diff --git a/docs/includes/pairlists.md b/docs/includes/pairlists.md index 69e12d5dc..b612a4ddf 100644 --- a/docs/includes/pairlists.md +++ b/docs/includes/pairlists.md @@ -165,6 +165,7 @@ Example to remove the first 10 pairs from the pairlist: ```json "pairlists": [ + // ... { "method": "OffsetFilter", "offset": 10 @@ -190,6 +191,19 @@ Sorts pairs by past trade performance, as follows: Trade count is used as a tie breaker. +You can use the `minutes` parameter to only consider performance of the past X minutes (rolling window). +Not defining this parameter (or setting it to 0) will use all-time performance. + +```json +"pairlists": [ + // ... + { + "method": "PerformanceFilter", + "minutes": 1440 // rolling 24h + } +], +``` + !!! Note `PerformanceFilter` does not support backtesting mode. diff --git a/docs/strategy-advanced.md b/docs/strategy-advanced.md index 4409af6ea..2b9517f3b 100644 --- a/docs/strategy-advanced.md +++ b/docs/strategy-advanced.md @@ -288,6 +288,12 @@ Stoploss values returned from `custom_stoploss()` always specify a percentage re The helper function [`stoploss_from_open()`](strategy-customization.md#stoploss_from_open) can be used to convert from an open price relative stop, to a current price relative stop which can be returned from `custom_stoploss()`. +### Calculating stoploss percentage from absolute price + +Stoploss values returned from `custom_stoploss()` always specify a percentage relative to `current_rate`. In order to set a stoploss at specified absolute price level, we need to use `stop_rate` to calculate what percentage relative to the `current_rate` will give you the same result as if the percentage was specified from the open price. + +The helper function [`stoploss_from_absolute()`](strategy-customization.md#stoploss_from_absolute) can be used to convert from an absolute price, to a current price relative stop which can be returned from `custom_stoploss()`. + #### Stepped stoploss Instead of continuously trailing behind the current price, this example sets fixed stoploss price levels based on the current profit. diff --git a/docs/strategy-customization.md b/docs/strategy-customization.md index cfea60d22..725252b30 100644 --- a/docs/strategy-customization.md +++ b/docs/strategy-customization.md @@ -639,6 +639,167 @@ Stoploss values returned from `custom_stoploss` must specify a percentage relati Full examples can be found in the [Custom stoploss](strategy-advanced.md#custom-stoploss) section of the Documentation. +!!! Note + Providing invalid input to `stoploss_from_open()` may produce "CustomStoploss function did not return valid stoploss" warnings. + This may happen if `current_profit` parameter is below specified `open_relative_stop`. Such situations may arise when closing trade + is blocked by `confirm_trade_exit()` method. Warnings can be solved by never blocking stop loss sells by checking `sell_reason` in + `confirm_trade_exit()`, or by using `return stoploss_from_open(...) or 1` idiom, which will request to not change stop loss when + `current_profit < open_relative_stop`. + +### *stoploss_from_absolute()* + +In some situations it may be confusing to deal with stops relative to current rate. Instead, you may define a stoploss level using an absolute price. + +??? Example "Returning a stoploss using absolute price from the custom stoploss function" + + If we want to trail a stop price at 2xATR below current proce we can call `stoploss_from_absolute(current_rate - (candle['atr'] * 2), current_rate)`. + + ``` python + + from datetime import datetime + from freqtrade.persistence import Trade + from freqtrade.strategy import IStrategy, stoploss_from_open + + class AwesomeStrategy(IStrategy): + + use_custom_stoploss = True + + def populate_indicators_1h(self, dataframe: DataFrame, metadata: dict) -> DataFrame: + dataframe['atr'] = ta.ATR(dataframe, timeperiod=14) + return dataframe + + def custom_stoploss(self, pair: str, trade: 'Trade', current_time: datetime, + current_rate: float, current_profit: float, **kwargs) -> float: + dataframe, _ = self.dp.get_analyzed_dataframe(pair, self.timeframe) + candle = dataframe.iloc[-1].squeeze() + return stoploss_from_absolute(current_rate - (candle['atr'] * 2), current_rate) + + ``` + +### *@informative()* + +``` python +def informative(timeframe: str, asset: str = '', + fmt: Optional[Union[str, Callable[[KwArg(str)], str]]] = None, + ffill: bool = True) -> Callable[[PopulateIndicators], PopulateIndicators]: + """ + A decorator for populate_indicators_Nn(self, dataframe, metadata), allowing these functions to + define informative indicators. + + Example usage: + + @informative('1h') + def populate_indicators_1h(self, dataframe: DataFrame, metadata: dict) -> DataFrame: + dataframe['rsi'] = ta.RSI(dataframe, timeperiod=14) + return dataframe + + :param timeframe: Informative timeframe. Must always be equal or higher than strategy timeframe. + :param asset: Informative asset, for example BTC, BTC/USDT, ETH/BTC. Do not specify to use + current pair. + :param fmt: Column format (str) or column formatter (callable(name, asset, timeframe)). When not + specified, defaults to: + * {base}_{quote}_{column}_{timeframe} if asset is specified. + * {column}_{timeframe} if asset is not specified. + Format string supports these format variables: + * {asset} - full name of the asset, for example 'BTC/USDT'. + * {base} - base currency in lower case, for example 'eth'. + * {BASE} - same as {base}, except in upper case. + * {quote} - quote currency in lower case, for example 'usdt'. + * {QUOTE} - same as {quote}, except in upper case. + * {column} - name of dataframe column. + * {timeframe} - timeframe of informative dataframe. + :param ffill: ffill dataframe after merging informative pair. + """ +``` + +In most common case it is possible to easily define informative pairs by using a decorator. All decorated `populate_indicators_*` methods run in isolation, +not having access to data from other informative pairs, in the end all informative dataframes are merged and passed to main `populate_indicators()` method. +When hyperopting, use of hyperoptable parameter `.value` attribute is not supported. Please use `.range` attribute. See [optimizing an indicator parameter](hyperopt.md#optimizing-an-indicator-parameter) +for more information. + +??? Example "Fast and easy way to define informative pairs" + + Most of the time we do not need power and flexibility offered by `merge_informative_pair()`, therefore we can use a decorator to quickly define informative pairs. + + ``` python + + from datetime import datetime + from freqtrade.persistence import Trade + from freqtrade.strategy import IStrategy, informative + + class AwesomeStrategy(IStrategy): + + # This method is not required. + # def informative_pairs(self): ... + + # Define informative upper timeframe for each pair. Decorators can be stacked on same + # method. Available in populate_indicators as 'rsi_30m' and 'rsi_1h'. + @informative('30m') + @informative('1h') + def populate_indicators_1h(self, dataframe: DataFrame, metadata: dict) -> DataFrame: + dataframe['rsi'] = ta.RSI(dataframe, timeperiod=14) + return dataframe + + # Define BTC/STAKE informative pair. Available in populate_indicators and other methods as + # 'btc_rsi_1h'. Current stake currency should be specified as {stake} format variable + # instead of hardcoding actual stake currency. Available in populate_indicators and other + # methods as 'btc_usdt_rsi_1h' (when stake currency is USDT). + @informative('1h', 'BTC/{stake}') + def populate_indicators_btc_1h(self, dataframe: DataFrame, metadata: dict) -> DataFrame: + dataframe['rsi'] = ta.RSI(dataframe, timeperiod=14) + return dataframe + + # Define BTC/ETH informative pair. You must specify quote currency if it is different from + # stake currency. Available in populate_indicators and other methods as 'eth_btc_rsi_1h'. + @informative('1h', 'ETH/BTC') + def populate_indicators_eth_btc_1h(self, dataframe: DataFrame, metadata: dict) -> DataFrame: + dataframe['rsi'] = ta.RSI(dataframe, timeperiod=14) + return dataframe + + # Define BTC/STAKE informative pair. A custom formatter may be specified for formatting + # column names. A callable `fmt(**kwargs) -> str` may be specified, to implement custom + # formatting. Available in populate_indicators and other methods as 'rsi_upper'. + @informative('1h', 'BTC/{stake}', '{column}') + def populate_indicators_btc_1h_2(self, dataframe: DataFrame, metadata: dict) -> DataFrame: + dataframe['rsi_upper'] = ta.RSI(dataframe, timeperiod=14) + return dataframe + + def populate_indicators(self, dataframe: DataFrame, metadata: dict) -> DataFrame: + # Strategy timeframe indicators for current pair. + dataframe['rsi'] = ta.RSI(dataframe, timeperiod=14) + # Informative pairs are available in this method. + dataframe['rsi_less'] = dataframe['rsi'] < dataframe['rsi_1h'] + return dataframe + + ``` + +!!! Note + Do not use `@informative` decorator if you need to use data of one informative pair when generating another informative pair. Instead, define informative pairs + manually as described [in the DataProvider section](#complete-data-provider-sample). + +!!! Note + Use string formatting when accessing informative dataframes of other pairs. This will allow easily changing stake currency in config without having to adjust strategy code. + + ``` python + def populate_buy_trend(self, dataframe: DataFrame, metadata: dict) -> DataFrame: + stake = self.config['stake_currency'] + dataframe.loc[ + ( + (dataframe[f'btc_{stake}_rsi_1h'] < 35) + & + (dataframe['volume'] > 0) + ), + ['buy', 'buy_tag']] = (1, 'buy_signal_rsi') + + return dataframe + ``` + + Alternatively column renaming may be used to remove stake currency from column names: `@informative('1h', 'BTC/{stake}', fmt='{base}_{column}_{timeframe}')`. + +!!! Warning "Duplicate method names" + Methods tagged with `@informative()` decorator must always have unique names! Re-using same name (for example when copy-pasting already defined informative method) + will overwrite previously defined method and not produce any errors due to limitations of Python programming language. In such cases you will find that indicators + created in earlier-defined methods are not available in the dataframe. Carefully review method names and make sure they are unique! ## Additional data (Wallets) diff --git a/freqtrade/commands/hyperopt_commands.py b/freqtrade/commands/hyperopt_commands.py index d2d30f399..ec1ff92cf 100755 --- a/freqtrade/commands/hyperopt_commands.py +++ b/freqtrade/commands/hyperopt_commands.py @@ -53,7 +53,7 @@ def start_hyperopt_list(args: Dict[str, Any]) -> None: if epochs and export_csv: HyperoptTools.export_csv_file( - config, epochs, total_epochs, not config.get('hyperopt_list_best', False), export_csv + config, epochs, export_csv ) diff --git a/freqtrade/edge/edge_positioning.py b/freqtrade/edge/edge_positioning.py index f12b1b37d..1950f0d08 100644 --- a/freqtrade/edge/edge_positioning.py +++ b/freqtrade/edge/edge_positioning.py @@ -119,7 +119,7 @@ class Edge: ) # Download informative pairs too res = defaultdict(list) - for p, t in self.strategy.informative_pairs(): + for p, t in self.strategy.gather_informative_pairs(): res[t].append(p) for timeframe, inf_pairs in res.items(): timerange_startup = deepcopy(self._timerange) diff --git a/freqtrade/freqtradebot.py b/freqtrade/freqtradebot.py index 2738ec634..ae4970ea3 100644 --- a/freqtrade/freqtradebot.py +++ b/freqtrade/freqtradebot.py @@ -85,10 +85,10 @@ class FreqtradeBot(LoggingMixin): self.dataprovider = DataProvider(self.config, self.exchange, self.pairlists) - # Attach Dataprovider to Strategy baseclass - IStrategy.dp = self.dataprovider - # Attach Wallets to Strategy baseclass - IStrategy.wallets = self.wallets + # Attach Dataprovider to strategy instance + self.strategy.dp = self.dataprovider + # Attach Wallets to strategy instance + self.strategy.wallets = self.wallets # Initializing Edge only if enabled self.edge = Edge(self.config, self.exchange, self.strategy) if \ @@ -162,7 +162,7 @@ class FreqtradeBot(LoggingMixin): # Refreshing candles self.dataprovider.refresh(self.pairlists.create_pair_list(self.active_pair_whitelist), - self.strategy.informative_pairs()) + self.strategy.gather_informative_pairs()) strategy_safe_wrapper(self.strategy.bot_loop_start, supress_error=True)() diff --git a/freqtrade/optimize/backtesting.py b/freqtrade/optimize/backtesting.py index 9bbb15fb2..d4964746a 100644 --- a/freqtrade/optimize/backtesting.py +++ b/freqtrade/optimize/backtesting.py @@ -154,7 +154,7 @@ class Backtesting: self.strategy: IStrategy = strategy strategy.dp = self.dataprovider # Attach Wallets to Strategy baseclass - IStrategy.wallets = self.wallets + strategy.wallets = self.wallets # Set stoploss_on_exchange to false for backtesting, # since a "perfect" stoploss-sell is assumed anyway # And the regular "stoploss" function would not apply to that case diff --git a/freqtrade/optimize/edge_cli.py b/freqtrade/optimize/edge_cli.py index 417faa685..f211da750 100644 --- a/freqtrade/optimize/edge_cli.py +++ b/freqtrade/optimize/edge_cli.py @@ -8,6 +8,7 @@ from typing import Any, Dict from freqtrade import constants from freqtrade.configuration import TimeRange, validate_config_consistency +from freqtrade.data.dataprovider import DataProvider from freqtrade.edge import Edge from freqtrade.optimize.optimize_reports import generate_edge_table from freqtrade.resolvers import ExchangeResolver, StrategyResolver @@ -33,6 +34,7 @@ class EdgeCli: self.config['stake_amount'] = constants.UNLIMITED_STAKE_AMOUNT self.exchange = ExchangeResolver.load_exchange(self.config['exchange']['name'], self.config) self.strategy = StrategyResolver.load_strategy(self.config) + self.strategy.dp = DataProvider(config, None) validate_config_consistency(self.config) diff --git a/freqtrade/optimize/hyperopt_tools.py b/freqtrade/optimize/hyperopt_tools.py index b2e024f65..cfbc2757e 100755 --- a/freqtrade/optimize/hyperopt_tools.py +++ b/freqtrade/optimize/hyperopt_tools.py @@ -7,6 +7,7 @@ from pathlib import Path from typing import Any, Dict, Iterator, List, Optional, Tuple import numpy as np +import pandas as pd import rapidjson import tabulate from colorama import Fore, Style @@ -298,8 +299,8 @@ class HyperoptTools(): f"Objective: {results['loss']:.5f}") @staticmethod - def prepare_trials_columns(trials, legacy_mode: bool, has_drawdown: bool) -> str: - + def prepare_trials_columns(trials: pd.DataFrame, legacy_mode: bool, + has_drawdown: bool) -> pd.DataFrame: trials['Best'] = '' if 'results_metrics.winsdrawslosses' not in trials.columns: @@ -435,8 +436,7 @@ class HyperoptTools(): return table @staticmethod - def export_csv_file(config: dict, results: list, total_epochs: int, highlight_best: bool, - csv_file: str) -> None: + def export_csv_file(config: dict, results: list, csv_file: str) -> None: """ Log result to csv-file """ diff --git a/freqtrade/persistence/models.py b/freqtrade/persistence/models.py index 84e402ce5..fe97c4a70 100644 --- a/freqtrade/persistence/models.py +++ b/freqtrade/persistence/models.py @@ -2,7 +2,7 @@ This module contains the class to persist trades into SQLite """ import logging -from datetime import datetime, timezone +from datetime import datetime, timedelta, timezone from decimal import Decimal from typing import Any, Dict, List, Optional @@ -1026,17 +1026,21 @@ class Trade(_DECL_BASE, LocalTrade): return total_open_stake_amount or 0 @staticmethod - def get_overall_performance() -> List[Dict[str, Any]]: + def get_overall_performance(minutes=None) -> List[Dict[str, Any]]: """ Returns List of dicts containing all Trades, including profit and trade count NOTE: Not supported in Backtesting. """ + filters = [Trade.is_open.is_(False)] + if minutes: + start_date = datetime.now(timezone.utc) - timedelta(minutes=minutes) + filters.append(Trade.close_date >= start_date) pair_rates = Trade.query.with_entities( Trade.pair, func.sum(Trade.close_profit).label('profit_sum'), func.sum(Trade.close_profit_abs).label('profit_sum_abs'), func.count(Trade.pair).label('count') - ).filter(Trade.is_open.is_(False))\ + ).filter(*filters)\ .group_by(Trade.pair) \ .order_by(desc('profit_sum_abs')) \ .all() diff --git a/freqtrade/plugins/pairlist/PerformanceFilter.py b/freqtrade/plugins/pairlist/PerformanceFilter.py index 46a289ae6..301ee57ab 100644 --- a/freqtrade/plugins/pairlist/PerformanceFilter.py +++ b/freqtrade/plugins/pairlist/PerformanceFilter.py @@ -2,7 +2,7 @@ Performance pair list filter """ import logging -from typing import Dict, List +from typing import Any, Dict, List import pandas as pd @@ -15,6 +15,13 @@ logger = logging.getLogger(__name__) class PerformanceFilter(IPairList): + def __init__(self, exchange, pairlistmanager, + config: Dict[str, Any], pairlistconfig: Dict[str, Any], + pairlist_pos: int) -> None: + super().__init__(exchange, pairlistmanager, config, pairlistconfig, pairlist_pos) + + self._minutes = pairlistconfig.get('minutes', 0) + @property def needstickers(self) -> bool: """ @@ -40,7 +47,7 @@ class PerformanceFilter(IPairList): """ # Get the trading performance for pairs from database try: - performance = pd.DataFrame(Trade.get_overall_performance()) + performance = pd.DataFrame(Trade.get_overall_performance(self._minutes)) except AttributeError: # Performancefilter does not work in backtesting. self.log_once("PerformanceFilter is not available in this mode.", logger.warning) diff --git a/freqtrade/rpc/api_server/api_schemas.py b/freqtrade/rpc/api_server/api_schemas.py index 3adbebc16..46187f571 100644 --- a/freqtrade/rpc/api_server/api_schemas.py +++ b/freqtrade/rpc/api_server/api_schemas.py @@ -46,6 +46,12 @@ class Balances(BaseModel): value: float stake: str note: str + starting_capital: float + starting_capital_ratio: float + starting_capital_pct: float + starting_capital_fiat: float + starting_capital_fiat_ratio: float + starting_capital_fiat_pct: float class Count(BaseModel): diff --git a/freqtrade/rpc/rpc.py b/freqtrade/rpc/rpc.py index 7facacf97..b50f90de8 100644 --- a/freqtrade/rpc/rpc.py +++ b/freqtrade/rpc/rpc.py @@ -459,6 +459,9 @@ class RPC: raise RPCException('Error getting current tickers.') self._freqtrade.wallets.update(require_update=False) + starting_capital = self._freqtrade.wallets.get_starting_balance() + starting_cap_fiat = self._fiat_converter.convert_amount( + starting_capital, stake_currency, fiat_display_currency) if self._fiat_converter else 0 for coin, balance in self._freqtrade.wallets.get_all_balances().items(): if not balance.total: @@ -494,15 +497,25 @@ class RPC: else: raise RPCException('All balances are zero.') - symbol = fiat_display_currency - value = self._fiat_converter.convert_amount(total, stake_currency, - symbol) if self._fiat_converter else 0 + value = self._fiat_converter.convert_amount( + total, stake_currency, fiat_display_currency) if self._fiat_converter else 0 + + starting_capital_ratio = 0.0 + starting_capital_ratio = (total / starting_capital) - 1 if starting_capital else 0.0 + starting_cap_fiat_ratio = (value / starting_cap_fiat) - 1 if starting_cap_fiat else 0.0 + return { 'currencies': output, 'total': total, - 'symbol': symbol, + 'symbol': fiat_display_currency, 'value': value, 'stake': stake_currency, + 'starting_capital': starting_capital, + 'starting_capital_ratio': starting_capital_ratio, + 'starting_capital_pct': round(starting_capital_ratio * 100, 2), + 'starting_capital_fiat': starting_cap_fiat, + 'starting_capital_fiat_ratio': starting_cap_fiat_ratio, + 'starting_capital_fiat_pct': round(starting_cap_fiat_ratio * 100, 2), 'note': 'Simulated balances' if self._freqtrade.config['dry_run'] else '' } diff --git a/freqtrade/rpc/telegram.py b/freqtrade/rpc/telegram.py index a988d2b60..19c58b63d 100644 --- a/freqtrade/rpc/telegram.py +++ b/freqtrade/rpc/telegram.py @@ -603,12 +603,15 @@ class Telegram(RPCHandler): output = '' if self._config['dry_run']: - output += ( - f"*Warning:* Simulated balances in Dry Mode.\n" - "This mode is still experimental!\n" - "Starting capital: " - f"`{self._config['dry_run_wallet']}` {self._config['stake_currency']}.\n" - ) + output += "*Warning:* Simulated balances in Dry Mode.\n" + + output += ("Starting capital: " + f"`{result['starting_capital']}` {self._config['stake_currency']}" + ) + output += (f" `{result['starting_capital_fiat']}` " + f"{self._config['fiat_display_currency']}.\n" + ) if result['starting_capital_fiat'] > 0 else '.\n' + total_dust_balance = 0 total_dust_currencies = 0 for curr in result['currencies']: @@ -641,9 +644,12 @@ class Telegram(RPCHandler): f"{round_coin_value(total_dust_balance, result['stake'], False)}`\n") output += ("\n*Estimated Value*:\n" - f"\t`{result['stake']}: {result['total']: .8f}`\n" + f"\t`{result['stake']}: " + f"{round_coin_value(result['total'], result['stake'], False)}`" + f" `({result['starting_capital_pct']}%)`\n" f"\t`{result['symbol']}: " - f"{round_coin_value(result['value'], result['symbol'], False)}`\n") + f"{round_coin_value(result['value'], result['symbol'], False)}`" + f" `({result['starting_capital_fiat_pct']}%)`\n") self._send_msg(output, reload_able=True, callback_path="update_balance", query=update.callback_query) except RPCException as e: diff --git a/freqtrade/strategy/__init__.py b/freqtrade/strategy/__init__.py index be655fc33..2ea0ad2b4 100644 --- a/freqtrade/strategy/__init__.py +++ b/freqtrade/strategy/__init__.py @@ -3,5 +3,7 @@ from freqtrade.exchange import (timeframe_to_minutes, timeframe_to_msecs, timefr timeframe_to_prev_date, timeframe_to_seconds) from freqtrade.strategy.hyper import (BooleanParameter, CategoricalParameter, DecimalParameter, IntParameter, RealParameter) +from freqtrade.strategy.informative_decorator import informative from freqtrade.strategy.interface import IStrategy -from freqtrade.strategy.strategy_helper import merge_informative_pair, stoploss_from_open +from freqtrade.strategy.strategy_helper import (merge_informative_pair, stoploss_from_absolute, + stoploss_from_open) diff --git a/freqtrade/strategy/informative_decorator.py b/freqtrade/strategy/informative_decorator.py new file mode 100644 index 000000000..4c5f21108 --- /dev/null +++ b/freqtrade/strategy/informative_decorator.py @@ -0,0 +1,128 @@ +from typing import Any, Callable, NamedTuple, Optional, Union + +from pandas import DataFrame + +from freqtrade.exceptions import OperationalException +from freqtrade.strategy.strategy_helper import merge_informative_pair + + +PopulateIndicators = Callable[[Any, DataFrame, dict], DataFrame] + + +class InformativeData(NamedTuple): + asset: Optional[str] + timeframe: str + fmt: Union[str, Callable[[Any], str], None] + ffill: bool + + +def informative(timeframe: str, asset: str = '', + fmt: Optional[Union[str, Callable[[Any], str]]] = None, + ffill: bool = True) -> Callable[[PopulateIndicators], PopulateIndicators]: + """ + A decorator for populate_indicators_Nn(self, dataframe, metadata), allowing these functions to + define informative indicators. + + Example usage: + + @informative('1h') + def populate_indicators_1h(self, dataframe: DataFrame, metadata: dict) -> DataFrame: + dataframe['rsi'] = ta.RSI(dataframe, timeperiod=14) + return dataframe + + :param timeframe: Informative timeframe. Must always be equal or higher than strategy timeframe. + :param asset: Informative asset, for example BTC, BTC/USDT, ETH/BTC. Do not specify to use + current pair. + :param fmt: Column format (str) or column formatter (callable(name, asset, timeframe)). When not + specified, defaults to: + * {base}_{quote}_{column}_{timeframe} if asset is specified. + * {column}_{timeframe} if asset is not specified. + Format string supports these format variables: + * {asset} - full name of the asset, for example 'BTC/USDT'. + * {base} - base currency in lower case, for example 'eth'. + * {BASE} - same as {base}, except in upper case. + * {quote} - quote currency in lower case, for example 'usdt'. + * {QUOTE} - same as {quote}, except in upper case. + * {column} - name of dataframe column. + * {timeframe} - timeframe of informative dataframe. + :param ffill: ffill dataframe after merging informative pair. + """ + _asset = asset + _timeframe = timeframe + _fmt = fmt + _ffill = ffill + + def decorator(fn: PopulateIndicators): + informative_pairs = getattr(fn, '_ft_informative', []) + informative_pairs.append(InformativeData(_asset, _timeframe, _fmt, _ffill)) + setattr(fn, '_ft_informative', informative_pairs) + return fn + return decorator + + +def _format_pair_name(config, pair: str) -> str: + return pair.format(stake_currency=config['stake_currency'], + stake=config['stake_currency']).upper() + + +def _create_and_merge_informative_pair(strategy, dataframe: DataFrame, metadata: dict, + inf_data: InformativeData, + populate_indicators: PopulateIndicators): + asset = inf_data.asset or '' + timeframe = inf_data.timeframe + fmt = inf_data.fmt + config = strategy.config + + if asset: + # Insert stake currency if needed. + asset = _format_pair_name(config, asset) + else: + # Not specifying an asset will define informative dataframe for current pair. + asset = metadata['pair'] + + if '/' in asset: + base, quote = asset.split('/') + else: + # When futures are supported this may need reevaluation. + # base, quote = asset, '' + raise OperationalException('Not implemented.') + + # Default format. This optimizes for the common case: informative pairs using same stake + # currency. When quote currency matches stake currency, column name will omit base currency. + # This allows easily reconfiguring strategy to use different base currency. In a rare case + # where it is desired to keep quote currency in column name at all times user should specify + # fmt='{base}_{quote}_{column}_{timeframe}' format or similar. + if not fmt: + fmt = '{column}_{timeframe}' # Informatives of current pair + if inf_data.asset: + fmt = '{base}_{quote}_' + fmt # Informatives of other pairs + + inf_metadata = {'pair': asset, 'timeframe': timeframe} + inf_dataframe = strategy.dp.get_pair_dataframe(asset, timeframe) + inf_dataframe = populate_indicators(strategy, inf_dataframe, inf_metadata) + + formatter: Any = None + if callable(fmt): + formatter = fmt # A custom user-specified formatter function. + else: + formatter = fmt.format # A default string formatter. + + fmt_args = { + 'BASE': base.upper(), + 'QUOTE': quote.upper(), + 'base': base.lower(), + 'quote': quote.lower(), + 'asset': asset, + 'timeframe': timeframe, + } + inf_dataframe.rename(columns=lambda column: formatter(column=column, **fmt_args), + inplace=True) + + date_column = formatter(column='date', **fmt_args) + if date_column in dataframe.columns: + raise OperationalException(f'Duplicate column name {date_column} exists in ' + f'dataframe! Ensure column names are unique!') + dataframe = merge_informative_pair(dataframe, inf_dataframe, strategy.timeframe, timeframe, + ffill=inf_data.ffill, append_timeframe=False, + date_column=date_column) + return dataframe diff --git a/freqtrade/strategy/interface.py b/freqtrade/strategy/interface.py index 63e5f4002..bdfe16d28 100644 --- a/freqtrade/strategy/interface.py +++ b/freqtrade/strategy/interface.py @@ -19,6 +19,9 @@ from freqtrade.exchange import timeframe_to_minutes, timeframe_to_seconds from freqtrade.exchange.exchange import timeframe_to_next_date from freqtrade.persistence import PairLocks, Trade from freqtrade.strategy.hyper import HyperStrategyMixin +from freqtrade.strategy.informative_decorator import (InformativeData, PopulateIndicators, + _create_and_merge_informative_pair, + _format_pair_name) from freqtrade.strategy.strategy_wrapper import strategy_safe_wrapper from freqtrade.wallets import Wallets @@ -118,7 +121,7 @@ class IStrategy(ABC, HyperStrategyMixin): # Class level variables (intentional) containing # the dataprovider (dp) (access to other candles, historic data, ...) # and wallets - access to the current balance. - dp: Optional[DataProvider] = None + dp: Optional[DataProvider] wallets: Optional[Wallets] = None # Filled from configuration stake_currency: str @@ -134,6 +137,24 @@ class IStrategy(ABC, HyperStrategyMixin): self._last_candle_seen_per_pair: Dict[str, datetime] = {} super().__init__(config) + # Gather informative pairs from @informative-decorated methods. + self._ft_informative: List[Tuple[InformativeData, PopulateIndicators]] = [] + for attr_name in dir(self.__class__): + cls_method = getattr(self.__class__, attr_name) + if not callable(cls_method): + continue + informative_data_list = getattr(cls_method, '_ft_informative', None) + if not isinstance(informative_data_list, list): + # Type check is required because mocker would return a mock object that evaluates to + # True, confusing this code. + continue + strategy_timeframe_minutes = timeframe_to_minutes(self.timeframe) + for informative_data in informative_data_list: + if timeframe_to_minutes(informative_data.timeframe) < strategy_timeframe_minutes: + raise OperationalException('Informative timeframe must be equal or higher than ' + 'strategy timeframe!') + self._ft_informative.append((informative_data, cls_method)) + @abstractmethod def populate_indicators(self, dataframe: DataFrame, metadata: dict) -> DataFrame: """ @@ -377,6 +398,23 @@ class IStrategy(ABC, HyperStrategyMixin): # END - Intended to be overridden by strategy ### + def gather_informative_pairs(self) -> ListPairsWithTimeframes: + """ + Internal method which gathers all informative pairs (user or automatically defined). + """ + informative_pairs = self.informative_pairs() + for inf_data, _ in self._ft_informative: + if inf_data.asset: + pair_tf = (_format_pair_name(self.config, inf_data.asset), inf_data.timeframe) + informative_pairs.append(pair_tf) + else: + if not self.dp: + raise OperationalException('@informative decorator with unspecified asset ' + 'requires DataProvider instance.') + for pair in self.dp.current_whitelist(): + informative_pairs.append((pair, inf_data.timeframe)) + return list(set(informative_pairs)) + def get_strategy_name(self) -> str: """ Returns strategy class name @@ -802,6 +840,12 @@ class IStrategy(ABC, HyperStrategyMixin): :return: a Dataframe with all mandatory indicators for the strategies """ logger.debug(f"Populating indicators for pair {metadata.get('pair')}.") + + # call populate_indicators_Nm() which were tagged with @informative decorator. + for inf_data, populate_fn in self._ft_informative: + dataframe = _create_and_merge_informative_pair( + self, dataframe, metadata, inf_data, populate_fn) + if self._populate_fun_len == 2: warnings.warn("deprecated - check out the Sample strategy to see " "the current function headers!", DeprecationWarning) diff --git a/freqtrade/strategy/strategy_helper.py b/freqtrade/strategy/strategy_helper.py index 121614fbc..de88de33b 100644 --- a/freqtrade/strategy/strategy_helper.py +++ b/freqtrade/strategy/strategy_helper.py @@ -4,7 +4,9 @@ from freqtrade.exchange import timeframe_to_minutes def merge_informative_pair(dataframe: pd.DataFrame, informative: pd.DataFrame, - timeframe: str, timeframe_inf: str, ffill: bool = True) -> pd.DataFrame: + timeframe: str, timeframe_inf: str, ffill: bool = True, + append_timeframe: bool = True, + date_column: str = 'date') -> pd.DataFrame: """ Correctly merge informative samples to the original dataframe, avoiding lookahead bias. @@ -24,6 +26,8 @@ def merge_informative_pair(dataframe: pd.DataFrame, informative: pd.DataFrame, :param timeframe: Timeframe of the original pair sample. :param timeframe_inf: Timeframe of the informative pair sample. :param ffill: Forwardfill missing values - optional but usually required + :param append_timeframe: Rename columns by appending timeframe. + :param date_column: A custom date column name. :return: Merged dataframe :raise: ValueError if the secondary timeframe is shorter than the dataframe timeframe """ @@ -32,25 +36,29 @@ def merge_informative_pair(dataframe: pd.DataFrame, informative: pd.DataFrame, minutes = timeframe_to_minutes(timeframe) if minutes == minutes_inf: # No need to forwardshift if the timeframes are identical - informative['date_merge'] = informative["date"] + informative['date_merge'] = informative[date_column] elif minutes < minutes_inf: # Subtract "small" timeframe so merging is not delayed by 1 small candle # Detailed explanation in https://github.com/freqtrade/freqtrade/issues/4073 informative['date_merge'] = ( - informative["date"] + pd.to_timedelta(minutes_inf, 'm') - pd.to_timedelta(minutes, 'm') + informative[date_column] + pd.to_timedelta(minutes_inf, 'm') - + pd.to_timedelta(minutes, 'm') ) else: raise ValueError("Tried to merge a faster timeframe to a slower timeframe." "This would create new rows, and can throw off your regular indicators.") # Rename columns to be unique - informative.columns = [f"{col}_{timeframe_inf}" for col in informative.columns] + date_merge = 'date_merge' + if append_timeframe: + date_merge = f'date_merge_{timeframe_inf}' + informative.columns = [f"{col}_{timeframe_inf}" for col in informative.columns] # Combine the 2 dataframes # all indicators on the informative sample MUST be calculated before this point dataframe = pd.merge(dataframe, informative, left_on='date', - right_on=f'date_merge_{timeframe_inf}', how='left') - dataframe = dataframe.drop(f'date_merge_{timeframe_inf}', axis=1) + right_on=date_merge, how='left') + dataframe = dataframe.drop(date_merge, axis=1) if ffill: dataframe = dataframe.ffill() @@ -83,3 +91,28 @@ def stoploss_from_open(open_relative_stop: float, current_profit: float) -> floa # negative stoploss values indicate the requested stop price is higher than the current price return max(stoploss, 0.0) + + +def stoploss_from_absolute(stop_rate: float, current_rate: float) -> float: + """ + Given current price and desired stop price, return a stop loss value that is relative to current + price. + + The requested stop can be positive for a stop above the open price, or negative for + a stop below the open price. The return value is always >= 0. + + Returns 0 if the resulting stop price would be above the current price. + + :param stop_rate: Stop loss price. + :param current_rate: Current asset price. + :return: Positive stop loss value relative to current price + """ + + # formula is undefined for current_rate 0, return maximum value + if current_rate == 0: + return 1 + + stoploss = 1 - (stop_rate / current_rate) + + # negative stoploss values indicate the requested stop price is higher than the current price + return max(stoploss, 0.0) diff --git a/setup.sh b/setup.sh index 217500569..aee7c80b5 100755 --- a/setup.sh +++ b/setup.sh @@ -62,7 +62,7 @@ function updateenv() { then REQUIREMENTS_PLOT="-r requirements-plot.txt" fi - if [ "${SYS_ARCH}" == "armv7l" ]; then + if [ "${SYS_ARCH}" == "armv7l" ] || [ "${SYS_ARCH}" == "armv6l" ]; then echo "Detected Raspberry, installing cython, skipping hyperopt installation." ${PYTHON} -m pip install --upgrade cython else diff --git a/tests/plugins/test_pairlist.py b/tests/plugins/test_pairlist.py index 34770c03d..1ce8d172c 100644 --- a/tests/plugins/test_pairlist.py +++ b/tests/plugins/test_pairlist.py @@ -12,7 +12,8 @@ from freqtrade.persistence import Trade from freqtrade.plugins.pairlist.pairlist_helpers import expand_pairlist from freqtrade.plugins.pairlistmanager import PairListManager from freqtrade.resolvers import PairListResolver -from tests.conftest import get_patched_exchange, get_patched_freqtradebot, log_has, log_has_re +from tests.conftest import (create_mock_trades, get_patched_exchange, get_patched_freqtradebot, + log_has, log_has_re) @pytest.fixture(scope="function") @@ -663,6 +664,31 @@ def test_PerformanceFilter_error(mocker, whitelist_conf, caplog) -> None: assert log_has("PerformanceFilter is not available in this mode.", caplog) +@pytest.mark.usefixtures("init_persistence") +def test_PerformanceFilter_lookback(mocker, whitelist_conf, fee) -> None: + whitelist_conf['exchange']['pair_whitelist'].append('XRP/BTC') + whitelist_conf['pairlists'] = [ + {"method": "StaticPairList"}, + {"method": "PerformanceFilter", "minutes": 60} + ] + mocker.patch('freqtrade.exchange.Exchange.exchange_has', MagicMock(return_value=True)) + exchange = get_patched_exchange(mocker, whitelist_conf) + pm = PairListManager(exchange, whitelist_conf) + pm.refresh_pairlist() + + assert pm.whitelist == ['ETH/BTC', 'TKN/BTC', 'XRP/BTC'] + + with time_machine.travel("2021-09-01 05:00:00 +00:00") as t: + create_mock_trades(fee) + pm.refresh_pairlist() + assert pm.whitelist == ['XRP/BTC', 'ETH/BTC', 'TKN/BTC'] + + # Move to "outside" of lookback window, so original sorting is restored. + t.move_to("2021-09-01 07:00:00 +00:00") + pm.refresh_pairlist() + assert pm.whitelist == ['ETH/BTC', 'TKN/BTC', 'XRP/BTC'] + + def test_gen_pair_whitelist_not_supported(mocker, default_conf, tickers) -> None: default_conf['pairlists'] = [{'method': 'VolumePairList', 'number_assets': 10}] diff --git a/tests/rpc/test_rpc_apiserver.py b/tests/rpc/test_rpc_apiserver.py index 2852486ed..7c98b2df7 100644 --- a/tests/rpc/test_rpc_apiserver.py +++ b/tests/rpc/test_rpc_apiserver.py @@ -422,20 +422,22 @@ def test_api_stopbuy(botclient): assert ftbot.config['max_open_trades'] == 0 -def test_api_balance(botclient, mocker, rpc_balance): +def test_api_balance(botclient, mocker, rpc_balance, tickers): ftbot, client = botclient ftbot.config['dry_run'] = False mocker.patch('freqtrade.exchange.Exchange.get_balances', return_value=rpc_balance) + mocker.patch('freqtrade.exchange.Exchange.get_tickers', tickers) mocker.patch('freqtrade.exchange.Exchange.get_valid_pair_combination', side_effect=lambda a, b: f"{a}/{b}") ftbot.wallets.update() rc = client_get(client, f"{BASE_URI}/balance") assert_response(rc) - assert "currencies" in rc.json() - assert len(rc.json()["currencies"]) == 5 - assert rc.json()['currencies'][0] == { + response = rc.json() + assert "currencies" in response + assert len(response["currencies"]) == 5 + assert response['currencies'][0] == { 'currency': 'BTC', 'free': 12.0, 'balance': 12.0, @@ -443,6 +445,10 @@ def test_api_balance(botclient, mocker, rpc_balance): 'est_stake': 12.0, 'stake': 'BTC', } + assert 'starting_capital' in response + assert 'starting_capital_fiat' in response + assert 'starting_capital_pct' in response + assert 'starting_capital_ratio' in response def test_api_count(botclient, mocker, ticker, fee, markets): @@ -1218,6 +1224,7 @@ def test_api_strategies(botclient): assert_response(rc) assert rc.json() == {'strategies': [ 'HyperoptableStrategy', + 'InformativeDecoratorTest', 'StrategyTestV2', 'TestStrategyLegacyV1' ]} diff --git a/tests/rpc/test_rpc_telegram.py b/tests/rpc/test_rpc_telegram.py index 2013dad7d..21f1cd000 100644 --- a/tests/rpc/test_rpc_telegram.py +++ b/tests/rpc/test_rpc_telegram.py @@ -576,6 +576,8 @@ def test_balance_handle_too_large_response(default_conf, update, mocker) -> None 'total': 100.0, 'symbol': 100.0, 'value': 1000.0, + 'starting_capital': 1000, + 'starting_capital_fiat': 1000, }) telegram, freqtradebot, msg_mock = get_telegram_testobject(mocker, default_conf) diff --git a/tests/strategy/strats/informative_decorator_strategy.py b/tests/strategy/strats/informative_decorator_strategy.py new file mode 100644 index 000000000..a32ad79e8 --- /dev/null +++ b/tests/strategy/strats/informative_decorator_strategy.py @@ -0,0 +1,75 @@ +# pragma pylint: disable=missing-docstring, invalid-name, pointless-string-statement + +from pandas import DataFrame + +from freqtrade.strategy import informative, merge_informative_pair +from freqtrade.strategy.interface import IStrategy + + +class InformativeDecoratorTest(IStrategy): + """ + Strategy used by tests freqtrade bot. + Please do not modify this strategy, it's intended for internal use only. + Please look at the SampleStrategy in the user_data/strategy directory + or strategy repository https://github.com/freqtrade/freqtrade-strategies + for samples and inspiration. + """ + INTERFACE_VERSION = 2 + stoploss = -0.10 + timeframe = '5m' + startup_candle_count: int = 20 + + def informative_pairs(self): + return [('BTC/USDT', '5m')] + + def populate_buy_trend(self, dataframe: DataFrame, metadata: dict) -> DataFrame: + dataframe['buy'] = 0 + return dataframe + + def populate_sell_trend(self, dataframe: DataFrame, metadata: dict) -> DataFrame: + dataframe['sell'] = 0 + return dataframe + + # Decorator stacking test. + @informative('30m') + @informative('1h') + def populate_indicators_1h(self, dataframe: DataFrame, metadata: dict) -> DataFrame: + dataframe['rsi'] = 14 + return dataframe + + # Simple informative test. + @informative('1h', 'BTC/{stake}') + def populate_indicators_btc_1h(self, dataframe: DataFrame, metadata: dict) -> DataFrame: + dataframe['rsi'] = 14 + return dataframe + + # Quote currency different from stake currency test. + @informative('1h', 'ETH/BTC') + def populate_indicators_eth_btc_1h(self, dataframe: DataFrame, metadata: dict) -> DataFrame: + dataframe['rsi'] = 14 + return dataframe + + # Formatting test. + @informative('30m', 'BTC/{stake}', '{column}_{BASE}_{QUOTE}_{base}_{quote}_{asset}_{timeframe}') + def populate_indicators_btc_1h_2(self, dataframe: DataFrame, metadata: dict) -> DataFrame: + dataframe['rsi'] = 14 + return dataframe + + # Custom formatter test + @informative('30m', 'ETH/{stake}', fmt=lambda column, **kwargs: column + '_from_callable') + def populate_indicators_eth_30m(self, dataframe: DataFrame, metadata: dict) -> DataFrame: + dataframe['rsi'] = 14 + return dataframe + + def populate_indicators(self, dataframe: DataFrame, metadata: dict) -> DataFrame: + # Strategy timeframe indicators for current pair. + dataframe['rsi'] = 14 + # Informative pairs are available in this method. + dataframe['rsi_less'] = dataframe['rsi'] < dataframe['rsi_1h'] + + # Mixing manual informative pairs with decorators. + informative = self.dp.get_pair_dataframe('BTC/USDT', '5m') + informative['rsi'] = 14 + dataframe = merge_informative_pair(dataframe, informative, self.timeframe, '5m', ffill=True) + + return dataframe diff --git a/tests/strategy/test_interface.py b/tests/strategy/test_interface.py index 5e9b86d4a..d3c876782 100644 --- a/tests/strategy/test_interface.py +++ b/tests/strategy/test_interface.py @@ -611,7 +611,7 @@ def test_is_informative_pairs_callback(default_conf): strategy = StrategyResolver.load_strategy(default_conf) # Should return empty # Uses fallback to base implementation - assert [] == strategy.informative_pairs() + assert [] == strategy.gather_informative_pairs() @pytest.mark.parametrize('error', [ diff --git a/tests/strategy/test_strategy_helpers.py b/tests/strategy/test_strategy_helpers.py index 3b84fc254..a01b55050 100644 --- a/tests/strategy/test_strategy_helpers.py +++ b/tests/strategy/test_strategy_helpers.py @@ -4,7 +4,9 @@ import numpy as np import pandas as pd import pytest -from freqtrade.strategy import merge_informative_pair, stoploss_from_open, timeframe_to_minutes +from freqtrade.data.dataprovider import DataProvider +from freqtrade.strategy import (merge_informative_pair, stoploss_from_absolute, stoploss_from_open, + timeframe_to_minutes) def generate_test_data(timeframe: str, size: int): @@ -132,3 +134,65 @@ def test_stoploss_from_open(): assert stoploss == 0 else: assert isclose(stop_price, expected_stop_price, rel_tol=0.00001) + + +def test_stoploss_from_absolute(): + assert stoploss_from_absolute(90, 100) == 1 - (90 / 100) + assert stoploss_from_absolute(100, 100) == 0 + assert stoploss_from_absolute(110, 100) == 0 + assert stoploss_from_absolute(100, 0) == 1 + assert stoploss_from_absolute(0, 100) == 1 + + +def test_informative_decorator(mocker, default_conf): + test_data_5m = generate_test_data('5m', 40) + test_data_30m = generate_test_data('30m', 40) + test_data_1h = generate_test_data('1h', 40) + data = { + ('XRP/USDT', '5m'): test_data_5m, + ('XRP/USDT', '30m'): test_data_30m, + ('XRP/USDT', '1h'): test_data_1h, + ('LTC/USDT', '5m'): test_data_5m, + ('LTC/USDT', '30m'): test_data_30m, + ('LTC/USDT', '1h'): test_data_1h, + ('BTC/USDT', '30m'): test_data_30m, + ('BTC/USDT', '5m'): test_data_5m, + ('BTC/USDT', '1h'): test_data_1h, + ('ETH/USDT', '1h'): test_data_1h, + ('ETH/USDT', '30m'): test_data_30m, + ('ETH/BTC', '1h'): test_data_1h, + } + from .strats.informative_decorator_strategy import InformativeDecoratorTest + default_conf['stake_currency'] = 'USDT' + strategy = InformativeDecoratorTest(config=default_conf) + strategy.dp = DataProvider({}, None, None) + mocker.patch.object(strategy.dp, 'current_whitelist', return_value=[ + 'XRP/USDT', 'LTC/USDT', 'BTC/USDT' + ]) + + assert len(strategy._ft_informative) == 6 # Equal to number of decorators used + informative_pairs = [('XRP/USDT', '1h'), ('LTC/USDT', '1h'), ('XRP/USDT', '30m'), + ('LTC/USDT', '30m'), ('BTC/USDT', '1h'), ('BTC/USDT', '30m'), + ('BTC/USDT', '5m'), ('ETH/BTC', '1h'), ('ETH/USDT', '30m')] + for inf_pair in informative_pairs: + assert inf_pair in strategy.gather_informative_pairs() + + def test_historic_ohlcv(pair, timeframe): + return data[(pair, timeframe or strategy.timeframe)].copy() + mocker.patch('freqtrade.data.dataprovider.DataProvider.historic_ohlcv', + side_effect=test_historic_ohlcv) + + analyzed = strategy.advise_all_indicators( + {p: data[(p, strategy.timeframe)] for p in ('XRP/USDT', 'LTC/USDT')}) + expected_columns = [ + 'rsi_1h', 'rsi_30m', # Stacked informative decorators + 'btc_usdt_rsi_1h', # BTC 1h informative + 'rsi_BTC_USDT_btc_usdt_BTC/USDT_30m', # Column formatting + 'rsi_from_callable', # Custom column formatter + 'eth_btc_rsi_1h', # Quote currency not matching stake currency + 'rsi', 'rsi_less', # Non-informative columns + 'rsi_5m', # Manual informative dataframe + ] + for _, dataframe in analyzed.items(): + for col in expected_columns: + assert col in dataframe.columns diff --git a/tests/strategy/test_strategy_loading.py b/tests/strategy/test_strategy_loading.py index 63c3496a2..8b7505883 100644 --- a/tests/strategy/test_strategy_loading.py +++ b/tests/strategy/test_strategy_loading.py @@ -35,7 +35,7 @@ def test_search_all_strategies_no_failed(): directory = Path(__file__).parent / "strats" strategies = StrategyResolver.search_all_objects(directory, enum_failed=False) assert isinstance(strategies, list) - assert len(strategies) == 3 + assert len(strategies) == 4 assert isinstance(strategies[0], dict) @@ -43,10 +43,10 @@ def test_search_all_strategies_with_failed(): directory = Path(__file__).parent / "strats" strategies = StrategyResolver.search_all_objects(directory, enum_failed=True) assert isinstance(strategies, list) - assert len(strategies) == 4 + assert len(strategies) == 5 # with enum_failed=True search_all_objects() shall find 2 good strategies # and 1 which fails to load - assert len([x for x in strategies if x['class'] is not None]) == 3 + assert len([x for x in strategies if x['class'] is not None]) == 4 assert len([x for x in strategies if x['class'] is None]) == 1 diff --git a/tests/test_freqtradebot.py b/tests/test_freqtradebot.py index 28ca0ee49..cd9dd6103 100644 --- a/tests/test_freqtradebot.py +++ b/tests/test_freqtradebot.py @@ -78,11 +78,15 @@ def test_bot_cleanup(mocker, default_conf, caplog) -> None: assert coo_mock.call_count == 1 -def test_order_dict_dry_run(default_conf, mocker, caplog) -> None: +@pytest.mark.parametrize('runmode', [ + RunMode.DRY_RUN, + RunMode.LIVE +]) +def test_order_dict(default_conf, mocker, runmode, caplog) -> None: patch_RPCManager(mocker) patch_exchange(mocker) conf = default_conf.copy() - conf['runmode'] = RunMode.DRY_RUN + conf['runmode'] = runmode conf['order_types'] = { 'buy': 'market', 'sell': 'limit', @@ -92,45 +96,14 @@ def test_order_dict_dry_run(default_conf, mocker, caplog) -> None: conf['bid_strategy']['price_side'] = 'ask' freqtrade = FreqtradeBot(conf) + if runmode == RunMode.LIVE: + assert not log_has_re(".*stoploss_on_exchange .* dry-run", caplog) assert freqtrade.strategy.order_types['stoploss_on_exchange'] caplog.clear() # is left untouched conf = default_conf.copy() - conf['runmode'] = RunMode.DRY_RUN - conf['order_types'] = { - 'buy': 'market', - 'sell': 'limit', - 'stoploss': 'limit', - 'stoploss_on_exchange': False, - } - freqtrade = FreqtradeBot(conf) - assert not freqtrade.strategy.order_types['stoploss_on_exchange'] - assert not log_has_re(".*stoploss_on_exchange .* dry-run", caplog) - - -def test_order_dict_live(default_conf, mocker, caplog) -> None: - patch_RPCManager(mocker) - patch_exchange(mocker) - - conf = default_conf.copy() - conf['runmode'] = RunMode.LIVE - conf['order_types'] = { - 'buy': 'market', - 'sell': 'limit', - 'stoploss': 'limit', - 'stoploss_on_exchange': True, - } - conf['bid_strategy']['price_side'] = 'ask' - - freqtrade = FreqtradeBot(conf) - assert not log_has_re(".*stoploss_on_exchange .* dry-run", caplog) - assert freqtrade.strategy.order_types['stoploss_on_exchange'] - - caplog.clear() - # is left untouched - conf = default_conf.copy() - conf['runmode'] = RunMode.LIVE + conf['runmode'] = runmode conf['order_types'] = { 'buy': 'market', 'sell': 'limit', @@ -219,8 +192,14 @@ def test_edge_overrides_stake_amount(mocker, edge_conf) -> None: 'LTC/BTC', freqtrade.edge) == (999.9 * 0.5 * 0.01) / 0.21 -def test_edge_overrides_stoploss(limit_buy_order, fee, caplog, mocker, edge_conf) -> None: - +@pytest.mark.parametrize('buy_price_mult,ignore_strat_sl', [ + # Override stoploss + (0.79, False), + # Override strategy stoploss + (0.85, True) +]) +def test_edge_overrides_stoploss(limit_buy_order, fee, caplog, mocker, + buy_price_mult, ignore_strat_sl, edge_conf) -> None: patch_RPCManager(mocker) patch_exchange(mocker) patch_edge(mocker) @@ -234,9 +213,9 @@ def test_edge_overrides_stoploss(limit_buy_order, fee, caplog, mocker, edge_conf mocker.patch.multiple( 'freqtrade.exchange.Exchange', fetch_ticker=MagicMock(return_value={ - 'bid': buy_price * 0.79, - 'ask': buy_price * 0.79, - 'last': buy_price * 0.79 + 'bid': buy_price * buy_price_mult, + 'ask': buy_price * buy_price_mult, + 'last': buy_price * buy_price_mult, }), get_fee=fee, ) @@ -253,46 +232,10 @@ def test_edge_overrides_stoploss(limit_buy_order, fee, caplog, mocker, edge_conf ############################################# # stoploss shoud be hit - assert freqtrade.handle_trade(trade) is True - assert log_has('Executing Sell for NEO/BTC. Reason: stop_loss', caplog) - assert trade.sell_reason == SellType.STOP_LOSS.value - - -def test_edge_should_ignore_strategy_stoploss(limit_buy_order, fee, - mocker, edge_conf) -> None: - patch_RPCManager(mocker) - patch_exchange(mocker) - patch_edge(mocker) - edge_conf['max_open_trades'] = float('inf') - - # Strategy stoploss is -0.1 but Edge imposes a stoploss at -0.2 - # Thus, if price falls 15%, stoploss should not be triggered - # - # mocking the ticker: price is falling ... - buy_price = limit_buy_order['price'] - mocker.patch.multiple( - 'freqtrade.exchange.Exchange', - fetch_ticker=MagicMock(return_value={ - 'bid': buy_price * 0.85, - 'ask': buy_price * 0.85, - 'last': buy_price * 0.85 - }), - get_fee=fee, - ) - ############################################# - - # Create a trade with "limit_buy_order" price - freqtrade = FreqtradeBot(edge_conf) - freqtrade.active_pair_whitelist = ['NEO/BTC'] - patch_get_signal(freqtrade) - freqtrade.strategy.min_roi_reached = MagicMock(return_value=False) - freqtrade.enter_positions() - trade = Trade.query.first() - trade.update(limit_buy_order) - ############################################# - - # stoploss shoud not be hit - assert freqtrade.handle_trade(trade) is False + assert freqtrade.handle_trade(trade) is not ignore_strat_sl + if not ignore_strat_sl: + assert log_has('Executing Sell for NEO/BTC. Reason: stop_loss', caplog) + assert trade.sell_reason == SellType.STOP_LOSS.value def test_total_open_trades_stakes(mocker, default_conf, ticker, fee) -> None: @@ -376,8 +319,16 @@ def test_create_trade_no_stake_amount(default_conf, ticker, limit_buy_order, freqtrade.create_trade('ETH/BTC') -def test_create_trade_minimal_amount(default_conf, ticker, limit_buy_order_open, - fee, mocker) -> None: +@pytest.mark.parametrize('stake_amount,create,amount_enough,max_open_trades', [ + (0.0005, True, True, 99), + (0.000000005, True, False, 99), + (0, False, True, 99), + (UNLIMITED_STAKE_AMOUNT, False, True, 0), +]) +def test_create_trade_minimal_amount( + default_conf, ticker, limit_buy_order_open, fee, mocker, + stake_amount, create, amount_enough, max_open_trades, caplog +) -> None: patch_RPCManager(mocker) patch_exchange(mocker) buy_mock = MagicMock(return_value=limit_buy_order_open) @@ -387,78 +338,33 @@ def test_create_trade_minimal_amount(default_conf, ticker, limit_buy_order_open, create_order=buy_mock, get_fee=fee, ) - default_conf['stake_amount'] = 0.0005 + default_conf['max_open_trades'] = max_open_trades freqtrade = FreqtradeBot(default_conf) + freqtrade.config['stake_amount'] = stake_amount patch_get_signal(freqtrade) - freqtrade.create_trade('ETH/BTC') - rate, amount = buy_mock.call_args[1]['rate'], buy_mock.call_args[1]['amount'] - assert rate * amount <= default_conf['stake_amount'] - - -def test_create_trade_too_small_stake_amount(default_conf, ticker, limit_buy_order_open, - fee, mocker, caplog) -> None: - patch_RPCManager(mocker) - patch_exchange(mocker) - buy_mock = MagicMock(return_value=limit_buy_order_open) - mocker.patch.multiple( - 'freqtrade.exchange.Exchange', - fetch_ticker=ticker, - create_order=buy_mock, - get_fee=fee, - ) - - freqtrade = FreqtradeBot(default_conf) - freqtrade.config['stake_amount'] = 0.000000005 - - patch_get_signal(freqtrade) - - assert freqtrade.create_trade('ETH/BTC') - assert log_has_re(r"Stake amount for pair .* is too small.*", caplog) - - -def test_create_trade_zero_stake_amount(default_conf, ticker, limit_buy_order_open, - fee, mocker) -> None: - patch_RPCManager(mocker) - patch_exchange(mocker) - buy_mock = MagicMock(return_value=limit_buy_order_open) - mocker.patch.multiple( - 'freqtrade.exchange.Exchange', - fetch_ticker=ticker, - create_order=buy_mock, - get_fee=fee, - ) - - freqtrade = FreqtradeBot(default_conf) - freqtrade.config['stake_amount'] = 0 - - patch_get_signal(freqtrade) - - assert not freqtrade.create_trade('ETH/BTC') - - -def test_create_trade_limit_reached(default_conf, ticker, limit_buy_order_open, - fee, mocker) -> None: - patch_RPCManager(mocker) - patch_exchange(mocker) - mocker.patch.multiple( - 'freqtrade.exchange.Exchange', - fetch_ticker=ticker, - create_order=MagicMock(return_value=limit_buy_order_open), - get_fee=fee, - ) - default_conf['max_open_trades'] = 0 - default_conf['stake_amount'] = UNLIMITED_STAKE_AMOUNT - - freqtrade = FreqtradeBot(default_conf) - patch_get_signal(freqtrade) - - assert not freqtrade.create_trade('ETH/BTC') - assert freqtrade.wallets.get_trade_stake_amount('ETH/BTC', freqtrade.edge) == 0 + if create: + assert freqtrade.create_trade('ETH/BTC') + if amount_enough: + rate, amount = buy_mock.call_args[1]['rate'], buy_mock.call_args[1]['amount'] + assert rate * amount <= default_conf['stake_amount'] + else: + assert log_has_re( + r"Stake amount for pair .* is too small.*", + caplog + ) + else: + assert not freqtrade.create_trade('ETH/BTC') + if not max_open_trades: + assert freqtrade.wallets.get_trade_stake_amount('ETH/BTC', freqtrade.edge) == 0 +@pytest.mark.parametrize('whitelist,positions', [ + (["ETH/BTC"], 1), # No pairs left + ([], 0), # No pairs in whitelist +]) def test_enter_positions_no_pairs_left(default_conf, ticker, limit_buy_order_open, fee, - mocker, caplog) -> None: + whitelist, positions, mocker, caplog) -> None: patch_RPCManager(mocker) patch_exchange(mocker) mocker.patch.multiple( @@ -467,36 +373,20 @@ def test_enter_positions_no_pairs_left(default_conf, ticker, limit_buy_order_ope create_order=MagicMock(return_value=limit_buy_order_open), get_fee=fee, ) - - default_conf['exchange']['pair_whitelist'] = ["ETH/BTC"] + default_conf['exchange']['pair_whitelist'] = whitelist freqtrade = FreqtradeBot(default_conf) patch_get_signal(freqtrade) n = freqtrade.enter_positions() - assert n == 1 - assert not log_has_re(r"No currency pair in active pair whitelist.*", caplog) - n = freqtrade.enter_positions() - assert n == 0 - assert log_has_re(r"No currency pair in active pair whitelist.*", caplog) - - -def test_enter_positions_no_pairs_in_whitelist(default_conf, ticker, limit_buy_order, fee, - mocker, caplog) -> None: - patch_RPCManager(mocker) - patch_exchange(mocker) - mocker.patch.multiple( - 'freqtrade.exchange.Exchange', - fetch_ticker=ticker, - create_order=MagicMock(return_value={'id': limit_buy_order['id']}), - get_fee=fee, - ) - default_conf['exchange']['pair_whitelist'] = [] - freqtrade = FreqtradeBot(default_conf) - patch_get_signal(freqtrade) - - n = freqtrade.enter_positions() - assert n == 0 - assert log_has("Active pair whitelist is empty.", caplog) + assert n == positions + if positions: + assert not log_has_re(r"No currency pair in active pair whitelist.*", caplog) + n = freqtrade.enter_positions() + assert n == 0 + assert log_has_re(r"No currency pair in active pair whitelist.*", caplog) + else: + assert n == 0 + assert log_has("Active pair whitelist is empty.", caplog) @pytest.mark.usefixtures("init_persistence") @@ -1668,30 +1558,27 @@ def test_tsl_on_exchange_compatible_with_edge(mocker, edge_conf, fee, caplog, ) -def test_enter_positions(mocker, default_conf, caplog) -> None: +@pytest.mark.parametrize('return_value,side_effect,log_message', [ + (False, None, 'Found no buy signals for whitelisted currencies. Trying again...'), + (None, DependencyException, 'Unable to create trade for ETH/BTC: ') +]) +def test_enter_positions(mocker, default_conf, return_value, side_effect, + log_message, caplog) -> None: caplog.set_level(logging.DEBUG) freqtrade = get_patched_freqtradebot(mocker, default_conf) - mock_ct = mocker.patch('freqtrade.freqtradebot.FreqtradeBot.create_trade', - MagicMock(return_value=False)) - n = freqtrade.enter_positions() - assert n == 0 - assert log_has('Found no enter signals for whitelisted currencies. Trying again...', caplog) - # create_trade should be called once for every pair in the whitelist. - assert mock_ct.call_count == len(default_conf['exchange']['pair_whitelist']) - - -def test_enter_positions_exception(mocker, default_conf, caplog) -> None: - freqtrade = get_patched_freqtradebot(mocker, default_conf) - mock_ct = mocker.patch( 'freqtrade.freqtradebot.FreqtradeBot.create_trade', - MagicMock(side_effect=DependencyException) + MagicMock( + return_value=return_value, + side_effect=side_effect + ) ) n = freqtrade.enter_positions() assert n == 0 + assert log_has(log_message, caplog) + # create_trade should be called once for every pair in the whitelist. assert mock_ct.call_count == len(default_conf['exchange']['pair_whitelist']) - assert log_has('Unable to create trade for ETH/BTC: ', caplog) def test_exit_positions(mocker, default_conf, limit_buy_order, caplog) -> None: @@ -1785,8 +1672,13 @@ def test_update_trade_state(mocker, default_conf, limit_buy_order, caplog) -> No assert log_has_re('Found open order for.*', caplog) +@pytest.mark.parametrize('initial_amount,has_rounding_fee', [ + (90.99181073 + 1e-14, True), + (8.0, False) +]) def test_update_trade_state_withorderdict(default_conf, trades_for_order, limit_buy_order, fee, - mocker): + mocker, initial_amount, has_rounding_fee, caplog): + trades_for_order[0]['amount'] = initial_amount mocker.patch('freqtrade.exchange.Exchange.get_trades_for_order', return_value=trades_for_order) # fetch_order should not be called!! mocker.patch('freqtrade.exchange.Exchange.fetch_order', MagicMock(side_effect=ValueError)) @@ -1807,32 +1699,8 @@ def test_update_trade_state_withorderdict(default_conf, trades_for_order, limit_ freqtrade.update_trade_state(trade, '123456', limit_buy_order) assert trade.amount != amount assert trade.amount == limit_buy_order['amount'] - - -def test_update_trade_state_withorderdict_rounding_fee(default_conf, trades_for_order, fee, - limit_buy_order, mocker, caplog): - trades_for_order[0]['amount'] = limit_buy_order['amount'] + 1e-14 - mocker.patch('freqtrade.exchange.Exchange.get_trades_for_order', return_value=trades_for_order) - # fetch_order should not be called!! - mocker.patch('freqtrade.exchange.Exchange.fetch_order', MagicMock(side_effect=ValueError)) - patch_exchange(mocker) - amount = sum(x['amount'] for x in trades_for_order) - freqtrade = get_patched_freqtradebot(mocker, default_conf) - trade = Trade( - pair='LTC/ETH', - amount=amount, - exchange='binance', - open_rate=0.245441, - fee_open=fee.return_value, - fee_close=fee.return_value, - open_order_id='123456', - is_open=True, - open_date=arrow.utcnow().datetime, - ) - freqtrade.update_trade_state(trade, '123456', limit_buy_order) - assert trade.amount != amount - assert trade.amount == limit_buy_order['amount'] - assert log_has_re(r'Applying fee on amount for .*', caplog) + if has_rounding_fee: + assert log_has_re(r'Applying fee on amount for .*', caplog) def test_update_trade_state_exception(mocker, default_conf, @@ -3144,16 +3012,28 @@ def test_execute_trade_exit_insufficient_funds_error(default_conf, ticker, fee, assert mock_insuf.call_count == 1 -def test_sell_profit_only_enable_profit(default_conf, limit_buy_order, limit_buy_order_open, - fee, mocker) -> None: +@pytest.mark.parametrize('profit_only,bid,ask,handle_first,handle_second,sell_type', [ + # Enable profit + (True, 0.00001172, 0.00001173, False, True, SellType.SELL_SIGNAL.value), + # Disable profit + (False, 0.00002172, 0.00002173, True, False, SellType.SELL_SIGNAL.value), + # Enable loss + # * Shouldn't this be SellType.STOP_LOSS.value + (True, 0.00000172, 0.00000173, False, False, None), + # Disable loss + (False, 0.00000172, 0.00000173, True, False, SellType.SELL_SIGNAL.value), +]) +def test_sell_profit_only( + default_conf, limit_buy_order, limit_buy_order_open, + fee, mocker, profit_only, bid, ask, handle_first, handle_second, sell_type) -> None: patch_RPCManager(mocker) patch_exchange(mocker) mocker.patch.multiple( 'freqtrade.exchange.Exchange', fetch_ticker=MagicMock(return_value={ - 'bid': 0.00001172, - 'ask': 0.00001173, - 'last': 0.00001172 + 'bid': bid, + 'ask': ask, + 'last': bid }), create_order=MagicMock(side_effect=[ limit_buy_order_open, @@ -3163,128 +3043,29 @@ def test_sell_profit_only_enable_profit(default_conf, limit_buy_order, limit_buy ) default_conf.update({ 'use_sell_signal': True, - 'sell_profit_only': True, + 'sell_profit_only': profit_only, 'sell_profit_offset': 0.1, }) freqtrade = FreqtradeBot(default_conf) patch_get_signal(freqtrade) - freqtrade.strategy.min_roi_reached = MagicMock(return_value=False) - + if sell_type == SellType.SELL_SIGNAL.value: + freqtrade.strategy.min_roi_reached = MagicMock(return_value=False) + else: + freqtrade.strategy.stop_loss_reached = MagicMock(return_value=SellCheckTuple( + sell_type=SellType.NONE)) freqtrade.enter_positions() trade = Trade.query.first() trade.update(limit_buy_order) freqtrade.wallets.update() patch_get_signal(freqtrade, value=(False, True, None)) - assert freqtrade.handle_trade(trade) is False + assert freqtrade.handle_trade(trade) is handle_first - freqtrade.strategy.sell_profit_offset = 0.0 - assert freqtrade.handle_trade(trade) is True + if handle_second: + freqtrade.strategy.sell_profit_offset = 0.0 + assert freqtrade.handle_trade(trade) is True - assert trade.sell_reason == SellType.SELL_SIGNAL.value - - -def test_sell_profit_only_disable_profit(default_conf, limit_buy_order, limit_buy_order_open, - fee, mocker) -> None: - patch_RPCManager(mocker) - patch_exchange(mocker) - mocker.patch.multiple( - 'freqtrade.exchange.Exchange', - fetch_ticker=MagicMock(return_value={ - 'bid': 0.00002172, - 'ask': 0.00002173, - 'last': 0.00002172 - }), - create_order=MagicMock(side_effect=[ - limit_buy_order_open, - {'id': 1234553382}, - ]), - get_fee=fee, - ) - default_conf.update({ - 'use_sell_signal': True, - 'sell_profit_only': False, - }) - freqtrade = FreqtradeBot(default_conf) - patch_get_signal(freqtrade) - freqtrade.strategy.min_roi_reached = MagicMock(return_value=False) - freqtrade.enter_positions() - - trade = Trade.query.first() - trade.update(limit_buy_order) - freqtrade.wallets.update() - patch_get_signal(freqtrade, value=(False, True, None)) - assert freqtrade.handle_trade(trade) is True - assert trade.sell_reason == SellType.SELL_SIGNAL.value - - -def test_sell_profit_only_enable_loss(default_conf, limit_buy_order, limit_buy_order_open, - fee, mocker) -> None: - patch_RPCManager(mocker) - patch_exchange(mocker) - mocker.patch.multiple( - 'freqtrade.exchange.Exchange', - fetch_ticker=MagicMock(return_value={ - 'bid': 0.00000172, - 'ask': 0.00000173, - 'last': 0.00000172 - }), - create_order=MagicMock(side_effect=[ - limit_buy_order_open, - {'id': 1234553382}, - ]), - get_fee=fee, - ) - default_conf.update({ - 'use_sell_signal': True, - 'sell_profit_only': True, - }) - freqtrade = FreqtradeBot(default_conf) - patch_get_signal(freqtrade) - freqtrade.strategy.stop_loss_reached = MagicMock(return_value=SellCheckTuple( - sell_type=SellType.NONE)) - freqtrade.enter_positions() - - trade = Trade.query.first() - trade.update(limit_buy_order) - patch_get_signal(freqtrade, value=(False, True, None)) - assert freqtrade.handle_trade(trade) is False - - -def test_sell_profit_only_disable_loss(default_conf, limit_buy_order, limit_buy_order_open, - fee, mocker) -> None: - patch_RPCManager(mocker) - patch_exchange(mocker) - mocker.patch.multiple( - 'freqtrade.exchange.Exchange', - fetch_ticker=MagicMock(return_value={ - 'bid': 0.0000172, - 'ask': 0.0000173, - 'last': 0.0000172 - }), - create_order=MagicMock(side_effect=[ - limit_buy_order_open, - {'id': 1234553382}, - ]), - get_fee=fee, - ) - default_conf.update({ - 'use_sell_signal': True, - 'sell_profit_only': False, - }) - - freqtrade = FreqtradeBot(default_conf) - patch_get_signal(freqtrade) - freqtrade.strategy.min_roi_reached = MagicMock(return_value=False) - - freqtrade.enter_positions() - - trade = Trade.query.first() - trade.update(limit_buy_order) - freqtrade.wallets.update() - patch_get_signal(freqtrade, value=(False, True, None)) - assert freqtrade.handle_trade(trade) is True - assert trade.sell_reason == SellType.SELL_SIGNAL.value + assert trade.sell_reason == sell_type def test_sell_not_enough_balance(default_conf, limit_buy_order, limit_buy_order_open, @@ -3322,11 +3103,15 @@ def test_sell_not_enough_balance(default_conf, limit_buy_order, limit_buy_order_ assert trade.amount != amnt -def test__safe_exit_amount(default_conf, fee, caplog, mocker): +@pytest.mark.parametrize('amount_wallet,has_err', [ + (95.29, False), + (91.29, True) +]) +def test__safe_exit_amount(default_conf, fee, caplog, mocker, amount_wallet, has_err): patch_RPCManager(mocker) patch_exchange(mocker) amount = 95.33 - amount_wallet = 95.29 + amount_wallet = amount_wallet mocker.patch('freqtrade.wallets.Wallets.get_free', MagicMock(return_value=amount_wallet)) wallet_update = mocker.patch('freqtrade.wallets.Wallets.update') trade = Trade( @@ -3340,37 +3125,19 @@ def test__safe_exit_amount(default_conf, fee, caplog, mocker): ) freqtrade = FreqtradeBot(default_conf) patch_get_signal(freqtrade) - - wallet_update.reset_mock() - assert freqtrade._safe_exit_amount(trade.pair, trade.amount) == amount_wallet - assert log_has_re(r'.*Falling back to wallet-amount.', caplog) - assert wallet_update.call_count == 1 - caplog.clear() - wallet_update.reset_mock() - assert freqtrade._safe_exit_amount(trade.pair, amount_wallet) == amount_wallet - assert not log_has_re(r'.*Falling back to wallet-amount.', caplog) - assert wallet_update.call_count == 1 - - -def test__safe_exit_amount_error(default_conf, fee, caplog, mocker): - patch_RPCManager(mocker) - patch_exchange(mocker) - amount = 95.33 - amount_wallet = 91.29 - mocker.patch('freqtrade.wallets.Wallets.get_free', MagicMock(return_value=amount_wallet)) - trade = Trade( - pair='LTC/ETH', - amount=amount, - exchange='binance', - open_rate=0.245441, - open_order_id="123456", - fee_open=fee.return_value, - fee_close=fee.return_value, - ) - freqtrade = FreqtradeBot(default_conf) - patch_get_signal(freqtrade) - with pytest.raises(DependencyException, match=r"Not enough amount to exit."): - assert freqtrade._safe_exit_amount(trade.pair, trade.amount) + if has_err: + with pytest.raises(DependencyException, match=r"Not enough amount to sell."): + assert freqtrade._safe_exit_amount(trade.pair, trade.amount) + else: + wallet_update.reset_mock() + assert freqtrade._safe_exit_amount(trade.pair, trade.amount) == amount_wallet + assert log_has_re(r'.*Falling back to wallet-amount.', caplog) + assert wallet_update.call_count == 1 + caplog.clear() + wallet_update.reset_mock() + assert freqtrade._safe_exit_amount(trade.pair, amount_wallet) == amount_wallet + assert not log_has_re(r'.*Falling back to wallet-amount.', caplog) + assert wallet_update.call_count == 1 def test_locked_pairs(default_conf, ticker, fee, ticker_sell_down, mocker, caplog) -> None: @@ -4158,50 +3925,37 @@ def test_order_book_depth_of_market_high_delta(default_conf, ticker, limit_buy_o assert trade is None -def test_order_book_bid_strategy1(mocker, default_conf, order_book_l2) -> None: +@pytest.mark.parametrize('exception_thrown,ask,last,order_book_top,order_book', [ + (False, 0.045, 0.046, 2, None), + (True, 0.042, 0.046, 1, {'bids': [[]], 'asks': [[]]}) +]) +def test_order_book_bid_strategy1(mocker, default_conf, order_book_l2, exception_thrown, + ask, last, order_book_top, order_book, caplog) -> None: """ - test if function get_rate will return the order book price - instead of the ask rate + test if function get_rate will return the order book price instead of the ask rate """ patch_exchange(mocker) - ticker_mock = MagicMock(return_value={'ask': 0.045, 'last': 0.046}) + ticker_mock = MagicMock(return_value={'ask': ask, 'last': last}) mocker.patch.multiple( 'freqtrade.exchange.Exchange', - fetch_l2_order_book=order_book_l2, + fetch_l2_order_book=MagicMock(return_value=order_book) if order_book else order_book_l2, fetch_ticker=ticker_mock, - ) default_conf['exchange']['name'] = 'binance' default_conf['bid_strategy']['use_order_book'] = True - default_conf['bid_strategy']['order_book_top'] = 2 + default_conf['bid_strategy']['order_book_top'] = order_book_top default_conf['bid_strategy']['ask_last_balance'] = 0 default_conf['telegram']['enabled'] = False freqtrade = FreqtradeBot(default_conf) - assert freqtrade.exchange.get_rate('ETH/BTC', refresh=True, side="buy") == 0.043935 - assert ticker_mock.call_count == 0 - - -def test_order_book_bid_strategy_exception(mocker, default_conf, caplog) -> None: - patch_exchange(mocker) - ticker_mock = MagicMock(return_value={'ask': 0.042, 'last': 0.046}) - mocker.patch.multiple( - 'freqtrade.exchange.Exchange', - fetch_l2_order_book=MagicMock(return_value={'bids': [[]], 'asks': [[]]}), - fetch_ticker=ticker_mock, - - ) - default_conf['exchange']['name'] = 'binance' - default_conf['bid_strategy']['use_order_book'] = True - default_conf['bid_strategy']['order_book_top'] = 1 - default_conf['bid_strategy']['ask_last_balance'] = 0 - default_conf['telegram']['enabled'] = False - - freqtrade = FreqtradeBot(default_conf) - # orderbook shall be used even if tickers would be lower. - with pytest.raises(PricingError): - freqtrade.exchange.get_rate('ETH/BTC', refresh=True, side="buy") - assert log_has_re(r'Buy Price at location 1 from orderbook could not be determined.', caplog) + if exception_thrown: + with pytest.raises(PricingError): + freqtrade.exchange.get_rate('ETH/BTC', refresh=True, side="buy") + assert log_has_re( + r'Buy Price at location 1 from orderbook could not be determined.', caplog) + else: + assert freqtrade.exchange.get_rate('ETH/BTC', refresh=True, side="buy") == 0.043935 + assert ticker_mock.call_count == 0 def test_check_depth_of_market_buy(default_conf, mocker, order_book_l2) -> None: