import copy import logging from copy import deepcopy from datetime import datetime, timedelta, timezone from random import randint from unittest.mock import MagicMock, Mock, PropertyMock, patch import arrow import ccxt import pytest from ccxt import DECIMAL_PLACES, ROUND, ROUND_UP, TICK_SIZE, TRUNCATE from pandas import DataFrame from freqtrade.enums import CandleType, MarginMode, TradingMode from freqtrade.exceptions import (DDosProtection, DependencyException, ExchangeError, InsufficientFundsError, InvalidOrderException, OperationalException, PricingError, TemporaryError) from freqtrade.exchange import (Binance, Bittrex, Exchange, Kraken, amount_to_precision, date_minus_candles, market_is_active, price_to_precision, timeframe_to_minutes, timeframe_to_msecs, timeframe_to_next_date, timeframe_to_prev_date, timeframe_to_seconds) from freqtrade.exchange.common import (API_FETCH_ORDER_RETRY_COUNT, API_RETRY_COUNT, calculate_backoff, remove_credentials) from freqtrade.exchange.exchange import amount_to_contract_precision from freqtrade.resolvers.exchange_resolver import ExchangeResolver from tests.conftest import (EXMS, generate_test_data_raw, get_mock_coro, get_patched_exchange, log_has, log_has_re, num_log_has_re) # Make sure to always keep one exchange here which is NOT subclassed!! EXCHANGES = ['bittrex', 'binance', 'kraken', 'gate', 'kucoin', 'bybit'] get_entry_rate_data = [ ('other', 20, 19, 10, 0.0, 20), # Full ask side ('ask', 20, 19, 10, 0.0, 20), # Full ask side ('ask', 20, 19, 10, 1.0, 10), # Full last side ('ask', 20, 19, 10, 0.5, 15), # Between ask and last ('ask', 20, 19, 10, 0.7, 13), # Between ask and last ('ask', 20, 19, 10, 0.3, 17), # Between ask and last ('ask', 5, 6, 10, 1.0, 5), # last bigger than ask ('ask', 5, 6, 10, 0.5, 5), # last bigger than ask ('ask', 20, 19, 10, None, 20), # price_last_balance missing ('ask', 10, 20, None, 0.5, 10), # last not available - uses ask ('ask', 4, 5, None, 0.5, 4), # last not available - uses ask ('ask', 4, 5, None, 1, 4), # last not available - uses ask ('ask', 4, 5, None, 0, 4), # last not available - uses ask ('same', 21, 20, 10, 0.0, 20), # Full bid side ('bid', 21, 20, 10, 0.0, 20), # Full bid side ('bid', 21, 20, 10, 1.0, 10), # Full last side ('bid', 21, 20, 10, 0.5, 15), # Between bid and last ('bid', 21, 20, 10, 0.7, 13), # Between bid and last ('bid', 21, 20, 10, 0.3, 17), # Between bid and last ('bid', 6, 5, 10, 1.0, 5), # last bigger than bid ('bid', 21, 20, 10, None, 20), # price_last_balance missing ('bid', 6, 5, 10, 0.5, 5), # last bigger than bid ('bid', 21, 20, None, 0.5, 20), # last not available - uses bid ('bid', 6, 5, None, 0.5, 5), # last not available - uses bid ('bid', 6, 5, None, 1, 5), # last not available - uses bid ('bid', 6, 5, None, 0, 5), # last not available - uses bid ] get_sell_rate_data = [ ('bid', 12.0, 11.0, 11.5, 0.0, 11.0), # full bid side ('bid', 12.0, 11.0, 11.5, 1.0, 11.5), # full last side ('bid', 12.0, 11.0, 11.5, 0.5, 11.25), # between bid and lat ('bid', 12.0, 11.2, 10.5, 0.0, 11.2), # Last smaller than bid ('bid', 12.0, 11.2, 10.5, 1.0, 11.2), # Last smaller than bid - uses bid ('bid', 12.0, 11.2, 10.5, 0.5, 11.2), # Last smaller than bid - uses bid ('bid', 0.003, 0.002, 0.005, 0.0, 0.002), ('bid', 0.003, 0.002, 0.005, None, 0.002), ('ask', 12.0, 11.0, 12.5, 0.0, 12.0), # full ask side ('ask', 12.0, 11.0, 12.5, 1.0, 12.5), # full last side ('ask', 12.0, 11.0, 12.5, 0.5, 12.25), # between bid and lat ('ask', 12.2, 11.2, 10.5, 0.0, 12.2), # Last smaller than ask ('ask', 12.0, 11.0, 10.5, 1.0, 12.0), # Last smaller than ask - uses ask ('ask', 12.0, 11.2, 10.5, 0.5, 12.0), # Last smaller than ask - uses ask ('ask', 10.0, 11.0, 11.0, 0.0, 10.0), ('ask', 10.11, 11.2, 11.0, 0.0, 10.11), ('ask', 0.001, 0.002, 11.0, 0.0, 0.001), ('ask', 0.006, 1.0, 11.0, 0.0, 0.006), ('ask', 0.006, 1.0, 11.0, None, 0.006), ] def ccxt_exceptionhandlers(mocker, default_conf, api_mock, exchange_name, fun, mock_ccxt_fun, retries=API_RETRY_COUNT + 1, **kwargs): with patch('freqtrade.exchange.common.time.sleep'): with pytest.raises(DDosProtection): api_mock.__dict__[mock_ccxt_fun] = MagicMock(side_effect=ccxt.DDoSProtection("DDos")) exchange = get_patched_exchange(mocker, default_conf, api_mock, id=exchange_name) getattr(exchange, fun)(**kwargs) assert api_mock.__dict__[mock_ccxt_fun].call_count == retries with pytest.raises(TemporaryError): api_mock.__dict__[mock_ccxt_fun] = MagicMock(side_effect=ccxt.NetworkError("DeaDBeef")) exchange = get_patched_exchange(mocker, default_conf, api_mock, id=exchange_name) getattr(exchange, fun)(**kwargs) assert api_mock.__dict__[mock_ccxt_fun].call_count == retries with pytest.raises(OperationalException): api_mock.__dict__[mock_ccxt_fun] = MagicMock(side_effect=ccxt.BaseError("DeadBeef")) exchange = get_patched_exchange(mocker, default_conf, api_mock, id=exchange_name) getattr(exchange, fun)(**kwargs) assert api_mock.__dict__[mock_ccxt_fun].call_count == 1 async def async_ccxt_exception(mocker, default_conf, api_mock, fun, mock_ccxt_fun, retries=API_RETRY_COUNT + 1, **kwargs): with patch('freqtrade.exchange.common.asyncio.sleep', get_mock_coro(None)): with pytest.raises(DDosProtection): api_mock.__dict__[mock_ccxt_fun] = MagicMock(side_effect=ccxt.DDoSProtection("Dooh")) exchange = get_patched_exchange(mocker, default_conf, api_mock) await getattr(exchange, fun)(**kwargs) assert api_mock.__dict__[mock_ccxt_fun].call_count == retries exchange.close() with pytest.raises(TemporaryError): api_mock.__dict__[mock_ccxt_fun] = MagicMock(side_effect=ccxt.NetworkError("DeadBeef")) exchange = get_patched_exchange(mocker, default_conf, api_mock) await getattr(exchange, fun)(**kwargs) assert api_mock.__dict__[mock_ccxt_fun].call_count == retries exchange.close() with pytest.raises(OperationalException): api_mock.__dict__[mock_ccxt_fun] = MagicMock(side_effect=ccxt.BaseError("DeadBeef")) exchange = get_patched_exchange(mocker, default_conf, api_mock) await getattr(exchange, fun)(**kwargs) assert api_mock.__dict__[mock_ccxt_fun].call_count == 1 exchange.close() def test_init(default_conf, mocker, caplog): caplog.set_level(logging.INFO) get_patched_exchange(mocker, default_conf) assert log_has('Instance is running with dry_run enabled', caplog) def test_remove_credentials(default_conf, caplog) -> None: conf = deepcopy(default_conf) conf['dry_run'] = False remove_credentials(conf) assert conf['exchange']['key'] != '' assert conf['exchange']['secret'] != '' conf['dry_run'] = True remove_credentials(conf) assert conf['exchange']['key'] == '' assert conf['exchange']['secret'] == '' assert conf['exchange']['password'] == '' assert conf['exchange']['uid'] == '' def test_init_ccxt_kwargs(default_conf, mocker, caplog): mocker.patch(f'{EXMS}._load_markets', MagicMock(return_value={})) mocker.patch(f'{EXMS}.validate_stakecurrency') aei_mock = mocker.patch(f'{EXMS}.additional_exchange_init') caplog.set_level(logging.INFO) conf = copy.deepcopy(default_conf) conf['exchange']['ccxt_async_config'] = {'aiohttp_trust_env': True, 'asyncio_loop': True} ex = Exchange(conf) assert log_has( "Applying additional ccxt config: {'aiohttp_trust_env': True, 'asyncio_loop': True}", caplog) assert ex._api_async.aiohttp_trust_env assert not ex._api.aiohttp_trust_env assert aei_mock.call_count == 1 # Reset logging and config caplog.clear() conf = copy.deepcopy(default_conf) conf['exchange']['ccxt_config'] = {'TestKWARG': 11} conf['exchange']['ccxt_sync_config'] = {'TestKWARG44': 11} conf['exchange']['ccxt_async_config'] = {'asyncio_loop': True} asynclogmsg = "Applying additional ccxt config: {'TestKWARG': 11, 'asyncio_loop': True}" ex = Exchange(conf) assert not ex._api_async.aiohttp_trust_env assert hasattr(ex._api, 'TestKWARG') assert ex._api.TestKWARG == 11 # ccxt_config is assigned to both sync and async assert not hasattr(ex._api_async, 'TestKWARG44') assert hasattr(ex._api_async, 'TestKWARG') assert log_has("Applying additional ccxt config: {'TestKWARG': 11, 'TestKWARG44': 11}", caplog) assert log_has(asynclogmsg, caplog) # Test additional headers case Exchange._ccxt_params = {'hello': 'world'} ex = Exchange(conf) assert log_has("Applying additional ccxt config: {'TestKWARG': 11, 'TestKWARG44': 11}", caplog) assert ex._api.hello == 'world' assert ex._ccxt_config == {} Exchange._headers = {} def test_destroy(default_conf, mocker, caplog): caplog.set_level(logging.DEBUG) get_patched_exchange(mocker, default_conf) assert log_has('Exchange object destroyed, closing async loop', caplog) def test_init_exception(default_conf, mocker): default_conf['exchange']['name'] = 'wrong_exchange_name' with pytest.raises(OperationalException, match=f"Exchange {default_conf['exchange']['name']} is not supported"): Exchange(default_conf) default_conf['exchange']['name'] = 'binance' with pytest.raises(OperationalException, match=f"Exchange {default_conf['exchange']['name']} is not supported"): mocker.patch("ccxt.binance", MagicMock(side_effect=AttributeError)) Exchange(default_conf) with pytest.raises(OperationalException, match=r"Initialization of ccxt failed. Reason: DeadBeef"): mocker.patch("ccxt.binance", MagicMock(side_effect=ccxt.BaseError("DeadBeef"))) Exchange(default_conf) def test_exchange_resolver(default_conf, mocker, caplog): mocker.patch(f'{EXMS}._init_ccxt', MagicMock(return_value=MagicMock())) mocker.patch(f'{EXMS}._load_async_markets') mocker.patch(f'{EXMS}.validate_pairs') mocker.patch(f'{EXMS}.validate_timeframes') mocker.patch(f'{EXMS}.validate_stakecurrency') mocker.patch(f'{EXMS}.validate_pricing') exchange = ExchangeResolver.load_exchange('zaif', default_conf) assert isinstance(exchange, Exchange) assert log_has_re(r"No .* specific subclass found. Using the generic class instead.", caplog) caplog.clear() exchange = ExchangeResolver.load_exchange('Bittrex', default_conf) assert isinstance(exchange, Exchange) assert isinstance(exchange, Bittrex) assert not log_has_re(r"No .* specific subclass found. Using the generic class instead.", caplog) caplog.clear() exchange = ExchangeResolver.load_exchange('kraken', default_conf) assert isinstance(exchange, Exchange) assert isinstance(exchange, Kraken) assert not isinstance(exchange, Binance) assert not log_has_re(r"No .* specific subclass found. Using the generic class instead.", caplog) exchange = ExchangeResolver.load_exchange('binance', default_conf) assert isinstance(exchange, Exchange) assert isinstance(exchange, Binance) assert not isinstance(exchange, Kraken) assert not log_has_re(r"No .* specific subclass found. Using the generic class instead.", caplog) # Test mapping exchange = ExchangeResolver.load_exchange('binanceus', default_conf) assert isinstance(exchange, Exchange) assert isinstance(exchange, Binance) assert not isinstance(exchange, Kraken) def test_validate_order_time_in_force(default_conf, mocker, caplog): caplog.set_level(logging.INFO) # explicitly test bittrex, exchanges implementing other policies need separate tests ex = get_patched_exchange(mocker, default_conf, id="bittrex") tif = { "buy": "gtc", "sell": "gtc", } ex.validate_order_time_in_force(tif) tif2 = { "buy": "fok", "sell": "ioc", } with pytest.raises(OperationalException, match=r"Time in force.*not supported for .*"): ex.validate_order_time_in_force(tif2) # Patch to see if this will pass if the values are in the ft dict ex._ft_has.update({"order_time_in_force": ["GTC", "FOK", "IOC"]}) ex.validate_order_time_in_force(tif2) @pytest.mark.parametrize("amount,precision_mode,precision,expected", [ (2.34559, 2, 4, 2.3455), (2.34559, 2, 5, 2.34559), (2.34559, 2, 3, 2.345), (2.9999, 2, 3, 2.999), (2.9909, 2, 3, 2.990), (2.9909, 2, 0, 2), (29991.5555, 2, 0, 29991), (29991.5555, 2, -1, 29990), (29991.5555, 2, -2, 29900), # Tests for Tick-size (2.34559, 4, 0.0001, 2.3455), (2.34559, 4, 0.00001, 2.34559), (2.34559, 4, 0.001, 2.345), (2.9999, 4, 0.001, 2.999), (2.9909, 4, 0.001, 2.990), (2.9909, 4, 0.005, 2.99), (2.9999, 4, 0.005, 2.995), ]) def test_amount_to_precision(amount, precision_mode, precision, expected,): """ Test rounds down """ # digits counting mode # DECIMAL_PLACES = 2 # SIGNIFICANT_DIGITS = 3 # TICK_SIZE = 4 assert amount_to_precision(amount, precision, precision_mode) == expected @pytest.mark.parametrize("price,precision_mode,precision,expected,rounding_mode", [ # Tests for DECIMAL_PLACES, ROUND_UP (2.34559, 2, 4, 2.3456, ROUND_UP), (2.34559, 2, 5, 2.34559, ROUND_UP), (2.34559, 2, 3, 2.346, ROUND_UP), (2.9999, 2, 3, 3.000, ROUND_UP), (2.9909, 2, 3, 2.991, ROUND_UP), # Tests for DECIMAL_PLACES, ROUND (2.345600000000001, DECIMAL_PLACES, 4, 2.3456, ROUND), (2.345551, DECIMAL_PLACES, 4, 2.3456, ROUND), (2.49, DECIMAL_PLACES, 0, 2., ROUND), (2.51, DECIMAL_PLACES, 0, 3., ROUND), (5.1, DECIMAL_PLACES, -1, 10., ROUND), (4.9, DECIMAL_PLACES, -1, 0., ROUND), # Tests for TICK_SIZE, ROUND_UP (2.34559, TICK_SIZE, 0.0001, 2.3456, ROUND_UP), (2.34559, TICK_SIZE, 0.00001, 2.34559, ROUND_UP), (2.34559, TICK_SIZE, 0.001, 2.346, ROUND_UP), (2.9999, TICK_SIZE, 0.001, 3.000, ROUND_UP), (2.9909, TICK_SIZE, 0.001, 2.991, ROUND_UP), (2.9909, TICK_SIZE, 0.005, 2.995, ROUND_UP), (2.9973, TICK_SIZE, 0.005, 3.0, ROUND_UP), (2.9977, TICK_SIZE, 0.005, 3.0, ROUND_UP), (234.43, TICK_SIZE, 0.5, 234.5, ROUND_UP), (234.53, TICK_SIZE, 0.5, 235.0, ROUND_UP), (0.891534, TICK_SIZE, 0.0001, 0.8916, ROUND_UP), (64968.89, TICK_SIZE, 0.01, 64968.89, ROUND_UP), (0.000000003483, TICK_SIZE, 1e-12, 0.000000003483, ROUND_UP), # Tests for TICK_SIZE, ROUND (2.49, TICK_SIZE, 1., 2., ROUND), (2.51, TICK_SIZE, 1., 3., ROUND), (2.000000051, TICK_SIZE, 0.0000001, 2.0000001, ROUND), (2.000000049, TICK_SIZE, 0.0000001, 2., ROUND), (2.9909, TICK_SIZE, 0.005, 2.990, ROUND), (2.9973, TICK_SIZE, 0.005, 2.995, ROUND), (2.9977, TICK_SIZE, 0.005, 3.0, ROUND), (234.24, TICK_SIZE, 0.5, 234., ROUND), (234.26, TICK_SIZE, 0.5, 234.5, ROUND), # Tests for TRUNCATTE (2.34559, 2, 4, 2.3455, TRUNCATE), (2.34559, 2, 5, 2.34559, TRUNCATE), (2.34559, 2, 3, 2.345, TRUNCATE), (2.9999, 2, 3, 2.999, TRUNCATE), (2.9909, 2, 3, 2.990, TRUNCATE), ]) def test_price_to_precision(price, precision_mode, precision, expected, rounding_mode): assert price_to_precision( price, precision, precision_mode, rounding_mode=rounding_mode) == expected @pytest.mark.parametrize("price,precision_mode,precision,expected", [ (2.34559, 2, 4, 0.0001), (2.34559, 2, 5, 0.00001), (2.34559, 2, 3, 0.001), (2.9999, 2, 3, 0.001), (200.0511, 2, 3, 0.001), # Tests for Tick_size (2.34559, 4, 0.0001, 0.0001), (2.34559, 4, 0.00001, 0.00001), (2.34559, 4, 0.0025, 0.0025), (2.9909, 4, 0.0025, 0.0025), (234.43, 4, 0.5, 0.5), (234.43, 4, 0.0025, 0.0025), (234.43, 4, 0.00013, 0.00013), ]) def test_price_get_one_pip(default_conf, mocker, price, precision_mode, precision, expected): markets = PropertyMock(return_value={'ETH/BTC': {'precision': {'price': precision}}}) exchange = get_patched_exchange(mocker, default_conf, id="binance") mocker.patch(f'{EXMS}.markets', markets) mocker.patch(f'{EXMS}.precisionMode', PropertyMock(return_value=precision_mode)) pair = 'ETH/BTC' assert pytest.approx(exchange.price_get_one_pip(pair, price)) == expected def test__get_stake_amount_limit(mocker, default_conf) -> None: exchange = get_patched_exchange(mocker, default_conf, id="binance") stoploss = -0.05 markets = {'ETH/BTC': {'symbol': 'ETH/BTC'}} # no pair found mocker.patch(f'{EXMS}.markets', PropertyMock(return_value=markets)) with pytest.raises(ValueError, match=r'.*get market information.*'): exchange.get_min_pair_stake_amount('BNB/BTC', 1, stoploss) # no cost/amount Min markets["ETH/BTC"]["limits"] = { 'cost': {'min': None, 'max': None}, 'amount': {'min': None, 'max': None}, } mocker.patch(f'{EXMS}.markets', PropertyMock(return_value=markets)) result = exchange.get_min_pair_stake_amount('ETH/BTC', 1, stoploss) assert result is None result = exchange.get_max_pair_stake_amount('ETH/BTC', 1) assert result == float('inf') # min/max cost is set markets["ETH/BTC"]["limits"] = { 'cost': {'min': 2, 'max': 10000}, 'amount': {'min': None, 'max': None}, } mocker.patch(f'{EXMS}.markets', PropertyMock(return_value=markets)) # min result = exchange.get_min_pair_stake_amount('ETH/BTC', 1, stoploss) expected_result = 2 * (1 + 0.05) / (1 - abs(stoploss)) assert pytest.approx(result) == expected_result # With Leverage result = exchange.get_min_pair_stake_amount('ETH/BTC', 1, stoploss, 3.0) assert pytest.approx(result) == expected_result / 3 # max result = exchange.get_max_pair_stake_amount('ETH/BTC', 2) assert result == 10000 # min amount is set markets["ETH/BTC"]["limits"] = { 'cost': {'min': None, 'max': None}, 'amount': {'min': 2, 'max': 10000}, } mocker.patch(f'{EXMS}.markets', PropertyMock(return_value=markets)) result = exchange.get_min_pair_stake_amount('ETH/BTC', 2, stoploss) expected_result = 2 * 2 * (1 + 0.05) assert pytest.approx(result) == expected_result # With Leverage result = exchange.get_min_pair_stake_amount('ETH/BTC', 2, stoploss, 5.0) assert pytest.approx(result) == expected_result / 5 # max result = exchange.get_max_pair_stake_amount('ETH/BTC', 2) assert result == 20000 # min amount and cost are set (cost is minimal and therefore ignored) markets["ETH/BTC"]["limits"] = { 'cost': {'min': 2, 'max': None}, 'amount': {'min': 2, 'max': None}, } mocker.patch(f'{EXMS}.markets', PropertyMock(return_value=markets)) result = exchange.get_min_pair_stake_amount('ETH/BTC', 2, stoploss) expected_result = max(2, 2 * 2) * (1 + 0.05) assert pytest.approx(result) == expected_result # With Leverage result = exchange.get_min_pair_stake_amount('ETH/BTC', 2, stoploss, 10) assert pytest.approx(result) == expected_result / 10 # min amount and cost are set (amount is minial) markets["ETH/BTC"]["limits"] = { 'cost': {'min': 8, 'max': 10000}, 'amount': {'min': 2, 'max': 500}, } mocker.patch(f'{EXMS}.markets', PropertyMock(return_value=markets)) result = exchange.get_min_pair_stake_amount('ETH/BTC', 2, stoploss) expected_result = max(8, 2 * 2) * (1 + 0.05) / (1 - abs(stoploss)) assert pytest.approx(result) == expected_result # With Leverage result = exchange.get_min_pair_stake_amount('ETH/BTC', 2, stoploss, 7.0) assert pytest.approx(result) == expected_result / 7.0 # Max result = exchange.get_max_pair_stake_amount('ETH/BTC', 2) assert result == 1000 result = exchange.get_min_pair_stake_amount('ETH/BTC', 2, -0.4) expected_result = max(8, 2 * 2) * 1.5 assert pytest.approx(result) == expected_result # With Leverage result = exchange.get_min_pair_stake_amount('ETH/BTC', 2, -0.4, 8.0) assert pytest.approx(result) == expected_result / 8.0 # Max result = exchange.get_max_pair_stake_amount('ETH/BTC', 2) assert result == 1000 # Really big stoploss result = exchange.get_min_pair_stake_amount('ETH/BTC', 2, -1) expected_result = max(8, 2 * 2) * 1.5 assert pytest.approx(result) == expected_result # With Leverage result = exchange.get_min_pair_stake_amount('ETH/BTC', 2, -1, 12.0) assert pytest.approx(result) == expected_result / 12 # Max result = exchange.get_max_pair_stake_amount('ETH/BTC', 2) assert result == 1000 result = exchange.get_max_pair_stake_amount('ETH/BTC', 2, 12.0) assert result == 1000 / 12 markets["ETH/BTC"]["contractSize"] = '0.01' default_conf['trading_mode'] = 'futures' default_conf['margin_mode'] = 'isolated' exchange = get_patched_exchange(mocker, default_conf, id="binance") mocker.patch(f'{EXMS}.markets', PropertyMock(return_value=markets)) # Contract size 0.01 result = exchange.get_min_pair_stake_amount('ETH/BTC', 2, -1) assert pytest.approx(result) == expected_result * 0.01 # Max result = exchange.get_max_pair_stake_amount('ETH/BTC', 2) assert result == 10 markets["ETH/BTC"]["contractSize"] = '10' mocker.patch(f'{EXMS}.markets', PropertyMock(return_value=markets)) # With Leverage, Contract size 10 result = exchange.get_min_pair_stake_amount('ETH/BTC', 2, -1, 12.0) assert pytest.approx(result) == (expected_result / 12) * 10.0 # Max result = exchange.get_max_pair_stake_amount('ETH/BTC', 2) assert result == 10000 def test_get_min_pair_stake_amount_real_data(mocker, default_conf) -> None: exchange = get_patched_exchange(mocker, default_conf, id="binance") stoploss = -0.05 markets = {'ETH/BTC': {'symbol': 'ETH/BTC'}} # ~Real Binance data markets["ETH/BTC"]["limits"] = { 'cost': {'min': 0.0001, 'max': 4000}, 'amount': {'min': 0.001, 'max': 10000}, } mocker.patch(f'{EXMS}.markets', PropertyMock(return_value=markets)) result = exchange.get_min_pair_stake_amount('ETH/BTC', 0.020405, stoploss) expected_result = max(0.0001, 0.001 * 0.020405) * (1 + 0.05) / (1 - abs(stoploss)) assert round(result, 8) == round(expected_result, 8) # Max result = exchange.get_max_pair_stake_amount('ETH/BTC', 2.0) assert result == 4000 # Leverage result = exchange.get_min_pair_stake_amount('ETH/BTC', 0.020405, stoploss, 3.0) assert round(result, 8) == round(expected_result / 3, 8) # Contract_size markets["ETH/BTC"]["contractSize"] = 0.1 result = exchange.get_min_pair_stake_amount('ETH/BTC', 0.020405, stoploss, 3.0) assert round(result, 8) == round((expected_result / 3), 8) # Max result = exchange.get_max_pair_stake_amount('ETH/BTC', 12.0) assert result == 4000 def test_set_sandbox(default_conf, mocker): """ Test working scenario """ api_mock = MagicMock() api_mock.load_markets = MagicMock(return_value={ 'ETH/BTC': '', 'LTC/BTC': '', 'XRP/BTC': '', 'NEO/BTC': '' }) url_mock = PropertyMock(return_value={'test': "api-public.sandbox.gdax.com", 'api': 'https://api.gdax.com'}) type(api_mock).urls = url_mock exchange = get_patched_exchange(mocker, default_conf, api_mock) liveurl = exchange._api.urls['api'] default_conf['exchange']['sandbox'] = True exchange.set_sandbox(exchange._api, default_conf['exchange'], 'Logname') assert exchange._api.urls['api'] != liveurl def test_set_sandbox_exception(default_conf, mocker): """ Test Fail scenario """ api_mock = MagicMock() api_mock.load_markets = MagicMock(return_value={ 'ETH/BTC': '', 'LTC/BTC': '', 'XRP/BTC': '', 'NEO/BTC': '' }) url_mock = PropertyMock(return_value={'api': 'https://api.gdax.com'}) type(api_mock).urls = url_mock with pytest.raises(OperationalException, match=r'does not provide a sandbox api'): exchange = get_patched_exchange(mocker, default_conf, api_mock) default_conf['exchange']['sandbox'] = True exchange.set_sandbox(exchange._api, default_conf['exchange'], 'Logname') def test__load_async_markets(default_conf, mocker, caplog): mocker.patch(f'{EXMS}._init_ccxt') mocker.patch(f'{EXMS}.validate_pairs') mocker.patch(f'{EXMS}.validate_timeframes') mocker.patch(f'{EXMS}._load_markets') mocker.patch(f'{EXMS}.validate_stakecurrency') mocker.patch(f'{EXMS}.validate_pricing') exchange = Exchange(default_conf) exchange._api_async.load_markets = get_mock_coro(None) exchange._load_async_markets() assert exchange._api_async.load_markets.call_count == 1 caplog.set_level(logging.DEBUG) exchange._api_async.load_markets = Mock(side_effect=ccxt.BaseError("deadbeef")) exchange._load_async_markets() assert log_has('Could not load async markets. Reason: deadbeef', caplog) def test__load_markets(default_conf, mocker, caplog): caplog.set_level(logging.INFO) api_mock = MagicMock() api_mock.load_markets = MagicMock(side_effect=ccxt.BaseError("SomeError")) mocker.patch(f'{EXMS}._init_ccxt', MagicMock(return_value=api_mock)) mocker.patch(f'{EXMS}.validate_pairs') mocker.patch(f'{EXMS}.validate_timeframes') mocker.patch(f'{EXMS}._load_async_markets') mocker.patch(f'{EXMS}.validate_stakecurrency') mocker.patch(f'{EXMS}.validate_pricing') Exchange(default_conf) assert log_has('Unable to initialize markets.', caplog) expected_return = {'ETH/BTC': 'available'} api_mock = MagicMock() api_mock.load_markets = MagicMock(return_value=expected_return) mocker.patch(f'{EXMS}._init_ccxt', MagicMock(return_value=api_mock)) default_conf['exchange']['pair_whitelist'] = ['ETH/BTC'] ex = Exchange(default_conf) assert ex.markets == expected_return def test_reload_markets(default_conf, mocker, caplog): caplog.set_level(logging.DEBUG) initial_markets = {'ETH/BTC': {}} updated_markets = {'ETH/BTC': {}, "LTC/BTC": {}} api_mock = MagicMock() api_mock.load_markets = MagicMock(return_value=initial_markets) default_conf['exchange']['markets_refresh_interval'] = 10 exchange = get_patched_exchange(mocker, default_conf, api_mock, id="binance", mock_markets=False) exchange._load_async_markets = MagicMock() exchange._last_markets_refresh = arrow.utcnow().int_timestamp assert exchange.markets == initial_markets # less than 10 minutes have passed, no reload exchange.reload_markets() assert exchange.markets == initial_markets assert exchange._load_async_markets.call_count == 0 api_mock.load_markets = MagicMock(return_value=updated_markets) # more than 10 minutes have passed, reload is executed exchange._last_markets_refresh = arrow.utcnow().int_timestamp - 15 * 60 exchange.reload_markets() assert exchange.markets == updated_markets assert exchange._load_async_markets.call_count == 1 assert log_has('Performing scheduled market reload..', caplog) def test_reload_markets_exception(default_conf, mocker, caplog): caplog.set_level(logging.DEBUG) api_mock = MagicMock() api_mock.load_markets = MagicMock(side_effect=ccxt.NetworkError("LoadError")) default_conf['exchange']['markets_refresh_interval'] = 10 exchange = get_patched_exchange(mocker, default_conf, api_mock, id="binance") # less than 10 minutes have passed, no reload exchange.reload_markets() assert exchange._last_markets_refresh == 0 assert log_has_re(r"Could not reload markets.*", caplog) @pytest.mark.parametrize("stake_currency", ['ETH', 'BTC', 'USDT']) def test_validate_stakecurrency(default_conf, stake_currency, mocker, caplog): default_conf['stake_currency'] = stake_currency api_mock = MagicMock() type(api_mock).load_markets = MagicMock(return_value={ 'ETH/BTC': {'quote': 'BTC'}, 'LTC/BTC': {'quote': 'BTC'}, 'XRP/ETH': {'quote': 'ETH'}, 'NEO/USDT': {'quote': 'USDT'}, }) mocker.patch(f'{EXMS}._init_ccxt', MagicMock(return_value=api_mock)) mocker.patch(f'{EXMS}.validate_pairs') mocker.patch(f'{EXMS}.validate_timeframes') mocker.patch(f'{EXMS}._load_async_markets') mocker.patch(f'{EXMS}.validate_pricing') Exchange(default_conf) def test_validate_stakecurrency_error(default_conf, mocker, caplog): default_conf['stake_currency'] = 'XRP' api_mock = MagicMock() type(api_mock).load_markets = MagicMock(return_value={ 'ETH/BTC': {'quote': 'BTC'}, 'LTC/BTC': {'quote': 'BTC'}, 'XRP/ETH': {'quote': 'ETH'}, 'NEO/USDT': {'quote': 'USDT'}, }) mocker.patch(f'{EXMS}._init_ccxt', MagicMock(return_value=api_mock)) mocker.patch(f'{EXMS}.validate_pairs') mocker.patch(f'{EXMS}.validate_timeframes') mocker.patch(f'{EXMS}._load_async_markets') with pytest.raises(OperationalException, match=r'XRP is not available as stake on .*' 'Available currencies are: BTC, ETH, USDT'): Exchange(default_conf) type(api_mock).load_markets = MagicMock(side_effect=ccxt.NetworkError('No connection.')) mocker.patch(f'{EXMS}._init_ccxt', MagicMock(return_value=api_mock)) with pytest.raises(OperationalException, match=r'Could not load markets, therefore cannot start\. Please.*'): Exchange(default_conf) def test_get_quote_currencies(default_conf, mocker): ex = get_patched_exchange(mocker, default_conf) assert set(ex.get_quote_currencies()) == set(['USD', 'ETH', 'BTC', 'USDT', 'BUSD']) @pytest.mark.parametrize('pair,expected', [ ('XRP/BTC', 'BTC'), ('LTC/USD', 'USD'), ('ETH/USDT', 'USDT'), ('XLTCUSDT', 'USDT'), ('XRP/NOCURRENCY', ''), ]) def test_get_pair_quote_currency(default_conf, mocker, pair, expected): ex = get_patched_exchange(mocker, default_conf) assert ex.get_pair_quote_currency(pair) == expected @pytest.mark.parametrize('pair,expected', [ ('XRP/BTC', 'XRP'), ('LTC/USD', 'LTC'), ('ETH/USDT', 'ETH'), ('XLTCUSDT', 'LTC'), ('XRP/NOCURRENCY', ''), ]) def test_get_pair_base_currency(default_conf, mocker, pair, expected): ex = get_patched_exchange(mocker, default_conf) assert ex.get_pair_base_currency(pair) == expected def test_validate_pairs(default_conf, mocker): # test exchange.validate_pairs directly api_mock = MagicMock() type(api_mock).load_markets = MagicMock(return_value={ 'ETH/BTC': {'quote': 'BTC'}, 'LTC/BTC': {'quote': 'BTC'}, 'XRP/BTC': {'quote': 'BTC'}, 'NEO/BTC': {'quote': 'BTC'}, }) id_mock = PropertyMock(return_value='test_exchange') type(api_mock).id = id_mock mocker.patch(f'{EXMS}._init_ccxt', MagicMock(return_value=api_mock)) mocker.patch(f'{EXMS}.validate_timeframes') mocker.patch(f'{EXMS}._load_async_markets') mocker.patch(f'{EXMS}.validate_stakecurrency') mocker.patch(f'{EXMS}.validate_pricing') Exchange(default_conf) def test_validate_pairs_not_available(default_conf, mocker): api_mock = MagicMock() type(api_mock).markets = PropertyMock(return_value={ 'XRP/BTC': {'inactive': True, 'base': 'XRP', 'quote': 'BTC'} }) mocker.patch(f'{EXMS}._init_ccxt', MagicMock(return_value=api_mock)) mocker.patch(f'{EXMS}.validate_timeframes') mocker.patch(f'{EXMS}.validate_stakecurrency') mocker.patch(f'{EXMS}._load_async_markets') with pytest.raises(OperationalException, match=r'not available'): Exchange(default_conf) def test_validate_pairs_exception(default_conf, mocker, caplog): caplog.set_level(logging.INFO) api_mock = MagicMock() mocker.patch(f'{EXMS}.name', PropertyMock(return_value='Binance')) type(api_mock).markets = PropertyMock(return_value={}) mocker.patch(f'{EXMS}._init_ccxt', api_mock) mocker.patch(f'{EXMS}.validate_timeframes') mocker.patch(f'{EXMS}.validate_stakecurrency') mocker.patch(f'{EXMS}.validate_pricing') mocker.patch(f'{EXMS}._load_async_markets') with pytest.raises(OperationalException, match=r'Pair ETH/BTC is not available on Binance'): Exchange(default_conf) mocker.patch(f'{EXMS}.markets', PropertyMock(return_value={})) Exchange(default_conf) assert log_has('Unable to validate pairs (assuming they are correct).', caplog) def test_validate_pairs_restricted(default_conf, mocker, caplog): api_mock = MagicMock() type(api_mock).load_markets = MagicMock(return_value={ 'ETH/BTC': {'quote': 'BTC'}, 'LTC/BTC': {'quote': 'BTC'}, 'XRP/BTC': {'quote': 'BTC', 'info': {'prohibitedIn': ['US']}}, 'NEO/BTC': {'quote': 'BTC', 'info': 'TestString'}, # info can also be a string ... }) mocker.patch(f'{EXMS}._init_ccxt', MagicMock(return_value=api_mock)) mocker.patch(f'{EXMS}.validate_timeframes') mocker.patch(f'{EXMS}._load_async_markets') mocker.patch(f'{EXMS}.validate_pricing') mocker.patch(f'{EXMS}.validate_stakecurrency') Exchange(default_conf) assert log_has("Pair XRP/BTC is restricted for some users on this exchange." "Please check if you are impacted by this restriction " "on the exchange and eventually remove XRP/BTC from your whitelist.", caplog) def test_validate_pairs_stakecompatibility(default_conf, mocker, caplog): api_mock = MagicMock() type(api_mock).load_markets = MagicMock(return_value={ 'ETH/BTC': {'quote': 'BTC'}, 'LTC/BTC': {'quote': 'BTC'}, 'XRP/BTC': {'quote': 'BTC'}, 'NEO/BTC': {'quote': 'BTC'}, 'HELLO-WORLD': {'quote': 'BTC'}, }) mocker.patch(f'{EXMS}._init_ccxt', MagicMock(return_value=api_mock)) mocker.patch(f'{EXMS}.validate_timeframes') mocker.patch(f'{EXMS}._load_async_markets') mocker.patch(f'{EXMS}.validate_stakecurrency') mocker.patch(f'{EXMS}.validate_pricing') Exchange(default_conf) def test_validate_pairs_stakecompatibility_downloaddata(default_conf, mocker, caplog): api_mock = MagicMock() default_conf['stake_currency'] = '' type(api_mock).load_markets = MagicMock(return_value={ 'ETH/BTC': {'quote': 'BTC'}, 'LTC/BTC': {'quote': 'BTC'}, 'XRP/BTC': {'quote': 'BTC'}, 'NEO/BTC': {'quote': 'BTC'}, 'HELLO-WORLD': {'quote': 'BTC'}, }) mocker.patch(f'{EXMS}._init_ccxt', MagicMock(return_value=api_mock)) mocker.patch(f'{EXMS}.validate_timeframes') mocker.patch(f'{EXMS}._load_async_markets') mocker.patch(f'{EXMS}.validate_stakecurrency') mocker.patch(f'{EXMS}.validate_pricing') Exchange(default_conf) assert type(api_mock).load_markets.call_count == 1 def test_validate_pairs_stakecompatibility_fail(default_conf, mocker, caplog): default_conf['exchange']['pair_whitelist'].append('HELLO-WORLD') api_mock = MagicMock() type(api_mock).load_markets = MagicMock(return_value={ 'ETH/BTC': {'quote': 'BTC'}, 'LTC/BTC': {'quote': 'BTC'}, 'XRP/BTC': {'quote': 'BTC'}, 'NEO/BTC': {'quote': 'BTC'}, 'HELLO-WORLD': {'quote': 'USDT'}, }) mocker.patch(f'{EXMS}._init_ccxt', MagicMock(return_value=api_mock)) mocker.patch(f'{EXMS}.validate_timeframes') mocker.patch(f'{EXMS}._load_async_markets') mocker.patch(f'{EXMS}.validate_stakecurrency') with pytest.raises(OperationalException, match=r"Stake-currency 'BTC' not compatible with.*"): Exchange(default_conf) @pytest.mark.parametrize("timeframe", [ ('5m'), ("1m"), ("15m"), ("1h") ]) def test_validate_timeframes(default_conf, mocker, timeframe): default_conf["timeframe"] = timeframe api_mock = MagicMock() id_mock = PropertyMock(return_value='test_exchange') type(api_mock).id = id_mock timeframes = PropertyMock(return_value={'1m': '1m', '5m': '5m', '15m': '15m', '1h': '1h'}) type(api_mock).timeframes = timeframes mocker.patch(f'{EXMS}._init_ccxt', MagicMock(return_value=api_mock)) mocker.patch(f'{EXMS}._load_markets', MagicMock(return_value={})) mocker.patch(f'{EXMS}.validate_pairs') mocker.patch(f'{EXMS}.validate_stakecurrency') mocker.patch(f'{EXMS}.validate_pricing') Exchange(default_conf) def test_validate_timeframes_failed(default_conf, mocker): default_conf["timeframe"] = "3m" api_mock = MagicMock() id_mock = PropertyMock(return_value='test_exchange') type(api_mock).id = id_mock timeframes = PropertyMock(return_value={'15s': '15s', '1m': '1m', '5m': '5m', '15m': '15m', '1h': '1h'}) type(api_mock).timeframes = timeframes mocker.patch(f'{EXMS}._init_ccxt', MagicMock(return_value=api_mock)) mocker.patch(f'{EXMS}._load_markets', MagicMock(return_value={})) mocker.patch(f'{EXMS}.validate_pairs', MagicMock()) with pytest.raises(OperationalException, match=r"Invalid timeframe '3m'. This exchange supports.*"): Exchange(default_conf) default_conf["timeframe"] = "15s" with pytest.raises(OperationalException, match=r"Timeframes < 1m are currently not supported by Freqtrade."): Exchange(default_conf) def test_validate_timeframes_emulated_ohlcv_1(default_conf, mocker): default_conf["timeframe"] = "3m" api_mock = MagicMock() id_mock = PropertyMock(return_value='test_exchange') type(api_mock).id = id_mock # delete timeframes so magicmock does not autocreate it del api_mock.timeframes mocker.patch(f'{EXMS}._init_ccxt', MagicMock(return_value=api_mock)) mocker.patch(f'{EXMS}._load_markets', MagicMock(return_value={})) mocker.patch(f'{EXMS}.validate_pairs') mocker.patch(f'{EXMS}.validate_stakecurrency') with pytest.raises(OperationalException, match=r'The ccxt library does not provide the list of timeframes ' r'for the exchange .* and this exchange ' r'is therefore not supported. *'): Exchange(default_conf) def test_validate_timeframes_emulated_ohlcvi_2(default_conf, mocker): default_conf["timeframe"] = "3m" api_mock = MagicMock() id_mock = PropertyMock(return_value='test_exchange') type(api_mock).id = id_mock # delete timeframes so magicmock does not autocreate it del api_mock.timeframes mocker.patch(f'{EXMS}._init_ccxt', MagicMock(return_value=api_mock)) mocker.patch(f'{EXMS}._load_markets', MagicMock(return_value={'timeframes': None})) mocker.patch(f'{EXMS}.validate_pairs', MagicMock()) mocker.patch(f'{EXMS}.validate_stakecurrency') with pytest.raises(OperationalException, match=r'The ccxt library does not provide the list of timeframes ' r'for the exchange .* and this exchange ' r'is therefore not supported. *'): Exchange(default_conf) def test_validate_timeframes_not_in_config(default_conf, mocker): # TODO: this test does not assert ... del default_conf["timeframe"] api_mock = MagicMock() id_mock = PropertyMock(return_value='test_exchange') type(api_mock).id = id_mock timeframes = PropertyMock(return_value={'1m': '1m', '5m': '5m', '15m': '15m', '1h': '1h'}) type(api_mock).timeframes = timeframes mocker.patch(f'{EXMS}._init_ccxt', MagicMock(return_value=api_mock)) mocker.patch(f'{EXMS}._load_markets', MagicMock(return_value={})) mocker.patch(f'{EXMS}.validate_pairs') mocker.patch(f'{EXMS}.validate_stakecurrency') mocker.patch(f'{EXMS}.validate_pricing') mocker.patch(f'{EXMS}.validate_required_startup_candles') Exchange(default_conf) def test_validate_pricing(default_conf, mocker): api_mock = MagicMock() has = { 'fetchL2OrderBook': True, 'fetchTicker': True, } type(api_mock).has = PropertyMock(return_value=has) mocker.patch(f'{EXMS}._init_ccxt', MagicMock(return_value=api_mock)) mocker.patch(f'{EXMS}._load_markets', MagicMock(return_value={})) mocker.patch(f'{EXMS}.validate_trading_mode_and_margin_mode') mocker.patch(f'{EXMS}.validate_pairs') mocker.patch(f'{EXMS}.validate_timeframes') mocker.patch(f'{EXMS}.validate_stakecurrency') mocker.patch(f'{EXMS}.name', 'Binance') ExchangeResolver.load_exchange('binance', default_conf) has.update({'fetchTicker': False}) with pytest.raises(OperationalException, match="Ticker pricing not available for .*"): ExchangeResolver.load_exchange('binance', default_conf) has.update({'fetchTicker': True}) default_conf['exit_pricing']['use_order_book'] = True ExchangeResolver.load_exchange('binance', default_conf) has.update({'fetchL2OrderBook': False}) with pytest.raises(OperationalException, match="Orderbook not available for .*"): ExchangeResolver.load_exchange('binance', default_conf) has.update({'fetchL2OrderBook': True}) # Binance has no tickers on futures default_conf['trading_mode'] = TradingMode.FUTURES default_conf['margin_mode'] = MarginMode.ISOLATED with pytest.raises(OperationalException, match="Ticker pricing not available for .*"): ExchangeResolver.load_exchange('binance', default_conf) def test_validate_ordertypes(default_conf, mocker): api_mock = MagicMock() type(api_mock).has = PropertyMock(return_value={'createMarketOrder': True}) mocker.patch(f'{EXMS}._init_ccxt', MagicMock(return_value=api_mock)) mocker.patch(f'{EXMS}._load_markets', MagicMock(return_value={})) mocker.patch(f'{EXMS}.validate_pairs') mocker.patch(f'{EXMS}.validate_timeframes') mocker.patch(f'{EXMS}.validate_stakecurrency') mocker.patch(f'{EXMS}.validate_pricing') mocker.patch(f'{EXMS}.name', 'Bittrex') default_conf['order_types'] = { 'entry': 'limit', 'exit': 'limit', 'stoploss': 'market', 'stoploss_on_exchange': False } Exchange(default_conf) type(api_mock).has = PropertyMock(return_value={'createMarketOrder': False}) mocker.patch(f'{EXMS}._init_ccxt', MagicMock(return_value=api_mock)) default_conf['order_types'] = { 'entry': 'limit', 'exit': 'limit', 'stoploss': 'market', 'stoploss_on_exchange': False } with pytest.raises(OperationalException, match=r'Exchange .* does not support market orders.'): Exchange(default_conf) default_conf['order_types'] = { 'entry': 'limit', 'exit': 'limit', 'stoploss': 'limit', 'stoploss_on_exchange': True } with pytest.raises(OperationalException, match=r'On exchange stoploss is not supported for .*'): Exchange(default_conf) @pytest.mark.parametrize('exchange_name,stopadv, expected', [ ('binance', 'last', True), ('binance', 'mark', True), ('binance', 'index', False), ('bybit', 'last', True), ('bybit', 'mark', True), ('bybit', 'index', True), ('okx', 'last', True), ('okx', 'mark', True), ('okx', 'index', True), ('gate', 'last', True), ('gate', 'mark', True), ('gate', 'index', True), ]) def test_validate_ordertypes_stop_advanced(default_conf, mocker, exchange_name, stopadv, expected): api_mock = MagicMock() default_conf['trading_mode'] = TradingMode.FUTURES default_conf['margin_mode'] = MarginMode.ISOLATED type(api_mock).has = PropertyMock(return_value={'createMarketOrder': True}) mocker.patch(f'{EXMS}._init_ccxt', MagicMock(return_value=api_mock)) mocker.patch(f'{EXMS}._load_markets', MagicMock(return_value={})) mocker.patch(f'{EXMS}.validate_pairs') mocker.patch(f'{EXMS}.validate_timeframes') mocker.patch(f'{EXMS}.validate_stakecurrency') mocker.patch(f'{EXMS}.validate_pricing') default_conf['order_types'] = { 'entry': 'limit', 'exit': 'limit', 'stoploss': 'limit', 'stoploss_on_exchange': True, 'stoploss_price_type': stopadv, } if expected: ExchangeResolver.load_exchange(exchange_name, default_conf) else: with pytest.raises(OperationalException, match=r'On exchange stoploss price type is not supported for .*'): ExchangeResolver.load_exchange(exchange_name, default_conf) def test_validate_order_types_not_in_config(default_conf, mocker): api_mock = MagicMock() mocker.patch(f'{EXMS}._init_ccxt', MagicMock(return_value=api_mock)) mocker.patch(f'{EXMS}._load_markets', MagicMock(return_value={})) mocker.patch(f'{EXMS}.validate_pairs') mocker.patch(f'{EXMS}.validate_timeframes') mocker.patch(f'{EXMS}.validate_pricing') mocker.patch(f'{EXMS}.validate_stakecurrency') conf = copy.deepcopy(default_conf) Exchange(conf) def test_validate_required_startup_candles(default_conf, mocker, caplog): api_mock = MagicMock() mocker.patch(f'{EXMS}.name', PropertyMock(return_value='Binance')) mocker.patch(f'{EXMS}._init_ccxt', api_mock) mocker.patch(f'{EXMS}.validate_timeframes') mocker.patch(f'{EXMS}._load_async_markets') mocker.patch(f'{EXMS}.validate_pairs') mocker.patch(f'{EXMS}.validate_pricing') mocker.patch(f'{EXMS}.validate_stakecurrency') default_conf['startup_candle_count'] = 20 ex = Exchange(default_conf) assert ex # assumption is that the exchange provides 500 candles per call.s assert ex.validate_required_startup_candles(200, '5m') == 1 assert ex.validate_required_startup_candles(499, '5m') == 1 assert ex.validate_required_startup_candles(600, '5m') == 2 assert ex.validate_required_startup_candles(501, '5m') == 2 assert ex.validate_required_startup_candles(499, '5m') == 1 assert ex.validate_required_startup_candles(1000, '5m') == 3 assert ex.validate_required_startup_candles(2499, '5m') == 5 assert log_has_re(r'Using 5 calls to get OHLCV. This.*', caplog) with pytest.raises(OperationalException, match=r'This strategy requires 2500.*'): ex.validate_required_startup_candles(2500, '5m') # Ensure the same also happens on init default_conf['startup_candle_count'] = 6000 with pytest.raises(OperationalException, match=r'This strategy requires 6000.*'): Exchange(default_conf) # Emulate kraken mode ex._ft_has['ohlcv_has_history'] = False with pytest.raises(OperationalException, match=r'This strategy requires 2500.*, ' r'which is more than the amount.*'): ex.validate_required_startup_candles(2500, '5m') def test_exchange_has(default_conf, mocker): exchange = get_patched_exchange(mocker, default_conf) assert not exchange.exchange_has('ASDFASDF') api_mock = MagicMock() type(api_mock).has = PropertyMock(return_value={'deadbeef': True}) exchange = get_patched_exchange(mocker, default_conf, api_mock) assert exchange.exchange_has("deadbeef") type(api_mock).has = PropertyMock(return_value={'deadbeef': False}) exchange = get_patched_exchange(mocker, default_conf, api_mock) assert not exchange.exchange_has("deadbeef") @pytest.mark.parametrize("side,leverage", [ ("buy", 1), ("buy", 5), ("sell", 1.0), ("sell", 5.0), ]) @pytest.mark.parametrize("exchange_name", EXCHANGES) def test_create_dry_run_order(default_conf, mocker, side, exchange_name, leverage): default_conf['dry_run'] = True exchange = get_patched_exchange(mocker, default_conf, id=exchange_name) order = exchange.create_dry_run_order( pair='ETH/BTC', ordertype='limit', side=side, amount=1, rate=200, leverage=leverage ) assert 'id' in order assert f'dry_run_{side}_' in order["id"] assert order["side"] == side assert order["type"] == "limit" assert order["symbol"] == "ETH/BTC" assert order["amount"] == 1 assert order["leverage"] == leverage assert order["cost"] == 1 * 200 @pytest.mark.parametrize('side,is_short,order_reason', [ ("buy", False, "entry"), ("sell", False, "exit"), ("buy", True, "exit"), ("sell", True, "entry"), ]) @pytest.mark.parametrize("order_type,price_side,fee", [ ("limit", "same", 1.0), ("limit", "other", 2.0), ("market", "same", 2.0), ("market", "other", 2.0), ]) def test_create_dry_run_order_fees( default_conf, mocker, side, order_type, is_short, order_reason, price_side, fee, ): mocker.patch( f'{EXMS}.get_fee', side_effect=lambda symbol, taker_or_maker: 2.0 if taker_or_maker == 'taker' else 1.0 ) mocker.patch(f'{EXMS}._dry_is_price_crossed', return_value=price_side == 'other') exchange = get_patched_exchange(mocker, default_conf) order = exchange.create_dry_run_order( pair='LTC/USDT', ordertype=order_type, side=side, amount=10, rate=2.0, leverage=1.0 ) if price_side == 'other' or order_type == 'market': assert order['fee']['rate'] == fee return else: assert order['fee'] is None mocker.patch(f'{EXMS}._dry_is_price_crossed', return_value=price_side != 'other') order1 = exchange.fetch_dry_run_order(order['id']) assert order1['fee']['rate'] == fee @pytest.mark.parametrize("side,price,filled,converted", [ # order_book_l2_usd spread: # best ask: 25.566 # best bid: 25.563 ("buy", 25.563, False, False), ("buy", 25.566, True, False), ("sell", 25.566, False, False), ("sell", 25.563, True, False), ("buy", 29.563, True, True), ("sell", 21.563, True, True), ]) @pytest.mark.parametrize("exchange_name", EXCHANGES) def test_create_dry_run_order_limit_fill(default_conf, mocker, side, price, filled, caplog, exchange_name, order_book_l2_usd, converted): default_conf['dry_run'] = True exchange = get_patched_exchange(mocker, default_conf, id=exchange_name) mocker.patch.multiple(EXMS, exchange_has=MagicMock(return_value=True), fetch_l2_order_book=order_book_l2_usd, ) order = exchange.create_order( pair='LTC/USDT', ordertype='limit', side=side, amount=1, rate=price, leverage=1.0 ) assert order_book_l2_usd.call_count == 1 assert 'id' in order assert f'dry_run_{side}_' in order["id"] assert order["side"] == side if not converted: assert order["average"] == price assert order["type"] == "limit" else: # Converted to market order assert order["type"] == "market" assert 25.5 < order["average"] < 25.6 assert log_has_re(r"Converted .* to market order.*", caplog) assert order["symbol"] == "LTC/USDT" assert order['status'] == 'open' if not filled else 'closed' order_book_l2_usd.reset_mock() # fetch order again... order_closed = exchange.fetch_dry_run_order(order['id']) assert order_book_l2_usd.call_count == (1 if not filled else 0) assert order_closed['status'] == ('open' if not filled else 'closed') assert order_closed['filled'] == (0 if not filled else 1) order_book_l2_usd.reset_mock() # Empty orderbook test mocker.patch(f'{EXMS}.fetch_l2_order_book', return_value={'asks': [], 'bids': []}) exchange._dry_run_open_orders[order['id']]['status'] = 'open' order_closed = exchange.fetch_dry_run_order(order['id']) @pytest.mark.parametrize("side,rate,amount,endprice", [ # spread is 25.263-25.266 ("buy", 25.564, 1, 25.566), ("buy", 25.564, 100, 25.5672), # Requires interpolation ("buy", 25.590, 100, 25.5672), # Price above spread ... average is lower ("buy", 25.564, 1000, 25.575), # More than orderbook return ("buy", 24.000, 100000, 25.200), # Run into max_slippage of 5% ("sell", 25.564, 1, 25.563), ("sell", 25.564, 100, 25.5625), # Requires interpolation ("sell", 25.510, 100, 25.5625), # price below spread - average is higher ("sell", 25.564, 1000, 25.5555), # More than orderbook return ("sell", 27, 10000, 25.65), # max-slippage 5% ]) @pytest.mark.parametrize("exchange_name", EXCHANGES) def test_create_dry_run_order_market_fill(default_conf, mocker, side, rate, amount, endprice, exchange_name, order_book_l2_usd): default_conf['dry_run'] = True exchange = get_patched_exchange(mocker, default_conf, id=exchange_name) mocker.patch.multiple(EXMS, exchange_has=MagicMock(return_value=True), fetch_l2_order_book=order_book_l2_usd, ) order = exchange.create_order( pair='LTC/USDT', ordertype='market', side=side, amount=amount, rate=rate, leverage=1.0 ) assert 'id' in order assert f'dry_run_{side}_' in order["id"] assert order["side"] == side assert order["type"] == "market" assert order["symbol"] == "LTC/USDT" assert order['status'] == 'closed' assert order['filled'] == amount assert round(order["average"], 4) == round(endprice, 4) @pytest.mark.parametrize("side", ["buy", "sell"]) @pytest.mark.parametrize("ordertype,rate,marketprice", [ ("market", None, None), ("market", 200, True), ("limit", 200, None), ("stop_loss_limit", 200, None) ]) @pytest.mark.parametrize("exchange_name", EXCHANGES) def test_create_order(default_conf, mocker, side, ordertype, rate, marketprice, exchange_name): api_mock = MagicMock() order_id = 'test_prod_{}_{}'.format(side, randint(0, 10 ** 6)) api_mock.options = {} if not marketprice else {"createMarketBuyOrderRequiresPrice": True} api_mock.create_order = MagicMock(return_value={ 'id': order_id, 'info': { 'foo': 'bar' }, 'symbol': 'XLTCUSDT', 'amount': 1 }) default_conf['dry_run'] = False default_conf['margin_mode'] = 'isolated' mocker.patch(f'{EXMS}.amount_to_precision', lambda s, x, y: y) mocker.patch(f'{EXMS}.price_to_precision', lambda s, x, y: y) exchange = get_patched_exchange(mocker, default_conf, api_mock, id=exchange_name) exchange._set_leverage = MagicMock() exchange.set_margin_mode = MagicMock() order = exchange.create_order( pair='XLTCUSDT', ordertype=ordertype, side=side, amount=1, rate=rate, leverage=1.0 ) assert 'id' in order assert 'info' in order assert order['id'] == order_id assert order['amount'] == 1 assert api_mock.create_order.call_args[0][0] == 'XLTCUSDT' assert api_mock.create_order.call_args[0][1] == ordertype assert api_mock.create_order.call_args[0][2] == side assert api_mock.create_order.call_args[0][3] == 1 assert api_mock.create_order.call_args[0][4] is rate assert exchange._set_leverage.call_count == 0 assert exchange.set_margin_mode.call_count == 0 api_mock.create_order = MagicMock(return_value={ 'id': order_id, 'info': { 'foo': 'bar' }, 'symbol': 'ADA/USDT:USDT', 'amount': 1 }) exchange = get_patched_exchange(mocker, default_conf, api_mock, id=exchange_name) exchange.trading_mode = TradingMode.FUTURES exchange._set_leverage = MagicMock() exchange.set_margin_mode = MagicMock() order = exchange.create_order( pair='ADA/USDT:USDT', ordertype=ordertype, side=side, amount=1, rate=200, leverage=3.0 ) assert exchange._set_leverage.call_count == 1 assert exchange.set_margin_mode.call_count == 1 assert order['amount'] == 0.01 @pytest.mark.parametrize("exchange_name", EXCHANGES) def test_buy_dry_run(default_conf, mocker, exchange_name): default_conf['dry_run'] = True exchange = get_patched_exchange(mocker, default_conf, id=exchange_name) order = exchange.create_order(pair='ETH/BTC', ordertype='limit', side="buy", amount=1, rate=200, leverage=1.0, time_in_force='gtc') assert 'id' in order assert 'dry_run_buy_' in order['id'] @pytest.mark.parametrize("exchange_name", EXCHANGES) def test_buy_prod(default_conf, mocker, exchange_name): api_mock = MagicMock() order_id = 'test_prod_buy_{}'.format(randint(0, 10 ** 6)) order_type = 'market' time_in_force = 'gtc' api_mock.options = {} api_mock.create_order = MagicMock(return_value={ 'id': order_id, 'symbol': 'ETH/BTC', 'info': { 'foo': 'bar' } }) default_conf['dry_run'] = False mocker.patch(f'{EXMS}.amount_to_precision', lambda s, x, y: y) mocker.patch(f'{EXMS}.price_to_precision', lambda s, x, y: y) exchange = get_patched_exchange(mocker, default_conf, api_mock, id=exchange_name) order = exchange.create_order(pair='ETH/BTC', ordertype=order_type, side="buy", amount=1, rate=200, leverage=1.0, time_in_force=time_in_force) assert 'id' in order assert 'info' in order assert order['id'] == order_id assert api_mock.create_order.call_args[0][0] == 'ETH/BTC' assert api_mock.create_order.call_args[0][1] == order_type assert api_mock.create_order.call_args[0][2] == 'buy' assert api_mock.create_order.call_args[0][3] == 1 if exchange._order_needs_price(order_type): assert api_mock.create_order.call_args[0][4] == 200 else: assert api_mock.create_order.call_args[0][4] is None api_mock.create_order.reset_mock() order_type = 'limit' order = exchange.create_order( pair='ETH/BTC', ordertype=order_type, side="buy", amount=1, rate=200, leverage=1.0, time_in_force=time_in_force ) assert api_mock.create_order.call_args[0][0] == 'ETH/BTC' assert api_mock.create_order.call_args[0][1] == order_type assert api_mock.create_order.call_args[0][2] == 'buy' assert api_mock.create_order.call_args[0][3] == 1 assert api_mock.create_order.call_args[0][4] == 200 # test exception handling with pytest.raises(DependencyException): api_mock.create_order = MagicMock(side_effect=ccxt.InsufficientFunds("Not enough funds")) exchange = get_patched_exchange(mocker, default_conf, api_mock, id=exchange_name) exchange.create_order(pair='ETH/BTC', ordertype=order_type, side="buy", amount=1, rate=200, leverage=1.0, time_in_force=time_in_force) with pytest.raises(DependencyException): api_mock.create_order = MagicMock(side_effect=ccxt.InvalidOrder("Order not found")) exchange = get_patched_exchange(mocker, default_conf, api_mock, id=exchange_name) exchange.create_order(pair='ETH/BTC', ordertype='limit', side="buy", amount=1, rate=200, leverage=1.0, time_in_force=time_in_force) with pytest.raises(DependencyException): api_mock.create_order = MagicMock(side_effect=ccxt.InvalidOrder("Order not found")) exchange = get_patched_exchange(mocker, default_conf, api_mock, id=exchange_name) exchange.create_order(pair='ETH/BTC', ordertype='market', side="buy", amount=1, rate=200, leverage=1.0, time_in_force=time_in_force) with pytest.raises(TemporaryError): api_mock.create_order = MagicMock(side_effect=ccxt.NetworkError("Network disconnect")) exchange = get_patched_exchange(mocker, default_conf, api_mock, id=exchange_name) exchange.create_order(pair='ETH/BTC', ordertype=order_type, side="buy", amount=1, rate=200, leverage=1.0, time_in_force=time_in_force) with pytest.raises(OperationalException): api_mock.create_order = MagicMock(side_effect=ccxt.BaseError("Unknown error")) exchange = get_patched_exchange(mocker, default_conf, api_mock, id=exchange_name) exchange.create_order(pair='ETH/BTC', ordertype=order_type, side="buy", amount=1, rate=200, leverage=1.0, time_in_force=time_in_force) @pytest.mark.parametrize("exchange_name", EXCHANGES) def test_buy_considers_time_in_force(default_conf, mocker, exchange_name): api_mock = MagicMock() order_id = 'test_prod_buy_{}'.format(randint(0, 10 ** 6)) api_mock.options = {} api_mock.create_order = MagicMock(return_value={ 'id': order_id, 'symbol': 'ETH/BTC', 'info': { 'foo': 'bar' } }) default_conf['dry_run'] = False mocker.patch(f'{EXMS}.amount_to_precision', lambda s, x, y: y) mocker.patch(f'{EXMS}.price_to_precision', lambda s, x, y: y) exchange = get_patched_exchange(mocker, default_conf, api_mock, id=exchange_name) order_type = 'limit' time_in_force = 'ioc' order = exchange.create_order(pair='ETH/BTC', ordertype=order_type, side="buy", amount=1, rate=200, leverage=1.0, time_in_force=time_in_force) assert 'id' in order assert 'info' in order assert order['id'] == order_id assert api_mock.create_order.call_args[0][0] == 'ETH/BTC' assert api_mock.create_order.call_args[0][1] == order_type assert api_mock.create_order.call_args[0][2] == 'buy' assert api_mock.create_order.call_args[0][3] == 1 assert api_mock.create_order.call_args[0][4] == 200 assert "timeInForce" in api_mock.create_order.call_args[0][5] assert api_mock.create_order.call_args[0][5]["timeInForce"] == time_in_force.upper() order_type = 'market' time_in_force = 'ioc' order = exchange.create_order(pair='ETH/BTC', ordertype=order_type, side="buy", amount=1, rate=200, leverage=1.0, time_in_force=time_in_force) assert 'id' in order assert 'info' in order assert order['id'] == order_id assert api_mock.create_order.call_args[0][0] == 'ETH/BTC' assert api_mock.create_order.call_args[0][1] == order_type assert api_mock.create_order.call_args[0][2] == 'buy' assert api_mock.create_order.call_args[0][3] == 1 if exchange._order_needs_price(order_type): assert api_mock.create_order.call_args[0][4] == 200 else: assert api_mock.create_order.call_args[0][4] is None # Market orders should not send timeInForce!! assert "timeInForce" not in api_mock.create_order.call_args[0][5] def test_sell_dry_run(default_conf, mocker): default_conf['dry_run'] = True exchange = get_patched_exchange(mocker, default_conf) order = exchange.create_order(pair='ETH/BTC', ordertype='limit', side="sell", amount=1, rate=200, leverage=1.0) assert 'id' in order assert 'dry_run_sell_' in order['id'] @pytest.mark.parametrize("exchange_name", EXCHANGES) def test_sell_prod(default_conf, mocker, exchange_name): api_mock = MagicMock() order_id = 'test_prod_sell_{}'.format(randint(0, 10 ** 6)) order_type = 'market' api_mock.options = {} api_mock.create_order = MagicMock(return_value={ 'id': order_id, 'symbol': 'ETH/BTC', 'info': { 'foo': 'bar' } }) default_conf['dry_run'] = False mocker.patch(f'{EXMS}.amount_to_precision', lambda s, x, y: y) mocker.patch(f'{EXMS}.price_to_precision', lambda s, x, y: y) exchange = get_patched_exchange(mocker, default_conf, api_mock, id=exchange_name) order = exchange.create_order(pair='ETH/BTC', ordertype=order_type, side="sell", amount=1, rate=200, leverage=1.0) assert 'id' in order assert 'info' in order assert order['id'] == order_id assert api_mock.create_order.call_args[0][0] == 'ETH/BTC' assert api_mock.create_order.call_args[0][1] == order_type assert api_mock.create_order.call_args[0][2] == 'sell' assert api_mock.create_order.call_args[0][3] == 1 if exchange._order_needs_price(order_type): assert api_mock.create_order.call_args[0][4] == 200 else: assert api_mock.create_order.call_args[0][4] is None api_mock.create_order.reset_mock() order_type = 'limit' order = exchange.create_order(pair='ETH/BTC', ordertype=order_type, side="sell", amount=1, rate=200, leverage=1.0) assert api_mock.create_order.call_args[0][0] == 'ETH/BTC' assert api_mock.create_order.call_args[0][1] == order_type assert api_mock.create_order.call_args[0][2] == 'sell' assert api_mock.create_order.call_args[0][3] == 1 assert api_mock.create_order.call_args[0][4] == 200 # test exception handling with pytest.raises(InsufficientFundsError): api_mock.create_order = MagicMock(side_effect=ccxt.InsufficientFunds("0 balance")) exchange = get_patched_exchange(mocker, default_conf, api_mock, id=exchange_name) exchange.create_order(pair='ETH/BTC', ordertype=order_type, side="sell", amount=1, rate=200, leverage=1.0) with pytest.raises(InvalidOrderException): api_mock.create_order = MagicMock(side_effect=ccxt.InvalidOrder("Order not found")) exchange = get_patched_exchange(mocker, default_conf, api_mock, id=exchange_name) exchange.create_order(pair='ETH/BTC', ordertype='limit', side="sell", amount=1, rate=200, leverage=1.0) # Market orders don't require price, so the behaviour is slightly different with pytest.raises(DependencyException): api_mock.create_order = MagicMock(side_effect=ccxt.InvalidOrder("Order not found")) exchange = get_patched_exchange(mocker, default_conf, api_mock, id=exchange_name) exchange.create_order(pair='ETH/BTC', ordertype='market', side="sell", amount=1, rate=200, leverage=1.0) with pytest.raises(TemporaryError): api_mock.create_order = MagicMock(side_effect=ccxt.NetworkError("No Connection")) exchange = get_patched_exchange(mocker, default_conf, api_mock, id=exchange_name) exchange.create_order(pair='ETH/BTC', ordertype=order_type, side="sell", amount=1, rate=200, leverage=1.0) with pytest.raises(OperationalException): api_mock.create_order = MagicMock(side_effect=ccxt.BaseError("DeadBeef")) exchange = get_patched_exchange(mocker, default_conf, api_mock, id=exchange_name) exchange.create_order(pair='ETH/BTC', ordertype=order_type, side="sell", amount=1, rate=200, leverage=1.0) @pytest.mark.parametrize("exchange_name", EXCHANGES) def test_sell_considers_time_in_force(default_conf, mocker, exchange_name): api_mock = MagicMock() order_id = 'test_prod_sell_{}'.format(randint(0, 10 ** 6)) api_mock.create_order = MagicMock(return_value={ 'id': order_id, 'symbol': 'ETH/BTC', 'info': { 'foo': 'bar' } }) api_mock.options = {} default_conf['dry_run'] = False mocker.patch(f'{EXMS}.amount_to_precision', lambda s, x, y: y) mocker.patch(f'{EXMS}.price_to_precision', lambda s, x, y: y) exchange = get_patched_exchange(mocker, default_conf, api_mock, id=exchange_name) order_type = 'limit' time_in_force = 'ioc' order = exchange.create_order(pair='ETH/BTC', ordertype=order_type, side="sell", amount=1, rate=200, leverage=1.0, time_in_force=time_in_force) assert 'id' in order assert 'info' in order assert order['id'] == order_id assert api_mock.create_order.call_args[0][0] == 'ETH/BTC' assert api_mock.create_order.call_args[0][1] == order_type assert api_mock.create_order.call_args[0][2] == 'sell' assert api_mock.create_order.call_args[0][3] == 1 assert api_mock.create_order.call_args[0][4] == 200 assert "timeInForce" in api_mock.create_order.call_args[0][5] assert api_mock.create_order.call_args[0][5]["timeInForce"] == time_in_force.upper() order_type = 'market' time_in_force = 'IOC' order = exchange.create_order(pair='ETH/BTC', ordertype=order_type, side="sell", amount=1, rate=200, leverage=1.0, time_in_force=time_in_force) assert 'id' in order assert 'info' in order assert order['id'] == order_id assert api_mock.create_order.call_args[0][0] == 'ETH/BTC' assert api_mock.create_order.call_args[0][1] == order_type assert api_mock.create_order.call_args[0][2] == 'sell' assert api_mock.create_order.call_args[0][3] == 1 if exchange._order_needs_price(order_type): assert api_mock.create_order.call_args[0][4] == 200 else: assert api_mock.create_order.call_args[0][4] is None # Market orders should not send timeInForce!! assert "timeInForce" not in api_mock.create_order.call_args[0][5] @pytest.mark.parametrize("exchange_name", EXCHANGES) def test_get_balances_prod(default_conf, mocker, exchange_name): balance_item = { 'free': 10.0, 'total': 10.0, 'used': 0.0 } api_mock = MagicMock() api_mock.fetch_balance = MagicMock(return_value={ '1ST': balance_item, '2ST': balance_item, '3ST': balance_item }) default_conf['dry_run'] = False exchange = get_patched_exchange(mocker, default_conf, api_mock, id=exchange_name) assert len(exchange.get_balances()) == 3 assert exchange.get_balances()['1ST']['free'] == 10.0 assert exchange.get_balances()['1ST']['total'] == 10.0 assert exchange.get_balances()['1ST']['used'] == 0.0 ccxt_exceptionhandlers(mocker, default_conf, api_mock, exchange_name, "get_balances", "fetch_balance") @pytest.mark.parametrize("exchange_name", EXCHANGES) def test_fetch_positions(default_conf, mocker, exchange_name): mocker.patch(f'{EXMS}.validate_trading_mode_and_margin_mode') api_mock = MagicMock() api_mock.fetch_positions = MagicMock(return_value=[ {'symbol': 'ETH/USDT:USDT', 'leverage': 5}, {'symbol': 'XRP/USDT:USDT', 'leverage': 5}, ]) exchange = get_patched_exchange(mocker, default_conf, api_mock, id=exchange_name) assert exchange.fetch_positions() == [] default_conf['dry_run'] = False default_conf['trading_mode'] = 'futures' exchange = get_patched_exchange(mocker, default_conf, api_mock, id=exchange_name) res = exchange.fetch_positions() assert len(res) == 2 ccxt_exceptionhandlers(mocker, default_conf, api_mock, exchange_name, "fetch_positions", "fetch_positions") def test_fetch_trading_fees(default_conf, mocker): api_mock = MagicMock() tick = { '1INCH/USDT:USDT': { 'info': {'user_id': '', 'taker_fee': '0.0018', 'maker_fee': '0.0018', 'gt_discount': False, 'gt_taker_fee': '0', 'gt_maker_fee': '0', 'loan_fee': '0.18', 'point_type': '1', 'futures_taker_fee': '0.0005', 'futures_maker_fee': '0'}, 'symbol': '1INCH/USDT:USDT', 'maker': 0.0, 'taker': 0.0005}, 'ETH/USDT:USDT': { 'info': {'user_id': '', 'taker_fee': '0.0018', 'maker_fee': '0.0018', 'gt_discount': False, 'gt_taker_fee': '0', 'gt_maker_fee': '0', 'loan_fee': '0.18', 'point_type': '1', 'futures_taker_fee': '0.0005', 'futures_maker_fee': '0'}, 'symbol': 'ETH/USDT:USDT', 'maker': 0.0, 'taker': 0.0005} } exchange_name = 'gate' default_conf['dry_run'] = False default_conf['trading_mode'] = TradingMode.FUTURES default_conf['margin_mode'] = MarginMode.ISOLATED api_mock.fetch_trading_fees = MagicMock(return_value=tick) mocker.patch(f'{EXMS}.exchange_has', return_value=True) exchange = get_patched_exchange(mocker, default_conf, api_mock, id=exchange_name) assert '1INCH/USDT:USDT' in exchange._trading_fees assert 'ETH/USDT:USDT' in exchange._trading_fees assert api_mock.fetch_trading_fees.call_count == 1 api_mock.fetch_trading_fees.reset_mock() ccxt_exceptionhandlers(mocker, default_conf, api_mock, exchange_name, "fetch_trading_fees", "fetch_trading_fees") api_mock.fetch_trading_fees = MagicMock(return_value={}) exchange = get_patched_exchange(mocker, default_conf, api_mock, id=exchange_name) exchange.fetch_trading_fees() mocker.patch(f'{EXMS}.exchange_has', return_value=True) assert exchange.fetch_trading_fees() == {} def test_fetch_bids_asks(default_conf, mocker): api_mock = MagicMock() tick = {'ETH/BTC': { 'symbol': 'ETH/BTC', 'bid': 0.5, 'ask': 1, 'last': 42, }, 'BCH/BTC': { 'symbol': 'BCH/BTC', 'bid': 0.6, 'ask': 0.5, 'last': 41, } } exchange_name = 'binance' api_mock.fetch_bids_asks = MagicMock(return_value=tick) mocker.patch(f'{EXMS}.exchange_has', return_value=True) exchange = get_patched_exchange(mocker, default_conf, api_mock, id=exchange_name) # retrieve original ticker bidsasks = exchange.fetch_bids_asks() assert 'ETH/BTC' in bidsasks assert 'BCH/BTC' in bidsasks assert bidsasks['ETH/BTC']['bid'] == 0.5 assert bidsasks['ETH/BTC']['ask'] == 1 assert bidsasks['BCH/BTC']['bid'] == 0.6 assert bidsasks['BCH/BTC']['ask'] == 0.5 assert api_mock.fetch_bids_asks.call_count == 1 api_mock.fetch_bids_asks.reset_mock() # Cached ticker should not call api again tickers2 = exchange.fetch_bids_asks(cached=True) assert tickers2 == bidsasks assert api_mock.fetch_bids_asks.call_count == 0 tickers2 = exchange.fetch_bids_asks(cached=False) assert api_mock.fetch_bids_asks.call_count == 1 ccxt_exceptionhandlers(mocker, default_conf, api_mock, exchange_name, "fetch_bids_asks", "fetch_bids_asks") with pytest.raises(OperationalException): api_mock.fetch_bids_asks = MagicMock(side_effect=ccxt.NotSupported("DeadBeef")) exchange = get_patched_exchange(mocker, default_conf, api_mock, id=exchange_name) exchange.fetch_bids_asks() api_mock.fetch_bids_asks = MagicMock(return_value={}) exchange = get_patched_exchange(mocker, default_conf, api_mock, id=exchange_name) exchange.fetch_bids_asks() mocker.patch(f'{EXMS}.exchange_has', return_value=True) assert exchange.fetch_bids_asks() == {} @pytest.mark.parametrize("exchange_name", EXCHANGES) def test_get_tickers(default_conf, mocker, exchange_name): api_mock = MagicMock() tick = {'ETH/BTC': { 'symbol': 'ETH/BTC', 'bid': 0.5, 'ask': 1, 'last': 42, }, 'BCH/BTC': { 'symbol': 'BCH/BTC', 'bid': 0.6, 'ask': 0.5, 'last': 41, } } mocker.patch(f'{EXMS}.exchange_has', return_value=True) api_mock.fetch_tickers = MagicMock(return_value=tick) api_mock.fetch_bids_asks = MagicMock(return_value={}) exchange = get_patched_exchange(mocker, default_conf, api_mock, id=exchange_name) # retrieve original ticker tickers = exchange.get_tickers() assert 'ETH/BTC' in tickers assert 'BCH/BTC' in tickers assert tickers['ETH/BTC']['bid'] == 0.5 assert tickers['ETH/BTC']['ask'] == 1 assert tickers['BCH/BTC']['bid'] == 0.6 assert tickers['BCH/BTC']['ask'] == 0.5 assert api_mock.fetch_tickers.call_count == 1 assert api_mock.fetch_bids_asks.call_count == 0 api_mock.fetch_tickers.reset_mock() # Cached ticker should not call api again tickers2 = exchange.get_tickers(cached=True) assert tickers2 == tickers assert api_mock.fetch_tickers.call_count == 0 assert api_mock.fetch_bids_asks.call_count == 0 tickers2 = exchange.get_tickers(cached=False) assert api_mock.fetch_tickers.call_count == 1 assert api_mock.fetch_bids_asks.call_count == 0 ccxt_exceptionhandlers(mocker, default_conf, api_mock, exchange_name, "get_tickers", "fetch_tickers") with pytest.raises(OperationalException): api_mock.fetch_tickers = MagicMock(side_effect=ccxt.NotSupported("DeadBeef")) exchange = get_patched_exchange(mocker, default_conf, api_mock, id=exchange_name) exchange.get_tickers() api_mock.fetch_tickers = MagicMock(return_value={}) exchange = get_patched_exchange(mocker, default_conf, api_mock, id=exchange_name) exchange.get_tickers() api_mock.fetch_tickers.reset_mock() api_mock.fetch_bids_asks.reset_mock() default_conf['trading_mode'] = TradingMode.FUTURES default_conf['margin_mode'] = MarginMode.ISOLATED mocker.patch(f'{EXMS}.exchange_has', return_value=True) exchange = get_patched_exchange(mocker, default_conf, api_mock, id=exchange_name) exchange.get_tickers() assert api_mock.fetch_tickers.call_count == 1 assert api_mock.fetch_bids_asks.call_count == (1 if exchange_name == 'binance' else 0) api_mock.fetch_tickers.reset_mock() api_mock.fetch_bids_asks.reset_mock() mocker.patch(f'{EXMS}.exchange_has', return_value=False) assert exchange.get_tickers() == {} @pytest.mark.parametrize("exchange_name", EXCHANGES) def test_fetch_ticker(default_conf, mocker, exchange_name): api_mock = MagicMock() tick = { 'symbol': 'ETH/BTC', 'bid': 0.00001098, 'ask': 0.00001099, 'last': 0.0001, } api_mock.fetch_ticker = MagicMock(return_value=tick) api_mock.markets = {'ETH/BTC': {'active': True}} exchange = get_patched_exchange(mocker, default_conf, api_mock, id=exchange_name) # retrieve original ticker ticker = exchange.fetch_ticker(pair='ETH/BTC') assert ticker['bid'] == 0.00001098 assert ticker['ask'] == 0.00001099 # change the ticker tick = { 'symbol': 'ETH/BTC', 'bid': 0.5, 'ask': 1, 'last': 42, } api_mock.fetch_ticker = MagicMock(return_value=tick) exchange = get_patched_exchange(mocker, default_conf, api_mock, id=exchange_name) # if not caching the result we should get the same ticker # if not fetching a new result we should get the cached ticker ticker = exchange.fetch_ticker(pair='ETH/BTC') assert api_mock.fetch_ticker.call_count == 1 assert ticker['bid'] == 0.5 assert ticker['ask'] == 1 ccxt_exceptionhandlers(mocker, default_conf, api_mock, exchange_name, "fetch_ticker", "fetch_ticker", pair='ETH/BTC') api_mock.fetch_ticker = MagicMock(return_value={}) exchange = get_patched_exchange(mocker, default_conf, api_mock, id=exchange_name) exchange.fetch_ticker(pair='ETH/BTC') with pytest.raises(DependencyException, match=r'Pair XRP/ETH not available'): exchange.fetch_ticker(pair='XRP/ETH') @pytest.mark.parametrize("exchange_name", EXCHANGES) @pytest.mark.parametrize('candle_type', ['mark', '']) def test_get_historic_ohlcv(default_conf, mocker, caplog, exchange_name, candle_type): exchange = get_patched_exchange(mocker, default_conf, id=exchange_name) ohlcv = [ [ arrow.utcnow().int_timestamp * 1000, # unix timestamp ms 1, # open 2, # high 3, # low 4, # close 5, # volume (in quote currency) ] ] pair = 'ETH/BTC' async def mock_candle_hist(pair, timeframe, candle_type, since_ms): return pair, timeframe, candle_type, ohlcv, True exchange._async_get_candle_history = Mock(wraps=mock_candle_hist) # one_call calculation * 1.8 should do 2 calls since = 5 * 60 * exchange.ohlcv_candle_limit('5m', CandleType.SPOT) * 1.8 ret = exchange.get_historic_ohlcv( pair, "5m", int((arrow.utcnow().int_timestamp - since) * 1000), candle_type=candle_type ) assert exchange._async_get_candle_history.call_count == 2 # Returns twice the above OHLCV data assert len(ret) == 2 assert log_has_re(r'Downloaded data for .* with length .*\.', caplog) caplog.clear() async def mock_get_candle_hist_error(pair, *args, **kwargs): raise TimeoutError() exchange._async_get_candle_history = MagicMock(side_effect=mock_get_candle_hist_error) ret = exchange.get_historic_ohlcv( pair, "5m", int((arrow.utcnow().int_timestamp - since) * 1000), candle_type=candle_type ) assert log_has_re(r"Async code raised an exception: .*", caplog) @pytest.mark.asyncio @pytest.mark.parametrize("exchange_name", EXCHANGES) @pytest.mark.parametrize('candle_type', [CandleType.MARK, CandleType.SPOT]) async def test__async_get_historic_ohlcv(default_conf, mocker, caplog, exchange_name, candle_type): ohlcv = [ [ int((datetime.now(timezone.utc).timestamp() - 1000) * 1000), 1, # open 2, # high 3, # low 4, # close 5, # volume (in quote currency) ] ] exchange = get_patched_exchange(mocker, default_conf, id=exchange_name) # Monkey-patch async function exchange._api_async.fetch_ohlcv = get_mock_coro(ohlcv) pair = 'ETH/USDT' respair, restf, _, res, _ = await exchange._async_get_historic_ohlcv( pair, "5m", 1500000000000, candle_type=candle_type, is_new_pair=False) assert respair == pair assert restf == '5m' # Call with very old timestamp - causes tons of requests assert exchange._api_async.fetch_ohlcv.call_count > 200 assert res[0] == ohlcv[0] exchange._api_async.fetch_ohlcv.reset_mock() end_ts = 1_500_500_000_000 start_ts = 1_500_000_000_000 respair, restf, _, res, _ = await exchange._async_get_historic_ohlcv( pair, "5m", since_ms=start_ts, candle_type=candle_type, is_new_pair=False, until_ms=end_ts ) # Required candles candles = (end_ts - start_ts) / 300_000 exp = candles // exchange.ohlcv_candle_limit('5m', CandleType.SPOT) + 1 # Depending on the exchange, this should be called between 1 and 6 times. assert exchange._api_async.fetch_ohlcv.call_count == exp @pytest.mark.parametrize('candle_type', [CandleType.FUTURES, CandleType.MARK, CandleType.SPOT]) def test_refresh_latest_ohlcv(mocker, default_conf, caplog, candle_type) -> None: ohlcv = [ [ (arrow.utcnow().shift(minutes=-5).int_timestamp) * 1000, # unix timestamp ms 1, # open 2, # high 3, # low 4, # close 5, # volume (in quote currency) ], [ arrow.utcnow().int_timestamp * 1000, # unix timestamp ms 3, # open 1, # high 4, # low 6, # close 5, # volume (in quote currency) ] ] caplog.set_level(logging.DEBUG) exchange = get_patched_exchange(mocker, default_conf) exchange._api_async.fetch_ohlcv = get_mock_coro(ohlcv) pairs = [('IOTA/ETH', '5m', candle_type), ('XRP/ETH', '5m', candle_type)] # empty dicts assert not exchange._klines res = exchange.refresh_latest_ohlcv(pairs, cache=False) # No caching assert not exchange._klines assert len(res) == len(pairs) assert exchange._api_async.fetch_ohlcv.call_count == 2 exchange._api_async.fetch_ohlcv.reset_mock() exchange.required_candle_call_count = 2 res = exchange.refresh_latest_ohlcv(pairs) assert len(res) == len(pairs) assert log_has(f'Refreshing candle (OHLCV) data for {len(pairs)} pairs', caplog) assert exchange._klines assert exchange._api_async.fetch_ohlcv.call_count == 4 exchange._api_async.fetch_ohlcv.reset_mock() for pair in pairs: assert isinstance(exchange.klines(pair), DataFrame) assert len(exchange.klines(pair)) > 0 # klines function should return a different object on each call # if copy is "True" assert exchange.klines(pair) is not exchange.klines(pair) assert exchange.klines(pair) is not exchange.klines(pair, copy=True) assert exchange.klines(pair, copy=True) is not exchange.klines(pair, copy=True) assert exchange.klines(pair, copy=False) is exchange.klines(pair, copy=False) # test caching res = exchange.refresh_latest_ohlcv( [('IOTA/ETH', '5m', candle_type), ('XRP/ETH', '5m', candle_type)]) assert len(res) == len(pairs) assert exchange._api_async.fetch_ohlcv.call_count == 0 assert log_has(f"Using cached candle (OHLCV) data for {pairs[0][0]}, " f"{pairs[0][1]}, {candle_type} ...", caplog) caplog.clear() # Reset refresh times - must do 2 call per pair as cache is expired exchange._pairs_last_refresh_time = {} res = exchange.refresh_latest_ohlcv( [('IOTA/ETH', '5m', candle_type), ('XRP/ETH', '5m', candle_type)]) assert len(res) == len(pairs) assert exchange._api_async.fetch_ohlcv.call_count == 4 # cache - but disabled caching exchange._api_async.fetch_ohlcv.reset_mock() exchange.required_candle_call_count = 1 pairlist = [ ('IOTA/ETH', '5m', candle_type), ('XRP/ETH', '5m', candle_type), ('XRP/ETH', '1d', candle_type)] res = exchange.refresh_latest_ohlcv(pairlist, cache=False) assert len(res) == 3 assert exchange._api_async.fetch_ohlcv.call_count == 3 # Test the same again, should NOT return from cache! exchange._api_async.fetch_ohlcv.reset_mock() res = exchange.refresh_latest_ohlcv(pairlist, cache=False) assert len(res) == 3 assert exchange._api_async.fetch_ohlcv.call_count == 3 exchange._api_async.fetch_ohlcv.reset_mock() caplog.clear() # Call with invalid timeframe res = exchange.refresh_latest_ohlcv([('IOTA/ETH', '3m', candle_type)], cache=False) if candle_type != CandleType.MARK: assert not res assert len(res) == 0 assert log_has_re(r'Cannot download \(IOTA\/ETH, 3m\).*', caplog) else: assert len(res) == 1 @pytest.mark.parametrize('candle_type', [CandleType.FUTURES, CandleType.MARK, CandleType.SPOT]) def test_refresh_latest_ohlcv_cache(mocker, default_conf, candle_type, time_machine) -> None: start = datetime(2021, 8, 1, 0, 0, 0, 0, tzinfo=timezone.utc) ohlcv = generate_test_data_raw('1h', 100, start.strftime('%Y-%m-%d')) time_machine.move_to(start + timedelta(hours=99, minutes=30)) exchange = get_patched_exchange(mocker, default_conf) mocker.patch(f"{EXMS}.ohlcv_candle_limit", return_value=100) assert exchange._startup_candle_count == 0 exchange._api_async.fetch_ohlcv = get_mock_coro(ohlcv) pair1 = ('IOTA/ETH', '1h', candle_type) pair2 = ('XRP/ETH', '1h', candle_type) pairs = [pair1, pair2] # No caching assert not exchange._klines res = exchange.refresh_latest_ohlcv(pairs, cache=False) assert exchange._api_async.fetch_ohlcv.call_count == 2 assert len(res) == 2 assert len(res[pair1]) == 99 assert len(res[pair2]) == 99 assert not exchange._klines exchange._api_async.fetch_ohlcv.reset_mock() # With caching res = exchange.refresh_latest_ohlcv(pairs) assert exchange._api_async.fetch_ohlcv.call_count == 2 assert len(res) == 2 assert len(res[pair1]) == 99 assert len(res[pair2]) == 99 assert exchange._klines assert exchange._pairs_last_refresh_time[pair1] == ohlcv[-2][0] // 1000 exchange._api_async.fetch_ohlcv.reset_mock() # Returned from cache res = exchange.refresh_latest_ohlcv(pairs) assert exchange._api_async.fetch_ohlcv.call_count == 0 assert len(res) == 2 assert len(res[pair1]) == 99 assert len(res[pair2]) == 99 assert exchange._pairs_last_refresh_time[pair1] == ohlcv[-2][0] // 1000 # Move time 1 candle further but result didn't change yet time_machine.move_to(start + timedelta(hours=101)) res = exchange.refresh_latest_ohlcv(pairs) assert exchange._api_async.fetch_ohlcv.call_count == 2 assert len(res) == 2 assert len(res[pair1]) == 99 assert len(res[pair2]) == 99 assert res[pair2].at[0, 'open'] assert exchange._pairs_last_refresh_time[pair1] == ohlcv[-2][0] // 1000 refresh_pior = exchange._pairs_last_refresh_time[pair1] # New candle on exchange - return 100 candles - but skip one candle so we actually get 2 candles # in one go new_startdate = (start + timedelta(hours=2)).strftime('%Y-%m-%d %H:%M') # mocker.patch(f"{EXMS}.ohlcv_candle_limit", return_value=100) ohlcv = generate_test_data_raw('1h', 100, new_startdate) exchange._api_async.fetch_ohlcv = get_mock_coro(ohlcv) res = exchange.refresh_latest_ohlcv(pairs) assert exchange._api_async.fetch_ohlcv.call_count == 2 assert len(res) == 2 assert len(res[pair1]) == 100 assert len(res[pair2]) == 100 # Verify index starts at 0 assert res[pair2].at[0, 'open'] assert refresh_pior != exchange._pairs_last_refresh_time[pair1] assert exchange._pairs_last_refresh_time[pair1] == ohlcv[-2][0] // 1000 assert exchange._pairs_last_refresh_time[pair2] == ohlcv[-2][0] // 1000 exchange._api_async.fetch_ohlcv.reset_mock() # Retry same call - from cache res = exchange.refresh_latest_ohlcv(pairs) assert exchange._api_async.fetch_ohlcv.call_count == 0 assert len(res) == 2 assert len(res[pair1]) == 100 assert len(res[pair2]) == 100 assert res[pair2].at[0, 'open'] # Move to distant future (so a 1 call would cause a hole in the data) time_machine.move_to(start + timedelta(hours=2000)) ohlcv = generate_test_data_raw('1h', 100, start + timedelta(hours=1900)) exchange._api_async.fetch_ohlcv = get_mock_coro(ohlcv) res = exchange.refresh_latest_ohlcv(pairs) assert exchange._api_async.fetch_ohlcv.call_count == 2 assert len(res) == 2 # Cache eviction - new data. assert len(res[pair1]) == 99 assert len(res[pair2]) == 99 assert res[pair2].at[0, 'open'] @pytest.mark.parametrize("exchange_name", EXCHANGES) async def test__async_get_candle_history(default_conf, mocker, caplog, exchange_name): ohlcv = [ [ arrow.utcnow().int_timestamp * 1000, # unix timestamp ms 1, # open 2, # high 3, # low 4, # close 5, # volume (in quote currency) ] ] caplog.set_level(logging.DEBUG) exchange = get_patched_exchange(mocker, default_conf, id=exchange_name) # Monkey-patch async function exchange._api_async.fetch_ohlcv = get_mock_coro(ohlcv) pair = 'ETH/BTC' res = await exchange._async_get_candle_history(pair, "5m", CandleType.SPOT) assert type(res) is tuple assert len(res) == 5 assert res[0] == pair assert res[1] == "5m" assert res[2] == CandleType.SPOT assert res[3] == ohlcv assert exchange._api_async.fetch_ohlcv.call_count == 1 assert not log_has(f"Using cached candle (OHLCV) data for {pair} ...", caplog) exchange.close() # exchange = Exchange(default_conf) await async_ccxt_exception(mocker, default_conf, MagicMock(), "_async_get_candle_history", "fetch_ohlcv", pair='ABCD/BTC', timeframe=default_conf['timeframe'], candle_type=CandleType.SPOT) api_mock = MagicMock() with pytest.raises(OperationalException, match=r'Could not fetch historical candle \(OHLCV\) data.*'): api_mock.fetch_ohlcv = MagicMock(side_effect=ccxt.BaseError("Unknown error")) exchange = get_patched_exchange(mocker, default_conf, api_mock, id=exchange_name) await exchange._async_get_candle_history(pair, "5m", CandleType.SPOT, (arrow.utcnow().int_timestamp - 2000) * 1000) exchange.close() with pytest.raises(OperationalException, match=r'Exchange.* does not support fetching ' r'historical candle \(OHLCV\) data\..*'): api_mock.fetch_ohlcv = MagicMock(side_effect=ccxt.NotSupported("Not supported")) exchange = get_patched_exchange(mocker, default_conf, api_mock, id=exchange_name) await exchange._async_get_candle_history(pair, "5m", CandleType.SPOT, (arrow.utcnow().int_timestamp - 2000) * 1000) exchange.close() async def test__async_kucoin_get_candle_history(default_conf, mocker, caplog): from freqtrade.exchange.common import _reset_logging_mixin _reset_logging_mixin() caplog.set_level(logging.INFO) api_mock = MagicMock() api_mock.fetch_ohlcv = MagicMock(side_effect=ccxt.DDoSProtection( "kucoin GET https://openapi-v2.kucoin.com/api/v1/market/candles?" "symbol=ETH-BTC&type=5min&startAt=1640268735&endAt=1640418735" "429 Too Many Requests" '{"code":"429000","msg":"Too Many Requests"}')) exchange = get_patched_exchange(mocker, default_conf, api_mock, id="kucoin") mocker.patch(f'{EXMS}.name', PropertyMock(return_value='KuCoin')) msg = "Kucoin 429 error, avoid triggering DDosProtection backoff delay" assert not num_log_has_re(msg, caplog) for _ in range(3): with pytest.raises(DDosProtection, match=r'429 Too Many Requests'): await exchange._async_get_candle_history( "ETH/BTC", "5m", CandleType.SPOT, since_ms=(arrow.utcnow().int_timestamp - 2000) * 1000, count=3) assert num_log_has_re(msg, caplog) == 3 caplog.clear() # Test regular non-kucoin message api_mock.fetch_ohlcv = MagicMock(side_effect=ccxt.DDoSProtection( "kucoin GET https://openapi-v2.kucoin.com/api/v1/market/candles?" "symbol=ETH-BTC&type=5min&startAt=1640268735&endAt=1640418735" "429 Too Many Requests" '{"code":"2222222","msg":"Too Many Requests"}')) msg = r'_async_get_candle_history\(\) returned exception: .*' msg2 = r'Applying DDosProtection backoff delay: .*' with patch('freqtrade.exchange.common.asyncio.sleep', get_mock_coro(None)): for _ in range(3): with pytest.raises(DDosProtection, match=r'429 Too Many Requests'): await exchange._async_get_candle_history( "ETH/BTC", "5m", CandleType.SPOT, (arrow.utcnow().int_timestamp - 2000) * 1000, count=3) # Expect the "returned exception" message 12 times (4 retries * 3 (loop)) assert num_log_has_re(msg, caplog) == 12 assert num_log_has_re(msg2, caplog) == 9 exchange.close() async def test__async_get_candle_history_empty(default_conf, mocker, caplog): """ Test empty exchange result """ ohlcv = [] caplog.set_level(logging.DEBUG) exchange = get_patched_exchange(mocker, default_conf) # Monkey-patch async function exchange._api_async.fetch_ohlcv = get_mock_coro([]) exchange = Exchange(default_conf) pair = 'ETH/BTC' res = await exchange._async_get_candle_history(pair, "5m", CandleType.SPOT) assert type(res) is tuple assert len(res) == 5 assert res[0] == pair assert res[1] == "5m" assert res[2] == CandleType.SPOT assert res[3] == ohlcv assert exchange._api_async.fetch_ohlcv.call_count == 1 exchange.close() def test_refresh_latest_ohlcv_inv_result(default_conf, mocker, caplog): async def mock_get_candle_hist(pair, *args, **kwargs): if pair == 'ETH/BTC': return [[]] else: raise TypeError() exchange = get_patched_exchange(mocker, default_conf) # Monkey-patch async function with empty result exchange._api_async.fetch_ohlcv = MagicMock(side_effect=mock_get_candle_hist) pairs = [("ETH/BTC", "5m", ''), ("XRP/BTC", "5m", '')] res = exchange.refresh_latest_ohlcv(pairs) assert exchange._klines assert exchange._api_async.fetch_ohlcv.call_count == 2 assert type(res) is dict assert len(res) == 1 # Test that each is in list at least once as order is not guaranteed assert log_has("Error loading ETH/BTC. Result was [[]].", caplog) assert log_has("Async code raised an exception: TypeError()", caplog) def test_get_next_limit_in_list(): limit_range = [5, 10, 20, 50, 100, 500, 1000] assert Exchange.get_next_limit_in_list(1, limit_range) == 5 assert Exchange.get_next_limit_in_list(5, limit_range) == 5 assert Exchange.get_next_limit_in_list(6, limit_range) == 10 assert Exchange.get_next_limit_in_list(9, limit_range) == 10 assert Exchange.get_next_limit_in_list(10, limit_range) == 10 assert Exchange.get_next_limit_in_list(11, limit_range) == 20 assert Exchange.get_next_limit_in_list(19, limit_range) == 20 assert Exchange.get_next_limit_in_list(21, limit_range) == 50 assert Exchange.get_next_limit_in_list(51, limit_range) == 100 assert Exchange.get_next_limit_in_list(1000, limit_range) == 1000 # Going over the limit ... assert Exchange.get_next_limit_in_list(1001, limit_range) == 1000 assert Exchange.get_next_limit_in_list(2000, limit_range) == 1000 # Without required range assert Exchange.get_next_limit_in_list(2000, limit_range, False) is None assert Exchange.get_next_limit_in_list(15, limit_range, False) == 20 assert Exchange.get_next_limit_in_list(21, None) == 21 assert Exchange.get_next_limit_in_list(100, None) == 100 assert Exchange.get_next_limit_in_list(1000, None) == 1000 @pytest.mark.parametrize("exchange_name", EXCHANGES) def test_fetch_l2_order_book(default_conf, mocker, order_book_l2, exchange_name): default_conf['exchange']['name'] = exchange_name api_mock = MagicMock() api_mock.fetch_l2_order_book = order_book_l2 exchange = get_patched_exchange(mocker, default_conf, api_mock, id=exchange_name) order_book = exchange.fetch_l2_order_book(pair='ETH/BTC', limit=10) assert 'bids' in order_book assert 'asks' in order_book assert len(order_book['bids']) == 10 assert len(order_book['asks']) == 10 assert api_mock.fetch_l2_order_book.call_args_list[0][0][0] == 'ETH/BTC' for val in [1, 5, 10, 12, 20, 50, 100]: api_mock.fetch_l2_order_book.reset_mock() order_book = exchange.fetch_l2_order_book(pair='ETH/BTC', limit=val) assert api_mock.fetch_l2_order_book.call_args_list[0][0][0] == 'ETH/BTC' # Not all exchanges support all limits for orderbook if (not exchange.get_option('l2_limit_range') or val in exchange.get_option('l2_limit_range')): assert api_mock.fetch_l2_order_book.call_args_list[0][0][1] == val else: next_limit = exchange.get_next_limit_in_list(val, exchange.get_option('l2_limit_range')) assert api_mock.fetch_l2_order_book.call_args_list[0][0][1] == next_limit @pytest.mark.parametrize("exchange_name", EXCHANGES) def test_fetch_l2_order_book_exception(default_conf, mocker, exchange_name): api_mock = MagicMock() with pytest.raises(OperationalException): api_mock.fetch_l2_order_book = MagicMock(side_effect=ccxt.NotSupported("Not supported")) exchange = get_patched_exchange(mocker, default_conf, api_mock, id=exchange_name) exchange.fetch_l2_order_book(pair='ETH/BTC', limit=50) with pytest.raises(TemporaryError): api_mock.fetch_l2_order_book = MagicMock(side_effect=ccxt.NetworkError("DeadBeef")) exchange = get_patched_exchange(mocker, default_conf, api_mock, id=exchange_name) exchange.fetch_l2_order_book(pair='ETH/BTC', limit=50) with pytest.raises(OperationalException): api_mock.fetch_l2_order_book = MagicMock(side_effect=ccxt.BaseError("DeadBeef")) exchange = get_patched_exchange(mocker, default_conf, api_mock, id=exchange_name) exchange.fetch_l2_order_book(pair='ETH/BTC', limit=50) @pytest.mark.parametrize("side,ask,bid,last,last_ab,expected", get_entry_rate_data) def test_get_entry_rate(mocker, default_conf, caplog, side, ask, bid, last, last_ab, expected) -> None: caplog.set_level(logging.DEBUG) if last_ab is None: del default_conf['entry_pricing']['price_last_balance'] else: default_conf['entry_pricing']['price_last_balance'] = last_ab default_conf['entry_pricing']['price_side'] = side exchange = get_patched_exchange(mocker, default_conf) mocker.patch(f'{EXMS}.fetch_ticker', return_value={'ask': ask, 'last': last, 'bid': bid}) assert exchange.get_rate('ETH/BTC', side="entry", is_short=False, refresh=True) == expected assert not log_has("Using cached entry rate for ETH/BTC.", caplog) assert exchange.get_rate('ETH/BTC', side="entry", is_short=False, refresh=False) == expected assert log_has("Using cached entry rate for ETH/BTC.", caplog) # Running a 2nd time with Refresh on! caplog.clear() assert exchange.get_rate('ETH/BTC', side="entry", is_short=False, refresh=True) == expected assert not log_has("Using cached entry rate for ETH/BTC.", caplog) @pytest.mark.parametrize('side,ask,bid,last,last_ab,expected', get_sell_rate_data) def test_get_exit_rate(default_conf, mocker, caplog, side, bid, ask, last, last_ab, expected) -> None: caplog.set_level(logging.DEBUG) default_conf['exit_pricing']['price_side'] = side if last_ab is not None: default_conf['exit_pricing']['price_last_balance'] = last_ab mocker.patch(f'{EXMS}.fetch_ticker', return_value={'ask': ask, 'bid': bid, 'last': last}) pair = "ETH/BTC" # Test regular mode exchange = get_patched_exchange(mocker, default_conf) rate = exchange.get_rate(pair, side="exit", is_short=False, refresh=True) assert not log_has("Using cached exit rate for ETH/BTC.", caplog) assert isinstance(rate, float) assert rate == expected # Use caching rate = exchange.get_rate(pair, side="exit", is_short=False, refresh=False) assert rate == expected assert log_has("Using cached exit rate for ETH/BTC.", caplog) @pytest.mark.parametrize("entry,is_short,side,ask,bid,last,last_ab,expected", [ ('entry', False, 'ask', None, 4, 4, 0, 4), # ask not available ('entry', False, 'ask', None, None, 4, 0, 4), # ask not available ('entry', False, 'bid', 6, None, 4, 0, 5), # bid not available ('entry', False, 'bid', None, None, 4, 0, 5), # No rate available ('exit', False, 'ask', None, 4, 4, 0, 4), # ask not available ('exit', False, 'ask', None, None, 4, 0, 4), # ask not available ('exit', False, 'bid', 6, None, 4, 0, 5), # bid not available ('exit', False, 'bid', None, None, 4, 0, 5), # bid not available ]) def test_get_ticker_rate_error(mocker, entry, default_conf, caplog, side, is_short, ask, bid, last, last_ab, expected) -> None: caplog.set_level(logging.DEBUG) default_conf['entry_pricing']['price_last_balance'] = last_ab default_conf['entry_pricing']['price_side'] = side default_conf['exit_pricing']['price_side'] = side default_conf['exit_pricing']['price_last_balance'] = last_ab exchange = get_patched_exchange(mocker, default_conf) mocker.patch(f'{EXMS}.fetch_ticker', return_value={'ask': ask, 'last': last, 'bid': bid}) with pytest.raises(PricingError): exchange.get_rate('ETH/BTC', refresh=True, side=entry, is_short=is_short) @pytest.mark.parametrize('is_short,side,expected', [ (False, 'bid', 0.043936), # Value from order_book_l2 fixture - bids side (False, 'ask', 0.043949), # Value from order_book_l2 fixture - asks side (False, 'other', 0.043936), # Value from order_book_l2 fixture - bids side (False, 'same', 0.043949), # Value from order_book_l2 fixture - asks side (True, 'bid', 0.043936), # Value from order_book_l2 fixture - bids side (True, 'ask', 0.043949), # Value from order_book_l2 fixture - asks side (True, 'other', 0.043949), # Value from order_book_l2 fixture - asks side (True, 'same', 0.043936), # Value from order_book_l2 fixture - bids side ]) def test_get_exit_rate_orderbook( default_conf, mocker, caplog, is_short, side, expected, order_book_l2): caplog.set_level(logging.DEBUG) # Test orderbook mode default_conf['exit_pricing']['price_side'] = side default_conf['exit_pricing']['use_order_book'] = True default_conf['exit_pricing']['order_book_top'] = 1 pair = "ETH/BTC" mocker.patch(f'{EXMS}.fetch_l2_order_book', order_book_l2) exchange = get_patched_exchange(mocker, default_conf) rate = exchange.get_rate(pair, refresh=True, side="exit", is_short=is_short) assert not log_has("Using cached exit rate for ETH/BTC.", caplog) assert isinstance(rate, float) assert rate == expected rate = exchange.get_rate(pair, refresh=False, side="exit", is_short=is_short) assert rate == expected assert log_has("Using cached exit rate for ETH/BTC.", caplog) def test_get_exit_rate_orderbook_exception(default_conf, mocker, caplog): # Test orderbook mode default_conf['exit_pricing']['price_side'] = 'ask' default_conf['exit_pricing']['use_order_book'] = True default_conf['exit_pricing']['order_book_top'] = 1 pair = "ETH/BTC" # Test What happens if the exchange returns an empty orderbook. mocker.patch(f'{EXMS}.fetch_l2_order_book', return_value={'bids': [[]], 'asks': [[]]}) exchange = get_patched_exchange(mocker, default_conf) with pytest.raises(PricingError): exchange.get_rate(pair, refresh=True, side="exit", is_short=False) assert log_has_re(rf"{pair} - Exit Price at location 1 from orderbook " rf"could not be determined\..*", caplog) @pytest.mark.parametrize('is_short', [True, False]) def test_get_exit_rate_exception(default_conf, mocker, is_short): # Ticker on one side can be empty in certain circumstances. default_conf['exit_pricing']['price_side'] = 'ask' pair = "ETH/BTC" mocker.patch(f'{EXMS}.fetch_ticker', return_value={'ask': None, 'bid': 0.12, 'last': None}) exchange = get_patched_exchange(mocker, default_conf) with pytest.raises(PricingError, match=r"Exit-Rate for ETH/BTC was empty."): exchange.get_rate(pair, refresh=True, side="exit", is_short=is_short) exchange._config['exit_pricing']['price_side'] = 'bid' assert exchange.get_rate(pair, refresh=True, side="exit", is_short=is_short) == 0.12 # Reverse sides mocker.patch(f'{EXMS}.fetch_ticker', return_value={'ask': 0.13, 'bid': None, 'last': None}) with pytest.raises(PricingError, match=r"Exit-Rate for ETH/BTC was empty."): exchange.get_rate(pair, refresh=True, side="exit", is_short=is_short) exchange._config['exit_pricing']['price_side'] = 'ask' assert exchange.get_rate(pair, refresh=True, side="exit", is_short=is_short) == 0.13 @pytest.mark.parametrize("side,ask,bid,last,last_ab,expected", get_entry_rate_data) @pytest.mark.parametrize("side2", ['bid', 'ask']) @pytest.mark.parametrize("use_order_book", [True, False]) def test_get_rates_testing_buy(mocker, default_conf, caplog, side, ask, bid, last, last_ab, expected, side2, use_order_book, order_book_l2) -> None: caplog.set_level(logging.DEBUG) if last_ab is None: del default_conf['entry_pricing']['price_last_balance'] else: default_conf['entry_pricing']['price_last_balance'] = last_ab default_conf['entry_pricing']['price_side'] = side default_conf['exit_pricing']['price_side'] = side2 default_conf['exit_pricing']['use_order_book'] = use_order_book api_mock = MagicMock() api_mock.fetch_l2_order_book = order_book_l2 api_mock.fetch_ticker = MagicMock( return_value={'ask': ask, 'last': last, 'bid': bid}) exchange = get_patched_exchange(mocker, default_conf, api_mock) assert exchange.get_rates('ETH/BTC', refresh=True, is_short=False)[0] == expected assert not log_has("Using cached buy rate for ETH/BTC.", caplog) api_mock.fetch_l2_order_book.reset_mock() api_mock.fetch_ticker.reset_mock() assert exchange.get_rates('ETH/BTC', refresh=False, is_short=False)[0] == expected assert log_has("Using cached buy rate for ETH/BTC.", caplog) assert api_mock.fetch_l2_order_book.call_count == 0 assert api_mock.fetch_ticker.call_count == 0 # Running a 2nd time with Refresh on! caplog.clear() assert exchange.get_rates('ETH/BTC', refresh=True, is_short=False)[0] == expected assert not log_has("Using cached buy rate for ETH/BTC.", caplog) assert api_mock.fetch_l2_order_book.call_count == int(use_order_book) assert api_mock.fetch_ticker.call_count == 1 @pytest.mark.parametrize('side,ask,bid,last,last_ab,expected', get_sell_rate_data) @pytest.mark.parametrize("side2", ['bid', 'ask']) @pytest.mark.parametrize("use_order_book", [True, False]) def test_get_rates_testing_sell(default_conf, mocker, caplog, side, bid, ask, last, last_ab, expected, side2, use_order_book, order_book_l2) -> None: caplog.set_level(logging.DEBUG) default_conf['exit_pricing']['price_side'] = side if last_ab is not None: default_conf['exit_pricing']['price_last_balance'] = last_ab default_conf['entry_pricing']['price_side'] = side2 default_conf['entry_pricing']['use_order_book'] = use_order_book api_mock = MagicMock() api_mock.fetch_l2_order_book = order_book_l2 api_mock.fetch_ticker = MagicMock( return_value={'ask': ask, 'last': last, 'bid': bid}) exchange = get_patched_exchange(mocker, default_conf, api_mock) pair = "ETH/BTC" # Test regular mode rate = exchange.get_rates(pair, refresh=True, is_short=False)[1] assert not log_has("Using cached sell rate for ETH/BTC.", caplog) assert isinstance(rate, float) assert rate == expected # Use caching api_mock.fetch_l2_order_book.reset_mock() api_mock.fetch_ticker.reset_mock() rate = exchange.get_rates(pair, refresh=False, is_short=False)[1] assert rate == expected assert log_has("Using cached sell rate for ETH/BTC.", caplog) assert api_mock.fetch_l2_order_book.call_count == 0 assert api_mock.fetch_ticker.call_count == 0 @pytest.mark.parametrize("exchange_name", EXCHANGES) @pytest.mark.asyncio async def test___async_get_candle_history_sort(default_conf, mocker, exchange_name): def sort_data(data, key): return sorted(data, key=key) # GDAX use-case (real data from GDAX) # This OHLCV data is ordered DESC (newest first, oldest last) ohlcv = [ [1527833100000, 0.07666, 0.07671, 0.07666, 0.07668, 16.65244264], [1527832800000, 0.07662, 0.07666, 0.07662, 0.07666, 1.30051526], [1527832500000, 0.07656, 0.07661, 0.07656, 0.07661, 12.034778840000001], [1527832200000, 0.07658, 0.07658, 0.07655, 0.07656, 0.59780186], [1527831900000, 0.07658, 0.07658, 0.07658, 0.07658, 1.76278136], [1527831600000, 0.07658, 0.07658, 0.07658, 0.07658, 2.22646521], [1527831300000, 0.07655, 0.07657, 0.07655, 0.07657, 1.1753], [1527831000000, 0.07654, 0.07654, 0.07651, 0.07651, 0.8073060299999999], [1527830700000, 0.07652, 0.07652, 0.07651, 0.07652, 10.04822687], [1527830400000, 0.07649, 0.07651, 0.07649, 0.07651, 2.5734867] ] exchange = get_patched_exchange(mocker, default_conf, id=exchange_name) exchange._api_async.fetch_ohlcv = get_mock_coro(ohlcv) sort_mock = mocker.patch('freqtrade.exchange.exchange.sorted', MagicMock(side_effect=sort_data)) # Test the OHLCV data sort res = await exchange._async_get_candle_history( 'ETH/BTC', default_conf['timeframe'], CandleType.SPOT) assert res[0] == 'ETH/BTC' res_ohlcv = res[3] assert sort_mock.call_count == 1 assert res_ohlcv[0][0] == 1527830400000 assert res_ohlcv[0][1] == 0.07649 assert res_ohlcv[0][2] == 0.07651 assert res_ohlcv[0][3] == 0.07649 assert res_ohlcv[0][4] == 0.07651 assert res_ohlcv[0][5] == 2.5734867 assert res_ohlcv[9][0] == 1527833100000 assert res_ohlcv[9][1] == 0.07666 assert res_ohlcv[9][2] == 0.07671 assert res_ohlcv[9][3] == 0.07666 assert res_ohlcv[9][4] == 0.07668 assert res_ohlcv[9][5] == 16.65244264 # Bittrex use-case (real data from Bittrex) # This OHLCV data is ordered ASC (oldest first, newest last) ohlcv = [ [1527827700000, 0.07659999, 0.0766, 0.07627, 0.07657998, 1.85216924], [1527828000000, 0.07657995, 0.07657995, 0.0763, 0.0763, 26.04051037], [1527828300000, 0.0763, 0.07659998, 0.0763, 0.0764, 10.36434124], [1527828600000, 0.0764, 0.0766, 0.0764, 0.0766, 5.71044773], [1527828900000, 0.0764, 0.07666998, 0.0764, 0.07666998, 47.48888565], [1527829200000, 0.0765, 0.07672999, 0.0765, 0.07672999, 3.37640326], [1527829500000, 0.0766, 0.07675, 0.0765, 0.07675, 8.36203831], [1527829800000, 0.07675, 0.07677999, 0.07620002, 0.076695, 119.22963884], [1527830100000, 0.076695, 0.07671, 0.07624171, 0.07671, 1.80689244], [1527830400000, 0.07671, 0.07674399, 0.07629216, 0.07655213, 2.31452783] ] exchange._api_async.fetch_ohlcv = get_mock_coro(ohlcv) # Reset sort mock sort_mock = mocker.patch('freqtrade.exchange.sorted', MagicMock(side_effect=sort_data)) # Test the OHLCV data sort res = await exchange._async_get_candle_history( 'ETH/BTC', default_conf['timeframe'], CandleType.SPOT) assert res[0] == 'ETH/BTC' assert res[1] == default_conf['timeframe'] res_ohlcv = res[3] # Sorted not called again - data is already in order assert sort_mock.call_count == 0 assert res_ohlcv[0][0] == 1527827700000 assert res_ohlcv[0][1] == 0.07659999 assert res_ohlcv[0][2] == 0.0766 assert res_ohlcv[0][3] == 0.07627 assert res_ohlcv[0][4] == 0.07657998 assert res_ohlcv[0][5] == 1.85216924 assert res_ohlcv[9][0] == 1527830400000 assert res_ohlcv[9][1] == 0.07671 assert res_ohlcv[9][2] == 0.07674399 assert res_ohlcv[9][3] == 0.07629216 assert res_ohlcv[9][4] == 0.07655213 assert res_ohlcv[9][5] == 2.31452783 @pytest.mark.parametrize("exchange_name", EXCHANGES) async def test__async_fetch_trades(default_conf, mocker, caplog, exchange_name, fetch_trades_result): caplog.set_level(logging.DEBUG) exchange = get_patched_exchange(mocker, default_conf, id=exchange_name) # Monkey-patch async function exchange._api_async.fetch_trades = get_mock_coro(fetch_trades_result) pair = 'ETH/BTC' res = await exchange._async_fetch_trades(pair, since=None, params=None) assert type(res) is list assert isinstance(res[0], list) assert isinstance(res[1], list) assert exchange._api_async.fetch_trades.call_count == 1 assert exchange._api_async.fetch_trades.call_args[0][0] == pair assert exchange._api_async.fetch_trades.call_args[1]['limit'] == 1000 assert log_has_re(f"Fetching trades for pair {pair}, since .*", caplog) caplog.clear() exchange._api_async.fetch_trades.reset_mock() res = await exchange._async_fetch_trades(pair, since=None, params={'from': '123'}) assert exchange._api_async.fetch_trades.call_count == 1 assert exchange._api_async.fetch_trades.call_args[0][0] == pair assert exchange._api_async.fetch_trades.call_args[1]['limit'] == 1000 assert exchange._api_async.fetch_trades.call_args[1]['params'] == {'from': '123'} assert log_has_re(f"Fetching trades for pair {pair}, params: .*", caplog) exchange.close() await async_ccxt_exception(mocker, default_conf, MagicMock(), "_async_fetch_trades", "fetch_trades", pair='ABCD/BTC', since=None) api_mock = MagicMock() with pytest.raises(OperationalException, match=r'Could not fetch trade data*'): api_mock.fetch_trades = MagicMock(side_effect=ccxt.BaseError("Unknown error")) exchange = get_patched_exchange(mocker, default_conf, api_mock, id=exchange_name) await exchange._async_fetch_trades(pair, since=(arrow.utcnow().int_timestamp - 2000) * 1000) exchange.close() with pytest.raises(OperationalException, match=r'Exchange.* does not support fetching ' r'historical trade data\..*'): api_mock.fetch_trades = MagicMock(side_effect=ccxt.NotSupported("Not supported")) exchange = get_patched_exchange(mocker, default_conf, api_mock, id=exchange_name) await exchange._async_fetch_trades(pair, since=(arrow.utcnow().int_timestamp - 2000) * 1000) exchange.close() @pytest.mark.parametrize("exchange_name", EXCHANGES) async def test__async_fetch_trades_contract_size(default_conf, mocker, caplog, exchange_name, fetch_trades_result): caplog.set_level(logging.DEBUG) default_conf['margin_mode'] = 'isolated' default_conf['trading_mode'] = 'futures' exchange = get_patched_exchange(mocker, default_conf, id=exchange_name) # Monkey-patch async function exchange._api_async.fetch_trades = get_mock_coro([ {'info': {'a': 126181333, 'p': '0.01952600', 'q': '0.01200000', 'f': 138604158, 'l': 138604158, 'T': 1565798399872, 'm': True, 'M': True}, 'timestamp': 1565798399872, 'datetime': '2019-08-14T15:59:59.872Z', 'symbol': 'ETH/USDT:USDT', 'id': '126181383', 'order': None, 'type': None, 'takerOrMaker': None, 'side': 'sell', 'price': 2.0, 'amount': 30.0, 'cost': 60.0, 'fee': None}] ) pair = 'ETH/USDT:USDT' res = await exchange._async_fetch_trades(pair, since=None, params=None) assert res[0][5] == 300 exchange.close() @pytest.mark.asyncio @pytest.mark.parametrize("exchange_name", EXCHANGES) async def test__async_get_trade_history_id(default_conf, mocker, exchange_name, fetch_trades_result): exchange = get_patched_exchange(mocker, default_conf, id=exchange_name) pagination_arg = exchange._trades_pagination_arg async def mock_get_trade_hist(pair, *args, **kwargs): if 'since' in kwargs: # Return first 3 return fetch_trades_result[:-2] elif kwargs.get('params', {}).get(pagination_arg) == fetch_trades_result[-3]['id']: # Return 2 return fetch_trades_result[-3:-1] else: # Return last 2 return fetch_trades_result[-2:] # Monkey-patch async function exchange._api_async.fetch_trades = MagicMock(side_effect=mock_get_trade_hist) pair = 'ETH/BTC' ret = await exchange._async_get_trade_history_id(pair, since=fetch_trades_result[0]['timestamp'], until=fetch_trades_result[-1]['timestamp'] - 1) assert type(ret) is tuple assert ret[0] == pair assert type(ret[1]) is list assert len(ret[1]) == len(fetch_trades_result) assert exchange._api_async.fetch_trades.call_count == 3 fetch_trades_cal = exchange._api_async.fetch_trades.call_args_list # first call (using since, not fromId) assert fetch_trades_cal[0][0][0] == pair assert fetch_trades_cal[0][1]['since'] == fetch_trades_result[0]['timestamp'] # 2nd call assert fetch_trades_cal[1][0][0] == pair assert 'params' in fetch_trades_cal[1][1] assert exchange._ft_has['trades_pagination_arg'] in fetch_trades_cal[1][1]['params'] @pytest.mark.asyncio @pytest.mark.parametrize("exchange_name", EXCHANGES) async def test__async_get_trade_history_time(default_conf, mocker, caplog, exchange_name, fetch_trades_result): caplog.set_level(logging.DEBUG) async def mock_get_trade_hist(pair, *args, **kwargs): if kwargs['since'] == fetch_trades_result[0]['timestamp']: return fetch_trades_result[:-1] else: return fetch_trades_result[-1:] caplog.set_level(logging.DEBUG) exchange = get_patched_exchange(mocker, default_conf, id=exchange_name) # Monkey-patch async function exchange._api_async.fetch_trades = MagicMock(side_effect=mock_get_trade_hist) pair = 'ETH/BTC' ret = await exchange._async_get_trade_history_time( pair, since=fetch_trades_result[0]['timestamp'], until=fetch_trades_result[-1]['timestamp'] - 1) assert type(ret) is tuple assert ret[0] == pair assert type(ret[1]) is list assert len(ret[1]) == len(fetch_trades_result) assert exchange._api_async.fetch_trades.call_count == 2 fetch_trades_cal = exchange._api_async.fetch_trades.call_args_list # first call (using since, not fromId) assert fetch_trades_cal[0][0][0] == pair assert fetch_trades_cal[0][1]['since'] == fetch_trades_result[0]['timestamp'] # 2nd call assert fetch_trades_cal[1][0][0] == pair assert fetch_trades_cal[1][1]['since'] == fetch_trades_result[-2]['timestamp'] assert log_has_re(r"Stopping because until was reached.*", caplog) @pytest.mark.asyncio @pytest.mark.parametrize("exchange_name", EXCHANGES) async def test__async_get_trade_history_time_empty(default_conf, mocker, caplog, exchange_name, trades_history): caplog.set_level(logging.DEBUG) async def mock_get_trade_hist(pair, *args, **kwargs): if kwargs['since'] == trades_history[0][0]: return trades_history[:-1] else: return [] caplog.set_level(logging.DEBUG) exchange = get_patched_exchange(mocker, default_conf, id=exchange_name) # Monkey-patch async function exchange._async_fetch_trades = MagicMock(side_effect=mock_get_trade_hist) pair = 'ETH/BTC' ret = await exchange._async_get_trade_history_time(pair, since=trades_history[0][0], until=trades_history[-1][0] - 1) assert type(ret) is tuple assert ret[0] == pair assert type(ret[1]) is list assert len(ret[1]) == len(trades_history) - 1 assert exchange._async_fetch_trades.call_count == 2 fetch_trades_cal = exchange._async_fetch_trades.call_args_list # first call (using since, not fromId) assert fetch_trades_cal[0][0][0] == pair assert fetch_trades_cal[0][1]['since'] == trades_history[0][0] @pytest.mark.parametrize("exchange_name", EXCHANGES) def test_get_historic_trades(default_conf, mocker, caplog, exchange_name, trades_history): mocker.patch(f'{EXMS}.exchange_has', return_value=True) exchange = get_patched_exchange(mocker, default_conf, id=exchange_name) pair = 'ETH/BTC' exchange._async_get_trade_history_id = get_mock_coro((pair, trades_history)) exchange._async_get_trade_history_time = get_mock_coro((pair, trades_history)) ret = exchange.get_historic_trades(pair, since=trades_history[0][0], until=trades_history[-1][0]) # Depending on the exchange, one or the other method should be called assert sum([exchange._async_get_trade_history_id.call_count, exchange._async_get_trade_history_time.call_count]) == 1 assert len(ret) == 2 assert ret[0] == pair assert len(ret[1]) == len(trades_history) @pytest.mark.parametrize("exchange_name", EXCHANGES) def test_get_historic_trades_notsupported(default_conf, mocker, caplog, exchange_name, trades_history): mocker.patch(f'{EXMS}.exchange_has', return_value=False) exchange = get_patched_exchange(mocker, default_conf, id=exchange_name) pair = 'ETH/BTC' with pytest.raises(OperationalException, match="This exchange does not support downloading Trades."): exchange.get_historic_trades(pair, since=trades_history[0][0], until=trades_history[-1][0]) @pytest.mark.usefixtures("init_persistence") @pytest.mark.parametrize("exchange_name", EXCHANGES) def test_cancel_order_dry_run(default_conf, mocker, exchange_name): default_conf['dry_run'] = True exchange = get_patched_exchange(mocker, default_conf, id=exchange_name) mocker.patch(f'{EXMS}._dry_is_price_crossed', return_value=True) assert exchange.cancel_order(order_id='123', pair='TKN/BTC') == {} assert exchange.cancel_stoploss_order(order_id='123', pair='TKN/BTC') == {} order = exchange.create_order( pair='ETH/BTC', ordertype='limit', side='buy', amount=5, rate=0.55, time_in_force='gtc', leverage=1.0, ) cancel_order = exchange.cancel_order(order_id=order['id'], pair='ETH/BTC') assert order['id'] == cancel_order['id'] assert order['amount'] == cancel_order['amount'] assert order['symbol'] == cancel_order['symbol'] assert cancel_order['status'] == 'canceled' @pytest.mark.parametrize("exchange_name", EXCHANGES) @pytest.mark.parametrize("order,result", [ ({'status': 'closed', 'filled': 10}, False), ({'status': 'closed', 'filled': 0.0}, True), ({'status': 'canceled', 'filled': 0.0}, True), ({'status': 'canceled', 'filled': 10.0}, False), ({'status': 'unknown', 'filled': 10.0}, False), ({'result': 'testest123'}, False), ]) def test_check_order_canceled_empty(mocker, default_conf, exchange_name, order, result): exchange = get_patched_exchange(mocker, default_conf, id=exchange_name) assert exchange.check_order_canceled_empty(order) == result @pytest.mark.parametrize("exchange_name", EXCHANGES) @pytest.mark.parametrize("order,result", [ ({'status': 'closed', 'amount': 10, 'fee': {}}, True), ({'status': 'closed', 'amount': 0.0, 'fee': {}}, True), ({'status': 'canceled', 'amount': 0.0, 'fee': {}}, True), ({'status': 'canceled', 'amount': 10.0}, False), ({'amount': 10.0, 'fee': {}}, False), ({'result': 'testest123'}, False), ('hello_world', False), ({'status': 'canceled', 'amount': None, 'fee': None}, False), ({'status': 'canceled', 'filled': None, 'amount': None, 'fee': None}, False), ]) def test_is_cancel_order_result_suitable(mocker, default_conf, exchange_name, order, result): exchange = get_patched_exchange(mocker, default_conf, id=exchange_name) assert exchange.is_cancel_order_result_suitable(order) == result @pytest.mark.parametrize("exchange_name", EXCHANGES) @pytest.mark.parametrize("corder,call_corder,call_forder", [ ({'status': 'closed', 'amount': 10, 'fee': {}}, 1, 0), ({'amount': 10, 'fee': {}}, 1, 1), ]) def test_cancel_order_with_result(default_conf, mocker, exchange_name, corder, call_corder, call_forder): default_conf['dry_run'] = False api_mock = MagicMock() api_mock.cancel_order = MagicMock(return_value=corder) api_mock.fetch_order = MagicMock(return_value={}) exchange = get_patched_exchange(mocker, default_conf, api_mock, id=exchange_name) res = exchange.cancel_order_with_result('1234', 'ETH/BTC', 1234) assert isinstance(res, dict) assert api_mock.cancel_order.call_count == call_corder assert api_mock.fetch_order.call_count == call_forder @pytest.mark.parametrize("exchange_name", EXCHANGES) def test_cancel_order_with_result_error(default_conf, mocker, exchange_name, caplog): default_conf['dry_run'] = False api_mock = MagicMock() api_mock.cancel_order = MagicMock(side_effect=ccxt.InvalidOrder("Did not find order")) api_mock.fetch_order = MagicMock(side_effect=ccxt.InvalidOrder("Did not find order")) exchange = get_patched_exchange(mocker, default_conf, api_mock, id=exchange_name) res = exchange.cancel_order_with_result('1234', 'ETH/BTC', 1541) assert isinstance(res, dict) assert log_has("Could not cancel order 1234 for ETH/BTC.", caplog) assert log_has("Could not fetch cancelled order 1234.", caplog) assert res['amount'] == 1541 # Ensure that if not dry_run, we should call API @pytest.mark.parametrize("exchange_name", EXCHANGES) def test_cancel_order(default_conf, mocker, exchange_name): default_conf['dry_run'] = False api_mock = MagicMock() api_mock.cancel_order = MagicMock(return_value={'id': '123'}) exchange = get_patched_exchange(mocker, default_conf, api_mock, id=exchange_name) assert exchange.cancel_order(order_id='_', pair='TKN/BTC') == {'id': '123'} with pytest.raises(InvalidOrderException): api_mock.cancel_order = MagicMock(side_effect=ccxt.InvalidOrder("Did not find order")) exchange = get_patched_exchange(mocker, default_conf, api_mock, id=exchange_name) exchange.cancel_order(order_id='_', pair='TKN/BTC') assert api_mock.cancel_order.call_count == 1 ccxt_exceptionhandlers(mocker, default_conf, api_mock, exchange_name, "cancel_order", "cancel_order", order_id='_', pair='TKN/BTC') @pytest.mark.parametrize("exchange_name", EXCHANGES) def test_cancel_stoploss_order(default_conf, mocker, exchange_name): default_conf['dry_run'] = False api_mock = MagicMock() api_mock.cancel_order = MagicMock(return_value={'id': '123'}) exchange = get_patched_exchange(mocker, default_conf, api_mock, id=exchange_name) assert exchange.cancel_stoploss_order(order_id='_', pair='TKN/BTC') == {'id': '123'} with pytest.raises(InvalidOrderException): api_mock.cancel_order = MagicMock(side_effect=ccxt.InvalidOrder("Did not find order")) exchange = get_patched_exchange(mocker, default_conf, api_mock, id=exchange_name) exchange.cancel_stoploss_order(order_id='_', pair='TKN/BTC') assert api_mock.cancel_order.call_count == 1 ccxt_exceptionhandlers(mocker, default_conf, api_mock, exchange_name, "cancel_stoploss_order", "cancel_order", order_id='_', pair='TKN/BTC') @pytest.mark.parametrize("exchange_name", EXCHANGES) def test_cancel_stoploss_order_with_result(default_conf, mocker, exchange_name): default_conf['dry_run'] = False mocker.patch(f'{EXMS}.fetch_stoploss_order', return_value={'for': 123}) mocker.patch('freqtrade.exchange.gate.Gate.fetch_stoploss_order', return_value={'for': 123}) exchange = get_patched_exchange(mocker, default_conf, id=exchange_name) res = {'fee': {}, 'status': 'canceled', 'amount': 1234} mocker.patch(f'{EXMS}.cancel_stoploss_order', return_value=res) mocker.patch('freqtrade.exchange.gate.Gate.cancel_stoploss_order', return_value=res) co = exchange.cancel_stoploss_order_with_result(order_id='_', pair='TKN/BTC', amount=555) assert co == res mocker.patch(f'{EXMS}.cancel_stoploss_order', return_value='canceled') mocker.patch('freqtrade.exchange.gate.Gate.cancel_stoploss_order', return_value='canceled') # Fall back to fetch_stoploss_order co = exchange.cancel_stoploss_order_with_result(order_id='_', pair='TKN/BTC', amount=555) assert co == {'for': 123} exc = InvalidOrderException("") mocker.patch(f'{EXMS}.fetch_stoploss_order', side_effect=exc) mocker.patch('freqtrade.exchange.gate.Gate.fetch_stoploss_order', side_effect=exc) co = exchange.cancel_stoploss_order_with_result(order_id='_', pair='TKN/BTC', amount=555) assert co['amount'] == 555 assert co == {'fee': {}, 'status': 'canceled', 'amount': 555, 'info': {}} with pytest.raises(InvalidOrderException): exc = InvalidOrderException("Did not find order") mocker.patch(f'{EXMS}.cancel_stoploss_order', side_effect=exc) mocker.patch('freqtrade.exchange.gate.Gate.cancel_stoploss_order', side_effect=exc) exchange = get_patched_exchange(mocker, default_conf, id=exchange_name) exchange.cancel_stoploss_order_with_result(order_id='_', pair='TKN/BTC', amount=123) @pytest.mark.usefixtures("init_persistence") @pytest.mark.parametrize("exchange_name", EXCHANGES) def test_fetch_order(default_conf, mocker, exchange_name, caplog): default_conf['dry_run'] = True default_conf['exchange']['log_responses'] = True order = MagicMock() order.myid = 123 order.symbol = 'TKN/BTC' exchange = get_patched_exchange(mocker, default_conf, id=exchange_name) exchange._dry_run_open_orders['X'] = order assert exchange.fetch_order('X', 'TKN/BTC').myid == 123 with pytest.raises(InvalidOrderException, match=r'Tried to get an invalid dry-run-order.*'): exchange.fetch_order('Y', 'TKN/BTC') default_conf['dry_run'] = False api_mock = MagicMock() api_mock.fetch_order = MagicMock(return_value={'id': '123', 'amount': 2, 'symbol': 'TKN/BTC'}) exchange = get_patched_exchange(mocker, default_conf, api_mock, id=exchange_name) assert exchange.fetch_order( 'X', 'TKN/BTC') == {'id': '123', 'amount': 2, 'symbol': 'TKN/BTC'} assert log_has( ("API fetch_order: {\'id\': \'123\', \'amount\': 2, \'symbol\': \'TKN/BTC\'}" ), caplog ) with pytest.raises(InvalidOrderException): api_mock.fetch_order = MagicMock(side_effect=ccxt.InvalidOrder("Order not found")) exchange = get_patched_exchange(mocker, default_conf, api_mock, id=exchange_name) exchange.fetch_order(order_id='_', pair='TKN/BTC') assert api_mock.fetch_order.call_count == 1 api_mock.fetch_order = MagicMock(side_effect=ccxt.OrderNotFound("Order not found")) exchange = get_patched_exchange(mocker, default_conf, api_mock, id=exchange_name) with patch('freqtrade.exchange.common.time.sleep') as tm: with pytest.raises(InvalidOrderException): exchange.fetch_order(order_id='_', pair='TKN/BTC') # Ensure backoff is called assert tm.call_args_list[0][0][0] == 1 assert tm.call_args_list[1][0][0] == 2 if API_FETCH_ORDER_RETRY_COUNT > 2: assert tm.call_args_list[2][0][0] == 5 if API_FETCH_ORDER_RETRY_COUNT > 3: assert tm.call_args_list[3][0][0] == 10 assert api_mock.fetch_order.call_count == API_FETCH_ORDER_RETRY_COUNT + 1 ccxt_exceptionhandlers(mocker, default_conf, api_mock, exchange_name, 'fetch_order', 'fetch_order', retries=API_FETCH_ORDER_RETRY_COUNT + 1, order_id='_', pair='TKN/BTC') @pytest.mark.usefixtures("init_persistence") @pytest.mark.parametrize("exchange_name", EXCHANGES) def test_fetch_stoploss_order(default_conf, mocker, exchange_name): default_conf['dry_run'] = True order = MagicMock() order.myid = 123 exchange = get_patched_exchange(mocker, default_conf, id=exchange_name) exchange._dry_run_open_orders['X'] = order assert exchange.fetch_stoploss_order('X', 'TKN/BTC').myid == 123 with pytest.raises(InvalidOrderException, match=r'Tried to get an invalid dry-run-order.*'): exchange.fetch_stoploss_order('Y', 'TKN/BTC') default_conf['dry_run'] = False api_mock = MagicMock() api_mock.fetch_order = MagicMock(return_value={'id': '123', 'symbol': 'TKN/BTC'}) exchange = get_patched_exchange(mocker, default_conf, api_mock, id=exchange_name) assert exchange.fetch_stoploss_order('X', 'TKN/BTC') == {'id': '123', 'symbol': 'TKN/BTC'} with pytest.raises(InvalidOrderException): api_mock.fetch_order = MagicMock(side_effect=ccxt.InvalidOrder("Order not found")) exchange = get_patched_exchange(mocker, default_conf, api_mock, id=exchange_name) exchange.fetch_stoploss_order(order_id='_', pair='TKN/BTC') assert api_mock.fetch_order.call_count == 1 ccxt_exceptionhandlers(mocker, default_conf, api_mock, exchange_name, 'fetch_stoploss_order', 'fetch_order', retries=API_FETCH_ORDER_RETRY_COUNT + 1, order_id='_', pair='TKN/BTC') def test_fetch_order_or_stoploss_order(default_conf, mocker): exchange = get_patched_exchange(mocker, default_conf, id='binance') fetch_order_mock = MagicMock() fetch_stoploss_order_mock = MagicMock() mocker.patch.multiple(EXMS, fetch_order=fetch_order_mock, fetch_stoploss_order=fetch_stoploss_order_mock, ) exchange.fetch_order_or_stoploss_order('1234', 'ETH/BTC', False) assert fetch_order_mock.call_count == 1 assert fetch_order_mock.call_args_list[0][0][0] == '1234' assert fetch_order_mock.call_args_list[0][0][1] == 'ETH/BTC' assert fetch_stoploss_order_mock.call_count == 0 fetch_order_mock.reset_mock() fetch_stoploss_order_mock.reset_mock() exchange.fetch_order_or_stoploss_order('1234', 'ETH/BTC', True) assert fetch_order_mock.call_count == 0 assert fetch_stoploss_order_mock.call_count == 1 assert fetch_stoploss_order_mock.call_args_list[0][0][0] == '1234' assert fetch_stoploss_order_mock.call_args_list[0][0][1] == 'ETH/BTC' @pytest.mark.parametrize("exchange_name", EXCHANGES) def test_name(default_conf, mocker, exchange_name): exchange = get_patched_exchange(mocker, default_conf, id=exchange_name) assert exchange.name == exchange_name.title() assert exchange.id == exchange_name @pytest.mark.parametrize("trading_mode,amount", [ ('spot', 0.2340606), ('futures', 2.340606), ]) @pytest.mark.parametrize("exchange_name", EXCHANGES) def test_get_trades_for_order(default_conf, mocker, exchange_name, trading_mode, amount): order_id = 'ABCD-ABCD' since = datetime(2018, 5, 5, 0, 0, 0) default_conf["dry_run"] = False default_conf["trading_mode"] = trading_mode default_conf["margin_mode"] = 'isolated' mocker.patch(f'{EXMS}.exchange_has', return_value=True) api_mock = MagicMock() api_mock.fetch_my_trades = MagicMock(return_value=[{'id': 'TTR67E-3PFBD-76IISV', 'order': 'ABCD-ABCD', 'info': {'pair': 'XLTCZBTC', 'time': 1519860024.4388, 'type': 'buy', 'ordertype': 'limit', 'price': '20.00000', 'cost': '38.62000', 'fee': '0.06179', 'vol': '5', 'id': 'ABCD-ABCD'}, 'timestamp': 1519860024438, 'datetime': '2018-02-28T23:20:24.438Z', 'symbol': 'ETH/USDT:USDT', 'type': 'limit', 'side': 'buy', 'price': 165.0, 'amount': 0.2340606, 'fee': {'cost': 0.06179, 'currency': 'BTC'} }]) exchange = get_patched_exchange(mocker, default_conf, api_mock, id=exchange_name) orders = exchange.get_trades_for_order(order_id, 'ETH/USDT:USDT', since) assert len(orders) == 1 assert orders[0]['price'] == 165 assert pytest.approx(orders[0]['amount']) == amount assert api_mock.fetch_my_trades.call_count == 1 # since argument should be assert isinstance(api_mock.fetch_my_trades.call_args[0][1], int) assert api_mock.fetch_my_trades.call_args[0][0] == 'ETH/USDT:USDT' # Same test twice, hardcoded number and doing the same calculation assert api_mock.fetch_my_trades.call_args[0][1] == 1525478395000 assert api_mock.fetch_my_trades.call_args[0][1] == int(since.replace( tzinfo=timezone.utc).timestamp() - 5) * 1000 ccxt_exceptionhandlers(mocker, default_conf, api_mock, exchange_name, 'get_trades_for_order', 'fetch_my_trades', order_id=order_id, pair='ETH/USDT:USDT', since=since) mocker.patch(f'{EXMS}.exchange_has', MagicMock(return_value=False)) assert exchange.get_trades_for_order(order_id, 'ETH/USDT:USDT', since) == [] @pytest.mark.parametrize("exchange_name", EXCHANGES) def test_get_fee(default_conf, mocker, exchange_name): api_mock = MagicMock() api_mock.calculate_fee = MagicMock(return_value={ 'type': 'taker', 'currency': 'BTC', 'rate': 0.025, 'cost': 0.05 }) exchange = get_patched_exchange(mocker, default_conf, api_mock, id=exchange_name) exchange._config.pop('fee', None) assert exchange.get_fee('ETH/BTC') == 0.025 assert api_mock.calculate_fee.call_count == 1 ccxt_exceptionhandlers(mocker, default_conf, api_mock, exchange_name, 'get_fee', 'calculate_fee', symbol="ETH/BTC") api_mock.calculate_fee.reset_mock() exchange._config['fee'] = 0.001 assert exchange.get_fee('ETH/BTC') == 0.001 assert api_mock.calculate_fee.call_count == 0 def test_stoploss_order_unsupported_exchange(default_conf, mocker): exchange = get_patched_exchange(mocker, default_conf, id='bittrex') with pytest.raises(OperationalException, match=r"stoploss is not implemented .*"): exchange.create_stoploss( pair='ETH/BTC', amount=1, stop_price=220, order_types={}, side="sell", leverage=1.0 ) with pytest.raises(OperationalException, match=r"stoploss is not implemented .*"): exchange.stoploss_adjust(1, {}, side="sell") def test_merge_ft_has_dict(default_conf, mocker): mocker.patch.multiple(EXMS, _init_ccxt=MagicMock(return_value=MagicMock()), _load_async_markets=MagicMock(), validate_pairs=MagicMock(), validate_timeframes=MagicMock(), validate_stakecurrency=MagicMock(), validate_pricing=MagicMock(), ) ex = Exchange(default_conf) assert ex._ft_has == Exchange._ft_has_default ex = Kraken(default_conf) assert ex._ft_has != Exchange._ft_has_default assert ex.get_option('trades_pagination') == 'id' assert ex.get_option('trades_pagination_arg') == 'since' # Binance defines different values ex = Binance(default_conf) assert ex._ft_has != Exchange._ft_has_default assert ex.get_option('stoploss_on_exchange') assert ex.get_option('order_time_in_force') == ['GTC', 'FOK', 'IOC', 'PO'] assert ex.get_option('trades_pagination') == 'id' assert ex.get_option('trades_pagination_arg') == 'fromId' conf = copy.deepcopy(default_conf) conf['exchange']['_ft_has_params'] = {"DeadBeef": 20, "stoploss_on_exchange": False} # Use settings from configuration (overriding stoploss_on_exchange) ex = Binance(conf) assert ex._ft_has != Exchange._ft_has_default assert not ex._ft_has['stoploss_on_exchange'] assert ex._ft_has['DeadBeef'] == 20 def test_get_valid_pair_combination(default_conf, mocker, markets): mocker.patch.multiple(EXMS, _init_ccxt=MagicMock(return_value=MagicMock()), _load_async_markets=MagicMock(), validate_pairs=MagicMock(), validate_timeframes=MagicMock(), validate_pricing=MagicMock(), markets=PropertyMock(return_value=markets)) ex = Exchange(default_conf) assert ex.get_valid_pair_combination("ETH", "BTC") == "ETH/BTC" assert ex.get_valid_pair_combination("BTC", "ETH") == "ETH/BTC" with pytest.raises(DependencyException, match=r"Could not combine.* to get a valid pair."): ex.get_valid_pair_combination("NOPAIR", "ETH") @pytest.mark.parametrize( "base_currencies,quote_currencies,tradable_only,active_only,spot_only," "futures_only,expected_keys,test_comment", [ # Testing markets (in conftest.py): # 'BLK/BTC': 'active': True # 'BTT/BTC': 'active': True # 'ETH/BTC': 'active': True # 'ETH/USDT': 'active': True # 'LTC/BTC': 'active': False # 'LTC/ETH': 'active': True # 'LTC/USD': 'active': True # 'LTC/USDT': 'active': True # 'NEO/BTC': 'active': False # 'TKN/BTC': 'active' not set # 'XLTCUSDT': 'active': True, not a pair # 'XRP/BTC': 'active': False ([], [], False, False, False, False, ['BLK/BTC', 'BTT/BTC', 'ETH/BTC', 'ETH/USDT', 'LTC/BTC', 'LTC/ETH', 'LTC/USD', 'LTC/USDT', 'NEO/BTC', 'TKN/BTC', 'XLTCUSDT', 'XRP/BTC', 'ADA/USDT:USDT', 'ETH/USDT:USDT'], 'all markets'), ([], [], False, False, True, False, ['BLK/BTC', 'BTT/BTC', 'ETH/BTC', 'ETH/USDT', 'LTC/BTC', 'LTC/ETH', 'LTC/USD', 'LTC/USDT', 'NEO/BTC', 'TKN/BTC', 'XRP/BTC'], 'all markets, only spot pairs'), ([], [], False, True, False, False, ['BLK/BTC', 'ETH/BTC', 'ETH/USDT', 'LTC/BTC', 'LTC/ETH', 'LTC/USD', 'NEO/BTC', 'TKN/BTC', 'XLTCUSDT', 'XRP/BTC', 'ADA/USDT:USDT', 'ETH/USDT:USDT'], 'active markets'), ([], [], True, False, False, False, ['BLK/BTC', 'BTT/BTC', 'ETH/BTC', 'ETH/USDT', 'LTC/BTC', 'LTC/ETH', 'LTC/USD', 'LTC/USDT', 'NEO/BTC', 'TKN/BTC', 'XRP/BTC'], 'all pairs'), ([], [], True, True, False, False, ['BLK/BTC', 'ETH/BTC', 'ETH/USDT', 'LTC/BTC', 'LTC/ETH', 'LTC/USD', 'NEO/BTC', 'TKN/BTC', 'XRP/BTC'], 'active pairs'), (['ETH', 'LTC'], [], False, False, False, False, ['ETH/BTC', 'ETH/USDT', 'LTC/BTC', 'LTC/ETH', 'LTC/USD', 'LTC/USDT', 'XLTCUSDT', 'ETH/USDT:USDT'], 'all markets, base=ETH, LTC'), (['LTC'], [], False, False, False, False, ['LTC/BTC', 'LTC/ETH', 'LTC/USD', 'LTC/USDT', 'XLTCUSDT'], 'all markets, base=LTC'), (['LTC'], [], False, False, True, False, ['LTC/BTC', 'LTC/ETH', 'LTC/USD', 'LTC/USDT'], 'spot markets, base=LTC'), ([], ['USDT'], False, False, False, False, ['ETH/USDT', 'LTC/USDT', 'XLTCUSDT', 'ADA/USDT:USDT', 'ETH/USDT:USDT'], 'all markets, quote=USDT'), ([], ['USDT'], False, False, False, True, ['ADA/USDT:USDT', 'ETH/USDT:USDT'], 'Futures markets, quote=USDT'), ([], ['USDT', 'USD'], False, False, False, False, ['ETH/USDT', 'LTC/USD', 'LTC/USDT', 'XLTCUSDT', 'ADA/USDT:USDT', 'ETH/USDT:USDT'], 'all markets, quote=USDT, USD'), ([], ['USDT', 'USD'], False, False, True, False, ['ETH/USDT', 'LTC/USD', 'LTC/USDT'], 'spot markets, quote=USDT, USD'), (['LTC'], ['USDT'], False, False, False, False, ['LTC/USDT', 'XLTCUSDT'], 'all markets, base=LTC, quote=USDT'), (['LTC'], ['USDT'], True, False, False, False, ['LTC/USDT'], 'all pairs, base=LTC, quote=USDT'), (['LTC'], ['USDT', 'NONEXISTENT'], False, False, False, False, ['LTC/USDT', 'XLTCUSDT'], 'all markets, base=LTC, quote=USDT, NONEXISTENT'), (['LTC'], ['NONEXISTENT'], False, False, False, False, [], 'all markets, base=LTC, quote=NONEXISTENT'), ]) def test_get_markets(default_conf, mocker, markets_static, base_currencies, quote_currencies, tradable_only, active_only, spot_only, futures_only, expected_keys, test_comment # Here for debugging purposes (Not used within method) ): mocker.patch.multiple(EXMS, _init_ccxt=MagicMock(return_value=MagicMock()), _load_async_markets=MagicMock(), validate_pairs=MagicMock(), validate_timeframes=MagicMock(), validate_pricing=MagicMock(), markets=PropertyMock(return_value=markets_static)) ex = Exchange(default_conf) pairs = ex.get_markets(base_currencies, quote_currencies, tradable_only=tradable_only, spot_only=spot_only, futures_only=futures_only, active_only=active_only) assert sorted(pairs.keys()) == sorted(expected_keys) def test_get_markets_error(default_conf, mocker): ex = get_patched_exchange(mocker, default_conf) mocker.patch(f'{EXMS}.markets', PropertyMock(return_value=None)) with pytest.raises(OperationalException, match="Markets were not loaded."): ex.get_markets('LTC', 'USDT', True, False) @pytest.mark.parametrize("exchange_name", EXCHANGES) def test_ohlcv_candle_limit(default_conf, mocker, exchange_name): exchange = get_patched_exchange(mocker, default_conf, id=exchange_name) timeframes = ('1m', '5m', '1h') expected = exchange._ft_has['ohlcv_candle_limit'] for timeframe in timeframes: if 'ohlcv_candle_limit_per_timeframe' in exchange._ft_has: expected = exchange._ft_has['ohlcv_candle_limit_per_timeframe'][timeframe] # This should only run for bittrex assert exchange_name == 'bittrex' assert exchange.ohlcv_candle_limit(timeframe, CandleType.SPOT) == expected def test_timeframe_to_minutes(): assert timeframe_to_minutes("5m") == 5 assert timeframe_to_minutes("10m") == 10 assert timeframe_to_minutes("1h") == 60 assert timeframe_to_minutes("1d") == 1440 def test_timeframe_to_seconds(): assert timeframe_to_seconds("5m") == 300 assert timeframe_to_seconds("10m") == 600 assert timeframe_to_seconds("1h") == 3600 assert timeframe_to_seconds("1d") == 86400 def test_timeframe_to_msecs(): assert timeframe_to_msecs("5m") == 300000 assert timeframe_to_msecs("10m") == 600000 assert timeframe_to_msecs("1h") == 3600000 assert timeframe_to_msecs("1d") == 86400000 def test_timeframe_to_prev_date(): # 2019-08-12 13:22:08 date = datetime.fromtimestamp(1565616128, tz=timezone.utc) tf_list = [ # 5m -> 2019-08-12 13:20:00 ("5m", datetime(2019, 8, 12, 13, 20, 0, tzinfo=timezone.utc)), # 10m -> 2019-08-12 13:20:00 ("10m", datetime(2019, 8, 12, 13, 20, 0, tzinfo=timezone.utc)), # 1h -> 2019-08-12 13:00:00 ("1h", datetime(2019, 8, 12, 13, 00, 0, tzinfo=timezone.utc)), # 2h -> 2019-08-12 12:00:00 ("2h", datetime(2019, 8, 12, 12, 00, 0, tzinfo=timezone.utc)), # 4h -> 2019-08-12 12:00:00 ("4h", datetime(2019, 8, 12, 12, 00, 0, tzinfo=timezone.utc)), # 1d -> 2019-08-12 00:00:00 ("1d", datetime(2019, 8, 12, 00, 00, 0, tzinfo=timezone.utc)), ] for interval, result in tf_list: assert timeframe_to_prev_date(interval, date) == result date = datetime.now(tz=timezone.utc) assert timeframe_to_prev_date("5m") < date # Does not round time = datetime(2019, 8, 12, 13, 20, 0, tzinfo=timezone.utc) assert timeframe_to_prev_date('5m', time) == time time = datetime(2019, 8, 12, 13, 0, 0, tzinfo=timezone.utc) assert timeframe_to_prev_date('1h', time) == time def test_timeframe_to_next_date(): # 2019-08-12 13:22:08 date = datetime.fromtimestamp(1565616128, tz=timezone.utc) tf_list = [ # 5m -> 2019-08-12 13:25:00 ("5m", datetime(2019, 8, 12, 13, 25, 0, tzinfo=timezone.utc)), # 10m -> 2019-08-12 13:30:00 ("10m", datetime(2019, 8, 12, 13, 30, 0, tzinfo=timezone.utc)), # 1h -> 2019-08-12 14:00:00 ("1h", datetime(2019, 8, 12, 14, 00, 0, tzinfo=timezone.utc)), # 2h -> 2019-08-12 14:00:00 ("2h", datetime(2019, 8, 12, 14, 00, 0, tzinfo=timezone.utc)), # 4h -> 2019-08-12 14:00:00 ("4h", datetime(2019, 8, 12, 16, 00, 0, tzinfo=timezone.utc)), # 1d -> 2019-08-13 00:00:00 ("1d", datetime(2019, 8, 13, 0, 0, 0, tzinfo=timezone.utc)), ] for interval, result in tf_list: assert timeframe_to_next_date(interval, date) == result date = datetime.now(tz=timezone.utc) assert timeframe_to_next_date("5m") > date date = datetime(2019, 8, 12, 13, 30, 0, tzinfo=timezone.utc) assert timeframe_to_next_date("5m", date) == date + timedelta(minutes=5) def test_date_minus_candles(): date = datetime(2019, 8, 12, 13, 25, 0, tzinfo=timezone.utc) assert date_minus_candles("5m", 3, date) == date - timedelta(minutes=15) assert date_minus_candles("5m", 5, date) == date - timedelta(minutes=25) assert date_minus_candles("1m", 6, date) == date - timedelta(minutes=6) assert date_minus_candles("1h", 3, date) == date - timedelta(hours=3, minutes=25) assert date_minus_candles("1h", 3) == timeframe_to_prev_date('1h') - timedelta(hours=3) @pytest.mark.parametrize( "market_symbol,base,quote,exchange,spot,margin,futures,trademode,add_dict,expected_result", [ ("BTC/USDT", 'BTC', 'USDT', "binance", True, False, False, 'spot', {}, True), ("USDT/BTC", 'USDT', 'BTC', "binance", True, False, False, 'spot', {}, True), # No seperating / ("BTCUSDT", 'BTC', 'USDT', "binance", True, False, False, 'spot', {}, True), ("BTCUSDT", None, "USDT", "binance", True, False, False, 'spot', {}, False), ("USDT/BTC", "BTC", None, "binance", True, False, False, 'spot', {}, False), ("BTCUSDT", "BTC", None, "binance", True, False, False, 'spot', {}, False), ("BTC/USDT", "BTC", "USDT", "binance", True, False, False, 'spot', {}, True), # Futures mode, spot pair ("BTC/USDT", "BTC", "USDT", "binance", True, False, False, 'futures', {}, False), ("BTC/USDT", "BTC", "USDT", "binance", True, False, False, 'margin', {}, False), ("BTC/USDT", "BTC", "USDT", "binance", True, True, True, 'margin', {}, True), ("BTC/USDT", "BTC", "USDT", "binance", False, True, False, 'margin', {}, True), # Futures mode, futures pair ("BTC/USDT", "BTC", "USDT", "binance", False, False, True, 'futures', {}, True), # Futures market ("BTC/UNK", "BTC", 'UNK', "binance", False, False, True, 'spot', {}, False), ("BTC/EUR", 'BTC', 'EUR', "kraken", True, False, False, 'spot', {"darkpool": False}, True), ("EUR/BTC", 'EUR', 'BTC', "kraken", True, False, False, 'spot', {"darkpool": False}, True), # no darkpools ("BTC/EUR", 'BTC', 'EUR', "kraken", True, False, False, 'spot', {"darkpool": True}, False), # no darkpools ("BTC/EUR.d", 'BTC', 'EUR', "kraken", True, False, False, 'spot', {"darkpool": True}, False), ("BTC/USDT:USDT", 'BTC', 'USD', "okx", False, False, True, 'spot', {}, False), ("BTC/USDT:USDT", 'BTC', 'USD', "okx", False, False, True, 'margin', {}, False), ("BTC/USDT:USDT", 'BTC', 'USD', "okx", False, False, True, 'futures', {}, True), ]) def test_market_is_tradable( mocker, default_conf, market_symbol, base, quote, spot, margin, futures, trademode, add_dict, exchange, expected_result ) -> None: default_conf['trading_mode'] = trademode mocker.patch(f'{EXMS}.validate_trading_mode_and_margin_mode') ex = get_patched_exchange(mocker, default_conf, id=exchange) market = { 'symbol': market_symbol, 'base': base, 'quote': quote, 'spot': spot, 'future': futures, 'swap': futures, 'margin': margin, 'linear': True, **(add_dict), } assert ex.market_is_tradable(market) == expected_result @pytest.mark.parametrize("market,expected_result", [ ({'symbol': 'ETH/BTC', 'active': True}, True), ({'symbol': 'ETH/BTC', 'active': False}, False), ({'symbol': 'ETH/BTC', }, True), ]) def test_market_is_active(market, expected_result) -> None: assert market_is_active(market) == expected_result @pytest.mark.parametrize("order,expected", [ ([{'fee'}], False), ({'fee': None}, False), ({'fee': {'currency': 'ETH/BTC'}}, False), ({'fee': {'currency': 'ETH/BTC', 'cost': None}}, False), ({'fee': {'currency': 'ETH/BTC', 'cost': 0.01}}, True), ]) def test_order_has_fee(order, expected) -> None: assert Exchange.order_has_fee(order) == expected @pytest.mark.parametrize("order,expected", [ ({'symbol': 'ETH/BTC', 'fee': {'currency': 'ETH', 'cost': 0.43}}, (0.43, 'ETH', 0.01)), ({'symbol': 'ETH/USDT', 'fee': {'currency': 'USDT', 'cost': 0.01}}, (0.01, 'USDT', 0.01)), ({'symbol': 'BTC/USDT', 'fee': {'currency': 'USDT', 'cost': 0.34, 'rate': 0.01}}, (0.34, 'USDT', 0.01)), ]) def test_extract_cost_curr_rate(mocker, default_conf, order, expected) -> None: mocker.patch(f'{EXMS}.calculate_fee_rate', MagicMock(return_value=0.01)) ex = get_patched_exchange(mocker, default_conf) assert ex.extract_cost_curr_rate(order['fee'], order['symbol'], cost=20, amount=1) == expected @pytest.mark.parametrize("order,unknown_fee_rate,expected", [ # Using base-currency ({'symbol': 'ETH/BTC', 'amount': 0.04, 'cost': 0.05, 'fee': {'currency': 'ETH', 'cost': 0.004, 'rate': None}}, None, 0.1), ({'symbol': 'ETH/BTC', 'amount': 0.05, 'cost': 0.05, 'fee': {'currency': 'ETH', 'cost': 0.004, 'rate': None}}, None, 0.08), # Using quote currency ({'symbol': 'ETH/BTC', 'amount': 0.04, 'cost': 0.05, 'fee': {'currency': 'BTC', 'cost': 0.005}}, None, 0.1), ({'symbol': 'ETH/BTC', 'amount': 0.04, 'cost': 0.05, 'fee': {'currency': 'BTC', 'cost': 0.002, 'rate': None}}, None, 0.04), # Using foreign currency ({'symbol': 'ETH/BTC', 'amount': 0.04, 'cost': 0.05, 'fee': {'currency': 'NEO', 'cost': 0.0012}}, None, 0.001944), ({'symbol': 'ETH/BTC', 'amount': 2.21, 'cost': 0.02992561, 'fee': {'currency': 'NEO', 'cost': 0.00027452}}, None, 0.00074305), # Rate included in return - return as is ({'symbol': 'ETH/BTC', 'amount': 0.04, 'cost': 0.05, 'fee': {'currency': 'USDT', 'cost': 0.34, 'rate': 0.01}}, None, 0.01), ({'symbol': 'ETH/BTC', 'amount': 0.04, 'cost': 0.05, 'fee': {'currency': 'USDT', 'cost': 0.34, 'rate': 0.005}}, None, 0.005), # 0.1% filled - no costs (kraken - #3431) ({'symbol': 'ETH/BTC', 'amount': 0.04, 'cost': 0.0, 'fee': {'currency': 'BTC', 'cost': 0.0, 'rate': None}}, None, None), ({'symbol': 'ETH/BTC', 'amount': 0.04, 'cost': 0.0, 'fee': {'currency': 'ETH', 'cost': 0.0, 'rate': None}}, None, 0.0), ({'symbol': 'ETH/BTC', 'amount': 0.04, 'cost': 0.0, 'fee': {'currency': 'NEO', 'cost': 0.0, 'rate': None}}, None, None), # Invalid pair combination - POINT/BTC is not a pair ({'symbol': 'POINT/BTC', 'amount': 0.04, 'cost': 0.5, 'fee': {'currency': 'POINT', 'cost': 2.0, 'rate': None}}, None, None), ({'symbol': 'POINT/BTC', 'amount': 0.04, 'cost': 0.5, 'fee': {'currency': 'POINT', 'cost': 2.0, 'rate': None}}, 1, 4.0), ({'symbol': 'POINT/BTC', 'amount': 0.04, 'cost': 0.5, 'fee': {'currency': 'POINT', 'cost': 2.0, 'rate': None}}, 2, 8.0), # Missing currency ({'symbol': 'ETH/BTC', 'amount': 0.04, 'cost': 0.05, 'fee': {'currency': None, 'cost': 0.005}}, None, None), ]) def test_calculate_fee_rate(mocker, default_conf, order, expected, unknown_fee_rate) -> None: mocker.patch(f'{EXMS}.fetch_ticker', return_value={'last': 0.081}) if unknown_fee_rate: default_conf['exchange']['unknown_fee_rate'] = unknown_fee_rate ex = get_patched_exchange(mocker, default_conf) assert ex.calculate_fee_rate(order['fee'], order['symbol'], cost=order['cost'], amount=order['amount']) == expected @pytest.mark.parametrize('retrycount,max_retries,expected', [ (0, 3, 10), (1, 3, 5), (2, 3, 2), (3, 3, 1), (0, 1, 2), (1, 1, 1), (0, 4, 17), (1, 4, 10), (2, 4, 5), (3, 4, 2), (4, 4, 1), (0, 5, 26), (1, 5, 17), (2, 5, 10), (3, 5, 5), (4, 5, 2), (5, 5, 1), ]) def test_calculate_backoff(retrycount, max_retries, expected): assert calculate_backoff(retrycount, max_retries) == expected @pytest.mark.parametrize("exchange_name", ['binance']) def test__get_funding_fees_from_exchange(default_conf, mocker, exchange_name): api_mock = MagicMock() api_mock.fetch_funding_history = MagicMock(return_value=[ { 'amount': 0.14542, 'code': 'USDT', 'datetime': '2021-09-01T08:00:01.000Z', 'id': '485478', 'info': {'asset': 'USDT', 'income': '0.14542', 'incomeType': 'FUNDING_FEE', 'info': 'FUNDING_FEE', 'symbol': 'XRPUSDT', 'time': '1630382001000', 'tradeId': '', 'tranId': '993203'}, 'symbol': 'XRP/USDT', 'timestamp': 1630382001000 }, { 'amount': -0.14642, 'code': 'USDT', 'datetime': '2021-09-01T16:00:01.000Z', 'id': '485479', 'info': {'asset': 'USDT', 'income': '-0.14642', 'incomeType': 'FUNDING_FEE', 'info': 'FUNDING_FEE', 'symbol': 'XRPUSDT', 'time': '1630314001000', 'tradeId': '', 'tranId': '993204'}, 'symbol': 'XRP/USDT', 'timestamp': 1630314001000 } ]) type(api_mock).has = PropertyMock(return_value={'fetchFundingHistory': True}) # mocker.patch(f'{EXMS}.get_funding_fees', lambda pair, since: y) exchange = get_patched_exchange(mocker, default_conf, api_mock, id=exchange_name) date_time = datetime.strptime("2021-09-01T00:00:01.000Z", '%Y-%m-%dT%H:%M:%S.%fZ') unix_time = int(date_time.timestamp()) expected_fees = -0.001 # 0.14542341 + -0.14642341 fees_from_datetime = exchange._get_funding_fees_from_exchange( pair='XRP/USDT', since=date_time ) fees_from_unix_time = exchange._get_funding_fees_from_exchange( pair='XRP/USDT', since=unix_time ) assert pytest.approx(expected_fees) == fees_from_datetime assert pytest.approx(expected_fees) == fees_from_unix_time ccxt_exceptionhandlers( mocker, default_conf, api_mock, exchange_name, "_get_funding_fees_from_exchange", "fetch_funding_history", pair="XRP/USDT", since=unix_time ) @pytest.mark.parametrize('exchange', ['binance', 'kraken']) @pytest.mark.parametrize('stake_amount,leverage,min_stake_with_lev', [ (9.0, 3.0, 3.0), (20.0, 5.0, 4.0), (100.0, 100.0, 1.0) ]) def test_get_stake_amount_considering_leverage( exchange, stake_amount, leverage, min_stake_with_lev, mocker, default_conf ): exchange = get_patched_exchange(mocker, default_conf, id=exchange) assert exchange._get_stake_amount_considering_leverage( stake_amount, leverage) == min_stake_with_lev @pytest.mark.parametrize("margin_mode", [ (MarginMode.CROSS), (MarginMode.ISOLATED) ]) def test_set_margin_mode(mocker, default_conf, margin_mode): api_mock = MagicMock() api_mock.set_margin_mode = MagicMock() type(api_mock).has = PropertyMock(return_value={'setMarginMode': True}) default_conf['dry_run'] = False ccxt_exceptionhandlers( mocker, default_conf, api_mock, "binance", "set_margin_mode", "set_margin_mode", pair="XRP/USDT", margin_mode=margin_mode ) @pytest.mark.parametrize("exchange_name, trading_mode, margin_mode, exception_thrown", [ ("binance", TradingMode.SPOT, None, False), ("binance", TradingMode.MARGIN, MarginMode.ISOLATED, True), ("kraken", TradingMode.SPOT, None, False), ("kraken", TradingMode.MARGIN, MarginMode.ISOLATED, True), ("kraken", TradingMode.FUTURES, MarginMode.ISOLATED, True), ("bittrex", TradingMode.SPOT, None, False), ("bittrex", TradingMode.MARGIN, MarginMode.CROSS, True), ("bittrex", TradingMode.MARGIN, MarginMode.ISOLATED, True), ("bittrex", TradingMode.FUTURES, MarginMode.CROSS, True), ("bittrex", TradingMode.FUTURES, MarginMode.ISOLATED, True), ("gate", TradingMode.MARGIN, MarginMode.ISOLATED, True), ("okx", TradingMode.SPOT, None, False), ("okx", TradingMode.MARGIN, MarginMode.CROSS, True), ("okx", TradingMode.MARGIN, MarginMode.ISOLATED, True), ("okx", TradingMode.FUTURES, MarginMode.CROSS, True), ("binance", TradingMode.FUTURES, MarginMode.ISOLATED, False), ("gate", TradingMode.FUTURES, MarginMode.ISOLATED, False), ("okx", TradingMode.FUTURES, MarginMode.ISOLATED, False), # * Remove once implemented ("binance", TradingMode.MARGIN, MarginMode.CROSS, True), ("binance", TradingMode.FUTURES, MarginMode.CROSS, True), ("kraken", TradingMode.MARGIN, MarginMode.CROSS, True), ("kraken", TradingMode.FUTURES, MarginMode.CROSS, True), ("gate", TradingMode.MARGIN, MarginMode.CROSS, True), ("gate", TradingMode.FUTURES, MarginMode.CROSS, True), # * Uncomment once implemented # ("binance", TradingMode.MARGIN, MarginMode.CROSS, False), # ("binance", TradingMode.FUTURES, MarginMode.CROSS, False), # ("kraken", TradingMode.MARGIN, MarginMode.CROSS, False), # ("kraken", TradingMode.FUTURES, MarginMode.CROSS, False), # ("gate", TradingMode.MARGIN, MarginMode.CROSS, False), # ("gate", TradingMode.FUTURES, MarginMode.CROSS, False), ]) def test_validate_trading_mode_and_margin_mode( default_conf, mocker, exchange_name, trading_mode, margin_mode, exception_thrown ): exchange = get_patched_exchange( mocker, default_conf, id=exchange_name, mock_supported_modes=False) if (exception_thrown): with pytest.raises(OperationalException): exchange.validate_trading_mode_and_margin_mode(trading_mode, margin_mode) else: exchange.validate_trading_mode_and_margin_mode(trading_mode, margin_mode) @pytest.mark.parametrize("exchange_name,trading_mode,ccxt_config", [ ("binance", "spot", {}), ("binance", "margin", {"options": {"defaultType": "margin"}}), ("binance", "futures", {"options": {"defaultType": "swap"}}), ("bybit", "spot", {"options": {"defaultType": "spot"}}), ("bybit", "futures", {"options": {"defaultType": "swap"}}), ("gate", "futures", {"options": {"defaultType": "swap"}}), ("hitbtc", "futures", {"options": {"defaultType": "swap"}}), ("kraken", "futures", {"options": {"defaultType": "swap"}}), ("kucoin", "futures", {"options": {"defaultType": "swap"}}), ("okx", "futures", {"options": {"defaultType": "swap"}}), ]) def test__ccxt_config( default_conf, mocker, exchange_name, trading_mode, ccxt_config ): default_conf['trading_mode'] = trading_mode default_conf['margin_mode'] = 'isolated' exchange = get_patched_exchange(mocker, default_conf, id=exchange_name) assert exchange._ccxt_config == ccxt_config @pytest.mark.parametrize('pair,nominal_value,max_lev', [ ("ETH/BTC", 0.0, 2.0), ("TKN/BTC", 100.0, 5.0), ("BLK/BTC", 173.31, 3.0), ("LTC/BTC", 0.0, 1.0), ("TKN/USDT", 210.30, 1.0), ]) def test_get_max_leverage_from_margin(default_conf, mocker, pair, nominal_value, max_lev): default_conf['trading_mode'] = 'margin' default_conf['margin_mode'] = 'isolated' api_mock = MagicMock() type(api_mock).has = PropertyMock(return_value={'fetchLeverageTiers': False}) exchange = get_patched_exchange(mocker, default_conf, api_mock, id="gate") assert exchange.get_max_leverage(pair, nominal_value) == max_lev @pytest.mark.parametrize( 'size,funding_rate,mark_price,time_in_ratio,funding_fee,kraken_fee', [ (10, 0.0001, 2.0, 1.0, 0.002, 0.002), (10, 0.0002, 2.0, 0.01, 0.004, 0.00004), (10, 0.0002, 2.5, None, 0.005, None), ]) def test_calculate_funding_fees( default_conf, mocker, size, funding_rate, mark_price, funding_fee, kraken_fee, time_in_ratio ): exchange = get_patched_exchange(mocker, default_conf) kraken = get_patched_exchange(mocker, default_conf, id="kraken") prior_date = timeframe_to_prev_date('1h', datetime.now(timezone.utc) - timedelta(hours=1)) trade_date = timeframe_to_prev_date('1h', datetime.now(timezone.utc)) funding_rates = DataFrame([ {'date': prior_date, 'open': funding_rate}, # Line not used. {'date': trade_date, 'open': funding_rate}, ]) mark_rates = DataFrame([ {'date': prior_date, 'open': mark_price}, {'date': trade_date, 'open': mark_price}, ]) df = exchange.combine_funding_and_mark(funding_rates, mark_rates) assert exchange.calculate_funding_fees( df, amount=size, is_short=True, open_date=trade_date, close_date=trade_date, time_in_ratio=time_in_ratio, ) == funding_fee if (kraken_fee is None): with pytest.raises(OperationalException): kraken.calculate_funding_fees( df, amount=size, is_short=True, open_date=trade_date, close_date=trade_date, time_in_ratio=time_in_ratio, ) else: assert kraken.calculate_funding_fees( df, amount=size, is_short=True, open_date=trade_date, close_date=trade_date, time_in_ratio=time_in_ratio, ) == kraken_fee @pytest.mark.parametrize( 'mark_price,funding_rate,futures_funding_rate', [ (1000, 0.001, None), (1000, 0.001, 0.01), (1000, 0.001, 0.0), (1000, 0.001, -0.01), ]) def test_combine_funding_and_mark( default_conf, mocker, funding_rate, mark_price, futures_funding_rate, ): exchange = get_patched_exchange(mocker, default_conf) prior2_date = timeframe_to_prev_date('1h', datetime.now(timezone.utc) - timedelta(hours=2)) prior_date = timeframe_to_prev_date('1h', datetime.now(timezone.utc) - timedelta(hours=1)) trade_date = timeframe_to_prev_date('1h', datetime.now(timezone.utc)) funding_rates = DataFrame([ {'date': prior2_date, 'open': funding_rate}, {'date': prior_date, 'open': funding_rate}, {'date': trade_date, 'open': funding_rate}, ]) mark_rates = DataFrame([ {'date': prior2_date, 'open': mark_price}, {'date': prior_date, 'open': mark_price}, {'date': trade_date, 'open': mark_price}, ]) df = exchange.combine_funding_and_mark(funding_rates, mark_rates, futures_funding_rate) assert 'open_mark' in df.columns assert 'open_fund' in df.columns assert len(df) == 3 funding_rates = DataFrame([ {'date': trade_date, 'open': funding_rate}, ]) mark_rates = DataFrame([ {'date': prior2_date, 'open': mark_price}, {'date': prior_date, 'open': mark_price}, {'date': trade_date, 'open': mark_price}, ]) df = exchange.combine_funding_and_mark(funding_rates, mark_rates, futures_funding_rate) if futures_funding_rate is not None: assert len(df) == 3 assert df.iloc[0]['open_fund'] == futures_funding_rate assert df.iloc[1]['open_fund'] == futures_funding_rate assert df.iloc[2]['open_fund'] == funding_rate else: assert len(df) == 1 # Empty funding rates funding_rates = DataFrame([], columns=['date', 'open']) df = exchange.combine_funding_and_mark(funding_rates, mark_rates, futures_funding_rate) if futures_funding_rate is not None: assert len(df) == 3 assert df.iloc[0]['open_fund'] == futures_funding_rate assert df.iloc[1]['open_fund'] == futures_funding_rate assert df.iloc[2]['open_fund'] == futures_funding_rate else: assert len(df) == 0 @pytest.mark.parametrize('exchange,rate_start,rate_end,d1,d2,amount,expected_fees', [ ('binance', 0, 2, "2021-09-01 01:00:00", "2021-09-01 04:00:00", 30.0, 0.0), ('binance', 0, 2, "2021-09-01 00:00:00", "2021-09-01 08:00:00", 30.0, -0.00091409999), ('binance', 0, 2, "2021-09-01 00:00:15", "2021-09-01 08:00:00", 30.0, -0.0002493), ('binance', 1, 2, "2021-09-01 01:00:14", "2021-09-01 08:00:00", 30.0, -0.0002493), ('binance', 1, 2, "2021-09-01 00:00:16", "2021-09-01 08:00:00", 30.0, -0.0002493), ('binance', 0, 1, "2021-09-01 00:00:00", "2021-09-01 07:59:59", 30.0, -0.00066479999), ('binance', 0, 2, "2021-09-01 00:00:00", "2021-09-01 12:00:00", 30.0, -0.00091409999), ('binance', 0, 2, "2021-09-01 00:00:01", "2021-09-01 08:00:00", 30.0, -0.0002493), # TODO: Uncoment once _calculate_funding_fees can pas time_in_ratio to exchange._get_funding_fee # ('kraken', "2021-09-01 00:00:00", "2021-09-01 08:00:00", 30.0, -0.0014937), # ('kraken', "2021-09-01 00:00:15", "2021-09-01 08:00:00", 30.0, -0.0008289), # ('kraken', "2021-09-01 01:00:14", "2021-09-01 08:00:00", 30.0, -0.0008289), # ('kraken', "2021-09-01 00:00:00", "2021-09-01 07:59:59", 30.0, -0.0012443999999999999), # ('kraken', "2021-09-01 00:00:00", "2021-09-01 12:00:00", 30.0, 0.0045759), # ('kraken', "2021-09-01 00:00:01", "2021-09-01 08:00:00", 30.0, -0.0008289), ('gate', 0, 2, "2021-09-01 00:10:00", "2021-09-01 04:00:00", 30.0, 0.0), ('gate', 0, 2, "2021-09-01 00:00:00", "2021-09-01 08:00:00", 30.0, -0.0009140999), ('gate', 0, 2, "2021-09-01 00:00:00", "2021-09-01 12:00:00", 30.0, -0.0009140999), ('gate', 1, 2, "2021-09-01 00:00:01", "2021-09-01 08:00:00", 30.0, -0.0002493), ('binance', 0, 2, "2021-09-01 00:00:00", "2021-09-01 08:00:00", 50.0, -0.0015235), # TODO: Uncoment once _calculate_funding_fees can pas time_in_ratio to exchange._get_funding_fee # ('kraken', "2021-09-01 00:00:00", "2021-09-01 08:00:00", 50.0, -0.0024895), ]) def test__fetch_and_calculate_funding_fees( mocker, default_conf, funding_rate_history_hourly, funding_rate_history_octohourly, rate_start, rate_end, mark_ohlcv, exchange, d1, d2, amount, expected_fees ): """ nominal_value = mark_price * size funding_fee = nominal_value * funding_rate size: 30 time: 0, mark: 2.77, nominal_value: 83.1, fundRate: -0.000008, fundFee: -0.0006648 time: 1, mark: 2.73, nominal_value: 81.9, fundRate: -0.000004, fundFee: -0.0003276 time: 2, mark: 2.74, nominal_value: 82.2, fundRate: 0.000012, fundFee: 0.0009864 time: 3, mark: 2.76, nominal_value: 82.8, fundRate: -0.000003, fundFee: -0.0002484 time: 4, mark: 2.76, nominal_value: 82.8, fundRate: -0.000007, fundFee: -0.0005796 time: 5, mark: 2.77, nominal_value: 83.1, fundRate: 0.000003, fundFee: 0.0002493 time: 6, mark: 2.78, nominal_value: 83.4, fundRate: 0.000019, fundFee: 0.0015846 time: 7, mark: 2.78, nominal_value: 83.4, fundRate: 0.000003, fundFee: 0.0002502 time: 8, mark: 2.77, nominal_value: 83.1, fundRate: -0.000003, fundFee: -0.0002493 time: 9, mark: 2.77, nominal_value: 83.1, fundRate: 0, fundFee: 0.0 time: 10, mark: 2.84, nominal_value: 85.2, fundRate: 0.000013, fundFee: 0.0011076 time: 11, mark: 2.81, nominal_value: 84.3, fundRate: 0.000077, fundFee: 0.0064911 time: 12, mark: 2.81, nominal_value: 84.3, fundRate: 0.000072, fundFee: 0.0060696 time: 13, mark: 2.82, nominal_value: 84.6, fundRate: 0.000097, fundFee: 0.0082062 size: 50 time: 0, mark: 2.77, nominal_value: 138.5, fundRate: -0.000008, fundFee: -0.001108 time: 1, mark: 2.73, nominal_value: 136.5, fundRate: -0.000004, fundFee: -0.000546 time: 2, mark: 2.74, nominal_value: 137.0, fundRate: 0.000012, fundFee: 0.001644 time: 3, mark: 2.76, nominal_value: 138.0, fundRate: -0.000003, fundFee: -0.000414 time: 4, mark: 2.76, nominal_value: 138.0, fundRate: -0.000007, fundFee: -0.000966 time: 5, mark: 2.77, nominal_value: 138.5, fundRate: 0.000003, fundFee: 0.0004155 time: 6, mark: 2.78, nominal_value: 139.0, fundRate: 0.000019, fundFee: 0.002641 time: 7, mark: 2.78, nominal_value: 139.0, fundRate: 0.000003, fundFee: 0.000417 time: 8, mark: 2.77, nominal_value: 138.5, fundRate: -0.000003, fundFee: -0.0004155 time: 9, mark: 2.77, nominal_value: 138.5, fundRate: 0, fundFee: 0.0 time: 10, mark: 2.84, nominal_value: 142.0, fundRate: 0.000013, fundFee: 0.001846 time: 11, mark: 2.81, nominal_value: 140.5, fundRate: 0.000077, fundFee: 0.0108185 time: 12, mark: 2.81, nominal_value: 140.5, fundRate: 0.000072, fundFee: 0.010116 time: 13, mark: 2.82, nominal_value: 141.0, fundRate: 0.000097, fundFee: 0.013677 """ d1 = datetime.strptime(f"{d1} +0000", '%Y-%m-%d %H:%M:%S %z') d2 = datetime.strptime(f"{d2} +0000", '%Y-%m-%d %H:%M:%S %z') funding_rate_history = { 'binance': funding_rate_history_octohourly, 'gate': funding_rate_history_octohourly, }[exchange][rate_start:rate_end] api_mock = MagicMock() api_mock.fetch_funding_rate_history = get_mock_coro(return_value=funding_rate_history) api_mock.fetch_ohlcv = get_mock_coro(return_value=mark_ohlcv) type(api_mock).has = PropertyMock(return_value={'fetchOHLCV': True}) type(api_mock).has = PropertyMock(return_value={'fetchFundingRateHistory': True}) ex = get_patched_exchange(mocker, default_conf, api_mock, id=exchange) mocker.patch(f'{EXMS}.timeframes', PropertyMock(return_value=['1h', '4h', '8h'])) funding_fees = ex._fetch_and_calculate_funding_fees( pair='ADA/USDT', amount=amount, is_short=True, open_date=d1, close_date=d2) assert pytest.approx(funding_fees) == expected_fees # Fees for Longs are inverted funding_fees = ex._fetch_and_calculate_funding_fees( pair='ADA/USDT', amount=amount, is_short=False, open_date=d1, close_date=d2) assert pytest.approx(funding_fees) == -expected_fees # Return empty "refresh_latest" mocker.patch(f"{EXMS}.refresh_latest_ohlcv", return_value={}) ex = get_patched_exchange(mocker, default_conf, api_mock, id=exchange) with pytest.raises(ExchangeError, match="Could not find funding rates."): ex._fetch_and_calculate_funding_fees( pair='ADA/USDT', amount=amount, is_short=False, open_date=d1, close_date=d2) @pytest.mark.parametrize('exchange,expected_fees', [ ('binance', -0.0009140999999999999), ('gate', -0.0009140999999999999), ]) def test__fetch_and_calculate_funding_fees_datetime_called( mocker, default_conf, funding_rate_history_octohourly, mark_ohlcv, exchange, time_machine, expected_fees ): api_mock = MagicMock() api_mock.fetch_ohlcv = get_mock_coro(return_value=mark_ohlcv) api_mock.fetch_funding_rate_history = get_mock_coro( return_value=funding_rate_history_octohourly) type(api_mock).has = PropertyMock(return_value={'fetchOHLCV': True}) type(api_mock).has = PropertyMock(return_value={'fetchFundingRateHistory': True}) mocker.patch(f'{EXMS}.timeframes', PropertyMock(return_value=['4h', '8h'])) exchange = get_patched_exchange(mocker, default_conf, api_mock, id=exchange) d1 = datetime.strptime("2021-09-01 00:00:00 +0000", '%Y-%m-%d %H:%M:%S %z') time_machine.move_to("2021-09-01 08:00:00 +00:00") funding_fees = exchange._fetch_and_calculate_funding_fees('ADA/USDT', 30.0, True, d1) assert funding_fees == expected_fees funding_fees = exchange._fetch_and_calculate_funding_fees('ADA/USDT', 30.0, False, d1) assert funding_fees == 0 - expected_fees @pytest.mark.parametrize('pair,expected_size,trading_mode', [ ('XLTCUSDT', 1, 'spot'), ('LTC/USD', 1, 'futures'), ('XLTCUSDT', 0.01, 'futures'), ('ETH/USDT:USDT', 10, 'futures'), ('TORN/USDT:USDT', None, 'futures'), # Don't fail for unavailable pairs. ]) def test__get_contract_size(mocker, default_conf, pair, expected_size, trading_mode): api_mock = MagicMock() default_conf['trading_mode'] = trading_mode default_conf['margin_mode'] = 'isolated' exchange = get_patched_exchange(mocker, default_conf, api_mock) mocker.patch(f'{EXMS}.markets', { 'LTC/USD': { 'symbol': 'LTC/USD', 'contractSize': None, }, 'XLTCUSDT': { 'symbol': 'XLTCUSDT', 'contractSize': '0.01', }, 'ETH/USDT:USDT': { 'symbol': 'ETH/USDT:USDT', 'contractSize': '10', } }) size = exchange.get_contract_size(pair) assert expected_size == size @pytest.mark.parametrize('pair,contract_size,trading_mode', [ ('XLTCUSDT', 1, 'spot'), ('LTC/USD', 1, 'futures'), ('ADA/USDT:USDT', 0.01, 'futures'), ('LTC/ETH', 1, 'futures'), ('ETH/USDT:USDT', 10, 'futures'), ]) def test__order_contracts_to_amount( mocker, default_conf, markets, pair, contract_size, trading_mode, ): api_mock = MagicMock() default_conf['trading_mode'] = trading_mode default_conf['margin_mode'] = 'isolated' mocker.patch(f'{EXMS}.markets', markets) exchange = get_patched_exchange(mocker, default_conf, api_mock) orders = [ { 'id': '123456320', 'clientOrderId': '12345632018', 'timestamp': 1640124992000, 'datetime': 'Tue 21 Dec 2021 22:16:32 UTC', 'lastTradeTimestamp': 1640124911000, 'status': 'active', 'symbol': pair, 'type': 'limit', 'timeInForce': 'gtc', 'postOnly': None, 'side': 'buy', 'price': 2.0, 'stopPrice': None, 'average': None, 'amount': 30.0, 'cost': 60.0, 'filled': None, 'remaining': 30.0, 'fee': { 'currency': 'USDT', 'cost': 0.06, }, 'fees': [{ 'currency': 'USDT', 'cost': 0.06, }], 'trades': None, 'info': {}, }, { 'id': '123456380', 'clientOrderId': '12345638203', 'timestamp': 1640124992000, 'datetime': 'Tue 21 Dec 2021 22:16:32 UTC', 'lastTradeTimestamp': 1640124911000, 'status': 'active', 'symbol': pair, 'type': 'limit', 'timeInForce': 'gtc', 'postOnly': None, 'side': 'sell', 'price': 2.2, 'stopPrice': None, 'average': None, 'amount': 40.0, 'cost': 80.0, 'filled': None, 'remaining': 40.0, 'fee': { 'currency': 'USDT', 'cost': 0.08, }, 'fees': [{ 'currency': 'USDT', 'cost': 0.08, }], 'trades': None, 'info': {}, }, { # Realistic stoploss order on gate. 'id': '123456380', 'clientOrderId': '12345638203', 'timestamp': None, 'datetime': None, 'lastTradeTimestamp': None, 'status': None, 'symbol': None, 'type': None, 'timeInForce': None, 'postOnly': None, 'side': None, 'price': None, 'stopPrice': None, 'average': None, 'amount': None, 'cost': None, 'filled': None, 'remaining': None, 'fee': None, 'fees': [], 'trades': None, 'info': {}, }, ] order1_bef = orders[0] order2_bef = orders[1] order1 = exchange._order_contracts_to_amount(deepcopy(order1_bef)) order2 = exchange._order_contracts_to_amount(deepcopy(order2_bef)) assert order1['amount'] == order1_bef['amount'] * contract_size assert order1['cost'] == order1_bef['cost'] * contract_size assert order2['amount'] == order2_bef['amount'] * contract_size assert order2['cost'] == order2_bef['cost'] * contract_size # Don't fail exchange._order_contracts_to_amount(orders[2]) @pytest.mark.parametrize('pair,contract_size,trading_mode', [ ('XLTCUSDT', 1, 'spot'), ('LTC/USD', 1, 'futures'), ('ADA/USDT:USDT', 0.01, 'futures'), ('LTC/ETH', 1, 'futures'), ('ETH/USDT:USDT', 10, 'futures'), ]) def test__trades_contracts_to_amount( mocker, default_conf, markets, pair, contract_size, trading_mode, ): api_mock = MagicMock() default_conf['trading_mode'] = trading_mode default_conf['margin_mode'] = 'isolated' mocker.patch(f'{EXMS}.markets', markets) exchange = get_patched_exchange(mocker, default_conf, api_mock) trades = [ { 'symbol': pair, 'amount': 30.0, }, { 'symbol': pair, 'amount': 40.0, } ] new_amount_trades = exchange._trades_contracts_to_amount(trades) assert new_amount_trades[0]['amount'] == 30.0 * contract_size assert new_amount_trades[1]['amount'] == 40.0 * contract_size @pytest.mark.parametrize('pair,param_amount,param_size', [ ('ADA/USDT:USDT', 40, 4000), ('LTC/ETH', 30, 30), ('LTC/USD', 30, 30), ('ETH/USDT:USDT', 10, 1), ]) def test__amount_to_contracts( mocker, default_conf, pair, param_amount, param_size ): api_mock = MagicMock() default_conf['trading_mode'] = 'spot' default_conf['margin_mode'] = 'isolated' exchange = get_patched_exchange(mocker, default_conf, api_mock) mocker.patch(f'{EXMS}.markets', { 'LTC/USD': { 'symbol': 'LTC/USD', 'contractSize': None, }, 'XLTCUSDT': { 'symbol': 'XLTCUSDT', 'contractSize': '0.01', }, 'LTC/ETH': { 'symbol': 'LTC/ETH', }, 'ETH/USDT:USDT': { 'symbol': 'ETH/USDT:USDT', 'contractSize': '10', } }) result_size = exchange._amount_to_contracts(pair, param_amount) assert result_size == param_amount result_amount = exchange._contracts_to_amount(pair, param_size) assert result_amount == param_size default_conf['trading_mode'] = 'futures' exchange = get_patched_exchange(mocker, default_conf, api_mock) result_size = exchange._amount_to_contracts(pair, param_amount) assert result_size == param_size result_amount = exchange._contracts_to_amount(pair, param_size) assert result_amount == param_amount @pytest.mark.parametrize('pair,amount,expected_spot,expected_fut', [ # Contract size of 0.01 ('ADA/USDT:USDT', 40, 40, 40), ('ADA/USDT:USDT', 10.4445555, 10.4, 10.444), ('LTC/ETH', 30, 30, 30), ('LTC/USD', 30, 30, 30), ('ADA/USDT:USDT', 1.17, 1.1, 1.17), # contract size of 10 ('ETH/USDT:USDT', 10.111, 10.1, 10), ('ETH/USDT:USDT', 10.188, 10.1, 10), ('ETH/USDT:USDT', 10.988, 10.9, 10), ]) def test_amount_to_contract_precision( mocker, default_conf, pair, amount, expected_spot, expected_fut, ): api_mock = MagicMock() default_conf['trading_mode'] = 'spot' default_conf['margin_mode'] = 'isolated' exchange = get_patched_exchange(mocker, default_conf, api_mock) result_size = exchange.amount_to_contract_precision(pair, amount) assert result_size == expected_spot default_conf['trading_mode'] = 'futures' exchange = get_patched_exchange(mocker, default_conf, api_mock) result_size = exchange.amount_to_contract_precision(pair, amount) assert result_size == expected_fut @pytest.mark.parametrize('amount,precision,precision_mode,contract_size,expected', [ (1.17, 1.0, 4, 0.01, 1.17), # Tick size (1.17, 1.0, 2, 0.01, 1.17), # (1.16, 1.0, 4, 0.01, 1.16), # (1.16, 1.0, 2, 0.01, 1.16), # (1.13, 1.0, 2, 0.01, 1.13), # (10.988, 1.0, 2, 10, 10), (10.988, 1.0, 4, 10, 10), ]) def test_amount_to_contract_precision2(amount, precision, precision_mode, contract_size, expected): res = amount_to_contract_precision(amount, precision, precision_mode, contract_size) assert pytest.approx(res) == expected @pytest.mark.parametrize('exchange_name,open_rate,is_short,trading_mode,margin_mode', [ # Bittrex ('bittrex', 2.0, False, 'spot', None), ('bittrex', 2.0, False, 'spot', 'cross'), ('bittrex', 2.0, True, 'spot', 'isolated'), # Binance ('binance', 2.0, False, 'spot', None), ('binance', 2.0, False, 'spot', 'cross'), ('binance', 2.0, True, 'spot', 'isolated'), ]) def test_liquidation_price_is_none( mocker, default_conf, exchange_name, open_rate, is_short, trading_mode, margin_mode ): default_conf['trading_mode'] = trading_mode default_conf['margin_mode'] = margin_mode exchange = get_patched_exchange(mocker, default_conf, id=exchange_name) assert exchange.get_liquidation_price( pair='DOGE/USDT', open_rate=open_rate, is_short=is_short, amount=71200.81144, stake_amount=open_rate * 71200.81144, leverage=5, wallet_balance=-56354.57, mm_ex_1=0.10, upnl_ex_1=0.0 ) is None @pytest.mark.parametrize( 'exchange_name, is_short, trading_mode, margin_mode, wallet_balance, ' 'mm_ex_1, upnl_ex_1, maintenance_amt, amount, open_rate, ' 'mm_ratio, expected', [ ("binance", False, 'futures', 'isolated', 1535443.01, 0.0, 0.0, 135365.00, 3683.979, 1456.84, 0.10, 1114.78), ("binance", False, 'futures', 'isolated', 1535443.01, 0.0, 0.0, 16300.000, 109.488, 32481.980, 0.025, 18778.73), ("binance", False, 'futures', 'cross', 1535443.01, 71200.81144, -56354.57, 135365.00, 3683.979, 1456.84, 0.10, 1153.26), ("binance", False, 'futures', 'cross', 1535443.01, 356512.508, -448192.89, 16300.000, 109.488, 32481.980, 0.025, 26316.89) ]) def test_liquidation_price_binance( mocker, default_conf, exchange_name, open_rate, is_short, trading_mode, margin_mode, wallet_balance, mm_ex_1, upnl_ex_1, maintenance_amt, amount, mm_ratio, expected ): default_conf['trading_mode'] = trading_mode default_conf['margin_mode'] = margin_mode default_conf['liquidation_buffer'] = 0.0 exchange = get_patched_exchange(mocker, default_conf, id=exchange_name) exchange.get_maintenance_ratio_and_amt = MagicMock(return_value=(mm_ratio, maintenance_amt)) assert pytest.approx(round(exchange.get_liquidation_price( pair='DOGE/USDT', open_rate=open_rate, is_short=is_short, wallet_balance=wallet_balance, mm_ex_1=mm_ex_1, upnl_ex_1=upnl_ex_1, amount=amount, stake_amount=open_rate * amount, leverage=5, ), 2)) == expected def test_get_max_pair_stake_amount( mocker, default_conf, ): api_mock = MagicMock() default_conf['margin_mode'] = 'isolated' default_conf['trading_mode'] = 'futures' exchange = get_patched_exchange(mocker, default_conf, api_mock) markets = { 'XRP/USDT:USDT': { 'limits': { 'amount': { 'min': 0.001, 'max': 10000 }, 'cost': { 'min': 5, 'max': None }, }, 'contractSize': None, 'spot': False, }, 'LTC/USDT:USDT': { 'limits': { 'amount': { 'min': 0.001, 'max': None }, 'cost': { 'min': 5, 'max': None }, }, 'contractSize': 0.01, 'spot': False, }, 'ETH/USDT:USDT': { 'limits': { 'amount': { 'min': 0.001, 'max': 10000 }, 'cost': { 'min': 5, 'max': 30000, }, }, 'contractSize': 0.01, 'spot': False, }, 'BTC/USDT': { 'limits': { 'amount': { 'min': 0.001, 'max': 10000 }, 'cost': { 'min': 5, 'max': None }, }, 'contractSize': 0.01, 'spot': True, }, 'ADA/USDT': { 'limits': { 'amount': { 'min': 0.001, 'max': 10000 }, 'cost': { 'min': 5, 'max': 500, }, }, 'contractSize': 0.01, 'spot': True, }, 'DOGE/USDT:USDT': { 'limits': { 'amount': { 'min': 0.001, 'max': 10000 }, 'cost': { 'min': 5, 'max': 500 }, }, 'contractSize': None, 'spot': False, }, 'LUNA/USDT:USDT': { 'limits': { 'amount': { 'min': 0.001, 'max': 10000 }, 'cost': { 'min': 5, 'max': 500 }, }, 'contractSize': 0.01, 'spot': False, }, } mocker.patch(f'{EXMS}.markets', markets) assert exchange.get_max_pair_stake_amount('XRP/USDT:USDT', 2.0) == 20000 assert exchange.get_max_pair_stake_amount('XRP/USDT:USDT', 2.0, 5) == 4000 assert exchange.get_max_pair_stake_amount('LTC/USDT:USDT', 2.0) == float('inf') assert exchange.get_max_pair_stake_amount('ETH/USDT:USDT', 2.0) == 200 assert exchange.get_max_pair_stake_amount('DOGE/USDT:USDT', 2.0) == 500 assert exchange.get_max_pair_stake_amount('LUNA/USDT:USDT', 2.0) == 5.0 default_conf['trading_mode'] = 'spot' exchange = get_patched_exchange(mocker, default_conf, api_mock) mocker.patch(f'{EXMS}.markets', markets) assert exchange.get_max_pair_stake_amount('BTC/USDT', 2.0) == 20000 assert exchange.get_max_pair_stake_amount('ADA/USDT', 2.0) == 500 @pytest.mark.parametrize('exchange_name', EXCHANGES) def test_load_leverage_tiers(mocker, default_conf, leverage_tiers, exchange_name): api_mock = MagicMock() api_mock.fetch_leverage_tiers = MagicMock() type(api_mock).has = PropertyMock(return_value={'fetchLeverageTiers': True}) default_conf['dry_run'] = False mocker.patch(f'{EXMS}.validate_trading_mode_and_margin_mode') api_mock.fetch_leverage_tiers = MagicMock(return_value={ 'ADA/USDT:USDT': [ { 'tier': 1, 'minNotional': 0, 'maxNotional': 500, 'maintenanceMarginRate': 0.02, 'maxLeverage': 75, 'info': { 'baseMaxLoan': '', 'imr': '0.013', 'instId': '', 'maxLever': '75', 'maxSz': '500', 'minSz': '0', 'mmr': '0.01', 'optMgnFactor': '0', 'quoteMaxLoan': '', 'tier': '1', 'uly': 'ADA-USDT' } }, ] }) # SPOT exchange = get_patched_exchange(mocker, default_conf, api_mock, id=exchange_name) assert exchange.load_leverage_tiers() == {} default_conf['trading_mode'] = 'futures' default_conf['margin_mode'] = 'isolated' if exchange_name != 'binance': # FUTURES has.fetchLeverageTiers == False type(api_mock).has = PropertyMock(return_value={'fetchLeverageTiers': False}) exchange = get_patched_exchange(mocker, default_conf, api_mock, id=exchange_name) assert exchange.load_leverage_tiers() == {} # FUTURES regular type(api_mock).has = PropertyMock(return_value={'fetchLeverageTiers': True}) exchange = get_patched_exchange(mocker, default_conf, api_mock, id=exchange_name) assert exchange.load_leverage_tiers() == { 'ADA/USDT:USDT': [ { 'tier': 1, 'minNotional': 0, 'maxNotional': 500, 'maintenanceMarginRate': 0.02, 'maxLeverage': 75, 'info': { 'baseMaxLoan': '', 'imr': '0.013', 'instId': '', 'maxLever': '75', 'maxSz': '500', 'minSz': '0', 'mmr': '0.01', 'optMgnFactor': '0', 'quoteMaxLoan': '', 'tier': '1', 'uly': 'ADA-USDT' } }, ] } ccxt_exceptionhandlers( mocker, default_conf, api_mock, exchange_name, "load_leverage_tiers", "fetch_leverage_tiers", ) @pytest.mark.parametrize('exchange_name', EXCHANGES) async def test_get_market_leverage_tiers(mocker, default_conf, exchange_name): default_conf['exchange']['name'] = exchange_name await async_ccxt_exception( mocker, default_conf, MagicMock(), "get_market_leverage_tiers", "fetch_market_leverage_tiers", symbol='BTC/USDT:USDT' ) def test_parse_leverage_tier(mocker, default_conf): exchange = get_patched_exchange(mocker, default_conf) tier = { "tier": 1, "minNotional": 0, "maxNotional": 100000, "maintenanceMarginRate": 0.025, "maxLeverage": 20, "info": { "bracket": "1", "initialLeverage": "20", "maxNotional": "100000", "minNotional": "0", "maintMarginRatio": "0.025", "cum": "0.0" } } assert exchange.parse_leverage_tier(tier) == { "minNotional": 0, "maxNotional": 100000, "maintenanceMarginRate": 0.025, "maxLeverage": 20, "maintAmt": 0.0, } tier2 = { 'tier': 1, 'minNotional': 0, 'maxNotional': 2000, 'maintenanceMarginRate': 0.01, 'maxLeverage': 75, 'info': { 'baseMaxLoan': '', 'imr': '0.013', 'instId': '', 'maxLever': '75', 'maxSz': '2000', 'minSz': '0', 'mmr': '0.01', 'optMgnFactor': '0', 'quoteMaxLoan': '', 'tier': '1', 'uly': 'SHIB-USDT' } } assert exchange.parse_leverage_tier(tier2) == { 'minNotional': 0, 'maxNotional': 2000, 'maintenanceMarginRate': 0.01, 'maxLeverage': 75, "maintAmt": None, } def test_get_maintenance_ratio_and_amt_exceptions(mocker, default_conf, leverage_tiers): api_mock = MagicMock() default_conf['trading_mode'] = 'futures' default_conf['margin_mode'] = 'isolated' mocker.patch(f'{EXMS}.exchange_has', return_value=True) exchange = get_patched_exchange(mocker, default_conf, api_mock) exchange._leverage_tiers = leverage_tiers with pytest.raises( OperationalException, match='nominal value can not be lower than 0', ): exchange.get_maintenance_ratio_and_amt('1000SHIB/USDT:USDT', -1) exchange._leverage_tiers = {} with pytest.raises( InvalidOrderException, match="Maintenance margin rate for 1000SHIB/USDT:USDT is unavailable for", ): exchange.get_maintenance_ratio_and_amt('1000SHIB/USDT:USDT', 10000) @pytest.mark.parametrize('pair,value,mmr,maintAmt', [ ('ADA/BUSD:BUSD', 500, 0.025, 0.0), ('ADA/BUSD:BUSD', 20000000, 0.5, 1527500.0), ('ZEC/USDT:USDT', 500, 0.01, 0.0), ('ZEC/USDT:USDT', 20000000, 0.5, 654500.0), ]) def test_get_maintenance_ratio_and_amt( mocker, default_conf, leverage_tiers, pair, value, mmr, maintAmt ): api_mock = MagicMock() default_conf['trading_mode'] = 'futures' default_conf['margin_mode'] = 'isolated' mocker.patch(f'{EXMS}.exchange_has', return_value=True) exchange = get_patched_exchange(mocker, default_conf, api_mock) exchange._leverage_tiers = leverage_tiers exchange.get_maintenance_ratio_and_amt(pair, value) == (mmr, maintAmt) def test_get_max_leverage_futures(default_conf, mocker, leverage_tiers): # Test Spot exchange = get_patched_exchange(mocker, default_conf, id="binance") assert exchange.get_max_leverage("BNB/USDT", 100.0) == 1.0 # Test Futures default_conf['trading_mode'] = 'futures' default_conf['margin_mode'] = 'isolated' exchange = get_patched_exchange(mocker, default_conf, id="binance") exchange._leverage_tiers = leverage_tiers assert exchange.get_max_leverage("BNB/BUSD:BUSD", 1.0) == 20.0 assert exchange.get_max_leverage("BNB/USDT:USDT", 100.0) == 75.0 assert exchange.get_max_leverage("BTC/USDT:USDT", 170.30) == 125.0 assert pytest.approx(exchange.get_max_leverage("BNB/BUSD:BUSD", 99999.9)) == 5.000005 assert pytest.approx(exchange.get_max_leverage("BNB/USDT:USDT", 1500)) == 33.333333333333333 assert exchange.get_max_leverage("BTC/USDT:USDT", 300000000) == 2.0 assert exchange.get_max_leverage("BTC/USDT:USDT", 600000000) == 1.0 # Last tier assert exchange.get_max_leverage("SPONGE/USDT:USDT", 200) == 1.0 # Pair not in leverage_tiers assert exchange.get_max_leverage("BTC/USDT:USDT", 0.0) == 125.0 # No stake amount with pytest.raises( InvalidOrderException, match=r'Amount 1000000000.01 too high for BTC/USDT:USDT' ): exchange.get_max_leverage("BTC/USDT:USDT", 1000000000.01) @pytest.mark.parametrize("exchange_name", ['bittrex', 'binance', 'kraken', 'gate', 'okx', 'bybit']) def test__get_params(mocker, default_conf, exchange_name): api_mock = MagicMock() mocker.patch(f'{EXMS}.exchange_has', return_value=True) exchange = get_patched_exchange(mocker, default_conf, api_mock, id=exchange_name) exchange._params = {'test': True} params1 = {'test': True} params2 = { 'test': True, 'timeInForce': 'IOC', 'reduceOnly': True, } if exchange_name == 'kraken': params2['leverage'] = 3.0 if exchange_name == 'okx': params2['tdMode'] = 'isolated' params2['posSide'] = 'net' if exchange_name == 'bybit': params2['position_idx'] = 0 assert exchange._get_params( side="buy", ordertype='market', reduceOnly=False, time_in_force='GTC', leverage=1.0, ) == params1 assert exchange._get_params( side="buy", ordertype='market', reduceOnly=False, time_in_force='IOC', leverage=1.0, ) == params1 assert exchange._get_params( side="buy", ordertype='limit', reduceOnly=False, time_in_force='GTC', leverage=1.0, ) == params1 default_conf['trading_mode'] = 'futures' default_conf['margin_mode'] = 'isolated' exchange = get_patched_exchange(mocker, default_conf, api_mock, id=exchange_name) exchange._params = {'test': True} assert exchange._get_params( side="buy", ordertype='limit', reduceOnly=True, time_in_force='IOC', leverage=3.0, ) == params2 def test_get_liquidation_price1(mocker, default_conf): api_mock = MagicMock() leverage = 9.97 positions = [ { 'info': {}, 'symbol': 'NEAR/USDT:USDT', 'timestamp': 1642164737148, 'datetime': '2022-01-14T12:52:17.148Z', 'initialMargin': 1.51072, 'initialMarginPercentage': 0.1, 'maintenanceMargin': 0.38916147, 'maintenanceMarginPercentage': 0.025, 'entryPrice': 18.884, 'notional': 15.1072, 'leverage': leverage, 'unrealizedPnl': 0.0048, 'contracts': 8, 'contractSize': 0.1, 'marginRatio': None, 'liquidationPrice': 17.47, 'markPrice': 18.89, 'margin_mode': 1.52549075, 'marginType': 'isolated', 'side': 'buy', 'percentage': 0.003177292946409658 } ] api_mock.fetch_positions = MagicMock(return_value=positions) mocker.patch.multiple( EXMS, exchange_has=MagicMock(return_value=True), ) default_conf['dry_run'] = False default_conf['trading_mode'] = 'futures' default_conf['margin_mode'] = 'isolated' default_conf['liquidation_buffer'] = 0.0 exchange = get_patched_exchange(mocker, default_conf, api_mock) liq_price = exchange.get_liquidation_price( pair='NEAR/USDT:USDT', open_rate=18.884, is_short=False, amount=0.8, stake_amount=18.884 * 0.8, leverage=leverage, wallet_balance=18.884 * 0.8, ) assert liq_price == 17.47 default_conf['liquidation_buffer'] = 0.05 exchange = get_patched_exchange(mocker, default_conf, api_mock) liq_price = exchange.get_liquidation_price( pair='NEAR/USDT:USDT', open_rate=18.884, is_short=False, amount=0.8, stake_amount=18.884 * 0.8, leverage=leverage, wallet_balance=18.884 * 0.8, ) assert liq_price == 17.540699999999998 api_mock.fetch_positions = MagicMock(return_value=[]) exchange = get_patched_exchange(mocker, default_conf, api_mock) liq_price = exchange.get_liquidation_price( pair='NEAR/USDT:USDT', open_rate=18.884, is_short=False, amount=0.8, stake_amount=18.884 * 0.8, leverage=leverage, wallet_balance=18.884 * 0.8, ) assert liq_price is None default_conf['trading_mode'] = 'margin' exchange = get_patched_exchange(mocker, default_conf, api_mock) with pytest.raises(OperationalException, match=r'.*does not support .* margin'): exchange.get_liquidation_price( pair='NEAR/USDT:USDT', open_rate=18.884, is_short=False, amount=0.8, stake_amount=18.884 * 0.8, leverage=leverage, wallet_balance=18.884 * 0.8, ) @pytest.mark.parametrize('liquidation_buffer', [0.0]) @pytest.mark.parametrize( "is_short,trading_mode,exchange_name,margin_mode,leverage,open_rate,amount,expected_liq", [ (False, 'spot', 'binance', '', 5.0, 10.0, 1.0, None), (True, 'spot', 'binance', '', 5.0, 10.0, 1.0, None), (False, 'spot', 'gate', '', 5.0, 10.0, 1.0, None), (True, 'spot', 'gate', '', 5.0, 10.0, 1.0, None), (False, 'spot', 'okx', '', 5.0, 10.0, 1.0, None), (True, 'spot', 'okx', '', 5.0, 10.0, 1.0, None), # Binance, short (True, 'futures', 'binance', 'isolated', 5.0, 10.0, 1.0, 11.89108910891089), (True, 'futures', 'binance', 'isolated', 3.0, 10.0, 1.0, 13.211221122079207), (True, 'futures', 'binance', 'isolated', 5.0, 8.0, 1.0, 9.514851485148514), (True, 'futures', 'binance', 'isolated', 5.0, 10.0, 0.6, 11.897689768976898), # Binance, long (False, 'futures', 'binance', 'isolated', 5, 10, 1.0, 8.070707070707071), (False, 'futures', 'binance', 'isolated', 5, 8, 1.0, 6.454545454545454), (False, 'futures', 'binance', 'isolated', 3, 10, 1.0, 6.723905723905723), (False, 'futures', 'binance', 'isolated', 5, 10, 0.6, 8.063973063973064), # Gate/okx, short (True, 'futures', 'gate', 'isolated', 5, 10, 1.0, 11.87413417771621), (True, 'futures', 'gate', 'isolated', 5, 10, 2.0, 11.87413417771621), (True, 'futures', 'gate', 'isolated', 3, 10, 1.0, 13.193482419684678), (True, 'futures', 'gate', 'isolated', 5, 8, 1.0, 9.499307342172967), (True, 'futures', 'okx', 'isolated', 3, 10, 1.0, 13.193482419684678), # Gate/okx, long (False, 'futures', 'gate', 'isolated', 5.0, 10.0, 1.0, 8.085708510208207), (False, 'futures', 'gate', 'isolated', 3.0, 10.0, 1.0, 6.738090425173506), (False, 'futures', 'okx', 'isolated', 3.0, 10.0, 1.0, 6.738090425173506), # bybit, long (False, 'futures', 'bybit', 'isolated', 1.0, 10.0, 1.0, 0.1), (False, 'futures', 'bybit', 'isolated', 3.0, 10.0, 1.0, 6.7666666), (False, 'futures', 'bybit', 'isolated', 5.0, 10.0, 1.0, 8.1), (False, 'futures', 'bybit', 'isolated', 10.0, 10.0, 1.0, 9.1), # bybit, short (True, 'futures', 'bybit', 'isolated', 1.0, 10.0, 1.0, 19.9), (True, 'futures', 'bybit', 'isolated', 3.0, 10.0, 1.0, 13.233333), (True, 'futures', 'bybit', 'isolated', 5.0, 10.0, 1.0, 11.9), (True, 'futures', 'bybit', 'isolated', 10.0, 10.0, 1.0, 10.9), ] ) def test_get_liquidation_price( mocker, default_conf_usdt, is_short, trading_mode, exchange_name, margin_mode, leverage, open_rate, amount, expected_liq, liquidation_buffer, ): """ position = 0.2 * 5 wb: wallet balance (stake_amount if isolated) cum_b: maintenance amount side_1: -1 if is_short else 1 ep1: entry price mmr_b: maintenance margin ratio Binance, Short leverage = 5, open_rate = 10, amount = 1.0 ((wb + cum_b) - (side_1 * position * ep1)) / ((position * mmr_b) - (side_1 * position)) ((2 + 0.01) - ((-1) * 1 * 10)) / ((1 * 0.01) - ((-1) * 1)) = 11.89108910891089 leverage = 3, open_rate = 10, amount = 1.0 ((3.3333333333 + 0.01) - ((-1) * 1.0 * 10)) / ((1.0 * 0.01) - ((-1) * 1.0)) = 13.2112211220 leverage = 5, open_rate = 8, amount = 1.0 ((1.6 + 0.01) - ((-1) * 1 * 8)) / ((1 * 0.01) - ((-1) * 1)) = 9.514851485148514 leverage = 5, open_rate = 10, amount = 0.6 ((1.6 + 0.01) - ((-1) * 0.6 * 10)) / ((0.6 * 0.01) - ((-1) * 0.6)) = 12.557755775577558 Binance, Long leverage = 5, open_rate = 10, amount = 1.0 ((wb + cum_b) - (side_1 * position * ep1)) / ((position * mmr_b) - (side_1 * position)) ((2 + 0.01) - (1 * 1 * 10)) / ((1 * 0.01) - (1 * 1)) = 8.070707070707071 leverage = 5, open_rate = 8, amount = 1.0 ((1.6 + 0.01) - (1 * 1 * 8)) / ((1 * 0.01) - (1 * 1)) = 6.454545454545454 leverage = 3, open_rate = 10, amount = 1.0 ((2 + 0.01) - (1 * 0.6 * 10)) / ((0.6 * 0.01) - (1 * 0.6)) = 6.717171717171718 leverage = 5, open_rate = 10, amount = 0.6 ((1.6 + 0.01) - (1 * 0.6 * 10)) / ((0.6 * 0.01) - (1 * 0.6)) = 7.39057239057239 Gate/Okx, Short leverage = 5, open_rate = 10, amount = 1.0 (open_rate + (wallet_balance / position)) / (1 + (mm_ratio + taker_fee_rate)) (10 + (2 / 1.0)) / (1 + (0.01 + 0.0006)) = 11.87413417771621 leverage = 5, open_rate = 10, amount = 2.0 (10 + (4 / 2.0)) / (1 + (0.01 + 0.0006)) = 11.87413417771621 leverage = 3, open_rate = 10, amount = 1.0 (10 + (3.3333333333333 / 1.0)) / (1 - (0.01 + 0.0006)) = 13.476180850346978 leverage = 5, open_rate = 8, amount = 1.0 (8 + (1.6 / 1.0)) / (1 + (0.01 + 0.0006)) = 9.499307342172967 Gate/Okx, Long leverage = 5, open_rate = 10, amount = 1.0 (open_rate - (wallet_balance / position)) / (1 - (mm_ratio + taker_fee_rate)) (10 - (2 / 1)) / (1 - (0.01 + 0.0006)) = 8.085708510208207 leverage = 5, open_rate = 10, amount = 2.0 (10 - (4 / 2.0)) / (1 + (0.01 + 0.0006)) = 7.916089451810806 leverage = 3, open_rate = 10, amount = 1.0 (10 - (3.333333333333333333 / 1.0)) / (1 - (0.01 + 0.0006)) = 6.738090425173506 leverage = 5, open_rate = 8, amount = 1.0 (8 - (1.6 / 1.0)) / (1 + (0.01 + 0.0006)) = 6.332871561448645 """ default_conf_usdt['liquidation_buffer'] = liquidation_buffer default_conf_usdt['trading_mode'] = trading_mode default_conf_usdt['exchange']['name'] = exchange_name default_conf_usdt['margin_mode'] = margin_mode mocker.patch('freqtrade.exchange.gate.Gate.validate_ordertypes') exchange = get_patched_exchange(mocker, default_conf_usdt, id=exchange_name) exchange.get_maintenance_ratio_and_amt = MagicMock(return_value=(0.01, 0.01)) exchange.name = exchange_name # default_conf_usdt.update({ # "dry_run": False, # }) liq = exchange.get_liquidation_price( pair='ETH/USDT:USDT', open_rate=open_rate, amount=amount, stake_amount=amount * open_rate / leverage, wallet_balance=amount * open_rate / leverage, leverage=leverage, is_short=is_short, ) if expected_liq is None: assert liq is None else: buffer_amount = liquidation_buffer * abs(open_rate - expected_liq) expected_liq = expected_liq - buffer_amount if is_short else expected_liq + buffer_amount assert pytest.approx(expected_liq) == liq @pytest.mark.parametrize('contract_size,order_amount', [ (10, 10), (0.01, 10000), ]) def test_stoploss_contract_size(mocker, default_conf, contract_size, order_amount): api_mock = MagicMock() order_id = 'test_prod_buy_{}'.format(randint(0, 10 ** 6)) api_mock.create_order = MagicMock(return_value={ 'id': order_id, 'info': { 'foo': 'bar' }, 'amount': order_amount, 'cost': order_amount, 'filled': order_amount, 'remaining': order_amount, 'symbol': 'ETH/BTC', }) default_conf['dry_run'] = False mocker.patch(f'{EXMS}.amount_to_precision', lambda s, x, y: y) mocker.patch(f'{EXMS}.price_to_precision', lambda s, x, y, **kwargs: y) exchange = get_patched_exchange(mocker, default_conf, api_mock) exchange.get_contract_size = MagicMock(return_value=contract_size) api_mock.create_order.reset_mock() order = exchange.create_stoploss( pair='ETH/BTC', amount=100, stop_price=220, order_types={}, side='buy', leverage=1.0 ) assert api_mock.create_order.call_args_list[0][1]['amount'] == order_amount assert order['amount'] == 100 assert order['cost'] == 100 assert order['filled'] == 100 assert order['remaining'] == 100 def test_price_to_precision_with_default_conf(default_conf, mocker): conf = copy.deepcopy(default_conf) patched_ex = get_patched_exchange(mocker, conf) prec_price = patched_ex.price_to_precision("XRP/USDT", 1.0000000101) assert prec_price == 1.00000001