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

ccxt_compat_tests for leverage tiers

Browse Source
This commit is contained in:
Sam Germain 2022-02-16 08:08:10 -06:00
parent 88a8ff2f4e
commit ef5dae2770
1 changed files with 47 additions and 39 deletions
Show Stats Download Patch File Download Diff File Expand all files Collapse all files

86
tests/exchange/test_ccxt_compat.py
View File

@ -24,10 +24,8 @@ EXCHANGES = {
'stake_currency': 'USDT',
'hasQuoteVolume': False,
'timeframe': '1h',
'leverage_in_market': {
'spot': False,
'futures': False,
}
'leverage_tiers_public': False,
'leverage_in_spot_market': False,
},
'binance': {
'pair': 'BTC/USDT',
@ -35,20 +33,16 @@ EXCHANGES = {
'hasQuoteVolume': True,
'timeframe': '5m',
'futures': True,
'leverage_in_market': {
'spot': False,
'futures': False,
}
'leverage_tiers_public': False,
'leverage_in_spot_market': False,
},
'kraken': {
'pair': 'BTC/USDT',
'stake_currency': 'USDT',
'hasQuoteVolume': True,
'timeframe': '5m',
'leverage_in_market': {
'spot': True,
'futures': True,
}
'leverage_tiers_public': False,
'leverage_in_spot_market': True,
},
'ftx': {
'pair': 'BTC/USD',
@ -57,20 +51,16 @@ EXCHANGES = {
'timeframe': '5m',
'futures_pair': 'BTC/USD:USD',
'futures': True,
'leverage_in_market': {
'spot': True,
'futures': True,
}
'leverage_tiers_public': False, # TODO: Set to True once implemented on CCXT
'leverage_in_spot_market': True,
},
'kucoin': {
'pair': 'BTC/USDT',
'stake_currency': 'USDT',
'hasQuoteVolume': True,
'timeframe': '5m',
'leverage_in_market': {
'spot': False,
'futures': False,
}
'leverage_tiers_public': False,
'leverage_in_spot_market': True,
},
'gateio': {
'pair': 'BTC/USDT',
@ -79,10 +69,8 @@ EXCHANGES = {
'timeframe': '5m',
'futures': True,
'futures_pair': 'BTC/USDT:USDT',
'leverage_in_market': {
'spot': True,
'futures': True,
}
'leverage_tiers_public': False, # TODO-lev: Set to True once implemented on CCXT
'leverage_in_spot_market': True,
},
'okx': {
'pair': 'BTC/USDT',
@ -91,20 +79,16 @@ EXCHANGES = {
'timeframe': '5m',
'futures_pair': 'BTC/USDT:USDT',
'futures': True,
'leverage_in_market': {
'spot': True,
'futures': True,
}
'leverage_tiers_public': True,
'leverage_in_spot_market': True,
},
'bitvavo': {
'pair': 'BTC/EUR',
'stake_currency': 'EUR',
'hasQuoteVolume': True,
'timeframe': '5m',
'leverage_in_market': {
'spot': False,
'futures': False,
}
'leverage_tiers_public': False,
'leverage_in_spot_market': False,
},
}
@ -332,7 +316,7 @@ class TestCCXTExchange():
def test_ccxt_get_max_leverage_spot(self, exchange):
spot, spot_name = exchange
if spot:
leverage_in_market_spot = EXCHANGES[spot_name]['leverage_in_market']['spot']
leverage_in_market_spot = EXCHANGES[spot_name]['leverage_in_spot_market']
if leverage_in_market_spot:
spot_pair = EXCHANGES[spot_name].get('pair', EXCHANGES[spot_name]['pair'])
spot_leverage = spot.get_max_leverage(spot_pair, 20)
@ -342,9 +326,8 @@ class TestCCXTExchange():
def test_ccxt_get_max_leverage_futures(self, exchange_futures):
futures, futures_name = exchange_futures
if futures:
leverage_in_market_futures = EXCHANGES[futures_name]['leverage_in_market']['futures']
# TODO-lev: binance, gateio, and okx don't have leverage_in_market
if leverage_in_market_futures:
leverage_tiers_public = EXCHANGES[futures_name]['leverage_tiers_public']
if leverage_tiers_public:
futures_pair = EXCHANGES[futures_name].get(
'futures_pair',
EXCHANGES[futures_name]['pair']
@ -364,6 +347,34 @@ class TestCCXTExchange():
assert (isinstance(contract_size, float) or isinstance(contract_size, int))
assert contract_size >= 0.0
def test_ccxt_load_leverage_tiers(self, exchange_futures):
futures, futures_name = exchange_futures
if futures and EXCHANGES[futures_name]['leverage_tiers_public']:
leverage_tiers = futures.load_leverage_tiers()
futures_pair = EXCHANGES[futures_name].get(
'futures_pair',
EXCHANGES[futures_name]['pair']
)
assert (isinstance(leverage_tiers, dict))
assert futures_pair in leverage_tiers
pair_tiers = leverage_tiers[futures_pair]
assert len(pair_tiers) > 0
oldLeverage = 0
oldMaintenanceMarginRate = oldNotionalFloor = oldNotionalCap = float('inf')
for tier in pair_tiers:
for key in ['maintenanceMarginRate', 'notionalFloor', 'notionalCap', 'maxLeverage']:
assert key in tier
assert pair_tiers[key] > 0.0
assert pair_tiers['notionalCap'] > pair_tiers['notionalFloor']
assert tier['maxLeverage'] < oldLeverage
assert tier['maintenanceMarginRate'] > oldMaintenanceMarginRate
assert tier['notionalFloor'] > oldNotionalFloor
assert tier['notionalCap'] > oldNotionalCap
oldLeverage = tier['maxLeverage']
oldMaintenanceMarginRate = tier['maintenanceMarginRate']
oldNotionalFloor = tier['notionalFloor']
oldNotionalCap = tier['notionalCap']
# def test_ccxt_get_liquidation_price():
# return # TODO-lev
@ -373,8 +384,5 @@ class TestCCXTExchange():
# def test_ccxt_get_max_pair_stake_amount():
# return # TODO-lev
# def test_ccxt_load_leverage_tiers():
# return # TODO-lev
# def test_ccxt_get_maintenance_ratio_and_amt():
# return # TODO-lev