadir):
|
||||||
mocker.patch('freqtrade.data.btanalysis._get_backtest_files',
|
mocker.patch('freqtrade.data.btanalysis._get_backtest_files',
|
||||||
return_value=[
|
return_value=[
|
||||||
testdatadir / 'backtest_results/backtest-result_multistrat.json',
|
testdatadir / 'backtest_results/backtest-result_multistrat.json',
|
||||||
testdatadir / 'backtest_results/backtest-result_new.json'
|
testdatadir / 'backtest_results/backtest-result.json'
|
||||||
])
|
])
|
||||||
|
|
||||||
rc = client_get(client, f"{BASE_URI}/backtest/history")
|
rc = client_get(client, f"{BASE_URI}/backtest/history")
|
||||||
|
|
|
||||||
|
|
@ -46,7 +46,7 @@ def test_init_plotscript(default_conf, mocker, testdatadir):
|
||||||
default_conf['trade_source'] = "file"
|
default_conf['trade_source'] = "file"
|
||||||
default_conf['timeframe'] = "5m"
|
default_conf['timeframe'] = "5m"
|
||||||
default_conf["datadir"] = testdatadir
|
default_conf["datadir"] = testdatadir
|
||||||
default_conf['exportfilename'] = testdatadir / "backtest-result_new.json"
|
default_conf['exportfilename'] = testdatadir / "backtest-result.json"
|
||||||
supported_markets = ["TRX/BTC", "ADA/BTC"]
|
supported_markets = ["TRX/BTC", "ADA/BTC"]
|
||||||
ret = init_plotscript(default_conf, supported_markets)
|
ret = init_plotscript(default_conf, supported_markets)
|
||||||
assert "ohlcv" in ret
|
assert "ohlcv" in ret
|
||||||
|
|
@ -158,7 +158,7 @@ def test_plot_trades(testdatadir, caplog):
|
||||||
assert fig == fig1
|
assert fig == fig1
|
||||||
assert log_has("No trades found.", caplog)
|
assert log_has("No trades found.", caplog)
|
||||||
pair = "ADA/BTC"
|
pair = "ADA/BTC"
|
||||||
filename = testdatadir / "backtest_results/backtest-result_new.json"
|
filename = testdatadir / "backtest_results/backtest-result.json"
|
||||||
trades = load_backtest_data(filename)
|
trades = load_backtest_data(filename)
|
||||||
trades = trades.loc[trades['pair'] == pair]
|
trades = trades.loc[trades['pair'] == pair]
|
||||||
|
|
||||||
|
|
@ -299,7 +299,7 @@ def test_generate_plot_file(mocker, caplog):
|
||||||
|
|
||||||
|
|
||||||
def test_add_profit(testdatadir):
|
def test_add_profit(testdatadir):
|
||||||
filename = testdatadir / "backtest_results/backtest-result_new.json"
|
filename = testdatadir / "backtest_results/backtest-result.json"
|
||||||
bt_data = load_backtest_data(filename)
|
bt_data = load_backtest_data(filename)
|
||||||
timerange = TimeRange.parse_timerange("20180110-20180112")
|
timerange = TimeRange.parse_timerange("20180110-20180112")
|
||||||
|
|
||||||
|
|
@ -319,7 +319,7 @@ def test_add_profit(testdatadir):
|
||||||
|
|
||||||
|
|
||||||
def test_generate_profit_graph(testdatadir):
|
def test_generate_profit_graph(testdatadir):
|
||||||
filename = testdatadir / "backtest_results/backtest-result_new.json"
|
filename = testdatadir / "backtest_results/backtest-result.json"
|
||||||
trades = load_backtest_data(filename)
|
trades = load_backtest_data(filename)
|
||||||
timerange = TimeRange.parse_timerange("20180110-20180112")
|
timerange = TimeRange.parse_timerange("20180110-20180112")
|
||||||
pairs = ["TRX/BTC", "XLM/BTC"]
|
pairs = ["TRX/BTC", "XLM/BTC"]
|
||||||
|
|
@ -354,7 +354,7 @@ def test_generate_profit_graph(testdatadir):
|
||||||
|
|
||||||
profit = find_trace_in_fig_data(figure.data, "Profit")
|
profit = find_trace_in_fig_data(figure.data, "Profit")
|
||||||
assert isinstance(profit, go.Scatter)
|
assert isinstance(profit, go.Scatter)
|
||||||
drawdown = find_trace_in_fig_data(figure.data, "Max drawdown 35.69%")
|
drawdown = find_trace_in_fig_data(figure.data, "Max drawdown 73.89%")
|
||||||
assert isinstance(drawdown, go.Scatter)
|
assert isinstance(drawdown, go.Scatter)
|
||||||
parallel = find_trace_in_fig_data(figure.data, "Parallel trades")
|
parallel = find_trace_in_fig_data(figure.data, "Parallel trades")
|
||||||
assert isinstance(parallel, go.Scatter)
|
assert isinstance(parallel, go.Scatter)
|
||||||
|
|
@ -395,7 +395,7 @@ def test_load_and_plot_trades(default_conf, mocker, caplog, testdatadir):
|
||||||
|
|
||||||
default_conf['trade_source'] = 'file'
|
default_conf['trade_source'] = 'file'
|
||||||
default_conf["datadir"] = testdatadir
|
default_conf["datadir"] = testdatadir
|
||||||
default_conf['exportfilename'] = testdatadir / "backtest-result_new.json"
|
default_conf['exportfilename'] = testdatadir / "backtest-result.json"
|
||||||
default_conf['indicators1'] = ["sma5", "ema10"]
|
default_conf['indicators1'] = ["sma5", "ema10"]
|
||||||
default_conf['indicators2'] = ["macd"]
|
default_conf['indicators2'] = ["macd"]
|
||||||
default_conf['pairs'] = ["ETH/BTC", "LTC/BTC"]
|
default_conf['pairs'] = ["ETH/BTC", "LTC/BTC"]
|
||||||
|
|
@ -466,7 +466,7 @@ def test_plot_profit(default_conf, mocker, testdatadir):
|
||||||
match=r"No trades found, cannot generate Profit-plot.*"):
|
match=r"No trades found, cannot generate Profit-plot.*"):
|
||||||
plot_profit(default_conf)
|
plot_profit(default_conf)
|
||||||
|
|
||||||
default_conf['exportfilename'] = testdatadir / "backtest_results/backtest-result_new.json"
|
default_conf['exportfilename'] = testdatadir / "backtest_results/backtest-result.json"
|
||||||
|
|
||||||
plot_profit(default_conf)
|
plot_profit(default_conf)
|
||||||
|
|
||||||
|
|
|
||||||
|
|
@ -1 +1 @@
|
||||||
{"latest_backtest":"backtest-result_new.json"}
|
{"latest_backtest":"backtest-result.json"}
|
||||||
|
|
|
||||||
File diff suppressed because one or more lines are too long
File diff suppressed because one or more lines are too long
Loading…
Reference in New Issue