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Merge branch 'develop' into feat/short

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This commit is contained in:
Matthias 2022-02-24 19:56:42 +01:00
commit fd936e26ae
13 changed files with 273 additions and 136 deletions
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15
freqtrade/freqtradebot.py
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@ -1578,9 +1578,14 @@ class FreqtradeBot(LoggingMixin):
# Handling of this will happen in check_handle_timedout.
return True
order = self.handle_order_fee(trade, order)
order_obj = trade.select_order_by_order_id(order_id)
if not order_obj:
raise DependencyException(
f"Order_obj not found for {order_id}. This should not have happened.")
self.handle_order_fee(trade, order_obj, order)
trade.update(order)
trade.update_trade(order_obj)
# TODO: is the below necessary? it's already done in update_trade for filled buys
trade.recalc_trade_from_orders()
Trade.commit()
@ -1634,17 +1639,15 @@ class FreqtradeBot(LoggingMixin):
return real_amount
return amount
def handle_order_fee(self, trade: Trade, order: Dict[str, Any]) -> Dict[str, Any]:
def handle_order_fee(self, trade: Trade, order_obj: Order, order: Dict[str, Any]) -> None:
# Try update amount (binance-fix)
try:
new_amount = self.get_real_amount(trade, order)
if not isclose(safe_value_fallback(order, 'filled', 'amount'), new_amount,
abs_tol=constants.MATH_CLOSE_PREC):
order['amount'] = new_amount
order.pop('filled', None)
order_obj.ft_fee_base = trade.amount - new_amount
except DependencyException as exception:
logger.warning("Could not update trade amount: %s", exception)
return order
def get_real_amount(self, trade: Trade, order: Dict) -> float:
"""

3
freqtrade/optimize/backtesting.py
View File

@ -139,7 +139,8 @@ class Backtesting:
def __del__(self):
self.cleanup()
def cleanup(self):
@staticmethod
def cleanup():
LoggingMixin.show_output = True
PairLocks.use_db = True
Trade.use_db = True

23
freqtrade/persistence/migrations.py
View File

@ -191,19 +191,22 @@ def drop_orders_table(engine, table_back_name: str):
connection.execute(text("drop table orders"))
def migrate_orders_table(engine, table_back_name: str, cols: List):
def migrate_orders_table(engine, table_back_name: str, cols_order: List):
ft_fee_base = get_column_def(cols_order, 'ft_fee_base', 'null')
# let SQLAlchemy create the schema as required
leverage = get_column_def(cols, 'leverage', '1.0')
leverage = get_column_def(cols_order, 'leverage', '1.0')
# sqlite does not support literals for booleans
with engine.begin() as connection:
connection.execute(text(f"""
insert into orders ( id, ft_trade_id, ft_order_side, ft_pair, ft_is_open, order_id,
status, symbol, order_type, side, price, amount, filled, average, remaining, cost,
order_date, order_filled_date, order_update_date, leverage)
order_date, order_filled_date, order_update_date, ft_fee_base, leverage)
select id, ft_trade_id, ft_order_side, ft_pair, ft_is_open, order_id,
status, symbol, order_type, side, price, amount, filled, null average, remaining, cost,
order_date, order_filled_date, order_update_date, {leverage} leverage
order_date, order_filled_date, order_update_date, {ft_fee_base} ft_fee_base,
{leverage} leverage
from {table_back_name}
"""))
@ -222,22 +225,22 @@ def check_migrate(engine, decl_base, previous_tables) -> None:
inspector = inspect(engine)
cols = inspector.get_columns('trades')
cols_orders = inspector.get_columns('orders')
tabs = get_table_names_for_table(inspector, 'trades')
cols_order = inspector.get_columns('orders')
table_back_name = get_backup_name(tabs, 'trades_bak')
order_tabs = get_table_names_for_table(inspector, 'orders')
order_table_bak_name = get_backup_name(order_tabs, 'orders_bak')
# Check if migration necessary
# Migrates both trades and orders table!
if not has_column(cols, 'enter_tag'):
# if not has_column(cols, 'buy_tag'):
if ('orders' not in previous_tables
or not has_column(cols_orders, 'ft_fee_base')
or not has_column(cols_orders, 'leverage')):
logger.info(f"Running database migration for trades - "
f"backup: {table_back_name}, {order_table_bak_name}")
migrate_trades_and_orders_table(
decl_base, inspector, engine, table_back_name, cols, order_table_bak_name, cols_order)
# Reread columns - the above recreated the table!
inspector = inspect(engine)
cols = inspector.get_columns('trades')
decl_base, inspector, engine, table_back_name, cols, order_table_bak_name, cols_orders)
if 'orders' not in previous_tables and 'trades' in previous_tables:
logger.info('Moving open orders to Orders table.')

69
freqtrade/persistence/models.py
View File

@ -17,7 +17,6 @@ from freqtrade.constants import DATETIME_PRINT_FORMAT, NON_OPEN_EXCHANGE_STATES
from freqtrade.enums import SellType, TradingMode
from freqtrade.exceptions import DependencyException, OperationalException
from freqtrade.leverage import interest
from freqtrade.misc import safe_value_fallback
from freqtrade.persistence.migrations import check_migrate
@ -117,14 +116,15 @@ class Order(_DECL_BASE):
trade = relationship("Trade", back_populates="orders")
ft_order_side = Column(String(25), nullable=False)
ft_pair = Column(String(25), nullable=False)
# order_side can only be 'buy', 'sell' or 'stoploss'
ft_order_side: str = Column(String(25), nullable=False)
ft_pair: str = Column(String(25), nullable=False)
ft_is_open = Column(Boolean, nullable=False, default=True, index=True)
order_id = Column(String(255), nullable=False, index=True)
status = Column(String(255), nullable=True)
symbol = Column(String(25), nullable=True)
order_type = Column(String(50), nullable=True)
order_type: str = Column(String(50), nullable=True)
side = Column(String(25), nullable=True)
price = Column(Float, nullable=True)
average = Column(Float, nullable=True)
@ -137,10 +137,29 @@ class Order(_DECL_BASE):
order_update_date = Column(DateTime, nullable=True)
leverage = Column(Float, nullable=True, default=1.0)
ft_fee_base = Column(Float, nullable=True)
@property
def order_date_utc(self):
def order_date_utc(self) -> datetime:
""" Order-date with UTC timezoneinfo"""
return self.order_date.replace(tzinfo=timezone.utc)
@property
def safe_price(self) -> float:
return self.average or self.price
@property
def safe_filled(self) -> float:
return self.filled or self.amount or 0.0
@property
def safe_fee_base(self) -> float:
return self.ft_fee_base or 0.0
@property
def safe_amount_after_fee(self) -> float:
return self.safe_filled - self.safe_fee_base
def __repr__(self):
return (f'Order(id={self.id}, order_id={self.order_id}, trade_id={self.ft_trade_id}, '
@ -584,50 +603,46 @@ class LocalTrade():
f"Trailing stoploss saved us: "
f"{float(self.stop_loss) - float(self.initial_stop_loss):.8f}.")
def update(self, order: Dict) -> None:
def update_trade(self, order: Order) -> None:
"""
Updates this entity with amount and actual open/close rates.
:param order: order retrieved by exchange.fetch_order()
:return: None
"""
order_type = order['type']
if 'is_short' in order and order['side'] == 'sell':
# Only set's is_short on opening trades, ignores non-shorts
self.is_short = order['is_short']
# Ignore open and cancelled orders
if order['status'] == 'open' or safe_value_fallback(order, 'average', 'price') is None:
if order.status == 'open' or order.safe_price is None:
return
logger.info('Updating trade (id=%s) ...', self.id)
logger.info(f'Updating trade (id={self.id}) ...')
if order_type in ('market', 'limit') and self.enter_side == order['side']:
if order.ft_order_side == self.enter_side:
# Update open rate and actual amount
self.open_rate = float(safe_value_fallback(order, 'average', 'price'))
self.amount = float(safe_value_fallback(order, 'filled', 'amount'))
if 'leverage' in order:
self.leverage = order['leverage']
self.open_rate = order.safe_price
self.amount = order.safe_amount_after_fee
# if 'leverage' in order:
# TODO-lev: order.leverage is not properly filled on the order object!
# self.leverage = order.leverage
if self.is_open:
payment = "SELL" if self.is_short else "BUY"
logger.info(f'{order_type.upper()}_{payment} has been fulfilled for {self}.')
logger.info(f'{order.order_type.upper()}_{payment} has been fulfilled for {self}.')
self.open_order_id = None
self.recalc_trade_from_orders()
elif order_type in ('market', 'limit') and self.exit_side == order['side']:
elif order.ft_order_side == self.exit_side:
if self.is_open:
payment = "BUY" if self.is_short else "SELL"
# * On margin shorts, you buy a little bit more than the amount (amount + interest)
logger.info(f'{order_type.upper()}_{payment} has been fulfilled for {self}.')
self.close(safe_value_fallback(order, 'average', 'price'))
elif order_type in ('stop_loss_limit', 'stop-loss', 'stop-loss-limit', 'stop'):
logger.info(f'{order.order_type.upper()}_{payment} has been fulfilled for {self}.')
self.close(order.safe_price)
elif order.ft_order_side == 'stoploss':
self.stoploss_order_id = None
self.close_rate_requested = self.stop_loss
self.sell_reason = SellType.STOPLOSS_ON_EXCHANGE.value
if self.is_open:
logger.info(f'{order_type.upper()} is hit for {self}.')
self.close(safe_value_fallback(order, 'average', 'price'))
logger.info(f'{order.order_type.upper()} is hit for {self}.')
self.close(order.safe_price)
else:
raise ValueError(f'Unknown order type: {order_type}')
raise ValueError(f'Unknown order type: {order.order_type}')
Trade.commit()
def close(self, rate: float, *, show_msg: bool = True) -> None:
@ -857,7 +872,7 @@ class LocalTrade():
(o.status not in NON_OPEN_EXCHANGE_STATES)):
continue
tmp_amount = o.amount
tmp_amount = o.safe_amount_after_fee
tmp_price = o.average or o.price
if o.filled is not None:
tmp_amount = o.filled

2
requirements.txt
View File

@ -32,7 +32,7 @@ sdnotify==0.3.2
# API Server
fastapi==0.74.0
uvicorn==0.17.4
uvicorn==0.17.5
pyjwt==2.3.0
aiofiles==0.8.0
psutil==5.9.0

7
tests/conftest.py
View File

@ -285,6 +285,9 @@ def create_mock_trades_with_leverage(fee, use_db: bool = True):
"""
Create some fake trades ...
"""
if use_db:
Trade.query.session.rollback()
def add_trade(trade):
if use_db:
Trade.query.session.add(trade)
@ -1818,7 +1821,7 @@ def limit_sell_order_open():
'id': 'mocked_limit_sell',
'type': 'limit',
'side': 'sell',
'pair': 'mocked',
'symbol': 'mocked',
'datetime': arrow.utcnow().isoformat(),
'timestamp': arrow.utcnow().int_timestamp,
'price': 0.00001173,
@ -2825,7 +2828,7 @@ def limit_sell_order_usdt_open():
'id': 'mocked_limit_sell_usdt',
'type': 'limit',
'side': 'sell',
'pair': 'mocked',
'symbol': 'mocked',
'datetime': arrow.utcnow().isoformat(),
'timestamp': arrow.utcnow().int_timestamp,
'price': 2.20,

9
tests/optimize/test_backtesting.py
View File

@ -52,6 +52,13 @@ def trim_dictlist(dict_list, num):
return new
@pytest.fixture(autouse=True)
def backtesting_cleanup() -> None:
yield None
Backtesting.cleanup()
def load_data_test(what, testdatadir):
timerange = TimeRange.parse_timerange('1510694220-1510700340')
data = history.load_pair_history(pair='UNITTEST/BTC', datadir=testdatadir,
@ -568,8 +575,6 @@ def test_backtest__enter_trade(default_conf, fee, mocker) -> None:
trade = backtesting._enter_trade(pair, row=row, direction='long')
assert trade is None
backtesting.cleanup()
def test_backtest__get_sell_trade_entry(default_conf, fee, mocker) -> None:
default_conf['use_sell_signal'] = False

53
tests/rpc/test_rpc.py
View File

@ -12,6 +12,7 @@ from freqtrade.enums import State, TradingMode
from freqtrade.enums.signaltype import SignalDirection
from freqtrade.exceptions import ExchangeError, InvalidOrderException, TemporaryError
from freqtrade.persistence import Trade
from freqtrade.persistence.models import Order
from freqtrade.persistence.pairlock_middleware import PairLocks
from freqtrade.rpc import RPC, RPCException
from freqtrade.rpc.fiat_convert import CryptoToFiatConverter
@ -292,8 +293,10 @@ def test_rpc_daily_profit(default_conf, update, ticker, fee,
assert trade
# Simulate buy & sell
trade.update(limit_buy_order)
trade.update(limit_sell_order)
oobj = Order.parse_from_ccxt_object(limit_buy_order, limit_buy_order['symbol'], 'buy')
trade.update_trade(oobj)
oobj = Order.parse_from_ccxt_object(limit_sell_order, limit_sell_order['symbol'], 'sell')
trade.update_trade(oobj)
trade.close_date = datetime.utcnow()
trade.is_open = False
@ -432,28 +435,32 @@ def test_rpc_trade_statistics(default_conf, ticker, ticker_sell_up, fee,
freqtradebot.enter_positions()
trade = Trade.query.first()
# Simulate fulfilled LIMIT_BUY order for trade
trade.update(limit_buy_order)
oobj = Order.parse_from_ccxt_object(limit_buy_order, limit_buy_order['symbol'], 'sell')
trade.update_trade(oobj)
# Update the ticker with a market going up
mocker.patch.multiple(
'freqtrade.exchange.Exchange',
fetch_ticker=ticker_sell_up
)
trade.update(limit_sell_order)
oobj = Order.parse_from_ccxt_object(limit_sell_order, limit_sell_order['symbol'], 'sell')
trade.update_trade(oobj)
trade.close_date = datetime.utcnow()
trade.is_open = False
freqtradebot.enter_positions()
trade = Trade.query.first()
# Simulate fulfilled LIMIT_BUY order for trade
trade.update(limit_buy_order)
oobj = Order.parse_from_ccxt_object(limit_buy_order, limit_buy_order['symbol'], 'buy')
trade.update_trade(oobj)
# Update the ticker with a market going up
mocker.patch.multiple(
'freqtrade.exchange.Exchange',
fetch_ticker=ticker_sell_up
)
trade.update(limit_sell_order)
oobj = Order.parse_from_ccxt_object(limit_sell_order, limit_sell_order['symbol'], 'sell')
trade.update_trade(oobj)
trade.close_date = datetime.utcnow()
trade.is_open = False
@ -512,14 +519,16 @@ def test_rpc_trade_statistics_closed(mocker, default_conf, ticker, fee,
freqtradebot.enter_positions()
trade = Trade.query.first()
# Simulate fulfilled LIMIT_BUY order for trade
trade.update(limit_buy_order)
oobj = Order.parse_from_ccxt_object(limit_buy_order, limit_buy_order['symbol'], 'buy')
trade.update_trade(oobj)
# Update the ticker with a market going up
mocker.patch.multiple(
'freqtrade.exchange.Exchange',
fetch_ticker=ticker_sell_up,
get_fee=fee
)
trade.update(limit_sell_order)
oobj = Order.parse_from_ccxt_object(limit_sell_order, limit_sell_order['symbol'], 'sell')
trade.update_trade(oobj)
trade.close_date = datetime.utcnow()
trade.is_open = False
@ -771,13 +780,13 @@ def test_rpc_forceexit(default_conf, ticker, fee, mocker) -> None:
mocker.patch(
'freqtrade.exchange.Exchange.fetch_order',
side_effect=[{
'id': '1234',
'id': trade.orders[0].order_id,
'status': 'open',
'type': 'limit',
'side': 'buy',
'filled': filled_amount
}, {
'id': '1234',
'id': trade.orders[0].order_id,
'status': 'closed',
'type': 'limit',
'side': 'buy',
@ -857,10 +866,12 @@ def test_performance_handle(default_conf, ticker, limit_buy_order, fee,
assert trade
# Simulate fulfilled LIMIT_BUY order for trade
trade.update(limit_buy_order)
oobj = Order.parse_from_ccxt_object(limit_buy_order, limit_buy_order['symbol'], 'buy')
trade.update_trade(oobj)
# Simulate fulfilled LIMIT_SELL order for trade
trade.update(limit_sell_order)
oobj = Order.parse_from_ccxt_object(limit_sell_order, limit_sell_order['symbol'], 'sell')
trade.update_trade(oobj)
trade.close_date = datetime.utcnow()
trade.is_open = False
@ -891,10 +902,12 @@ def test_enter_tag_performance_handle(default_conf, ticker, limit_buy_order, fee
assert trade
# Simulate fulfilled LIMIT_BUY order for trade
trade.update(limit_buy_order)
oobj = Order.parse_from_ccxt_object(limit_buy_order, limit_buy_order['symbol'], 'buy')
trade.update_trade(oobj)
# Simulate fulfilled LIMIT_SELL order for trade
trade.update(limit_sell_order)
oobj = Order.parse_from_ccxt_object(limit_sell_order, limit_sell_order['symbol'], 'sell')
trade.update_trade(oobj)
trade.close_date = datetime.utcnow()
trade.is_open = False
@ -963,10 +976,12 @@ def test_sell_reason_performance_handle(default_conf, ticker, limit_buy_order, f
assert trade
# Simulate fulfilled LIMIT_BUY order for trade
trade.update(limit_buy_order)
oobj = Order.parse_from_ccxt_object(limit_buy_order, limit_buy_order['symbol'], 'buy')
trade.update_trade(oobj)
# Simulate fulfilled LIMIT_SELL order for trade
trade.update(limit_sell_order)
oobj = Order.parse_from_ccxt_object(limit_sell_order, limit_sell_order['symbol'], 'sell')
trade.update_trade(oobj)
trade.close_date = datetime.utcnow()
trade.is_open = False
@ -1035,10 +1050,12 @@ def test_mix_tag_performance_handle(default_conf, ticker, limit_buy_order, fee,
assert trade
# Simulate fulfilled LIMIT_BUY order for trade
trade.update(limit_buy_order)
oobj = Order.parse_from_ccxt_object(limit_buy_order, limit_buy_order['symbol'], 'buy')
trade.update_trade(oobj)
# Simulate fulfilled LIMIT_SELL order for trade
trade.update(limit_sell_order)
oobj = Order.parse_from_ccxt_object(limit_sell_order, limit_sell_order['symbol'], 'sell')
trade.update_trade(oobj)
trade.close_date = datetime.utcnow()
trade.is_open = False

1
tests/rpc/test_rpc_apiserver.py
View File

@ -1189,6 +1189,7 @@ def test_api_forcesell(botclient, mocker, ticker, fee, markets):
data='{"tradeid": "1"}')
assert_response(rc, 502)
assert rc.json() == {"error": "Error querying /api/v1/forcesell: invalid argument"}
Trade.query.session.rollback()
ftbot.enter_positions()

71
tests/rpc/test_rpc_telegram.py
View File

@ -424,10 +424,12 @@ def test_daily_handle(default_conf, update, ticker, limit_buy_order, fee,
assert trade
# Simulate fulfilled LIMIT_BUY order for trade
trade.update(limit_buy_order)
oobj = Order.parse_from_ccxt_object(limit_buy_order, limit_buy_order['symbol'], 'buy')
trade.update_trade(oobj)
# Simulate fulfilled LIMIT_SELL order for trade
trade.update(limit_sell_order)
oobjs = Order.parse_from_ccxt_object(limit_sell_order, limit_sell_order['symbol'], 'sell')
trade.update_trade(oobjs)
trade.close_date = datetime.utcnow()
trade.is_open = False
@ -467,8 +469,8 @@ def test_daily_handle(default_conf, update, ticker, limit_buy_order, fee,
trades = Trade.query.all()
for trade in trades:
trade.update(limit_buy_order)
trade.update(limit_sell_order)
trade.update_trade(oobj)
trade.update_trade(oobjs)
trade.close_date = datetime.utcnow()
trade.is_open = False
@ -533,10 +535,12 @@ def test_weekly_handle(default_conf, update, ticker, limit_buy_order, fee,
assert trade
# Simulate fulfilled LIMIT_BUY order for trade
trade.update(limit_buy_order)
oobj = Order.parse_from_ccxt_object(limit_buy_order, limit_buy_order['symbol'], 'buy')
trade.update_trade(oobj)
# Simulate fulfilled LIMIT_SELL order for trade
trade.update(limit_sell_order)
oobjs = Order.parse_from_ccxt_object(limit_sell_order, limit_sell_order['symbol'], 'sell')
trade.update_trade(oobjs)
trade.close_date = datetime.utcnow()
trade.is_open = False
@ -580,8 +584,8 @@ def test_weekly_handle(default_conf, update, ticker, limit_buy_order, fee,
trades = Trade.query.all()
for trade in trades:
trade.update(limit_buy_order)
trade.update(limit_sell_order)
trade.update_trade(oobj)
trade.update_trade(oobjs)
trade.close_date = datetime.utcnow()
trade.is_open = False
@ -649,10 +653,12 @@ def test_monthly_handle(default_conf, update, ticker, limit_buy_order, fee,
assert trade
# Simulate fulfilled LIMIT_BUY order for trade
trade.update(limit_buy_order)
oobj = Order.parse_from_ccxt_object(limit_buy_order, limit_buy_order['symbol'], 'buy')
trade.update_trade(oobj)
# Simulate fulfilled LIMIT_SELL order for trade
trade.update(limit_sell_order)
oobjs = Order.parse_from_ccxt_object(limit_sell_order, limit_sell_order['symbol'], 'sell')
trade.update_trade(oobjs)
trade.close_date = datetime.utcnow()
trade.is_open = False
@ -696,8 +702,8 @@ def test_monthly_handle(default_conf, update, ticker, limit_buy_order, fee,
trades = Trade.query.all()
for trade in trades:
trade.update(limit_buy_order)
trade.update(limit_sell_order)
trade.update_trade(oobj)
trade.update_trade(oobjs)
trade.close_date = datetime.utcnow()
trade.is_open = False
@ -767,7 +773,9 @@ def test_profit_handle(default_conf, update, ticker, ticker_sell_up, fee,
trade = Trade.query.first()
# Simulate fulfilled LIMIT_BUY order for trade
trade.update(limit_buy_order)
oobj = Order.parse_from_ccxt_object(limit_buy_order, limit_buy_order['symbol'], 'buy')
trade.update_trade(oobj)
context = MagicMock()
# Test with invalid 2nd argument (should silently pass)
context.args = ["aaa"]
@ -782,7 +790,9 @@ def test_profit_handle(default_conf, update, ticker, ticker_sell_up, fee,
# Update the ticker with a market going up
mocker.patch('freqtrade.exchange.Exchange.fetch_ticker', ticker_sell_up)
trade.update(limit_sell_order)
# Simulate fulfilled LIMIT_SELL order for trade
oobj = Order.parse_from_ccxt_object(limit_sell_order, limit_sell_order['symbol'], 'sell')
trade.update_trade(oobj)
trade.close_date = datetime.now(timezone.utc)
trade.is_open = False
@ -1303,10 +1313,12 @@ def test_telegram_performance_handle(default_conf, update, ticker, fee,
assert trade
# Simulate fulfilled LIMIT_BUY order for trade
trade.update(limit_buy_order)
oobj = Order.parse_from_ccxt_object(limit_buy_order, limit_buy_order['symbol'], 'buy')
trade.update_trade(oobj)
# Simulate fulfilled LIMIT_SELL order for trade
trade.update(limit_sell_order)
oobj = Order.parse_from_ccxt_object(limit_sell_order, limit_sell_order['symbol'], 'sell')
trade.update_trade(oobj)
trade.close_date = datetime.utcnow()
trade.is_open = False
@ -1332,11 +1344,13 @@ def test_telegram_buy_tag_performance_handle(default_conf, update, ticker, fee,
assert trade
# Simulate fulfilled LIMIT_BUY order for trade
trade.update(limit_buy_order)
oobj = Order.parse_from_ccxt_object(limit_buy_order, limit_buy_order['symbol'], 'buy')
trade.update_trade(oobj)
trade.enter_tag = "TESTBUY"
# Simulate fulfilled LIMIT_SELL order for trade
trade.update(limit_sell_order)
oobj = Order.parse_from_ccxt_object(limit_sell_order, limit_sell_order['symbol'], 'sell')
trade.update_trade(oobj)
trade.close_date = datetime.utcnow()
trade.is_open = False
@ -1373,13 +1387,14 @@ def test_telegram_sell_reason_performance_handle(default_conf, update, ticker, f
freqtradebot.enter_positions()
trade = Trade.query.first()
assert trade
# Simulate fulfilled LIMIT_BUY order for trade
trade.update(limit_buy_order)
trade.sell_reason = 'TESTSELL'
# Simulate fulfilled LIMIT_BUY order for trade
oobj = Order.parse_from_ccxt_object(limit_buy_order, limit_buy_order['symbol'], 'buy')
trade.update_trade(oobj)
# Simulate fulfilled LIMIT_SELL order for trade
trade.update(limit_sell_order)
oobj = Order.parse_from_ccxt_object(limit_sell_order, limit_sell_order['symbol'], 'sell')
trade.update_trade(oobj)
trade.close_date = datetime.utcnow()
trade.is_open = False
@ -1417,14 +1432,16 @@ def test_telegram_mix_tag_performance_handle(default_conf, update, ticker, fee,
trade = Trade.query.first()
assert trade
# Simulate fulfilled LIMIT_BUY order for trade
trade.update(limit_buy_order)
trade.enter_tag = "TESTBUY"
trade.sell_reason = "TESTSELL"
# Simulate fulfilled LIMIT_BUY order for trade
oobj = Order.parse_from_ccxt_object(limit_buy_order, limit_buy_order['symbol'], 'buy')
trade.update_trade(oobj)
# Simulate fulfilled LIMIT_SELL order for trade
trade.update(limit_sell_order)
oobj = Order.parse_from_ccxt_object(limit_sell_order, limit_sell_order['symbol'], 'sell')
trade.update_trade(oobj)
trade.close_date = datetime.utcnow()
trade.is_open = False

117
tests/test_freqtradebot.py
View File

@ -228,7 +228,8 @@ def test_edge_overrides_stoploss(limit_order, fee, caplog, mocker,
freqtrade.enter_positions()
trade = Trade.query.first()
caplog.clear()
trade.update(limit_order['buy'])
oobj = Order.parse_from_ccxt_object(limit_order['buy'], 'ADA/USDT', 'buy')
trade.update_trade(oobj)
#############################################
# stoploss shoud be hit
@ -299,7 +300,9 @@ def test_create_trade(default_conf_usdt, ticker_usdt, limit_order,
assert trade.exchange == 'binance'
# Simulate fulfilled LIMIT_BUY order for trade
trade.update(limit_order[enter_side(is_short)])
oobj = Order.parse_from_ccxt_object(
limit_order[enter_side(is_short)], 'ADA/USDT', enter_side(is_short))
trade.update_trade(oobj)
assert trade.open_rate == open_rate
assert trade.amount == 30.0
@ -1101,11 +1104,17 @@ def test_handle_stoploss_on_exchange(mocker, default_conf_usdt, fee, caplog, is_
trade.is_short = is_short
trade.is_open = True
trade.open_order_id = None
trade.stoploss_order_id = 100
trade.stoploss_order_id = "100"
trade.orders.append(Order(
ft_order_side='stoploss',
order_id='100',
ft_pair=trade.pair,
ft_is_open=True,
))
assert trade
stoploss_order_hit = MagicMock(return_value={
'id': 100,
'id': "100",
'status': 'closed',
'type': 'stop_loss_limit',
'price': 3,
@ -1832,9 +1841,10 @@ def test_update_trade_state(
mocker.patch('freqtrade.exchange.Exchange.get_trades_for_order', return_value=[])
mocker.patch('freqtrade.freqtradebot.FreqtradeBot.get_real_amount',
return_value=order['amount'])
order_id = order['id']
trade = Trade(
open_order_id=123,
open_order_id=order_id,
fee_open=0.001,
fee_close=0.001,
open_rate=0.01,
@ -1843,29 +1853,35 @@ def test_update_trade_state(
exchange="binance",
is_short=is_short
)
trade.orders.append(Order(
ft_order_side=enter_side(is_short),
price=0.01,
order_id=order_id,
))
assert not freqtrade.update_trade_state(trade, None)
assert log_has_re(r'Orderid for trade .* is empty.', caplog)
caplog.clear()
# Add datetime explicitly since sqlalchemy defaults apply only once written to database
freqtrade.update_trade_state(trade, '123')
freqtrade.update_trade_state(trade, order_id)
# Test amount not modified by fee-logic
assert not log_has_re(r'Applying fee to .*', caplog)
caplog.clear()
assert trade.open_order_id is None
assert trade.amount == order['amount']
trade.open_order_id = '123'
trade.open_order_id = order_id
mocker.patch('freqtrade.freqtradebot.FreqtradeBot.get_real_amount', return_value=90.81)
assert trade.amount != 90.81
# test amount modified by fee-logic
freqtrade.update_trade_state(trade, '123')
freqtrade.update_trade_state(trade, order_id)
assert trade.amount == 90.81
assert trade.open_order_id is None
trade.is_open = True
trade.open_order_id = None
# Assert we call handle_trade() if trade is feasible for execution
freqtrade.update_trade_state(trade, '123')
freqtrade.update_trade_state(trade, order_id)
assert log_has_re('Found open order for.*', caplog)
limit_buy_order_usdt_new = deepcopy(limit_order)
@ -1874,7 +1890,7 @@ def test_update_trade_state(
mocker.patch('freqtrade.freqtradebot.FreqtradeBot.get_real_amount', side_effect=ValueError)
mocker.patch('freqtrade.exchange.Exchange.fetch_order', return_value=limit_buy_order_usdt_new)
res = freqtrade.update_trade_state(trade, '123')
res = freqtrade.update_trade_state(trade, order_id)
# Cancelled empty
assert res is True
@ -1890,6 +1906,8 @@ def test_update_trade_state_withorderdict(
):
order = limit_order[enter_side(is_short)]
trades_for_order[0]['amount'] = initial_amount
order_id = "oid_123456"
order['id'] = order_id
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))
@ -1905,15 +1923,27 @@ def test_update_trade_state_withorderdict(
open_date=arrow.utcnow().datetime,
fee_open=fee.return_value,
fee_close=fee.return_value,
open_order_id="123456",
open_order_id=order_id,
is_open=True,
is_short=is_short
)
freqtrade.update_trade_state(trade, '123456', order)
trade.orders.append(
Order(
ft_order_side=enter_side(is_short),
ft_pair=trade.pair,
ft_is_open=True,
order_id=order_id,
)
)
log_text = r'Applying fee on amount for .*'
freqtrade.update_trade_state(trade, order_id, order)
assert trade.amount != amount
assert trade.amount == order['amount']
if has_rounding_fee:
assert log_has_re(r'Applying fee on amount for .*', caplog)
assert pytest.approx(trade.amount) == 29.992
assert log_has_re(log_text, caplog)
else:
assert pytest.approx(trade.amount) == order['amount']
assert not log_has_re(log_text, caplog)
@pytest.mark.parametrize("is_short", [False, True])
@ -1974,12 +2004,12 @@ def test_update_trade_state_sell(
fee_open=0.0025,
fee_close=0.0025,
open_date=arrow.utcnow().datetime,
open_order_id="123456",
open_order_id=open_order['id'],
is_open=True,
interest_rate=0.0005,
is_short=is_short
)
order = Order.parse_from_ccxt_object(open_order, 'LTC/ETH', (enter_side(is_short)))
order = Order.parse_from_ccxt_object(open_order, 'LTC/ETH', exit_side(is_short))
trade.orders.append(order)
assert order.status == 'open'
freqtrade.update_trade_state(trade, trade.open_order_id, l_order)
@ -2026,7 +2056,8 @@ def test_handle_trade(
assert trade
time.sleep(0.01) # Race condition fix
trade.update(enter_order)
oobj = Order.parse_from_ccxt_object(enter_order, enter_order['symbol'], enter_side(is_short))
trade.update_trade(oobj)
assert trade.is_open is True
freqtrade.wallets.update()
@ -2035,8 +2066,9 @@ def test_handle_trade(
assert freqtrade.handle_trade(trade) is True
assert trade.open_order_id == exit_order['id']
# Simulate fulfilled LIMIT order for trade
trade.update(exit_order)
# Simulate fulfilled LIMIT_SELL order for trade
oobj = Order.parse_from_ccxt_object(exit_order, exit_order['symbol'], exit_side(is_short))
trade.update_trade(oobj)
assert trade.close_rate == 2.0 if is_short else 2.2
assert trade.close_profit == close_profit
@ -2230,8 +2262,10 @@ def test_close_trade(
trade.is_short = is_short
assert trade
trade.update(enter_order)
trade.update(exit_order)
oobj = Order.parse_from_ccxt_object(enter_order, enter_order['symbol'], 'buy')
trade.update_trade(oobj)
oobj = Order.parse_from_ccxt_object(exit_order, exit_order['symbol'], 'sell')
trade.update_trade(oobj)
assert trade.is_open is False
with pytest.raises(DependencyException, match=r'.*closed trade.*'):
@ -2258,6 +2292,8 @@ def test_check_handle_timedout_buy_usercustom(
) -> None:
old_order = limit_sell_order_old if is_short else limit_buy_order_old
old_order['id'] = open_trade.open_order_id
default_conf_usdt["unfilledtimeout"] = {"buy": 30,
"sell": 1400} if is_short else {"buy": 1400, "sell": 30}
@ -2617,6 +2653,7 @@ def test_check_handle_timedout_partial_fee(
# TODO-lev: use is_short or remove it
rpc_mock = patch_RPCManager(mocker)
limit_buy_order_old_partial['id'] = open_trade.open_order_id
limit_buy_order_old_partial_canceled['id'] = open_trade.open_order_id
cancel_order_mock = MagicMock(return_value=limit_buy_order_old_partial_canceled)
mocker.patch('freqtrade.wallets.Wallets.get_free', MagicMock(return_value=0))
patch_exchange(mocker)
@ -3511,6 +3548,7 @@ def test_sell_profit_only(
fee, mocker, profit_only, bid, ask, handle_first, handle_second, sell_type) -> None:
patch_RPCManager(mocker)
patch_exchange(mocker)
eside = enter_side(is_short)
mocker.patch.multiple(
'freqtrade.exchange.Exchange',
fetch_ticker=MagicMock(return_value={
@ -3519,7 +3557,7 @@ def test_sell_profit_only(
'last': bid
}),
create_order=MagicMock(side_effect=[
limit_order_open[enter_side(is_short)],
limit_order_open[eside],
{'id': 1234553382},
]),
get_fee=fee,
@ -3540,7 +3578,8 @@ def test_sell_profit_only(
trade = Trade.query.first()
trade.is_short = is_short
trade.update(limit_order[enter_side(is_short)])
oobj = Order.parse_from_ccxt_object(limit_order[eside], limit_order[eside]['symbol'], eside)
trade.update_trade(oobj)
freqtrade.wallets.update()
patch_get_signal(freqtrade, enter_long=False, exit_short=is_short, exit_long=not is_short)
assert freqtrade.handle_trade(trade) is handle_first
@ -3576,7 +3615,9 @@ def test_sell_not_enough_balance(default_conf_usdt, limit_order, limit_order_ope
trade = Trade.query.first()
amnt = trade.amount
trade.update(limit_order['buy'])
oobj = Order.parse_from_ccxt_object(limit_order['buy'], limit_order['buy']['symbol'], 'buy')
trade.update_trade(oobj)
patch_get_signal(freqtrade, enter_long=False, exit_long=True)
mocker.patch('freqtrade.wallets.Wallets.get_free', MagicMock(return_value=trade.amount * 0.985))
@ -3668,6 +3709,7 @@ def test_ignore_roi_if_buy_signal(default_conf_usdt, limit_order, limit_order_op
fee, mocker) -> None:
patch_RPCManager(mocker)
patch_exchange(mocker)
eside = enter_side(is_short)
mocker.patch.multiple(
'freqtrade.exchange.Exchange',
fetch_ticker=MagicMock(return_value={
@ -3676,7 +3718,7 @@ def test_ignore_roi_if_buy_signal(default_conf_usdt, limit_order, limit_order_op
'last': 2.19
}),
create_order=MagicMock(side_effect=[
limit_order_open[enter_side(is_short)],
limit_order_open[eside],
{'id': 1234553382},
]),
get_fee=fee,
@ -3691,7 +3733,9 @@ def test_ignore_roi_if_buy_signal(default_conf_usdt, limit_order, limit_order_op
trade = Trade.query.first()
trade.is_short = is_short
trade.update(limit_order[enter_side(is_short)])
oobj = Order.parse_from_ccxt_object(
limit_order[eside], limit_order[eside]['symbol'], eside)
trade.update_trade(oobj)
freqtrade.wallets.update()
if is_short:
patch_get_signal(freqtrade, enter_long=False, enter_short=True, exit_short=True)
@ -3786,6 +3830,7 @@ def test_trailing_stop_loss_positive(
enter_price = limit_order[enter_side(is_short)]['price']
patch_RPCManager(mocker)
patch_exchange(mocker)
eside = enter_side(is_short)
mocker.patch.multiple(
'freqtrade.exchange.Exchange',
fetch_ticker=MagicMock(return_value={
@ -3794,7 +3839,7 @@ def test_trailing_stop_loss_positive(
'last': enter_price - (-0.01 if is_short else 0.01),
}),
create_order=MagicMock(side_effect=[
limit_order_open[enter_side(is_short)],
limit_order_open[eside],
{'id': 1234553382},
]),
get_fee=fee,
@ -3813,7 +3858,8 @@ def test_trailing_stop_loss_positive(
trade = Trade.query.first()
trade.is_short = is_short
trade.update(limit_order[enter_side(is_short)])
oobj = Order.parse_from_ccxt_object(limit_order[eside], limit_order[eside]['symbol'], eside)
trade.update_trade(oobj)
caplog.set_level(logging.DEBUG)
# stop-loss not reached
assert freqtrade.handle_trade(trade) is False
@ -3880,6 +3926,7 @@ def test_disable_ignore_roi_if_buy_signal(default_conf_usdt, limit_order, limit_
is_short, fee, mocker) -> None:
patch_RPCManager(mocker)
patch_exchange(mocker)
eside = enter_side(is_short)
mocker.patch.multiple(
'freqtrade.exchange.Exchange',
fetch_ticker=MagicMock(return_value={
@ -3888,7 +3935,7 @@ def test_disable_ignore_roi_if_buy_signal(default_conf_usdt, limit_order, limit_
'last': 2.0
}),
create_order=MagicMock(side_effect=[
limit_order_open[enter_side(is_short)],
limit_order_open[eside],
{'id': 1234553382},
{'id': 1234553383}
]),
@ -3906,7 +3953,10 @@ def test_disable_ignore_roi_if_buy_signal(default_conf_usdt, limit_order, limit_
trade = Trade.query.first()
trade.is_short = is_short
trade.update(limit_order[enter_side(is_short)])
oobj = Order.parse_from_ccxt_object(
limit_order[eside], limit_order[eside]['symbol'], eside)
trade.update_trade(oobj)
# Sell due to min_roi_reached
patch_get_signal(freqtrade, enter_long=not is_short, enter_short=is_short, exit_short=is_short)
assert freqtrade.handle_trade(trade) is True
@ -4294,7 +4344,9 @@ def test_order_book_depth_of_market(
assert len(Trade.query.all()) == 1
# Simulate fulfilled LIMIT_BUY order for trade
trade.update(limit_order_open[enter_side(is_short)])
oobj = Order.parse_from_ccxt_object(
limit_order_open[enter_side(is_short)], 'ADA/USDT', enter_side(is_short))
trade.update_trade(oobj)
assert trade.open_rate == ticker_usdt.return_value[ticker_side]
assert whitelist == default_conf_usdt['exchange']['pair_whitelist']
@ -4389,7 +4441,8 @@ def test_order_book_ask_strategy(
assert trade
time.sleep(0.01) # Race condition fix
trade.update(limit_buy_order_usdt)
oobj = Order.parse_from_ccxt_object(limit_buy_order_usdt, limit_buy_order_usdt['symbol'], 'buy')
trade.update_trade(oobj)
freqtrade.wallets.update()
assert trade.is_open is True

7
tests/test_integration.py
View File

@ -4,6 +4,7 @@ import pytest
from freqtrade.enums import SellType
from freqtrade.persistence import Trade
from freqtrade.persistence.models import Order
from freqtrade.rpc.rpc import RPC
from freqtrade.strategy.interface import SellCheckTuple
from tests.conftest import get_patched_freqtradebot, patch_get_signal
@ -94,7 +95,11 @@ def test_may_execute_exit_stoploss_on_exchange_multi(default_conf, ticker, fee,
trades = Trade.query.all()
# Make sure stoploss-order is open and trade is bought (since we mock update_trade_state)
for trade in trades:
trade.stoploss_order_id = 3
stoploss_order_closed['id'] = '3'
oobj = Order.parse_from_ccxt_object(stoploss_order_closed, trade.pair, 'stoploss')
trade.orders.append(oobj)
trade.stoploss_order_id = '3'
trade.open_order_id = None
n = freqtrade.exit_positions(trades)

32
tests/test_persistence.py
View File

@ -474,7 +474,8 @@ def test_update_limit_order(fee, caplog, limit_buy_order_usdt, limit_sell_order_
assert trade.close_date is None
trade.open_order_id = 'something'
trade.update(enter_order)
oobj = Order.parse_from_ccxt_object(enter_order, 'ADA/USDT', enter_side)
trade.update_trade(oobj)
assert trade.open_order_id is None
assert trade.open_rate == open_rate
assert trade.close_profit is None
@ -487,7 +488,8 @@ def test_update_limit_order(fee, caplog, limit_buy_order_usdt, limit_sell_order_
caplog.clear()
trade.open_order_id = 'something'
trade.update(exit_order)
oobj = Order.parse_from_ccxt_object(exit_order, 'ADA/USDT', exit_side)
trade.update_trade(oobj)
assert trade.open_order_id is None
assert trade.close_rate == close_rate
assert trade.close_profit == profit
@ -517,7 +519,8 @@ def test_update_market_order(market_buy_order_usdt, market_sell_order_usdt, fee,
)
trade.open_order_id = 'something'
trade.update(market_buy_order_usdt)
oobj = Order.parse_from_ccxt_object(market_buy_order_usdt, 'ADA/USDT', 'buy')
trade.update_trade(oobj)
assert trade.open_order_id is None
assert trade.open_rate == 2.0
assert trade.close_profit is None
@ -530,7 +533,8 @@ def test_update_market_order(market_buy_order_usdt, market_sell_order_usdt, fee,
caplog.clear()
trade.is_open = True
trade.open_order_id = 'something'
trade.update(market_sell_order_usdt)
oobj = Order.parse_from_ccxt_object(market_sell_order_usdt, 'ADA/USDT', 'sell')
trade.update_trade(oobj)
assert trade.open_order_id is None
assert trade.close_rate == 2.2
assert trade.close_profit == round(0.0945137157107232, 8)
@ -583,8 +587,12 @@ def test_calc_open_close_trade_price(
trade.open_order_id = f'something-{is_short}-{lev}-{exchange}'
trade.update(limit_buy_order_usdt)
trade.update(limit_sell_order_usdt)
oobj = Order.parse_from_ccxt_object(limit_buy_order_usdt, 'ADA/USDT', 'buy')
trade.update_trade(oobj)
oobj = Order.parse_from_ccxt_object(limit_sell_order_usdt, 'ADA/USDT', 'sell')
trade.update_trade(oobj)
trade.open_rate = 2.0
trade.close_rate = 2.2
trade.recalc_open_trade_value()
@ -640,7 +648,8 @@ def test_calc_close_trade_price_exception(limit_buy_order_usdt, fee):
)
trade.open_order_id = 'something'
trade.update(limit_buy_order_usdt)
oobj = Order.parse_from_ccxt_object(limit_buy_order_usdt, 'ADA/USDT', 'buy')
trade.update_trade(oobj)
assert trade.calc_close_trade_value() == 0.0
@ -662,7 +671,8 @@ def test_update_open_order(limit_buy_order_usdt):
assert trade.close_date is None
limit_buy_order_usdt['status'] = 'open'
trade.update(limit_buy_order_usdt)
oobj = Order.parse_from_ccxt_object(limit_buy_order_usdt, 'ADA/USDT', 'buy')
trade.update_trade(oobj)
assert trade.open_order_id is None
assert trade.close_profit is None
@ -682,8 +692,9 @@ def test_update_invalid_order(limit_buy_order_usdt):
trading_mode=margin
)
limit_buy_order_usdt['type'] = 'invalid'
oobj = Order.parse_from_ccxt_object(limit_buy_order_usdt, 'ADA/USDT', 'meep')
with pytest.raises(ValueError, match=r'Unknown order type'):
trade.update(limit_buy_order_usdt)
trade.update_trade(oobj)
@pytest.mark.parametrize('exchange', ['binance', 'kraken'])
@ -737,6 +748,9 @@ def test_calc_open_trade_value(
trading_mode=trading_mode
)
trade.open_order_id = 'open_trade'
oobj = Order.parse_from_ccxt_object(
limit_buy_order_usdt, 'ADA/USDT', 'sell' if is_short else 'buy')
trade.update_trade(oobj) # Buy @ 2.0
# Get the open rate price with the standard fee rate
assert trade._calc_open_trade_value() == result