3527 lines
122 KiB
Python
3527 lines
122 KiB
Python
# pragma pylint: disable=missing-docstring
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import json
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import logging
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import re
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from copy import deepcopy
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from datetime import datetime, timedelta
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from pathlib import Path
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from typing import Optional
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from unittest.mock import MagicMock, Mock, PropertyMock
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import arrow
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import numpy as np
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import pandas as pd
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import pytest
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from telegram import Chat, Message, Update
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from freqtrade import constants
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from freqtrade.commands import Arguments
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from freqtrade.data.converter import ohlcv_to_dataframe
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from freqtrade.edge import PairInfo
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from freqtrade.enums import CandleType, MarginMode, RunMode, SignalDirection, TradingMode
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from freqtrade.exchange import Exchange
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from freqtrade.exchange.exchange import timeframe_to_minutes
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from freqtrade.freqtradebot import FreqtradeBot
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from freqtrade.persistence import LocalTrade, Order, Trade, init_db
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from freqtrade.resolvers import ExchangeResolver
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from freqtrade.worker import Worker
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from tests.conftest_trades import (leverage_trade, mock_trade_1, mock_trade_2, mock_trade_3,
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mock_trade_4, mock_trade_5, mock_trade_6, short_trade)
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from tests.conftest_trades_usdt import (mock_trade_usdt_1, mock_trade_usdt_2, mock_trade_usdt_3,
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mock_trade_usdt_4, mock_trade_usdt_5, mock_trade_usdt_6,
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mock_trade_usdt_7)
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logging.getLogger('').setLevel(logging.INFO)
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# Do not mask numpy errors as warnings that no one read, raise the exсeption
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np.seterr(all='raise')
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CURRENT_TEST_STRATEGY = 'StrategyTestV3'
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TRADE_SIDES = ('long', 'short')
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EXMS = 'freqtrade.exchange.exchange.Exchange'
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def pytest_addoption(parser):
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parser.addoption('--longrun', action='store_true', dest="longrun",
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default=False, help="Enable long-run tests (ccxt compat)")
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def pytest_configure(config):
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config.addinivalue_line(
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"markers", "longrun: mark test that is running slowly and should not be run regularily"
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)
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if not config.option.longrun:
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setattr(config.option, 'markexpr', 'not longrun')
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def log_has(line, logs):
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"""Check if line is found on some caplog's message."""
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return any(line == message for message in logs.messages)
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def log_has_when(line, logs, when):
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"""Check if line is found in caplog's messages during a specified stage"""
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return any(line == message.message for message in logs.get_records(when))
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def log_has_re(line, logs):
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"""Check if line matches some caplog's message."""
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return any(re.match(line, message) for message in logs.messages)
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def num_log_has(line, logs):
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"""Check how many times line is found in caplog's messages."""
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return sum(line == message for message in logs.messages)
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def num_log_has_re(line, logs):
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"""Check how many times line matches caplog's messages."""
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return sum(bool(re.match(line, message)) for message in logs.messages)
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def get_args(args):
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return Arguments(args).get_parsed_arg()
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def generate_test_data(timeframe: str, size: int, start: str = '2020-07-05'):
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np.random.seed(42)
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tf_mins = timeframe_to_minutes(timeframe)
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base = np.random.normal(20, 2, size=size)
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date = pd.date_range(start, periods=size, freq=f'{tf_mins}min', tz='UTC')
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df = pd.DataFrame({
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'date': date,
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'open': base,
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'high': base + np.random.normal(2, 1, size=size),
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'low': base - np.random.normal(2, 1, size=size),
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'close': base + np.random.normal(0, 1, size=size),
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'volume': np.random.normal(200, size=size)
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}
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)
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df = df.dropna()
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return df
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def generate_test_data_raw(timeframe: str, size: int, start: str = '2020-07-05'):
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""" Generates data in the ohlcv format used by ccxt """
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df = generate_test_data(timeframe, size, start)
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df['date'] = df.loc[:, 'date'].view(np.int64) // 1000 // 1000
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return list(list(x) for x in zip(*(df[x].values.tolist() for x in df.columns)))
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# Source: https://stackoverflow.com/questions/29881236/how-to-mock-asyncio-coroutines
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# TODO: This should be replaced with AsyncMock once support for python 3.7 is dropped.
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def get_mock_coro(return_value=None, side_effect=None):
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async def mock_coro(*args, **kwargs):
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if side_effect:
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if isinstance(side_effect, list):
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effect = side_effect.pop(0)
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else:
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effect = side_effect
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if isinstance(effect, Exception):
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raise effect
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if callable(effect):
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return effect(*args, **kwargs)
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return effect
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else:
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return return_value
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return Mock(wraps=mock_coro)
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def patched_configuration_load_config_file(mocker, config) -> None:
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mocker.patch(
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'freqtrade.configuration.load_config.load_config_file',
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lambda *args, **kwargs: config
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)
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def patch_exchange(
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mocker,
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api_mock=None,
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id='binance',
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mock_markets=True,
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mock_supported_modes=True
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) -> None:
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mocker.patch(f'{EXMS}._load_async_markets', return_value={})
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mocker.patch(f'{EXMS}.validate_config', MagicMock())
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mocker.patch(f'{EXMS}.validate_timeframes', MagicMock())
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mocker.patch(f'{EXMS}.id', PropertyMock(return_value=id))
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mocker.patch(f'{EXMS}.name', PropertyMock(return_value=id.title()))
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mocker.patch(f'{EXMS}.precisionMode', PropertyMock(return_value=2))
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if mock_markets:
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if isinstance(mock_markets, bool):
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mock_markets = get_markets()
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mocker.patch(f'{EXMS}.markets', PropertyMock(return_value=mock_markets))
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if mock_supported_modes:
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mocker.patch(
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f'freqtrade.exchange.{id}.{id.capitalize()}._supported_trading_mode_margin_pairs',
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PropertyMock(return_value=[
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(TradingMode.MARGIN, MarginMode.CROSS),
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(TradingMode.MARGIN, MarginMode.ISOLATED),
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(TradingMode.FUTURES, MarginMode.CROSS),
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(TradingMode.FUTURES, MarginMode.ISOLATED)
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])
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)
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if api_mock:
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mocker.patch(f'{EXMS}._init_ccxt', return_value=api_mock)
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else:
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mocker.patch(f'{EXMS}._init_ccxt', MagicMock())
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mocker.patch(f'{EXMS}.timeframes', PropertyMock(
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return_value=['5m', '15m', '1h', '1d']))
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def get_patched_exchange(mocker, config, api_mock=None, id='binance',
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mock_markets=True, mock_supported_modes=True) -> Exchange:
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patch_exchange(mocker, api_mock, id, mock_markets, mock_supported_modes)
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config['exchange']['name'] = id
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try:
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exchange = ExchangeResolver.load_exchange(id, config, load_leverage_tiers=True)
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except ImportError:
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exchange = Exchange(config)
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return exchange
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def patch_wallet(mocker, free=999.9) -> None:
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mocker.patch('freqtrade.wallets.Wallets.get_free', MagicMock(
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return_value=free
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))
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def patch_whitelist(mocker, conf) -> None:
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mocker.patch('freqtrade.freqtradebot.FreqtradeBot._refresh_active_whitelist',
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MagicMock(return_value=conf['exchange']['pair_whitelist']))
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def patch_edge(mocker) -> None:
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# "ETH/BTC",
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# "LTC/BTC",
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# "XRP/BTC",
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# "NEO/BTC"
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mocker.patch('freqtrade.edge.Edge._cached_pairs', mocker.PropertyMock(
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return_value={
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'NEO/BTC': PairInfo(-0.20, 0.66, 3.71, 0.50, 1.71, 10, 25),
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'LTC/BTC': PairInfo(-0.21, 0.66, 3.71, 0.50, 1.71, 11, 20),
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}
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))
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mocker.patch('freqtrade.edge.Edge.calculate', MagicMock(return_value=True))
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# Functions for recurrent object patching
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def patch_freqtradebot(mocker, config) -> None:
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"""
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This function patch _init_modules() to not call dependencies
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:param mocker: a Mocker object to apply patches
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:param config: Config to pass to the bot
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:return: None
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"""
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mocker.patch('freqtrade.freqtradebot.RPCManager', MagicMock())
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patch_exchange(mocker)
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mocker.patch('freqtrade.freqtradebot.RPCManager._init', MagicMock())
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mocker.patch('freqtrade.freqtradebot.RPCManager.send_msg', MagicMock())
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patch_whitelist(mocker, config)
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mocker.patch('freqtrade.freqtradebot.ExternalMessageConsumer')
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mocker.patch('freqtrade.configuration.config_validation._validate_consumers')
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def get_patched_freqtradebot(mocker, config) -> FreqtradeBot:
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"""
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This function patches _init_modules() to not call dependencies
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:param mocker: a Mocker object to apply patches
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:param config: Config to pass to the bot
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:return: FreqtradeBot
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"""
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patch_freqtradebot(mocker, config)
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return FreqtradeBot(config)
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def get_patched_worker(mocker, config) -> Worker:
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"""
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This function patches _init_modules() to not call dependencies
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:param mocker: a Mocker object to apply patches
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||
:param config: Config to pass to the bot
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:return: Worker
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"""
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patch_freqtradebot(mocker, config)
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return Worker(args=None, config=config)
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||
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def patch_get_signal(
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freqtrade: FreqtradeBot,
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enter_long=True,
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exit_long=False,
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enter_short=False,
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exit_short=False,
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enter_tag: Optional[str] = None,
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exit_tag: Optional[str] = None,
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) -> None:
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"""
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:param mocker: mocker to patch IStrategy class
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:return: None
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"""
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# returns (Signal-direction, signaname)
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def patched_get_entry_signal(*args, **kwargs):
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direction = None
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if enter_long and not any([exit_long, enter_short]):
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direction = SignalDirection.LONG
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if enter_short and not any([exit_short, enter_long]):
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direction = SignalDirection.SHORT
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return direction, enter_tag
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freqtrade.strategy.get_entry_signal = patched_get_entry_signal
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def patched_get_exit_signal(pair, timeframe, dataframe, is_short):
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if is_short:
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return enter_short, exit_short, exit_tag
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else:
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return enter_long, exit_long, exit_tag
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# returns (enter, exit)
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freqtrade.strategy.get_exit_signal = patched_get_exit_signal
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freqtrade.exchange.refresh_latest_ohlcv = lambda p: None
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def create_mock_trades(fee, is_short: Optional[bool] = False, use_db: bool = True):
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"""
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Create some fake trades ...
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:param is_short: Optional bool, None creates a mix of long and short trades.
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"""
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||
def add_trade(trade):
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if use_db:
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Trade.session.add(trade)
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else:
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LocalTrade.add_bt_trade(trade)
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is_short1 = is_short if is_short is not None else True
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is_short2 = is_short if is_short is not None else False
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# Simulate dry_run entries
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trade = mock_trade_1(fee, is_short1)
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add_trade(trade)
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trade = mock_trade_2(fee, is_short1)
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add_trade(trade)
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trade = mock_trade_3(fee, is_short2)
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add_trade(trade)
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trade = mock_trade_4(fee, is_short2)
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add_trade(trade)
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trade = mock_trade_5(fee, is_short2)
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add_trade(trade)
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trade = mock_trade_6(fee, is_short1)
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add_trade(trade)
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if use_db:
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Trade.commit()
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def create_mock_trades_with_leverage(fee, use_db: bool = True):
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"""
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Create some fake trades ...
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||
"""
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if use_db:
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Trade.session.rollback()
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||
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def add_trade(trade):
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if use_db:
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Trade.session.add(trade)
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else:
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LocalTrade.add_bt_trade(trade)
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# Simulate dry_run entries
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trade = mock_trade_1(fee, False)
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add_trade(trade)
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trade = mock_trade_2(fee, False)
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add_trade(trade)
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trade = mock_trade_3(fee, False)
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add_trade(trade)
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trade = mock_trade_4(fee, False)
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add_trade(trade)
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trade = mock_trade_5(fee, False)
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add_trade(trade)
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trade = mock_trade_6(fee, False)
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add_trade(trade)
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trade = short_trade(fee)
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add_trade(trade)
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trade = leverage_trade(fee)
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add_trade(trade)
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||
|
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if use_db:
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Trade.session.flush()
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||
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||
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def create_mock_trades_usdt(fee, is_short: Optional[bool] = False, use_db: bool = True):
|
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"""
|
||
Create some fake trades ...
|
||
"""
|
||
def add_trade(trade):
|
||
if use_db:
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||
Trade.session.add(trade)
|
||
else:
|
||
LocalTrade.add_bt_trade(trade)
|
||
|
||
is_short1 = is_short if is_short is not None else True
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||
is_short2 = is_short if is_short is not None else False
|
||
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||
# Simulate dry_run entries
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||
trade = mock_trade_usdt_1(fee, is_short1)
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add_trade(trade)
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||
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||
trade = mock_trade_usdt_2(fee, is_short1)
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add_trade(trade)
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||
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trade = mock_trade_usdt_3(fee, is_short1)
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add_trade(trade)
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||
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||
trade = mock_trade_usdt_4(fee, is_short2)
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add_trade(trade)
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||
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trade = mock_trade_usdt_5(fee, is_short2)
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add_trade(trade)
|
||
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||
trade = mock_trade_usdt_6(fee, is_short1)
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||
add_trade(trade)
|
||
|
||
trade = mock_trade_usdt_7(fee, is_short1)
|
||
add_trade(trade)
|
||
if use_db:
|
||
Trade.commit()
|
||
|
||
|
||
@pytest.fixture(autouse=True)
|
||
def patch_gc(mocker) -> None:
|
||
mocker.patch("freqtrade.main.gc_set_threshold")
|
||
|
||
|
||
@pytest.fixture(autouse=True)
|
||
def patch_coingekko(mocker) -> None:
|
||
"""
|
||
Mocker to coingekko to speed up tests
|
||
:param mocker: mocker to patch coingekko class
|
||
:return: None
|
||
"""
|
||
|
||
tickermock = MagicMock(return_value={'bitcoin': {'usd': 12345.0}, 'ethereum': {'usd': 12345.0}})
|
||
listmock = MagicMock(return_value=[{'id': 'bitcoin', 'name': 'Bitcoin', 'symbol': 'btc',
|
||
'website_slug': 'bitcoin'},
|
||
{'id': 'ethereum', 'name': 'Ethereum', 'symbol': 'eth',
|
||
'website_slug': 'ethereum'}
|
||
])
|
||
mocker.patch.multiple(
|
||
'freqtrade.rpc.fiat_convert.CoinGeckoAPI',
|
||
get_price=tickermock,
|
||
get_coins_list=listmock,
|
||
|
||
)
|
||
|
||
|
||
@pytest.fixture(scope='function')
|
||
def init_persistence(default_conf):
|
||
init_db(default_conf['db_url'])
|
||
|
||
|
||
@pytest.fixture(scope="function")
|
||
def default_conf(testdatadir):
|
||
return get_default_conf(testdatadir)
|
||
|
||
|
||
@pytest.fixture(scope="function")
|
||
def default_conf_usdt(testdatadir):
|
||
return get_default_conf_usdt(testdatadir)
|
||
|
||
|
||
def get_default_conf(testdatadir):
|
||
""" Returns validated configuration suitable for most tests """
|
||
configuration = {
|
||
"max_open_trades": 1,
|
||
"stake_currency": "BTC",
|
||
"stake_amount": 0.001,
|
||
"fiat_display_currency": "USD",
|
||
"timeframe": '5m',
|
||
"dry_run": True,
|
||
"cancel_open_orders_on_exit": False,
|
||
"minimal_roi": {
|
||
"40": 0.0,
|
||
"30": 0.01,
|
||
"20": 0.02,
|
||
"0": 0.04
|
||
},
|
||
"dry_run_wallet": 1000,
|
||
"stoploss": -0.10,
|
||
"unfilledtimeout": {
|
||
"entry": 10,
|
||
"exit": 30
|
||
},
|
||
"entry_pricing": {
|
||
"price_last_balance": 0.0,
|
||
"use_order_book": False,
|
||
"order_book_top": 1,
|
||
"check_depth_of_market": {
|
||
"enabled": False,
|
||
"bids_to_ask_delta": 1
|
||
}
|
||
},
|
||
"exit_pricing": {
|
||
"use_order_book": False,
|
||
"order_book_top": 1,
|
||
},
|
||
"exchange": {
|
||
"name": "binance",
|
||
"enabled": True,
|
||
"key": "key",
|
||
"secret": "secret",
|
||
"pair_whitelist": [
|
||
"ETH/BTC",
|
||
"LTC/BTC",
|
||
"XRP/BTC",
|
||
"NEO/BTC"
|
||
],
|
||
"pair_blacklist": [
|
||
"DOGE/BTC",
|
||
"HOT/BTC",
|
||
]
|
||
},
|
||
"pairlists": [
|
||
{"method": "StaticPairList"}
|
||
],
|
||
"telegram": {
|
||
"enabled": True,
|
||
"token": "token",
|
||
"chat_id": "0",
|
||
"notification_settings": {},
|
||
},
|
||
"datadir": Path(testdatadir),
|
||
"initial_state": "running",
|
||
"db_url": "sqlite://",
|
||
"user_data_dir": Path("user_data"),
|
||
"verbosity": 3,
|
||
"strategy_path": str(Path(__file__).parent / "strategy" / "strats"),
|
||
"strategy": CURRENT_TEST_STRATEGY,
|
||
"disableparamexport": True,
|
||
"internals": {},
|
||
"export": "none",
|
||
"candle_type_def": CandleType.SPOT,
|
||
}
|
||
return configuration
|
||
|
||
|
||
def get_default_conf_usdt(testdatadir):
|
||
configuration = get_default_conf(testdatadir)
|
||
configuration.update({
|
||
"stake_amount": 60.0,
|
||
"stake_currency": "USDT",
|
||
"exchange": {
|
||
"name": "binance",
|
||
"enabled": True,
|
||
"key": "key",
|
||
"secret": "secret",
|
||
"pair_whitelist": [
|
||
"ETH/USDT",
|
||
"LTC/USDT",
|
||
"XRP/USDT",
|
||
"NEO/USDT",
|
||
"TKN/USDT",
|
||
],
|
||
"pair_blacklist": [
|
||
"DOGE/USDT",
|
||
"HOT/USDT",
|
||
]
|
||
},
|
||
})
|
||
return configuration
|
||
|
||
|
||
@pytest.fixture
|
||
def update():
|
||
_update = Update(0)
|
||
_update.message = Message(0, datetime.utcnow(), Chat(0, 0))
|
||
return _update
|
||
|
||
|
||
@pytest.fixture
|
||
def fee():
|
||
return MagicMock(return_value=0.0025)
|
||
|
||
|
||
@pytest.fixture
|
||
def ticker():
|
||
return MagicMock(return_value={
|
||
'bid': 0.00001098,
|
||
'ask': 0.00001099,
|
||
'last': 0.00001098,
|
||
})
|
||
|
||
|
||
@pytest.fixture
|
||
def ticker_sell_up():
|
||
return MagicMock(return_value={
|
||
'bid': 0.00001172,
|
||
'ask': 0.00001173,
|
||
'last': 0.00001172,
|
||
})
|
||
|
||
|
||
@pytest.fixture
|
||
def ticker_sell_down():
|
||
return MagicMock(return_value={
|
||
'bid': 0.00001044,
|
||
'ask': 0.00001043,
|
||
'last': 0.00001044,
|
||
})
|
||
|
||
|
||
@pytest.fixture
|
||
def ticker_usdt():
|
||
return MagicMock(return_value={
|
||
'bid': 2.0,
|
||
'ask': 2.02,
|
||
'last': 2.0,
|
||
})
|
||
|
||
|
||
@pytest.fixture
|
||
def ticker_usdt_sell_up():
|
||
return MagicMock(return_value={
|
||
'bid': 2.2,
|
||
'ask': 2.3,
|
||
'last': 2.2,
|
||
})
|
||
|
||
|
||
@pytest.fixture
|
||
def ticker_usdt_sell_down():
|
||
return MagicMock(return_value={
|
||
'bid': 2.01,
|
||
'ask': 2.0,
|
||
'last': 2.01,
|
||
})
|
||
|
||
|
||
@pytest.fixture
|
||
def markets():
|
||
return get_markets()
|
||
|
||
|
||
def get_markets():
|
||
# See get_markets_static() for immutable markets and do not modify them unless absolutely
|
||
# necessary!
|
||
return {
|
||
'ETH/BTC': {
|
||
'id': 'ethbtc',
|
||
'symbol': 'ETH/BTC',
|
||
'base': 'ETH',
|
||
'quote': 'BTC',
|
||
'active': True,
|
||
'spot': True,
|
||
'swap': False,
|
||
'linear': None,
|
||
'type': 'spot',
|
||
'precision': {
|
||
'price': 8,
|
||
'amount': 8,
|
||
'cost': 8,
|
||
},
|
||
'lot': 0.00000001,
|
||
'contractSize': None,
|
||
'limits': {
|
||
'amount': {
|
||
'min': 0.01,
|
||
'max': 100000000,
|
||
},
|
||
'price': {
|
||
'min': None,
|
||
'max': 500000,
|
||
},
|
||
'cost': {
|
||
'min': 0.0001,
|
||
'max': 500000,
|
||
},
|
||
'leverage': {
|
||
'min': 1.0,
|
||
'max': 2.0
|
||
}
|
||
},
|
||
},
|
||
'TKN/BTC': {
|
||
'id': 'tknbtc',
|
||
'symbol': 'TKN/BTC',
|
||
'base': 'TKN',
|
||
'quote': 'BTC',
|
||
# According to ccxt, markets without active item set are also active
|
||
# 'active': True,
|
||
'spot': True,
|
||
'swap': False,
|
||
'linear': None,
|
||
'type': 'spot',
|
||
'precision': {
|
||
'price': 8,
|
||
'amount': 8,
|
||
'cost': 8,
|
||
},
|
||
'lot': 0.00000001,
|
||
'contractSize': None,
|
||
'limits': {
|
||
'amount': {
|
||
'min': 0.01,
|
||
'max': 100000000,
|
||
},
|
||
'price': {
|
||
'min': None,
|
||
'max': 500000,
|
||
},
|
||
'cost': {
|
||
'min': 0.0001,
|
||
'max': 500000,
|
||
},
|
||
'leverage': {
|
||
'min': 1.0,
|
||
'max': 5.0
|
||
}
|
||
},
|
||
},
|
||
'BLK/BTC': {
|
||
'id': 'blkbtc',
|
||
'symbol': 'BLK/BTC',
|
||
'base': 'BLK',
|
||
'quote': 'BTC',
|
||
'active': True,
|
||
'spot': True,
|
||
'swap': False,
|
||
'linear': None,
|
||
'type': 'spot',
|
||
'precision': {
|
||
'price': 8,
|
||
'amount': 8,
|
||
'cost': 8,
|
||
},
|
||
'lot': 0.00000001,
|
||
'contractSize': None,
|
||
'limits': {
|
||
'amount': {
|
||
'min': 0.01,
|
||
'max': 1000,
|
||
},
|
||
'price': {
|
||
'min': None,
|
||
'max': 500000,
|
||
},
|
||
'cost': {
|
||
'min': 0.0001,
|
||
'max': 500000,
|
||
},
|
||
'leverage': {
|
||
'min': 1.0,
|
||
'max': 3.0
|
||
},
|
||
},
|
||
},
|
||
'LTC/BTC': {
|
||
'id': 'ltcbtc',
|
||
'symbol': 'LTC/BTC',
|
||
'base': 'LTC',
|
||
'quote': 'BTC',
|
||
'active': True,
|
||
'spot': True,
|
||
'swap': False,
|
||
'linear': None,
|
||
'type': 'spot',
|
||
'precision': {
|
||
'price': 8,
|
||
'amount': 8,
|
||
'cost': 8,
|
||
},
|
||
'lot': 0.00000001,
|
||
'contractSize': None,
|
||
'limits': {
|
||
'amount': {
|
||
'min': 0.01,
|
||
'max': 100000000,
|
||
},
|
||
'price': {
|
||
'min': None,
|
||
'max': 500000,
|
||
},
|
||
'cost': {
|
||
'min': 0.0001,
|
||
'max': 500000,
|
||
},
|
||
'leverage': {
|
||
'min': None,
|
||
'max': None
|
||
},
|
||
},
|
||
'info': {},
|
||
},
|
||
'XRP/BTC': {
|
||
'id': 'xrpbtc',
|
||
'symbol': 'XRP/BTC',
|
||
'base': 'XRP',
|
||
'quote': 'BTC',
|
||
'active': True,
|
||
'spot': True,
|
||
'swap': False,
|
||
'linear': None,
|
||
'type': 'spot',
|
||
'precision': {
|
||
'price': 8,
|
||
'amount': 8,
|
||
'cost': 8,
|
||
},
|
||
'lot': 0.00000001,
|
||
'contractSize': None,
|
||
'limits': {
|
||
'amount': {
|
||
'min': 0.01,
|
||
'max': 100000000,
|
||
},
|
||
'price': {
|
||
'min': None,
|
||
'max': 500000,
|
||
},
|
||
'cost': {
|
||
'min': 0.0001,
|
||
'max': 500000,
|
||
},
|
||
'leverage': {
|
||
'min': None,
|
||
'max': None,
|
||
},
|
||
},
|
||
'info': {},
|
||
},
|
||
'NEO/BTC': {
|
||
'id': 'neobtc',
|
||
'symbol': 'NEO/BTC',
|
||
'base': 'NEO',
|
||
'quote': 'BTC',
|
||
'active': True,
|
||
'spot': True,
|
||
'swap': False,
|
||
'linear': None,
|
||
'type': 'spot',
|
||
'precision': {
|
||
'price': 8,
|
||
'amount': 8,
|
||
'cost': 8,
|
||
},
|
||
'lot': 0.00000001,
|
||
'contractSize': None,
|
||
'limits': {
|
||
'amount': {
|
||
'min': 0.01,
|
||
'max': 100000000,
|
||
},
|
||
'price': {
|
||
'min': None,
|
||
'max': 500000,
|
||
},
|
||
'cost': {
|
||
'min': 0.0001,
|
||
'max': 500000,
|
||
},
|
||
'leverage': {
|
||
'min': None,
|
||
'max': None,
|
||
},
|
||
},
|
||
'info': {},
|
||
},
|
||
'BTT/BTC': {
|
||
'id': 'BTTBTC',
|
||
'symbol': 'BTT/BTC',
|
||
'base': 'BTT',
|
||
'quote': 'BTC',
|
||
'active': False,
|
||
'spot': True,
|
||
'swap': False,
|
||
'linear': None,
|
||
'type': 'spot',
|
||
'contractSize': None,
|
||
'precision': {
|
||
'base': 8,
|
||
'quote': 8,
|
||
'amount': 0,
|
||
'price': 8
|
||
},
|
||
'limits': {
|
||
'amount': {
|
||
'min': 1.0,
|
||
'max': 90000000.0
|
||
},
|
||
'price': {
|
||
'min': None,
|
||
'max': None
|
||
},
|
||
'cost': {
|
||
'min': 0.0001,
|
||
'max': None
|
||
},
|
||
'leverage': {
|
||
'min': None,
|
||
'max': None,
|
||
},
|
||
},
|
||
'info': {},
|
||
},
|
||
'ETH/USDT': {
|
||
'id': 'USDT-ETH',
|
||
'symbol': 'ETH/USDT',
|
||
'base': 'ETH',
|
||
'quote': 'USDT',
|
||
'settle': None,
|
||
'baseId': 'ETH',
|
||
'quoteId': 'USDT',
|
||
'settleId': None,
|
||
'type': 'spot',
|
||
'spot': True,
|
||
'margin': True,
|
||
'swap': True,
|
||
'future': True,
|
||
'option': False,
|
||
'active': True,
|
||
'contract': None,
|
||
'linear': None,
|
||
'inverse': None,
|
||
'taker': 0.0006,
|
||
'maker': 0.0002,
|
||
'contractSize': None,
|
||
'expiry': None,
|
||
'expiryDateTime': None,
|
||
'strike': None,
|
||
'optionType': None,
|
||
'precision': {
|
||
'amount': 8,
|
||
'price': 8,
|
||
},
|
||
'limits': {
|
||
'leverage': {
|
||
'min': 1,
|
||
'max': 100,
|
||
},
|
||
'amount': {
|
||
'min': 0.02214286,
|
||
'max': None,
|
||
},
|
||
'price': {
|
||
'min': 1e-08,
|
||
'max': None,
|
||
},
|
||
'cost': {
|
||
'min': None,
|
||
'max': None,
|
||
},
|
||
},
|
||
'info': {
|
||
'maintenance_rate': '0.005',
|
||
},
|
||
},
|
||
'LTC/USDT': {
|
||
'id': 'USDT-LTC',
|
||
'symbol': 'LTC/USDT',
|
||
'base': 'LTC',
|
||
'quote': 'USDT',
|
||
'active': False,
|
||
'spot': True,
|
||
'future': True,
|
||
'swap': True,
|
||
'margin': True,
|
||
'linear': None,
|
||
'inverse': False,
|
||
'type': 'spot',
|
||
'contractSize': None,
|
||
'taker': 0.0006,
|
||
'maker': 0.0002,
|
||
'precision': {
|
||
'amount': 8,
|
||
'price': 8
|
||
},
|
||
'limits': {
|
||
'amount': {
|
||
'min': 0.06646786,
|
||
'max': None
|
||
},
|
||
'price': {
|
||
'min': 1e-08,
|
||
'max': None
|
||
},
|
||
'leverage': {
|
||
'min': None,
|
||
'max': None,
|
||
},
|
||
'cost': {
|
||
'min': None,
|
||
'max': None,
|
||
},
|
||
},
|
||
'info': {},
|
||
},
|
||
'XRP/USDT': {
|
||
'id': 'xrpusdt',
|
||
'symbol': 'XRP/USDT',
|
||
'base': 'XRP',
|
||
'quote': 'USDT',
|
||
'active': True,
|
||
'spot': True,
|
||
'swap': False,
|
||
'linear': None,
|
||
'type': 'spot',
|
||
'taker': 0.0006,
|
||
'maker': 0.0002,
|
||
'precision': {
|
||
'price': 8,
|
||
'amount': 8,
|
||
'cost': 8,
|
||
},
|
||
'lot': 0.00000001,
|
||
'contractSize': None,
|
||
'limits': {
|
||
'amount': {
|
||
'min': 0.01,
|
||
'max': 1000,
|
||
},
|
||
'price': {
|
||
'min': None,
|
||
'max': 500000,
|
||
},
|
||
'cost': {
|
||
'min': 0.0001,
|
||
'max': 500000,
|
||
},
|
||
},
|
||
'info': {},
|
||
},
|
||
'NEO/USDT': {
|
||
'id': 'neousdt',
|
||
'symbol': 'NEO/USDT',
|
||
'base': 'NEO',
|
||
'quote': 'USDT',
|
||
'settle': '',
|
||
'baseId': 'NEO',
|
||
'quoteId': 'USDT',
|
||
'settleId': '',
|
||
'type': 'spot',
|
||
'spot': True,
|
||
'margin': True,
|
||
'swap': False,
|
||
'futures': False,
|
||
'option': False,
|
||
'active': True,
|
||
'contract': False,
|
||
'linear': None,
|
||
'inverse': None,
|
||
'taker': 0.0006,
|
||
'maker': 0.0002,
|
||
'contractSize': None,
|
||
'expiry': None,
|
||
'expiryDatetime': None,
|
||
'strike': None,
|
||
'optionType': None,
|
||
'tierBased': None,
|
||
'percentage': None,
|
||
'lot': 0.00000001,
|
||
'precision': {
|
||
'price': 8,
|
||
'amount': 8,
|
||
'cost': 8,
|
||
},
|
||
'limits': {
|
||
"leverage": {
|
||
'min': 1,
|
||
'max': 10
|
||
},
|
||
'amount': {
|
||
'min': 0.01,
|
||
'max': 1000,
|
||
},
|
||
'price': {
|
||
'min': None,
|
||
'max': 500000,
|
||
},
|
||
'cost': {
|
||
'min': 0.0001,
|
||
'max': 500000,
|
||
},
|
||
},
|
||
'info': {},
|
||
},
|
||
'TKN/USDT': {
|
||
'id': 'tknusdt',
|
||
'symbol': 'TKN/USDT',
|
||
'base': 'TKN',
|
||
'quote': 'USDT',
|
||
'active': True,
|
||
'spot': True,
|
||
'swap': False,
|
||
'linear': None,
|
||
'type': 'spot',
|
||
'contractSize': None,
|
||
'taker': 0.0006,
|
||
'maker': 0.0002,
|
||
'precision': {
|
||
'price': 8,
|
||
'amount': 8,
|
||
'cost': 8,
|
||
},
|
||
'lot': 0.00000001,
|
||
'limits': {
|
||
'amount': {
|
||
'min': 0.01,
|
||
'max': 100000000000,
|
||
},
|
||
'price': {
|
||
'min': None,
|
||
'max': 500000
|
||
},
|
||
'cost': {
|
||
'min': 0.0001,
|
||
'max': 500000,
|
||
},
|
||
'leverage': {
|
||
'min': None,
|
||
'max': None,
|
||
},
|
||
},
|
||
'info': {},
|
||
},
|
||
'LTC/USD': {
|
||
'id': 'USD-LTC',
|
||
'symbol': 'LTC/USD',
|
||
'base': 'LTC',
|
||
'quote': 'USD',
|
||
'active': True,
|
||
'spot': True,
|
||
'swap': False,
|
||
'linear': None,
|
||
'type': 'spot',
|
||
'contractSize': None,
|
||
'precision': {
|
||
'amount': 8,
|
||
'price': 8
|
||
},
|
||
'limits': {
|
||
'amount': {
|
||
'min': 0.06646786,
|
||
'max': None
|
||
},
|
||
'price': {
|
||
'min': 1e-08,
|
||
'max': None
|
||
},
|
||
'leverage': {
|
||
'min': None,
|
||
'max': None,
|
||
},
|
||
'cost': {
|
||
'min': None,
|
||
'max': None,
|
||
},
|
||
},
|
||
'info': {},
|
||
},
|
||
'XLTCUSDT': {
|
||
'id': 'xLTCUSDT',
|
||
'symbol': 'XLTCUSDT',
|
||
'base': 'LTC',
|
||
'quote': 'USDT',
|
||
'active': True,
|
||
'spot': False,
|
||
'type': 'swap',
|
||
'contractSize': 0.01,
|
||
'swap': False,
|
||
'linear': False,
|
||
'taker': 0.0006,
|
||
'maker': 0.0002,
|
||
'precision': {
|
||
'amount': 8,
|
||
'price': 8
|
||
},
|
||
'limits': {
|
||
'leverage': {
|
||
'min': None,
|
||
'max': None,
|
||
},
|
||
'amount': {
|
||
'min': 0.06646786,
|
||
'max': None
|
||
},
|
||
'price': {
|
||
'min': 1e-08,
|
||
'max': None
|
||
},
|
||
'cost': {
|
||
'min': None,
|
||
'max': None,
|
||
},
|
||
},
|
||
'info': {},
|
||
},
|
||
'LTC/ETH': {
|
||
'id': 'LTCETH',
|
||
'symbol': 'LTC/ETH',
|
||
'base': 'LTC',
|
||
'quote': 'ETH',
|
||
'active': True,
|
||
'spot': True,
|
||
'swap': False,
|
||
'linear': None,
|
||
'type': 'spot',
|
||
'contractSize': None,
|
||
'precision': {
|
||
'base': 8,
|
||
'quote': 8,
|
||
'amount': 3,
|
||
'price': 5
|
||
},
|
||
'limits': {
|
||
'leverage': {
|
||
'min': None,
|
||
'max': None,
|
||
},
|
||
'amount': {
|
||
'min': 0.001,
|
||
'max': 10000000.0
|
||
},
|
||
'price': {
|
||
'min': 1e-05,
|
||
'max': 1000.0
|
||
},
|
||
'cost': {
|
||
'min': 0.01,
|
||
'max': None
|
||
}
|
||
},
|
||
'info': {
|
||
}
|
||
},
|
||
'ETH/USDT:USDT': {
|
||
'id': 'ETH_USDT',
|
||
'symbol': 'ETH/USDT:USDT',
|
||
'base': 'ETH',
|
||
'quote': 'USDT',
|
||
'settle': 'USDT',
|
||
'baseId': 'ETH',
|
||
'quoteId': 'USDT',
|
||
'settleId': 'USDT',
|
||
'type': 'swap',
|
||
'spot': False,
|
||
'margin': False,
|
||
'swap': True,
|
||
'future': True, # Binance mode ...
|
||
'option': False,
|
||
'contract': True,
|
||
'linear': True,
|
||
'inverse': False,
|
||
'tierBased': False,
|
||
'percentage': True,
|
||
'taker': 0.0006,
|
||
'maker': 0.0002,
|
||
'contractSize': 10,
|
||
'active': True,
|
||
'expiry': None,
|
||
'expiryDatetime': None,
|
||
'strike': None,
|
||
'optionType': None,
|
||
'limits': {
|
||
'leverage': {
|
||
'min': 1,
|
||
'max': 100
|
||
},
|
||
'amount': {
|
||
'min': 1,
|
||
'max': 300000
|
||
},
|
||
'price': {
|
||
'min': None,
|
||
'max': None,
|
||
},
|
||
'cost': {
|
||
'min': None,
|
||
'max': None,
|
||
}
|
||
},
|
||
'precision': {
|
||
'price': 0.05,
|
||
'amount': 1
|
||
},
|
||
'info': {}
|
||
},
|
||
'ADA/USDT:USDT': {
|
||
'limits': {
|
||
'leverage': {
|
||
'min': 1,
|
||
'max': 20,
|
||
},
|
||
'amount': {
|
||
'min': 1,
|
||
'max': 1000000,
|
||
},
|
||
'price': {
|
||
'min': 0.52981,
|
||
'max': 1.58943,
|
||
},
|
||
'cost': {
|
||
'min': None,
|
||
'max': None,
|
||
}
|
||
},
|
||
'precision': {
|
||
'amount': 1,
|
||
'price': 0.00001
|
||
},
|
||
'tierBased': True,
|
||
'percentage': True,
|
||
'taker': 0.0000075,
|
||
'maker': -0.0000025,
|
||
'feeSide': 'get',
|
||
'tiers': {
|
||
'maker': [
|
||
[0, 0.002], [1.5, 0.00185],
|
||
[3, 0.00175], [6, 0.00165],
|
||
[12.5, 0.00155], [25, 0.00145],
|
||
[75, 0.00135], [200, 0.00125],
|
||
[500, 0.00115], [1250, 0.00105],
|
||
[2500, 0.00095], [3000, 0.00085],
|
||
[6000, 0.00075], [11000, 0.00065],
|
||
[20000, 0.00055], [40000, 0.00055],
|
||
[75000, 0.00055]
|
||
],
|
||
'taker': [
|
||
[0, 0.002], [1.5, 0.00195],
|
||
[3, 0.00185], [6, 0.00175],
|
||
[12.5, 0.00165], [25, 0.00155],
|
||
[75, 0.00145], [200, 0.00135],
|
||
[500, 0.00125], [1250, 0.00115],
|
||
[2500, 0.00105], [3000, 0.00095],
|
||
[6000, 0.00085], [11000, 0.00075],
|
||
[20000, 0.00065], [40000, 0.00065],
|
||
[75000, 0.00065]
|
||
]
|
||
},
|
||
'id': 'ADA_USDT',
|
||
'symbol': 'ADA/USDT:USDT',
|
||
'base': 'ADA',
|
||
'quote': 'USDT',
|
||
'settle': 'USDT',
|
||
'baseId': 'ADA',
|
||
'quoteId': 'USDT',
|
||
'settleId': 'usdt',
|
||
'type': 'swap',
|
||
'spot': False,
|
||
'margin': False,
|
||
'swap': True,
|
||
'future': True, # Binance mode ...
|
||
'option': False,
|
||
'active': True,
|
||
'contract': True,
|
||
'linear': True,
|
||
'inverse': False,
|
||
'contractSize': 0.01,
|
||
'expiry': None,
|
||
'expiryDatetime': None,
|
||
'strike': None,
|
||
'optionType': None,
|
||
'info': {}
|
||
},
|
||
'SOL/BUSD:BUSD': {
|
||
'limits': {
|
||
'leverage': {'min': None, 'max': None},
|
||
'amount': {'min': 1, 'max': 1000000},
|
||
'price': {'min': 0.04, 'max': 100000},
|
||
'cost': {'min': 5, 'max': None},
|
||
'market': {'min': 1, 'max': 1500}
|
||
},
|
||
'precision': {'amount': 0, 'price': 2, 'base': 8, 'quote': 8},
|
||
'tierBased': False,
|
||
'percentage': True,
|
||
'taker': 0.0004,
|
||
'maker': 0.0002,
|
||
'feeSide': 'get',
|
||
'id': 'SOLBUSD',
|
||
'lowercaseId': 'solbusd',
|
||
'symbol': 'SOL/BUSD',
|
||
'base': 'SOL',
|
||
'quote': 'BUSD',
|
||
'settle': 'BUSD',
|
||
'baseId': 'SOL',
|
||
'quoteId': 'BUSD',
|
||
'settleId': 'BUSD',
|
||
'type': 'future',
|
||
'spot': False,
|
||
'margin': False,
|
||
'future': True,
|
||
'delivery': False,
|
||
'option': False,
|
||
'active': True,
|
||
'contract': True,
|
||
'linear': True,
|
||
'inverse': False,
|
||
'contractSize': 1,
|
||
'expiry': None,
|
||
'expiryDatetime': None,
|
||
'strike': None,
|
||
'optionType': None,
|
||
'info': {
|
||
'symbol': 'SOLBUSD',
|
||
'pair': 'SOLBUSD',
|
||
'contractType': 'PERPETUAL',
|
||
'deliveryDate': '4133404800000',
|
||
'onboardDate': '1630566000000',
|
||
'status': 'TRADING',
|
||
'maintMarginPercent': '2.5000',
|
||
'requiredMarginPercent': '5.0000',
|
||
'baseAsset': 'SOL',
|
||
'quoteAsset': 'BUSD',
|
||
'marginAsset': 'BUSD',
|
||
'pricePrecision': '4',
|
||
'quantityPrecision': '0',
|
||
'baseAssetPrecision': '8',
|
||
'quotePrecision': '8',
|
||
'underlyingType': 'COIN',
|
||
'underlyingSubType': [],
|
||
'settlePlan': '0',
|
||
'triggerProtect': '0.0500',
|
||
'liquidationFee': '0.005000',
|
||
'marketTakeBound': '0.05',
|
||
'filters': [
|
||
{
|
||
'minPrice': '0.0400',
|
||
'maxPrice': '100000',
|
||
'filterType': 'PRICE_FILTER',
|
||
'tickSize': '0.0100'
|
||
},
|
||
{
|
||
'stepSize': '1',
|
||
'filterType': 'LOT_SIZE',
|
||
'maxQty': '1000000',
|
||
'minQty': '1'
|
||
},
|
||
{
|
||
'stepSize': '1',
|
||
'filterType': 'MARKET_LOT_SIZE',
|
||
'maxQty': '1500',
|
||
'minQty': '1'
|
||
},
|
||
{'limit': '200', 'filterType': 'MAX_NUM_ORDERS'},
|
||
{'limit': '10', 'filterType': 'MAX_NUM_ALGO_ORDERS'},
|
||
{'notional': '5', 'filterType': 'MIN_NOTIONAL'},
|
||
{
|
||
'multiplierDown': '0.9500',
|
||
'multiplierUp': '1.0500',
|
||
'multiplierDecimal': '4',
|
||
'filterType': 'PERCENT_PRICE'
|
||
}
|
||
],
|
||
'orderTypes': [
|
||
'LIMIT',
|
||
'MARKET',
|
||
'STOP',
|
||
'STOP_MARKET',
|
||
'TAKE_PROFIT',
|
||
'TAKE_PROFIT_MARKET',
|
||
'TRAILING_STOP_MARKET'
|
||
],
|
||
'timeInForce': ['GTC', 'IOC', 'FOK', 'GTX']
|
||
}
|
||
},
|
||
}
|
||
|
||
|
||
@pytest.fixture
|
||
def markets_static():
|
||
# These markets are used in some tests that would need adaptation should anything change in
|
||
# market list. Do not modify this list without a good reason! Do not modify market parameters
|
||
# of listed pairs in get_markets() without a good reason either!
|
||
static_markets = ['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 = get_markets()
|
||
return {m: all_markets[m] for m in static_markets}
|
||
|
||
|
||
@pytest.fixture
|
||
def shitcoinmarkets(markets_static):
|
||
"""
|
||
Fixture with shitcoin markets - used to test filters in pairlists
|
||
"""
|
||
shitmarkets = deepcopy(markets_static)
|
||
shitmarkets.update({
|
||
'HOT/BTC': {
|
||
'id': 'HOTBTC',
|
||
'symbol': 'HOT/BTC',
|
||
'base': 'HOT',
|
||
'quote': 'BTC',
|
||
'active': True,
|
||
'spot': True,
|
||
'type': 'spot',
|
||
'precision': {
|
||
'base': 8,
|
||
'quote': 8,
|
||
'amount': 0,
|
||
'price': 8
|
||
},
|
||
'limits': {
|
||
'amount': {
|
||
'min': 1.0,
|
||
'max': 90000000.0
|
||
},
|
||
'price': {
|
||
'min': None,
|
||
'max': None
|
||
},
|
||
'cost': {
|
||
'min': 0.001,
|
||
'max': None
|
||
}
|
||
},
|
||
'info': {},
|
||
},
|
||
'FUEL/BTC': {
|
||
'id': 'FUELBTC',
|
||
'symbol': 'FUEL/BTC',
|
||
'base': 'FUEL',
|
||
'quote': 'BTC',
|
||
'active': True,
|
||
'spot': True,
|
||
'type': 'spot',
|
||
'precision': {
|
||
'base': 8,
|
||
'quote': 8,
|
||
'amount': 0,
|
||
'price': 8
|
||
},
|
||
'limits': {
|
||
'amount': {
|
||
'min': 1.0,
|
||
'max': 90000000.0
|
||
},
|
||
'price': {
|
||
'min': 1e-08,
|
||
'max': 1000.0
|
||
},
|
||
'cost': {
|
||
'min': 0.001,
|
||
'max': None
|
||
}
|
||
},
|
||
'info': {},
|
||
},
|
||
'NANO/USDT': {
|
||
"percentage": True,
|
||
"tierBased": False,
|
||
"taker": 0.001,
|
||
"maker": 0.001,
|
||
"precision": {
|
||
"base": 8,
|
||
"quote": 8,
|
||
"amount": 2,
|
||
"price": 4
|
||
},
|
||
"limits": {
|
||
'leverage': {
|
||
'min': None,
|
||
'max': None,
|
||
},
|
||
'amount': {
|
||
'min': None,
|
||
'max': None,
|
||
},
|
||
'price': {
|
||
'min': None,
|
||
'max': None,
|
||
},
|
||
'cost': {
|
||
'min': None,
|
||
'max': None,
|
||
},
|
||
},
|
||
"id": "NANOUSDT",
|
||
"symbol": "NANO/USDT",
|
||
"base": "NANO",
|
||
"quote": "USDT",
|
||
"baseId": "NANO",
|
||
"quoteId": "USDT",
|
||
"info": {},
|
||
"type": "spot",
|
||
"spot": True,
|
||
"future": False,
|
||
"active": True
|
||
},
|
||
'ADAHALF/USDT': {
|
||
"percentage": True,
|
||
"tierBased": False,
|
||
"taker": 0.001,
|
||
"maker": 0.001,
|
||
"precision": {
|
||
"base": 8,
|
||
"quote": 8,
|
||
"amount": 2,
|
||
"price": 4
|
||
},
|
||
"limits": {
|
||
'leverage': {
|
||
'min': None,
|
||
'max': None,
|
||
},
|
||
'amount': {
|
||
'min': None,
|
||
'max': None,
|
||
},
|
||
'price': {
|
||
'min': None,
|
||
'max': None,
|
||
},
|
||
'cost': {
|
||
'min': None,
|
||
'max': None,
|
||
},
|
||
},
|
||
"id": "ADAHALFUSDT",
|
||
"symbol": "ADAHALF/USDT",
|
||
"base": "ADAHALF",
|
||
"quote": "USDT",
|
||
"baseId": "ADAHALF",
|
||
"quoteId": "USDT",
|
||
"info": {},
|
||
"type": "spot",
|
||
"spot": True,
|
||
"future": False,
|
||
"active": True
|
||
},
|
||
'ADADOUBLE/USDT': {
|
||
"percentage": True,
|
||
"tierBased": False,
|
||
"taker": 0.001,
|
||
"maker": 0.001,
|
||
"precision": {
|
||
"base": 8,
|
||
"quote": 8,
|
||
"amount": 2,
|
||
"price": 4
|
||
},
|
||
"limits": {
|
||
'leverage': {
|
||
'min': None,
|
||
'max': None,
|
||
},
|
||
'amount': {
|
||
'min': None,
|
||
'max': None,
|
||
},
|
||
'price': {
|
||
'min': None,
|
||
'max': None,
|
||
},
|
||
'cost': {
|
||
'min': None,
|
||
'max': None,
|
||
},
|
||
},
|
||
"id": "ADADOUBLEUSDT",
|
||
"symbol": "ADADOUBLE/USDT",
|
||
"base": "ADADOUBLE",
|
||
"quote": "USDT",
|
||
"baseId": "ADADOUBLE",
|
||
"quoteId": "USDT",
|
||
"info": {},
|
||
"type": "spot",
|
||
"spot": True,
|
||
"future": False,
|
||
"active": True
|
||
},
|
||
})
|
||
return shitmarkets
|
||
|
||
|
||
@pytest.fixture
|
||
def markets_empty():
|
||
return MagicMock(return_value=[])
|
||
|
||
|
||
@pytest.fixture(scope='function')
|
||
def limit_buy_order_open():
|
||
return {
|
||
'id': 'mocked_limit_buy',
|
||
'type': 'limit',
|
||
'side': 'buy',
|
||
'symbol': 'mocked',
|
||
'timestamp': arrow.utcnow().int_timestamp * 1000,
|
||
'datetime': arrow.utcnow().isoformat(),
|
||
'price': 0.00001099,
|
||
'average': 0.00001099,
|
||
'amount': 90.99181073,
|
||
'filled': 0.0,
|
||
'cost': 0.0009999,
|
||
'remaining': 90.99181073,
|
||
'status': 'open'
|
||
}
|
||
|
||
|
||
@pytest.fixture(scope='function')
|
||
def limit_buy_order(limit_buy_order_open):
|
||
order = deepcopy(limit_buy_order_open)
|
||
order['status'] = 'closed'
|
||
order['filled'] = order['amount']
|
||
order['remaining'] = 0.0
|
||
return order
|
||
|
||
|
||
@pytest.fixture
|
||
def limit_buy_order_old():
|
||
return {
|
||
'id': 'mocked_limit_buy_old',
|
||
'type': 'limit',
|
||
'side': 'buy',
|
||
'symbol': 'mocked',
|
||
'datetime': arrow.utcnow().shift(minutes=-601).isoformat(),
|
||
'timestamp': arrow.utcnow().shift(minutes=-601).int_timestamp * 1000,
|
||
'price': 0.00001099,
|
||
'amount': 90.99181073,
|
||
'filled': 0.0,
|
||
'remaining': 90.99181073,
|
||
'status': 'open'
|
||
}
|
||
|
||
|
||
@pytest.fixture
|
||
def limit_sell_order_old():
|
||
return {
|
||
'id': 'mocked_limit_sell_old',
|
||
'type': 'limit',
|
||
'side': 'sell',
|
||
'symbol': 'ETH/BTC',
|
||
'timestamp': arrow.utcnow().shift(minutes=-601).int_timestamp * 1000,
|
||
'datetime': arrow.utcnow().shift(minutes=-601).isoformat(),
|
||
'price': 0.00001099,
|
||
'amount': 90.99181073,
|
||
'filled': 0.0,
|
||
'remaining': 90.99181073,
|
||
'status': 'open'
|
||
}
|
||
|
||
|
||
@pytest.fixture
|
||
def limit_buy_order_old_partial():
|
||
return {
|
||
'id': 'mocked_limit_buy_old_partial',
|
||
'type': 'limit',
|
||
'side': 'buy',
|
||
'symbol': 'ETH/BTC',
|
||
'timestamp': arrow.utcnow().shift(minutes=-601).int_timestamp * 1000,
|
||
'datetime': arrow.utcnow().shift(minutes=-601).isoformat(),
|
||
'price': 0.00001099,
|
||
'amount': 90.99181073,
|
||
'filled': 23.0,
|
||
'cost': 90.99181073 * 23.0,
|
||
'remaining': 67.99181073,
|
||
'status': 'open'
|
||
}
|
||
|
||
|
||
@pytest.fixture
|
||
def limit_buy_order_old_partial_canceled(limit_buy_order_old_partial):
|
||
res = deepcopy(limit_buy_order_old_partial)
|
||
res['status'] = 'canceled'
|
||
res['fee'] = {'cost': 0.023, 'currency': 'ETH'}
|
||
return res
|
||
|
||
|
||
@pytest.fixture(scope='function')
|
||
def limit_buy_order_canceled_empty(request):
|
||
# Indirect fixture
|
||
# Documentation:
|
||
# https://docs.pytest.org/en/latest/example/parametrize.html#apply-indirect-on-particular-arguments
|
||
|
||
exchange_name = request.param
|
||
if exchange_name == 'kraken':
|
||
return {
|
||
'info': {},
|
||
'id': 'AZNPFF-4AC4N-7MKTAT',
|
||
'clientOrderId': None,
|
||
'timestamp': arrow.utcnow().shift(minutes=-601).int_timestamp * 1000,
|
||
'datetime': arrow.utcnow().shift(minutes=-601).isoformat(),
|
||
'lastTradeTimestamp': None,
|
||
'status': 'canceled',
|
||
'symbol': 'LTC/USDT',
|
||
'type': 'limit',
|
||
'side': 'buy',
|
||
'price': 34.3225,
|
||
'cost': 0.0,
|
||
'amount': 0.55,
|
||
'filled': 0.0,
|
||
'average': 0.0,
|
||
'remaining': 0.55,
|
||
'fee': {'cost': 0.0, 'rate': None, 'currency': 'USDT'},
|
||
'trades': []
|
||
}
|
||
elif exchange_name == 'binance':
|
||
return {
|
||
'info': {},
|
||
'id': '1234512345',
|
||
'clientOrderId': 'alb1234123',
|
||
'timestamp': arrow.utcnow().shift(minutes=-601).int_timestamp * 1000,
|
||
'datetime': arrow.utcnow().shift(minutes=-601).isoformat(),
|
||
'lastTradeTimestamp': None,
|
||
'symbol': 'LTC/USDT',
|
||
'type': 'limit',
|
||
'side': 'buy',
|
||
'price': 0.016804,
|
||
'amount': 0.55,
|
||
'cost': 0.0,
|
||
'average': None,
|
||
'filled': 0.0,
|
||
'remaining': 0.55,
|
||
'status': 'canceled',
|
||
'fee': None,
|
||
'trades': None
|
||
}
|
||
else:
|
||
return {
|
||
'info': {},
|
||
'id': '1234512345',
|
||
'clientOrderId': 'alb1234123',
|
||
'timestamp': arrow.utcnow().shift(minutes=-601).int_timestamp * 1000,
|
||
'datetime': arrow.utcnow().shift(minutes=-601).isoformat(),
|
||
'lastTradeTimestamp': None,
|
||
'symbol': 'LTC/USDT',
|
||
'type': 'limit',
|
||
'side': 'buy',
|
||
'price': 0.016804,
|
||
'amount': 0.55,
|
||
'cost': 0.0,
|
||
'average': None,
|
||
'filled': 0.0,
|
||
'remaining': 0.55,
|
||
'status': 'canceled',
|
||
'fee': None,
|
||
'trades': None
|
||
}
|
||
|
||
|
||
@pytest.fixture
|
||
def limit_sell_order_open():
|
||
return {
|
||
'id': 'mocked_limit_sell',
|
||
'type': 'limit',
|
||
'side': 'sell',
|
||
'symbol': 'mocked',
|
||
'datetime': arrow.utcnow().isoformat(),
|
||
'timestamp': arrow.utcnow().int_timestamp * 1000,
|
||
'price': 0.00001173,
|
||
'amount': 90.99181073,
|
||
'filled': 0.0,
|
||
'remaining': 90.99181073,
|
||
'status': 'open'
|
||
}
|
||
|
||
|
||
@pytest.fixture
|
||
def limit_sell_order(limit_sell_order_open):
|
||
order = deepcopy(limit_sell_order_open)
|
||
order['remaining'] = 0.0
|
||
order['filled'] = order['amount']
|
||
order['status'] = 'closed'
|
||
return order
|
||
|
||
|
||
@pytest.fixture
|
||
def order_book_l2():
|
||
return MagicMock(return_value={
|
||
'bids': [
|
||
[0.043936, 10.442],
|
||
[0.043935, 31.865],
|
||
[0.043933, 11.212],
|
||
[0.043928, 0.088],
|
||
[0.043925, 10.0],
|
||
[0.043921, 10.0],
|
||
[0.04392, 37.64],
|
||
[0.043899, 0.066],
|
||
[0.043885, 0.676],
|
||
[0.04387, 22.758]
|
||
],
|
||
'asks': [
|
||
[0.043949, 0.346],
|
||
[0.04395, 0.608],
|
||
[0.043951, 3.948],
|
||
[0.043954, 0.288],
|
||
[0.043958, 9.277],
|
||
[0.043995, 1.566],
|
||
[0.044, 0.588],
|
||
[0.044002, 0.992],
|
||
[0.044003, 0.095],
|
||
[0.04402, 37.64]
|
||
],
|
||
'timestamp': None,
|
||
'datetime': None,
|
||
'nonce': 288004540
|
||
})
|
||
|
||
|
||
@pytest.fixture
|
||
def order_book_l2_usd():
|
||
return MagicMock(return_value={
|
||
'symbol': 'LTC/USDT',
|
||
'bids': [
|
||
[25.563, 49.269],
|
||
[25.562, 83.0],
|
||
[25.56, 106.0],
|
||
[25.559, 15.381],
|
||
[25.558, 29.299],
|
||
[25.557, 34.624],
|
||
[25.556, 10.0],
|
||
[25.555, 14.684],
|
||
[25.554, 45.91],
|
||
[25.553, 50.0]
|
||
],
|
||
'asks': [
|
||
[25.566, 14.27],
|
||
[25.567, 48.484],
|
||
[25.568, 92.349],
|
||
[25.572, 31.48],
|
||
[25.573, 23.0],
|
||
[25.574, 20.0],
|
||
[25.575, 89.606],
|
||
[25.576, 262.016],
|
||
[25.577, 178.557],
|
||
[25.578, 78.614]
|
||
],
|
||
'timestamp': None,
|
||
'datetime': None,
|
||
'nonce': 2372149736
|
||
})
|
||
|
||
|
||
@pytest.fixture
|
||
def ohlcv_history_list():
|
||
return [
|
||
[
|
||
1511686200000, # unix timestamp ms
|
||
8.794e-05, # open
|
||
8.948e-05, # high
|
||
8.794e-05, # low
|
||
8.88e-05, # close
|
||
0.0877869, # volume (in quote currency)
|
||
],
|
||
[
|
||
1511686500000,
|
||
8.88e-05,
|
||
8.942e-05,
|
||
8.88e-05,
|
||
8.893e-05,
|
||
0.05874751,
|
||
],
|
||
[
|
||
1511686800000,
|
||
8.891e-05,
|
||
8.893e-05,
|
||
8.875e-05,
|
||
8.877e-05,
|
||
0.7039405
|
||
]
|
||
]
|
||
|
||
|
||
@pytest.fixture
|
||
def ohlcv_history(ohlcv_history_list):
|
||
return ohlcv_to_dataframe(ohlcv_history_list, "5m", pair="UNITTEST/BTC",
|
||
fill_missing=True, drop_incomplete=False)
|
||
|
||
|
||
@pytest.fixture
|
||
def tickers():
|
||
return MagicMock(return_value={
|
||
'ETH/BTC': {
|
||
'symbol': 'ETH/BTC',
|
||
'timestamp': 1522014806207,
|
||
'datetime': '2018-03-25T21:53:26.207Z',
|
||
'high': 0.061697,
|
||
'low': 0.060531,
|
||
'bid': 0.061588,
|
||
'bidVolume': 3.321,
|
||
'ask': 0.061655,
|
||
'askVolume': 0.212,
|
||
'vwap': 0.06105296,
|
||
'open': 0.060809,
|
||
'close': 0.060761,
|
||
'first': None,
|
||
'last': 0.061588,
|
||
'change': 1.281,
|
||
'percentage': None,
|
||
'average': None,
|
||
'baseVolume': 111649.001,
|
||
'quoteVolume': 6816.50176926,
|
||
'info': {}
|
||
},
|
||
'TKN/BTC': {
|
||
'symbol': 'TKN/BTC',
|
||
'timestamp': 1522014806169,
|
||
'datetime': '2018-03-25T21:53:26.169Z',
|
||
'high': 0.01885,
|
||
'low': 0.018497,
|
||
'bid': 0.018799,
|
||
'bidVolume': 8.38,
|
||
'ask': 0.018802,
|
||
'askVolume': 15.0,
|
||
'vwap': 0.01869197,
|
||
'open': 0.018585,
|
||
'close': 0.018573,
|
||
'last': 0.018799,
|
||
'baseVolume': 81058.66,
|
||
'quoteVolume': 2247.48374509,
|
||
},
|
||
'BLK/BTC': {
|
||
'symbol': 'BLK/BTC',
|
||
'timestamp': 1522014806072,
|
||
'datetime': '2018-03-25T21:53:26.072Z',
|
||
'high': 0.007745,
|
||
'low': 0.007512,
|
||
'bid': 0.007729,
|
||
'bidVolume': 0.01,
|
||
'ask': 0.007743,
|
||
'askVolume': 21.37,
|
||
'vwap': 0.00761466,
|
||
'open': 0.007653,
|
||
'close': 0.007652,
|
||
'first': None,
|
||
'last': 0.007743,
|
||
'change': 1.176,
|
||
'percentage': None,
|
||
'average': None,
|
||
'baseVolume': 295152.26,
|
||
'quoteVolume': 1515.14631229,
|
||
'info': {}
|
||
},
|
||
'LTC/BTC': {
|
||
'symbol': 'LTC/BTC',
|
||
'timestamp': 1523787258992,
|
||
'datetime': '2018-04-15T10:14:19.992Z',
|
||
'high': 0.015978,
|
||
'low': 0.0157,
|
||
'bid': 0.015954,
|
||
'bidVolume': 12.83,
|
||
'ask': 0.015957,
|
||
'askVolume': 0.49,
|
||
'vwap': 0.01581636,
|
||
'open': 0.015823,
|
||
'close': 0.01582,
|
||
'first': None,
|
||
'last': 0.015951,
|
||
'change': 0.809,
|
||
'percentage': None,
|
||
'average': None,
|
||
'baseVolume': 88620.68,
|
||
'quoteVolume': 1401.65697943,
|
||
'info': {}
|
||
},
|
||
'BTT/BTC': {
|
||
'symbol': 'BTT/BTC',
|
||
'timestamp': 1550936557206,
|
||
'datetime': '2019-02-23T15:42:37.206Z',
|
||
'high': 0.00000026,
|
||
'low': 0.00000024,
|
||
'bid': 0.00000024,
|
||
'bidVolume': 2446894197.0,
|
||
'ask': 0.00000025,
|
||
'askVolume': 2447913837.0,
|
||
'vwap': 0.00000025,
|
||
'open': 0.00000026,
|
||
'close': 0.00000024,
|
||
'last': 0.00000024,
|
||
'previousClose': 0.00000026,
|
||
'change': -0.00000002,
|
||
'percentage': -7.692,
|
||
'average': None,
|
||
'baseVolume': 4886464537.0,
|
||
'quoteVolume': 1215.14489611,
|
||
'info': {}
|
||
},
|
||
'HOT/BTC': {
|
||
'symbol': 'HOT/BTC',
|
||
'timestamp': 1572273518661,
|
||
'datetime': '2019-10-28T14:38:38.661Z',
|
||
'high': 0.00000011,
|
||
'low': 0.00000009,
|
||
'bid': 0.0000001,
|
||
'bidVolume': 1476027288.0,
|
||
'ask': 0.00000011,
|
||
'askVolume': 820153831.0,
|
||
'vwap': 0.0000001,
|
||
'open': 0.00000009,
|
||
'close': 0.00000011,
|
||
'last': 0.00000011,
|
||
'previousClose': 0.00000009,
|
||
'change': 0.00000002,
|
||
'percentage': 22.222,
|
||
'average': None,
|
||
'baseVolume': 1442290324.0,
|
||
'quoteVolume': 143.78311994,
|
||
'info': {}
|
||
},
|
||
'FUEL/BTC': {
|
||
'symbol': 'FUEL/BTC',
|
||
'timestamp': 1572340250771,
|
||
'datetime': '2019-10-29T09:10:50.771Z',
|
||
'high': 0.00000040,
|
||
'low': 0.00000035,
|
||
'bid': 0.00000036,
|
||
'bidVolume': 8932318.0,
|
||
'ask': 0.00000037,
|
||
'askVolume': 10140774.0,
|
||
'vwap': 0.00000037,
|
||
'open': 0.00000039,
|
||
'close': 0.00000037,
|
||
'last': 0.00000037,
|
||
'previousClose': 0.00000038,
|
||
'change': -0.00000002,
|
||
'percentage': -5.128,
|
||
'average': None,
|
||
'baseVolume': 168927742.0,
|
||
'quoteVolume': 62.68220262,
|
||
'info': {}
|
||
},
|
||
'BTC/USDT': {
|
||
'symbol': 'BTC/USDT',
|
||
'timestamp': 1573758371399,
|
||
'datetime': '2019-11-14T19:06:11.399Z',
|
||
'high': 8800.0,
|
||
'low': 8582.6,
|
||
'bid': 8648.16,
|
||
'bidVolume': 0.238771,
|
||
'ask': 8648.72,
|
||
'askVolume': 0.016253,
|
||
'vwap': 8683.13647806,
|
||
'open': 8759.7,
|
||
'close': 8648.72,
|
||
'last': 8648.72,
|
||
'previousClose': 8759.67,
|
||
'change': -110.98,
|
||
'percentage': -1.267,
|
||
'average': None,
|
||
'baseVolume': 35025.943355,
|
||
'quoteVolume': 304135046.4242901,
|
||
'info': {}
|
||
},
|
||
'ETH/USDT': {
|
||
'symbol': 'ETH/USDT',
|
||
'timestamp': 1522014804118,
|
||
'datetime': '2018-03-25T21:53:24.118Z',
|
||
'high': 530.88,
|
||
'low': 512.0,
|
||
'bid': 529.73,
|
||
'bidVolume': 0.2,
|
||
'ask': 530.21,
|
||
'askVolume': 0.2464,
|
||
'vwap': 521.02438405,
|
||
'open': 527.27,
|
||
'close': 528.42,
|
||
'first': None,
|
||
'last': 530.21,
|
||
'change': 0.558,
|
||
'percentage': None,
|
||
'average': None,
|
||
'baseVolume': 72300.0659,
|
||
'quoteVolume': 37670097.3022171,
|
||
'info': {}
|
||
},
|
||
'TKN/USDT': {
|
||
'symbol': 'TKN/USDT',
|
||
'timestamp': 1522014806198,
|
||
'datetime': '2018-03-25T21:53:26.198Z',
|
||
'high': 8718.0,
|
||
'low': 8365.77,
|
||
'bid': 8603.64,
|
||
'bidVolume': 0.15846,
|
||
'ask': 8603.67,
|
||
'askVolume': 0.069147,
|
||
'vwap': 8536.35621697,
|
||
'open': 8680.0,
|
||
'close': 8680.0,
|
||
'first': None,
|
||
'last': 8603.67,
|
||
'change': -0.879,
|
||
'percentage': None,
|
||
'average': None,
|
||
'baseVolume': 30414.604298,
|
||
'quoteVolume': 259629896.48584127,
|
||
'info': {}
|
||
},
|
||
'BLK/USDT': {
|
||
'symbol': 'BLK/USDT',
|
||
'timestamp': 1522014806145,
|
||
'datetime': '2018-03-25T21:53:26.145Z',
|
||
'high': 66.95,
|
||
'low': 63.38,
|
||
'bid': 66.473,
|
||
'bidVolume': 4.968,
|
||
'ask': 66.54,
|
||
'askVolume': 2.704,
|
||
'vwap': 65.0526901,
|
||
'open': 66.43,
|
||
'close': 66.383,
|
||
'first': None,
|
||
'last': 66.5,
|
||
'change': 0.105,
|
||
'percentage': None,
|
||
'average': None,
|
||
'baseVolume': 294106.204,
|
||
'quoteVolume': 19132399.743954,
|
||
'info': {}
|
||
},
|
||
'LTC/USDT': {
|
||
'symbol': 'LTC/USDT',
|
||
'timestamp': 1523787257812,
|
||
'datetime': '2018-04-15T10:14:18.812Z',
|
||
'high': 129.94,
|
||
'low': 124.0,
|
||
'bid': 129.28,
|
||
'bidVolume': 0.03201,
|
||
'ask': 129.52,
|
||
'askVolume': 0.14529,
|
||
'vwap': 126.92838682,
|
||
'open': 127.0,
|
||
'close': 127.1,
|
||
'first': None,
|
||
'last': 129.28,
|
||
'change': 1.795,
|
||
'percentage': None,
|
||
'average': None,
|
||
'baseVolume': 59698.79897,
|
||
'quoteVolume': 29132399.743954,
|
||
'info': {}
|
||
},
|
||
'XRP/BTC': {
|
||
'symbol': 'XRP/BTC',
|
||
'timestamp': 1573758257534,
|
||
'datetime': '2019-11-14T19:04:17.534Z',
|
||
'high': 3.126e-05,
|
||
'low': 3.061e-05,
|
||
'bid': 3.093e-05,
|
||
'bidVolume': 27901.0,
|
||
'ask': 3.095e-05,
|
||
'askVolume': 10551.0,
|
||
'vwap': 3.091e-05,
|
||
'open': 3.119e-05,
|
||
'close': 3.094e-05,
|
||
'last': 3.094e-05,
|
||
'previousClose': 3.117e-05,
|
||
'change': -2.5e-07,
|
||
'percentage': -0.802,
|
||
'average': None,
|
||
'baseVolume': 37334921.0,
|
||
'quoteVolume': 1154.19266394,
|
||
'info': {}
|
||
},
|
||
"NANO/USDT": {
|
||
"symbol": "NANO/USDT",
|
||
"timestamp": 1580469388244,
|
||
"datetime": "2020-01-31T11:16:28.244Z",
|
||
"high": 0.7519,
|
||
"low": 0.7154,
|
||
"bid": 0.7305,
|
||
"bidVolume": 300.3,
|
||
"ask": 0.7342,
|
||
"askVolume": 15.14,
|
||
"vwap": 0.73645591,
|
||
"open": 0.7154,
|
||
"close": 0.7342,
|
||
"last": 0.7342,
|
||
"previousClose": 0.7189,
|
||
"change": 0.0188,
|
||
"percentage": 2.628,
|
||
"average": None,
|
||
"baseVolume": 439472.44,
|
||
"quoteVolume": 323652.075405,
|
||
"info": {}
|
||
},
|
||
# Example of leveraged pair with incomplete info
|
||
"ADAHALF/USDT": {
|
||
"symbol": "ADAHALF/USDT",
|
||
"timestamp": 1580469388244,
|
||
"datetime": "2020-01-31T11:16:28.244Z",
|
||
"high": None,
|
||
"low": None,
|
||
"bid": 0.7305,
|
||
"bidVolume": None,
|
||
"ask": 0.7342,
|
||
"askVolume": None,
|
||
"vwap": None,
|
||
"open": None,
|
||
"close": None,
|
||
"last": None,
|
||
"previousClose": None,
|
||
"change": None,
|
||
"percentage": 2.628,
|
||
"average": None,
|
||
"baseVolume": 0.0,
|
||
"quoteVolume": 0.0,
|
||
"info": {}
|
||
},
|
||
"ADADOUBLE/USDT": {
|
||
"symbol": "ADADOUBLE/USDT",
|
||
"timestamp": 1580469388244,
|
||
"datetime": "2020-01-31T11:16:28.244Z",
|
||
"high": None,
|
||
"low": None,
|
||
"bid": 0.7305,
|
||
"bidVolume": None,
|
||
"ask": 0.7342,
|
||
"askVolume": None,
|
||
"vwap": None,
|
||
"open": None,
|
||
"close": None,
|
||
"last": 0,
|
||
"previousClose": None,
|
||
"change": None,
|
||
"percentage": 2.628,
|
||
"average": None,
|
||
"baseVolume": 0.0,
|
||
"quoteVolume": 0.0,
|
||
"info": {}
|
||
},
|
||
})
|
||
|
||
|
||
@pytest.fixture
|
||
def dataframe_1m(testdatadir):
|
||
with (testdatadir / 'UNITTEST_BTC-1m.json').open('r') as data_file:
|
||
return ohlcv_to_dataframe(json.load(data_file), '1m', pair="UNITTEST/BTC",
|
||
fill_missing=True)
|
||
|
||
|
||
@pytest.fixture(scope="function")
|
||
def trades_for_order():
|
||
return [{
|
||
'info': {
|
||
'id': 34567,
|
||
'orderId': 123456,
|
||
'price': '2.0',
|
||
'qty': '8.00000000',
|
||
'commission': '0.00800000',
|
||
'commissionAsset': 'LTC',
|
||
'time': 1521663363189,
|
||
'isBuyer': True,
|
||
'isMaker': False,
|
||
'isBestMatch': True
|
||
},
|
||
'timestamp': 1521663363189,
|
||
'datetime': '2018-03-21T20:16:03.189Z',
|
||
'symbol': 'LTC/USDT',
|
||
'id': '34567',
|
||
'order': '123456',
|
||
'type': None,
|
||
'side': 'buy',
|
||
'price': 2.0,
|
||
'cost': 16.0,
|
||
'amount': 8.0,
|
||
'fee': {
|
||
'cost': 0.008,
|
||
'currency': 'LTC'
|
||
}
|
||
}]
|
||
|
||
|
||
@pytest.fixture(scope="function")
|
||
def trades_history():
|
||
return [[1565798389463, '12618132aa9', None, 'buy', 0.019627, 0.04, 0.00078508],
|
||
[1565798399629, '1261813bb30', None, 'buy', 0.019627, 0.244, 0.004788987999999999],
|
||
[1565798399752, '1261813cc31', None, 'sell', 0.019626, 0.011, 0.00021588599999999999],
|
||
[1565798399862, '126181cc332', None, 'sell', 0.019626, 0.011, 0.00021588599999999999],
|
||
[1565798399872, '1261aa81333', None, 'sell', 0.019626, 0.011, 0.00021588599999999999]]
|
||
|
||
|
||
@pytest.fixture(scope="function")
|
||
def fetch_trades_result():
|
||
return [{'info': {'a': 126181329,
|
||
'p': '0.01962700',
|
||
'q': '0.04000000',
|
||
'f': 138604155,
|
||
'l': 138604155,
|
||
'T': 1565798399463,
|
||
'm': False,
|
||
'M': True},
|
||
'timestamp': 1565798399463,
|
||
'datetime': '2019-08-14T15:59:59.463Z',
|
||
'symbol': 'ETH/BTC',
|
||
'id': '126181329',
|
||
'order': None,
|
||
'type': None,
|
||
'takerOrMaker': None,
|
||
'side': 'buy',
|
||
'price': 0.019627,
|
||
'amount': 0.04,
|
||
'cost': 0.00078508,
|
||
'fee': None},
|
||
{'info': {'a': 126181330,
|
||
'p': '0.01962700',
|
||
'q': '0.24400000',
|
||
'f': 138604156,
|
||
'l': 138604156,
|
||
'T': 1565798399629,
|
||
'm': False,
|
||
'M': True},
|
||
'timestamp': 1565798399629,
|
||
'datetime': '2019-08-14T15:59:59.629Z',
|
||
'symbol': 'ETH/BTC',
|
||
'id': '126181330',
|
||
'order': None,
|
||
'type': None,
|
||
'takerOrMaker': None,
|
||
'side': 'buy',
|
||
'price': 0.019627,
|
||
'amount': 0.244,
|
||
'cost': 0.004788987999999999,
|
||
'fee': None},
|
||
{'info': {'a': 126181331,
|
||
'p': '0.01962600',
|
||
'q': '0.01100000',
|
||
'f': 138604157,
|
||
'l': 138604157,
|
||
'T': 1565798399752,
|
||
'm': True,
|
||
'M': True},
|
||
'timestamp': 1565798399752,
|
||
'datetime': '2019-08-14T15:59:59.752Z',
|
||
'symbol': 'ETH/BTC',
|
||
'id': '126181331',
|
||
'order': None,
|
||
'type': None,
|
||
'takerOrMaker': None,
|
||
'side': 'sell',
|
||
'price': 0.019626,
|
||
'amount': 0.011,
|
||
'cost': 0.00021588599999999999,
|
||
'fee': None},
|
||
{'info': {'a': 126181332,
|
||
'p': '0.01962600',
|
||
'q': '0.01100000',
|
||
'f': 138604158,
|
||
'l': 138604158,
|
||
'T': 1565798399862,
|
||
'm': True,
|
||
'M': True},
|
||
'timestamp': 1565798399862,
|
||
'datetime': '2019-08-14T15:59:59.862Z',
|
||
'symbol': 'ETH/BTC',
|
||
'id': '126181332',
|
||
'order': None,
|
||
'type': None,
|
||
'takerOrMaker': None,
|
||
'side': 'sell',
|
||
'price': 0.019626,
|
||
'amount': 0.011,
|
||
'cost': 0.00021588599999999999,
|
||
'fee': None},
|
||
{'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/BTC',
|
||
'id': '126181333',
|
||
'order': None,
|
||
'type': None,
|
||
'takerOrMaker': None,
|
||
'side': 'sell',
|
||
'price': 0.019626,
|
||
'amount': 0.011,
|
||
'cost': 0.00021588599999999999,
|
||
'fee': None}]
|
||
|
||
|
||
@pytest.fixture(scope="function")
|
||
def trades_for_order2():
|
||
return [{'info': {},
|
||
'timestamp': 1521663363189,
|
||
'datetime': '2018-03-21T20:16:03.189Z',
|
||
'symbol': 'LTC/ETH',
|
||
'id': '34567',
|
||
'order': '123456',
|
||
'type': None,
|
||
'side': 'buy',
|
||
'price': 0.245441,
|
||
'cost': 1.963528,
|
||
'amount': 4.0,
|
||
'fee': {'cost': 0.004, 'currency': 'LTC'}},
|
||
{'info': {},
|
||
'timestamp': 1521663363189,
|
||
'datetime': '2018-03-21T20:16:03.189Z',
|
||
'symbol': 'LTC/ETH',
|
||
'id': '34567',
|
||
'order': '123456',
|
||
'type': None,
|
||
'side': 'buy',
|
||
'price': 0.245441,
|
||
'cost': 1.963528,
|
||
'amount': 4.0,
|
||
'fee': {'cost': 0.004, 'currency': 'LTC'}}]
|
||
|
||
|
||
@pytest.fixture
|
||
def buy_order_fee():
|
||
return {
|
||
'id': 'mocked_limit_buy_old',
|
||
'type': 'limit',
|
||
'side': 'buy',
|
||
'symbol': 'mocked',
|
||
'timestamp': arrow.utcnow().shift(minutes=-601).int_timestamp * 1000,
|
||
'datetime': arrow.utcnow().shift(minutes=-601).isoformat(),
|
||
'price': 0.245441,
|
||
'amount': 8.0,
|
||
'cost': 1.963528,
|
||
'remaining': 90.99181073,
|
||
'status': 'closed',
|
||
'fee': None
|
||
}
|
||
|
||
|
||
@pytest.fixture(scope="function")
|
||
def edge_conf(default_conf):
|
||
conf = deepcopy(default_conf)
|
||
conf['runmode'] = RunMode.DRY_RUN
|
||
conf['max_open_trades'] = -1
|
||
conf['tradable_balance_ratio'] = 0.5
|
||
conf['stake_amount'] = constants.UNLIMITED_STAKE_AMOUNT
|
||
conf['edge'] = {
|
||
"enabled": True,
|
||
"process_throttle_secs": 1800,
|
||
"calculate_since_number_of_days": 14,
|
||
"allowed_risk": 0.01,
|
||
"stoploss_range_min": -0.01,
|
||
"stoploss_range_max": -0.1,
|
||
"stoploss_range_step": -0.01,
|
||
"maximum_winrate": 0.80,
|
||
"minimum_expectancy": 0.20,
|
||
"min_trade_number": 15,
|
||
"max_trade_duration_minute": 1440,
|
||
"remove_pumps": False
|
||
}
|
||
|
||
return conf
|
||
|
||
|
||
@pytest.fixture
|
||
def rpc_balance():
|
||
return {
|
||
'BTC': {
|
||
'total': 12.0,
|
||
'free': 12.0,
|
||
'used': 0.0
|
||
},
|
||
'ETH': {
|
||
'total': 0.0,
|
||
'free': 0.0,
|
||
'used': 0.0
|
||
},
|
||
'USDT': {
|
||
'total': 10000.0,
|
||
'free': 10000.0,
|
||
'used': 0.0
|
||
},
|
||
'LTC': {
|
||
'total': 10.0,
|
||
'free': 10.0,
|
||
'used': 0.0
|
||
},
|
||
'XRP': {
|
||
'total': 0.1,
|
||
'free': 0.01,
|
||
'used': 0.0
|
||
},
|
||
'EUR': {
|
||
'total': 10.0,
|
||
'free': 10.0,
|
||
'used': 0.0
|
||
},
|
||
}
|
||
|
||
|
||
@pytest.fixture
|
||
def testdatadir() -> Path:
|
||
"""Return the path where testdata files are stored"""
|
||
return (Path(__file__).parent / "testdata").resolve()
|
||
|
||
|
||
@pytest.fixture(scope="function")
|
||
def import_fails() -> None:
|
||
# Source of this test-method:
|
||
# https://stackoverflow.com/questions/2481511/mocking-importerror-in-python
|
||
import builtins
|
||
realimport = builtins.__import__
|
||
|
||
def mockedimport(name, *args, **kwargs):
|
||
if name in ["filelock", 'cysystemd.journal', 'uvloop']:
|
||
raise ImportError(f"No module named '{name}'")
|
||
return realimport(name, *args, **kwargs)
|
||
|
||
builtins.__import__ = mockedimport
|
||
|
||
# Run test - then cleanup
|
||
yield
|
||
|
||
# restore previous importfunction
|
||
builtins.__import__ = realimport
|
||
|
||
|
||
@pytest.fixture(scope="function")
|
||
def open_trade():
|
||
trade = Trade(
|
||
pair='ETH/BTC',
|
||
open_rate=0.00001099,
|
||
exchange='binance',
|
||
open_order_id='123456789',
|
||
amount=90.99181073,
|
||
fee_open=0.0,
|
||
fee_close=0.0,
|
||
stake_amount=1,
|
||
open_date=arrow.utcnow().shift(minutes=-601).datetime,
|
||
is_open=True
|
||
)
|
||
trade.orders = [
|
||
Order(
|
||
ft_order_side='buy',
|
||
ft_pair=trade.pair,
|
||
ft_is_open=False,
|
||
ft_amount=trade.amount,
|
||
ft_price=trade.open_rate,
|
||
order_id='123456789',
|
||
status="closed",
|
||
symbol=trade.pair,
|
||
order_type="market",
|
||
side="buy",
|
||
price=trade.open_rate,
|
||
average=trade.open_rate,
|
||
filled=trade.amount,
|
||
remaining=0,
|
||
cost=trade.open_rate * trade.amount,
|
||
order_date=trade.open_date,
|
||
order_filled_date=trade.open_date,
|
||
)
|
||
]
|
||
return trade
|
||
|
||
|
||
@pytest.fixture(scope="function")
|
||
def open_trade_usdt():
|
||
trade = Trade(
|
||
pair='ADA/USDT',
|
||
open_rate=2.0,
|
||
exchange='binance',
|
||
open_order_id='123456789_exit',
|
||
amount=30.0,
|
||
fee_open=0.0,
|
||
fee_close=0.0,
|
||
stake_amount=60.0,
|
||
open_date=arrow.utcnow().shift(minutes=-601).datetime,
|
||
is_open=True
|
||
)
|
||
trade.orders = [
|
||
Order(
|
||
ft_order_side='buy',
|
||
ft_pair=trade.pair,
|
||
ft_is_open=False,
|
||
ft_amount=trade.amount,
|
||
ft_price=trade.open_rate,
|
||
order_id='123456789',
|
||
status="closed",
|
||
symbol=trade.pair,
|
||
order_type="market",
|
||
side="buy",
|
||
price=trade.open_rate,
|
||
average=trade.open_rate,
|
||
filled=trade.amount,
|
||
remaining=0,
|
||
cost=trade.open_rate * trade.amount,
|
||
order_date=trade.open_date,
|
||
order_filled_date=trade.open_date,
|
||
),
|
||
Order(
|
||
ft_order_side='exit',
|
||
ft_pair=trade.pair,
|
||
ft_is_open=True,
|
||
ft_amount=trade.amount,
|
||
ft_price=trade.open_rate,
|
||
order_id='123456789_exit',
|
||
status="open",
|
||
symbol=trade.pair,
|
||
order_type="limit",
|
||
side="sell",
|
||
price=trade.open_rate,
|
||
average=trade.open_rate,
|
||
filled=trade.amount,
|
||
remaining=0,
|
||
cost=trade.open_rate * trade.amount,
|
||
order_date=trade.open_date,
|
||
order_filled_date=trade.open_date,
|
||
)
|
||
]
|
||
return trade
|
||
|
||
|
||
@pytest.fixture
|
||
def saved_hyperopt_results():
|
||
hyperopt_res = [
|
||
{
|
||
'loss': 0.4366182531161519,
|
||
'params_dict': {
|
||
'mfi-value': 15, 'fastd-value': 20, 'adx-value': 25, 'rsi-value': 28, 'mfi-enabled': False, 'fastd-enabled': True, 'adx-enabled': True, 'rsi-enabled': True, 'trigger': 'macd_cross_signal', 'sell-mfi-value': 88, 'sell-fastd-value': 97, 'sell-adx-value': 51, 'sell-rsi-value': 67, 'sell-mfi-enabled': False, 'sell-fastd-enabled': False, 'sell-adx-enabled': True, 'sell-rsi-enabled': True, 'sell-trigger': 'sell-bb_upper', 'roi_t1': 1190, 'roi_t2': 541, 'roi_t3': 408, 'roi_p1': 0.026035863879169705, 'roi_p2': 0.12508730043628782, 'roi_p3': 0.27766427921605896, 'stoploss': -0.2562930402099556}, # noqa: E501
|
||
'params_details': {'buy': {'mfi-value': 15, 'fastd-value': 20, 'adx-value': 25, 'rsi-value': 28, 'mfi-enabled': False, 'fastd-enabled': True, 'adx-enabled': True, 'rsi-enabled': True, 'trigger': 'macd_cross_signal'}, 'sell': {'sell-mfi-value': 88, 'sell-fastd-value': 97, 'sell-adx-value': 51, 'sell-rsi-value': 67, 'sell-mfi-enabled': False, 'sell-fastd-enabled': False, 'sell-adx-enabled': True, 'sell-rsi-enabled': True, 'sell-trigger': 'sell-bb_upper'}, 'roi': {0: 0.4287874435315165, 408: 0.15112316431545753, 949: 0.026035863879169705, 2139: 0}, 'stoploss': {'stoploss': -0.2562930402099556}}, # noqa: E501
|
||
'results_metrics': {'total_trades': 2, 'trade_count_long': 2, 'trade_count_short': 0, 'wins': 0, 'draws': 0, 'losses': 2, 'profit_mean': -0.01254995, 'profit_median': -0.012222, 'profit_total': -0.00125625, 'profit_total_abs': -2.50999, 'max_drawdown': 0.23, 'max_drawdown_abs': -0.00125625, 'holding_avg': timedelta(minutes=3930.0), 'stake_currency': 'BTC', 'strategy_name': 'SampleStrategy'}, # noqa: E501
|
||
'results_explanation': ' 2 trades. Avg profit -1.25%. Total profit -0.00125625 BTC ( -2.51Σ%). Avg duration 3930.0 min.', # noqa: E501
|
||
'total_profit': -0.00125625,
|
||
'current_epoch': 1,
|
||
'is_initial_point': True,
|
||
'is_random': False,
|
||
'is_best': True,
|
||
|
||
}, {
|
||
'loss': 20.0,
|
||
'params_dict': {
|
||
'mfi-value': 17, 'fastd-value': 38, 'adx-value': 48, 'rsi-value': 22, 'mfi-enabled': True, 'fastd-enabled': False, 'adx-enabled': True, 'rsi-enabled': True, 'trigger': 'macd_cross_signal', 'sell-mfi-value': 96, 'sell-fastd-value': 68, 'sell-adx-value': 63, 'sell-rsi-value': 81, 'sell-mfi-enabled': False, 'sell-fastd-enabled': True, 'sell-adx-enabled': True, 'sell-rsi-enabled': True, 'sell-trigger': 'sell-sar_reversal', 'roi_t1': 334, 'roi_t2': 683, 'roi_t3': 140, 'roi_p1': 0.06403981740598495, 'roi_p2': 0.055519840060645045, 'roi_p3': 0.3253712811342459, 'stoploss': -0.338070047333259}, # noqa: E501
|
||
'params_details': {
|
||
'buy': {'mfi-value': 17, 'fastd-value': 38, 'adx-value': 48, 'rsi-value': 22, 'mfi-enabled': True, 'fastd-enabled': False, 'adx-enabled': True, 'rsi-enabled': True, 'trigger': 'macd_cross_signal'}, # noqa: E501
|
||
'sell': {'sell-mfi-value': 96, 'sell-fastd-value': 68, 'sell-adx-value': 63, 'sell-rsi-value': 81, 'sell-mfi-enabled': False, 'sell-fastd-enabled': True, 'sell-adx-enabled': True, 'sell-rsi-enabled': True, 'sell-trigger': 'sell-sar_reversal'}, # noqa: E501
|
||
'roi': {0: 0.4449309386008759, 140: 0.11955965746663, 823: 0.06403981740598495, 1157: 0}, # noqa: E501
|
||
'stoploss': {'stoploss': -0.338070047333259}},
|
||
'results_metrics': {'total_trades': 1, 'trade_count_long': 1, 'trade_count_short': 0, 'wins': 0, 'draws': 0, 'losses': 1, 'profit_mean': 0.012357, 'profit_median': -0.012222, 'profit_total': 6.185e-05, 'profit_total_abs': 0.12357, 'max_drawdown': 0.23, 'max_drawdown_abs': -0.00125625, 'holding_avg': timedelta(minutes=1200.0)}, # noqa: E501
|
||
'results_explanation': ' 1 trades. Avg profit 0.12%. Total profit 0.00006185 BTC ( 0.12Σ%). Avg duration 1200.0 min.', # noqa: E501
|
||
'total_profit': 6.185e-05,
|
||
'current_epoch': 2,
|
||
'is_initial_point': True,
|
||
'is_random': False,
|
||
'is_best': False
|
||
}, {
|
||
'loss': 14.241196856510731,
|
||
'params_dict': {'mfi-value': 25, 'fastd-value': 16, 'adx-value': 29, 'rsi-value': 20, 'mfi-enabled': False, 'fastd-enabled': False, 'adx-enabled': False, 'rsi-enabled': False, 'trigger': 'macd_cross_signal', 'sell-mfi-value': 98, 'sell-fastd-value': 72, 'sell-adx-value': 51, 'sell-rsi-value': 82, 'sell-mfi-enabled': True, 'sell-fastd-enabled': True, 'sell-adx-enabled': True, 'sell-rsi-enabled': True, 'sell-trigger': 'sell-macd_cross_signal', 'roi_t1': 889, 'roi_t2': 533, 'roi_t3': 263, 'roi_p1': 0.04759065393663096, 'roi_p2': 0.1488819964638463, 'roi_p3': 0.4102801822104605, 'stoploss': -0.05394588767607611}, # noqa: E501
|
||
'params_details': {'buy': {'mfi-value': 25, 'fastd-value': 16, 'adx-value': 29, 'rsi-value': 20, 'mfi-enabled': False, 'fastd-enabled': False, 'adx-enabled': False, 'rsi-enabled': False, 'trigger': 'macd_cross_signal'}, 'sell': {'sell-mfi-value': 98, 'sell-fastd-value': 72, 'sell-adx-value': 51, 'sell-rsi-value': 82, 'sell-mfi-enabled': True, 'sell-fastd-enabled': True, 'sell-adx-enabled': True, 'sell-rsi-enabled': True, 'sell-trigger': 'sell-macd_cross_signal'}, 'roi': {0: 0.6067528326109377, 263: 0.19647265040047726, 796: 0.04759065393663096, 1685: 0}, 'stoploss': {'stoploss': -0.05394588767607611}}, # noqa: E501
|
||
'results_metrics': {'total_trades': 621, 'trade_count_long': 621, 'trade_count_short': 0, 'wins': 320, 'draws': 0, 'losses': 301, 'profit_mean': -0.043883302093397747, 'profit_median': -0.012222, 'profit_total': -0.13639474, 'profit_total_abs': -272.515306, 'max_drawdown': 0.25, 'max_drawdown_abs': -272.515306, 'holding_avg': timedelta(minutes=1691.207729468599)}, # noqa: E501
|
||
'results_explanation': ' 621 trades. Avg profit -0.44%. Total profit -0.13639474 BTC (-272.52Σ%). Avg duration 1691.2 min.', # noqa: E501
|
||
'total_profit': -0.13639474,
|
||
'current_epoch': 3,
|
||
'is_initial_point': True,
|
||
'is_random': False,
|
||
'is_best': False
|
||
}, {
|
||
'loss': 100000,
|
||
'params_dict': {'mfi-value': 13, 'fastd-value': 35, 'adx-value': 39, 'rsi-value': 29, 'mfi-enabled': True, 'fastd-enabled': False, 'adx-enabled': False, 'rsi-enabled': True, 'trigger': 'macd_cross_signal', 'sell-mfi-value': 87, 'sell-fastd-value': 54, 'sell-adx-value': 63, 'sell-rsi-value': 93, 'sell-mfi-enabled': False, 'sell-fastd-enabled': True, 'sell-adx-enabled': True, 'sell-rsi-enabled': True, 'sell-trigger': 'sell-bb_upper', 'roi_t1': 1402, 'roi_t2': 676, 'roi_t3': 215, 'roi_p1': 0.06264755784937427, 'roi_p2': 0.14258587851894644, 'roi_p3': 0.20671291201040828, 'stoploss': -0.11818343570194478}, # noqa: E501
|
||
'params_details': {'buy': {'mfi-value': 13, 'fastd-value': 35, 'adx-value': 39, 'rsi-value': 29, 'mfi-enabled': True, 'fastd-enabled': False, 'adx-enabled': False, 'rsi-enabled': True, 'trigger': 'macd_cross_signal'}, 'sell': {'sell-mfi-value': 87, 'sell-fastd-value': 54, 'sell-adx-value': 63, 'sell-rsi-value': 93, 'sell-mfi-enabled': False, 'sell-fastd-enabled': True, 'sell-adx-enabled': True, 'sell-rsi-enabled': True, 'sell-trigger': 'sell-bb_upper'}, 'roi': {0: 0.411946348378729, 215: 0.2052334363683207, 891: 0.06264755784937427, 2293: 0}, 'stoploss': {'stoploss': -0.11818343570194478}}, # noqa: E501
|
||
'results_metrics': {'total_trades': 0, 'trade_count_long': 0, 'trade_count_short': 0, 'wins': 0, 'draws': 0, 'losses': 0, 'profit_mean': None, 'profit_median': None, 'profit_total': 0, 'profit': 0.0, 'holding_avg': timedelta()}, # noqa: E501
|
||
'results_explanation': ' 0 trades. Avg profit nan%. Total profit 0.00000000 BTC ( 0.00Σ%). Avg duration nan min.', # noqa: E501
|
||
'total_profit': 0, 'current_epoch': 4, 'is_initial_point': True, 'is_random': False, 'is_best': False # noqa: E501
|
||
}, {
|
||
'loss': 0.22195522184191518,
|
||
'params_dict': {'mfi-value': 17, 'fastd-value': 21, 'adx-value': 38, 'rsi-value': 33, 'mfi-enabled': True, 'fastd-enabled': False, 'adx-enabled': True, 'rsi-enabled': False, 'trigger': 'macd_cross_signal', 'sell-mfi-value': 87, 'sell-fastd-value': 82, 'sell-adx-value': 78, 'sell-rsi-value': 69, 'sell-mfi-enabled': True, 'sell-fastd-enabled': False, 'sell-adx-enabled': True, 'sell-rsi-enabled': False, 'sell-trigger': 'sell-macd_cross_signal', 'roi_t1': 1269, 'roi_t2': 601, 'roi_t3': 444, 'roi_p1': 0.07280999507931168, 'roi_p2': 0.08946698095898986, 'roi_p3': 0.1454876733325284, 'stoploss': -0.18181041180901014}, # noqa: E501
|
||
'params_details': {'buy': {'mfi-value': 17, 'fastd-value': 21, 'adx-value': 38, 'rsi-value': 33, 'mfi-enabled': True, 'fastd-enabled': False, 'adx-enabled': True, 'rsi-enabled': False, 'trigger': 'macd_cross_signal'}, 'sell': {'sell-mfi-value': 87, 'sell-fastd-value': 82, 'sell-adx-value': 78, 'sell-rsi-value': 69, 'sell-mfi-enabled': True, 'sell-fastd-enabled': False, 'sell-adx-enabled': True, 'sell-rsi-enabled': False, 'sell-trigger': 'sell-macd_cross_signal'}, 'roi': {0: 0.3077646493708299, 444: 0.16227697603830155, 1045: 0.07280999507931168, 2314: 0}, 'stoploss': {'stoploss': -0.18181041180901014}}, # noqa: E501
|
||
'results_metrics': {'total_trades': 14, 'trade_count_long': 14, 'trade_count_short': 0, 'wins': 6, 'draws': 0, 'losses': 8, 'profit_mean': -0.003539515, 'profit_median': -0.012222, 'profit_total': -0.002480140000000001, 'profit_total_abs': -4.955321, 'max_drawdown': 0.34, 'max_drawdown_abs': -4.955321, 'holding_avg': timedelta(minutes=3402.8571428571427)}, # noqa: E501
|
||
'results_explanation': ' 14 trades. Avg profit -0.35%. Total profit -0.00248014 BTC ( -4.96Σ%). Avg duration 3402.9 min.', # noqa: E501
|
||
'total_profit': -0.002480140000000001,
|
||
'current_epoch': 5,
|
||
'is_initial_point': True,
|
||
'is_random': False,
|
||
'is_best': True
|
||
}, {
|
||
'loss': 0.545315889154162,
|
||
'params_dict': {'mfi-value': 22, 'fastd-value': 43, 'adx-value': 46, 'rsi-value': 20, 'mfi-enabled': False, 'fastd-enabled': False, 'adx-enabled': True, 'rsi-enabled': True, 'trigger': 'bb_lower', 'sell-mfi-value': 87, 'sell-fastd-value': 65, 'sell-adx-value': 94, 'sell-rsi-value': 63, 'sell-mfi-enabled': False, 'sell-fastd-enabled': True, 'sell-adx-enabled': True, 'sell-rsi-enabled': True, 'sell-trigger': 'sell-macd_cross_signal', 'roi_t1': 319, 'roi_t2': 556, 'roi_t3': 216, 'roi_p1': 0.06251955472249589, 'roi_p2': 0.11659519602202795, 'roi_p3': 0.0953744132197762, 'stoploss': -0.024551752215582423}, # noqa: E501
|
||
'params_details': {'buy': {'mfi-value': 22, 'fastd-value': 43, 'adx-value': 46, 'rsi-value': 20, 'mfi-enabled': False, 'fastd-enabled': False, 'adx-enabled': True, 'rsi-enabled': True, 'trigger': 'bb_lower'}, 'sell': {'sell-mfi-value': 87, 'sell-fastd-value': 65, 'sell-adx-value': 94, 'sell-rsi-value': 63, 'sell-mfi-enabled': False, 'sell-fastd-enabled': True, 'sell-adx-enabled': True, 'sell-rsi-enabled': True, 'sell-trigger': 'sell-macd_cross_signal'}, 'roi': {0: 0.2744891639643, 216: 0.17911475074452382, 772: 0.06251955472249589, 1091: 0}, 'stoploss': {'stoploss': -0.024551752215582423}}, # noqa: E501
|
||
'results_metrics': {'total_trades': 39, 'trade_count_long': 39, 'trade_count_short': 0, 'wins': 20, 'draws': 0, 'losses': 19, 'profit_mean': -0.0021400679487179478, 'profit_median': -0.012222, 'profit_total': -0.0041773, 'profit_total_abs': -8.346264999999997, 'max_drawdown': 0.45, 'max_drawdown_abs': -4.955321, 'holding_avg': timedelta(minutes=636.9230769230769)}, # noqa: E501
|
||
'results_explanation': ' 39 trades. Avg profit -0.21%. Total profit -0.00417730 BTC ( -8.35Σ%). Avg duration 636.9 min.', # noqa: E501
|
||
'total_profit': -0.0041773,
|
||
'current_epoch': 6,
|
||
'is_initial_point': True,
|
||
'is_random': False,
|
||
'is_best': False
|
||
}, {
|
||
'loss': 4.713497421432944,
|
||
'params_dict': {'mfi-value': 13, 'fastd-value': 41, 'adx-value': 21, 'rsi-value': 29, 'mfi-enabled': False, 'fastd-enabled': True, 'adx-enabled': False, 'rsi-enabled': False, 'trigger': 'bb_lower', 'sell-mfi-value': 99, 'sell-fastd-value': 60, 'sell-adx-value': 81, 'sell-rsi-value': 69, 'sell-mfi-enabled': True, 'sell-fastd-enabled': True, 'sell-adx-enabled': True, 'sell-rsi-enabled': False, 'sell-trigger': 'sell-macd_cross_signal', 'roi_t1': 771, 'roi_t2': 620, 'roi_t3': 145, 'roi_p1': 0.0586919200378493, 'roi_p2': 0.04984118697312542, 'roi_p3': 0.37521058680247044, 'stoploss': -0.14613268022709905}, # noqa: E501
|
||
'params_details': {
|
||
'buy': {'mfi-value': 13, 'fastd-value': 41, 'adx-value': 21, 'rsi-value': 29, 'mfi-enabled': False, 'fastd-enabled': True, 'adx-enabled': False, 'rsi-enabled': False, 'trigger': 'bb_lower'}, 'sell': {'sell-mfi-value': 99, 'sell-fastd-value': 60, 'sell-adx-value': 81, 'sell-rsi-value': 69, 'sell-mfi-enabled': True, 'sell-fastd-enabled': True, 'sell-adx-enabled': True, 'sell-rsi-enabled': False, 'sell-trigger': 'sell-macd_cross_signal'}, 'roi': {0: 0.4837436938134452, 145: 0.10853310701097472, 765: 0.0586919200378493, 1536: 0}, # noqa: E501
|
||
'stoploss': {'stoploss': -0.14613268022709905}}, # noqa: E501
|
||
'results_metrics': {'total_trades': 318, 'trade_count_long': 318, 'trade_count_short': 0, 'wins': 100, 'draws': 0, 'losses': 218, 'profit_mean': -0.0039833954716981146, 'profit_median': -0.012222, 'profit_total': -0.06339929, 'profit_total_abs': -126.67197600000004, 'max_drawdown': 0.50, 'max_drawdown_abs': -200.955321, 'holding_avg': timedelta(minutes=3140.377358490566)}, # noqa: E501
|
||
'results_explanation': ' 318 trades. Avg profit -0.40%. Total profit -0.06339929 BTC (-126.67Σ%). Avg duration 3140.4 min.', # noqa: E501
|
||
'total_profit': -0.06339929,
|
||
'current_epoch': 7,
|
||
'is_initial_point': True,
|
||
'is_random': False,
|
||
'is_best': False
|
||
}, {
|
||
'loss': 20.0, # noqa: E501
|
||
'params_dict': {'mfi-value': 24, 'fastd-value': 43, 'adx-value': 33, 'rsi-value': 20, 'mfi-enabled': False, 'fastd-enabled': True, 'adx-enabled': True, 'rsi-enabled': True, 'trigger': 'sar_reversal', 'sell-mfi-value': 89, 'sell-fastd-value': 74, 'sell-adx-value': 70, 'sell-rsi-value': 70, 'sell-mfi-enabled': False, 'sell-fastd-enabled': False, 'sell-adx-enabled': False, 'sell-rsi-enabled': True, 'sell-trigger': 'sell-sar_reversal', 'roi_t1': 1149, 'roi_t2': 375, 'roi_t3': 289, 'roi_p1': 0.05571820757172588, 'roi_p2': 0.0606240398618907, 'roi_p3': 0.1729012220156157, 'stoploss': -0.1588514289110401}, # noqa: E501
|
||
'params_details': {'buy': {'mfi-value': 24, 'fastd-value': 43, 'adx-value': 33, 'rsi-value': 20, 'mfi-enabled': False, 'fastd-enabled': True, 'adx-enabled': True, 'rsi-enabled': True, 'trigger': 'sar_reversal'}, 'sell': {'sell-mfi-value': 89, 'sell-fastd-value': 74, 'sell-adx-value': 70, 'sell-rsi-value': 70, 'sell-mfi-enabled': False, 'sell-fastd-enabled': False, 'sell-adx-enabled': False, 'sell-rsi-enabled': True, 'sell-trigger': 'sell-sar_reversal'}, 'roi': {0: 0.2892434694492323, 289: 0.11634224743361658, 664: 0.05571820757172588, 1813: 0}, 'stoploss': {'stoploss': -0.1588514289110401}}, # noqa: E501
|
||
'results_metrics': {'total_trades': 1, 'trade_count_long': 1, 'trade_count_short': 0, 'wins': 0, 'draws': 1, 'losses': 0, 'profit_mean': 0.0, 'profit_median': 0.0, 'profit_total': 0.0, 'profit_total_abs': 0.0, 'max_drawdown': 0.0, 'max_drawdown_abs': 0.52, 'holding_avg': timedelta(minutes=5340.0)}, # noqa: E501
|
||
'results_explanation': ' 1 trades. Avg profit 0.00%. Total profit 0.00000000 BTC ( 0.00Σ%). Avg duration 5340.0 min.', # noqa: E501
|
||
'total_profit': 0.0,
|
||
'current_epoch': 8,
|
||
'is_initial_point': True,
|
||
'is_random': False,
|
||
'is_best': False
|
||
}, {
|
||
'loss': 2.4731817780991223,
|
||
'params_dict': {'mfi-value': 22, 'fastd-value': 20, 'adx-value': 29, 'rsi-value': 40, 'mfi-enabled': False, 'fastd-enabled': False, 'adx-enabled': False, 'rsi-enabled': False, 'trigger': 'sar_reversal', 'sell-mfi-value': 97, 'sell-fastd-value': 65, 'sell-adx-value': 81, 'sell-rsi-value': 64, 'sell-mfi-enabled': True, 'sell-fastd-enabled': True, 'sell-adx-enabled': True, 'sell-rsi-enabled': True, 'sell-trigger': 'sell-bb_upper', 'roi_t1': 1012, 'roi_t2': 584, 'roi_t3': 422, 'roi_p1': 0.036764323603472565, 'roi_p2': 0.10335480573205287, 'roi_p3': 0.10322347377503042, 'stoploss': -0.2780610808108503}, # noqa: E501
|
||
'params_details': {'buy': {'mfi-value': 22, 'fastd-value': 20, 'adx-value': 29, 'rsi-value': 40, 'mfi-enabled': False, 'fastd-enabled': False, 'adx-enabled': False, 'rsi-enabled': False, 'trigger': 'sar_reversal'}, 'sell': {'sell-mfi-value': 97, 'sell-fastd-value': 65, 'sell-adx-value': 81, 'sell-rsi-value': 64, 'sell-mfi-enabled': True, 'sell-fastd-enabled': True, 'sell-adx-enabled': True, 'sell-rsi-enabled': True, 'sell-trigger': 'sell-bb_upper'}, 'roi': {0: 0.2433426031105559, 422: 0.14011912933552545, 1006: 0.036764323603472565, 2018: 0}, 'stoploss': {'stoploss': -0.2780610808108503}}, # noqa: E501
|
||
'results_metrics': {'total_trades': 229, 'trade_count_long': 229, 'trade_count_short': 0, 'wins': 150, 'draws': 0, 'losses': 79, 'profit_mean': -0.0038433433624454144, 'profit_median': -0.012222, 'profit_total': -0.044050070000000004, 'profit_total_abs': -88.01256299999999, 'max_drawdown': 0.41, 'max_drawdown_abs': -150.955321, 'holding_avg': timedelta(minutes=6505.676855895196)}, # noqa: E501
|
||
'results_explanation': ' 229 trades. Avg profit -0.38%. Total profit -0.04405007 BTC ( -88.01Σ%). Avg duration 6505.7 min.', # noqa: E501
|
||
'total_profit': -0.044050070000000004, # noqa: E501
|
||
'current_epoch': 9,
|
||
'is_initial_point': True,
|
||
'is_random': False,
|
||
'is_best': False
|
||
}, {
|
||
'loss': -0.2604606005845212, # noqa: E501
|
||
'params_dict': {'mfi-value': 23, 'fastd-value': 24, 'adx-value': 22, 'rsi-value': 24, 'mfi-enabled': False, 'fastd-enabled': False, 'adx-enabled': False, 'rsi-enabled': True, 'trigger': 'macd_cross_signal', 'sell-mfi-value': 97, 'sell-fastd-value': 70, 'sell-adx-value': 64, 'sell-rsi-value': 80, 'sell-mfi-enabled': False, 'sell-fastd-enabled': True, 'sell-adx-enabled': True, 'sell-rsi-enabled': True, 'sell-trigger': 'sell-sar_reversal', 'roi_t1': 792, 'roi_t2': 464, 'roi_t3': 215, 'roi_p1': 0.04594053535385903, 'roi_p2': 0.09623192684243963, 'roi_p3': 0.04428219070850663, 'stoploss': -0.16992287161634415}, # noqa: E501
|
||
'params_details': {'buy': {'mfi-value': 23, 'fastd-value': 24, 'adx-value': 22, 'rsi-value': 24, 'mfi-enabled': False, 'fastd-enabled': False, 'adx-enabled': False, 'rsi-enabled': True, 'trigger': 'macd_cross_signal'}, 'sell': {'sell-mfi-value': 97, 'sell-fastd-value': 70, 'sell-adx-value': 64, 'sell-rsi-value': 80, 'sell-mfi-enabled': False, 'sell-fastd-enabled': True, 'sell-adx-enabled': True, 'sell-rsi-enabled': True, 'sell-trigger': 'sell-sar_reversal'}, 'roi': {0: 0.18645465290480528, 215: 0.14217246219629864, 679: 0.04594053535385903, 1471: 0}, 'stoploss': {'stoploss': -0.16992287161634415}}, # noqa: E501
|
||
'results_metrics': {'total_trades': 4, 'trade_count_long': 4, 'trade_count_short': 0, 'wins': 0, 'draws': 0, 'losses': 4, 'profit_mean': 0.001080385, 'profit_median': -0.012222, 'profit_total': 0.00021629, 'profit_total_abs': 0.432154, 'max_drawdown': 0.13, 'max_drawdown_abs': -4.955321, 'holding_avg': timedelta(minutes=2850.0)}, # noqa: E501
|
||
'results_explanation': ' 4 trades. Avg profit 0.11%. Total profit 0.00021629 BTC ( 0.43Σ%). Avg duration 2850.0 min.', # noqa: E501
|
||
'total_profit': 0.00021629,
|
||
'current_epoch': 10,
|
||
'is_initial_point': True,
|
||
'is_random': False,
|
||
'is_best': True
|
||
}, {
|
||
'loss': 4.876465945994304, # noqa: E501
|
||
'params_dict': {'mfi-value': 20, 'fastd-value': 32, 'adx-value': 49, 'rsi-value': 23, 'mfi-enabled': True, 'fastd-enabled': True, 'adx-enabled': False, 'rsi-enabled': False, 'trigger': 'bb_lower', 'sell-mfi-value': 75, 'sell-fastd-value': 56, 'sell-adx-value': 61, 'sell-rsi-value': 62, 'sell-mfi-enabled': False, 'sell-fastd-enabled': False, 'sell-adx-enabled': True, 'sell-rsi-enabled': True, 'sell-trigger': 'sell-macd_cross_signal', 'roi_t1': 579, 'roi_t2': 614, 'roi_t3': 273, 'roi_p1': 0.05307643172744114, 'roi_p2': 0.1352282078262871, 'roi_p3': 0.1913307406325751, 'stoploss': -0.25728526022513887}, # noqa: E501
|
||
'params_details': {'buy': {'mfi-value': 20, 'fastd-value': 32, 'adx-value': 49, 'rsi-value': 23, 'mfi-enabled': True, 'fastd-enabled': True, 'adx-enabled': False, 'rsi-enabled': False, 'trigger': 'bb_lower'}, 'sell': {'sell-mfi-value': 75, 'sell-fastd-value': 56, 'sell-adx-value': 61, 'sell-rsi-value': 62, 'sell-mfi-enabled': False, 'sell-fastd-enabled': False, 'sell-adx-enabled': True, 'sell-rsi-enabled': True, 'sell-trigger': 'sell-macd_cross_signal'}, 'roi': {0: 0.3796353801863034, 273: 0.18830463955372825, 887: 0.05307643172744114, 1466: 0}, 'stoploss': {'stoploss': -0.25728526022513887}}, # noqa: E501
|
||
# New Hyperopt mode!
|
||
'results_metrics': {'total_trades': 117, 'trade_count_long': 117, 'trade_count_short': 0, 'wins': 67, 'draws': 0, 'losses': 50, 'profit_mean': -0.012698609145299145, 'profit_median': -0.012222, 'profit_total': -0.07436117, 'profit_total_abs': -148.573727, 'max_drawdown': 0.52, 'max_drawdown_abs': -224.955321, 'holding_avg': timedelta(minutes=4282.5641025641025)}, # noqa: E501
|
||
'results_explanation': ' 117 trades. Avg profit -1.27%. Total profit -0.07436117 BTC (-148.57Σ%). Avg duration 4282.6 min.', # noqa: E501
|
||
'total_profit': -0.07436117,
|
||
'current_epoch': 11,
|
||
'is_initial_point': True,
|
||
'is_random': False,
|
||
'is_best': False
|
||
}, {
|
||
'loss': 100000,
|
||
'params_dict': {'mfi-value': 10, 'fastd-value': 36, 'adx-value': 31, 'rsi-value': 22, 'mfi-enabled': True, 'fastd-enabled': True, 'adx-enabled': True, 'rsi-enabled': False, 'trigger': 'sar_reversal', 'sell-mfi-value': 80, 'sell-fastd-value': 71, 'sell-adx-value': 60, 'sell-rsi-value': 85, 'sell-mfi-enabled': False, 'sell-fastd-enabled': False, 'sell-adx-enabled': True, 'sell-rsi-enabled': True, 'sell-trigger': 'sell-bb_upper', 'roi_t1': 1156, 'roi_t2': 581, 'roi_t3': 408, 'roi_p1': 0.06860454019988212, 'roi_p2': 0.12473718444931989, 'roi_p3': 0.2896360635226823, 'stoploss': -0.30889015124682806}, # noqa: E501
|
||
'params_details': {'buy': {'mfi-value': 10, 'fastd-value': 36, 'adx-value': 31, 'rsi-value': 22, 'mfi-enabled': True, 'fastd-enabled': True, 'adx-enabled': True, 'rsi-enabled': False, 'trigger': 'sar_reversal'}, 'sell': {'sell-mfi-value': 80, 'sell-fastd-value': 71, 'sell-adx-value': 60, 'sell-rsi-value': 85, 'sell-mfi-enabled': False, 'sell-fastd-enabled': False, 'sell-adx-enabled': True, 'sell-rsi-enabled': True, 'sell-trigger': 'sell-bb_upper'}, 'roi': {0: 0.4829777881718843, 408: 0.19334172464920202, 989: 0.06860454019988212, 2145: 0}, 'stoploss': {'stoploss': -0.30889015124682806}}, # noqa: E501
|
||
'results_metrics': {'total_trades': 0, 'trade_count_long': 0, 'trade_count_short': 0, 'wins': 0, 'draws': 0, 'losses': 0, 'profit_mean': None, 'profit_median': None, 'profit_total': 0, 'profit_total_abs': 0.0, 'max_drawdown': 0.0, 'max_drawdown_abs': 0.0, 'holding_avg': timedelta()}, # noqa: E501
|
||
'results_explanation': ' 0 trades. Avg profit nan%. Total profit 0.00000000 BTC ( 0.00Σ%). Avg duration nan min.', # noqa: E501
|
||
'total_profit': 0,
|
||
'current_epoch': 12,
|
||
'is_initial_point': True,
|
||
'is_random': False,
|
||
'is_best': False
|
||
}
|
||
]
|
||
|
||
for res in hyperopt_res:
|
||
res['results_metrics']['holding_avg_s'] = res['results_metrics']['holding_avg'
|
||
].total_seconds()
|
||
|
||
return hyperopt_res
|
||
|
||
|
||
@pytest.fixture(scope='function')
|
||
def limit_buy_order_usdt_open():
|
||
return {
|
||
'id': 'mocked_limit_buy_usdt',
|
||
'type': 'limit',
|
||
'side': 'buy',
|
||
'symbol': 'mocked',
|
||
'datetime': arrow.utcnow().isoformat(),
|
||
'timestamp': arrow.utcnow().int_timestamp * 1000,
|
||
'price': 2.00,
|
||
'average': 2.00,
|
||
'amount': 30.0,
|
||
'filled': 0.0,
|
||
'cost': 60.0,
|
||
'remaining': 30.0,
|
||
'status': 'open'
|
||
}
|
||
|
||
|
||
@pytest.fixture(scope='function')
|
||
def limit_buy_order_usdt(limit_buy_order_usdt_open):
|
||
order = deepcopy(limit_buy_order_usdt_open)
|
||
order['status'] = 'closed'
|
||
order['filled'] = order['amount']
|
||
order['remaining'] = 0.0
|
||
return order
|
||
|
||
|
||
@pytest.fixture
|
||
def limit_sell_order_usdt_open():
|
||
return {
|
||
'id': 'mocked_limit_sell_usdt',
|
||
'type': 'limit',
|
||
'side': 'sell',
|
||
'symbol': 'mocked',
|
||
'datetime': arrow.utcnow().isoformat(),
|
||
'timestamp': arrow.utcnow().int_timestamp * 1000,
|
||
'price': 2.20,
|
||
'amount': 30.0,
|
||
'cost': 66.0,
|
||
'filled': 0.0,
|
||
'remaining': 30.0,
|
||
'status': 'open'
|
||
}
|
||
|
||
|
||
@pytest.fixture
|
||
def limit_sell_order_usdt(limit_sell_order_usdt_open):
|
||
order = deepcopy(limit_sell_order_usdt_open)
|
||
order['remaining'] = 0.0
|
||
order['filled'] = order['amount']
|
||
order['status'] = 'closed'
|
||
return order
|
||
|
||
|
||
@pytest.fixture(scope='function')
|
||
def market_buy_order_usdt():
|
||
return {
|
||
'id': 'mocked_market_buy',
|
||
'type': 'market',
|
||
'side': 'buy',
|
||
'symbol': 'mocked',
|
||
'timestamp': arrow.utcnow().int_timestamp * 1000,
|
||
'datetime': arrow.utcnow().isoformat(),
|
||
'price': 2.00,
|
||
'amount': 30.0,
|
||
'filled': 30.0,
|
||
'remaining': 0.0,
|
||
'status': 'closed'
|
||
}
|
||
|
||
|
||
@pytest.fixture
|
||
def market_buy_order_usdt_doublefee(market_buy_order_usdt):
|
||
order = deepcopy(market_buy_order_usdt)
|
||
order['fee'] = None
|
||
# Market orders filled with 2 trades can have fees in different currencies
|
||
# assuming the account runs out of BNB.
|
||
order['fees'] = [
|
||
{'cost': 0.00025125, 'currency': 'BNB'},
|
||
{'cost': 0.05030681, 'currency': 'USDT'},
|
||
]
|
||
order['trades'] = [{
|
||
'timestamp': None,
|
||
'datetime': None,
|
||
'symbol': 'ETH/USDT',
|
||
'id': None,
|
||
'order': '123',
|
||
'type': 'market',
|
||
'side': 'sell',
|
||
'takerOrMaker': None,
|
||
'price': 2.01,
|
||
'amount': 25.0,
|
||
'cost': 50.25,
|
||
'fee': {'cost': 0.00025125, 'currency': 'BNB'}
|
||
}, {
|
||
'timestamp': None,
|
||
'datetime': None,
|
||
'symbol': 'ETH/USDT',
|
||
'id': None,
|
||
'order': '123',
|
||
'type': 'market',
|
||
'side': 'sell',
|
||
'takerOrMaker': None,
|
||
'price': 2.0,
|
||
'amount': 5,
|
||
'cost': 10,
|
||
'fee': {'cost': 0.0100306, 'currency': 'USDT'}
|
||
}]
|
||
return order
|
||
|
||
|
||
@pytest.fixture
|
||
def market_sell_order_usdt():
|
||
return {
|
||
'id': 'mocked_limit_sell',
|
||
'type': 'market',
|
||
'side': 'sell',
|
||
'symbol': 'mocked',
|
||
'timestamp': arrow.utcnow().int_timestamp * 1000,
|
||
'datetime': arrow.utcnow().isoformat(),
|
||
'price': 2.20,
|
||
'amount': 30.0,
|
||
'filled': 30.0,
|
||
'remaining': 0.0,
|
||
'status': 'closed'
|
||
}
|
||
|
||
|
||
@pytest.fixture(scope='function')
|
||
def limit_order(limit_buy_order_usdt, limit_sell_order_usdt):
|
||
return {
|
||
'buy': limit_buy_order_usdt,
|
||
'sell': limit_sell_order_usdt
|
||
}
|
||
|
||
|
||
@pytest.fixture(scope='function')
|
||
def limit_order_open(limit_buy_order_usdt_open, limit_sell_order_usdt_open):
|
||
return {
|
||
'buy': limit_buy_order_usdt_open,
|
||
'sell': limit_sell_order_usdt_open
|
||
}
|
||
|
||
|
||
@pytest.fixture(scope='function')
|
||
def mark_ohlcv():
|
||
return [
|
||
[1630454400000, 2.77, 2.77, 2.73, 2.73, 0],
|
||
[1630458000000, 2.73, 2.76, 2.72, 2.74, 0],
|
||
[1630461600000, 2.74, 2.76, 2.74, 2.76, 0],
|
||
[1630465200000, 2.76, 2.76, 2.74, 2.76, 0],
|
||
[1630468800000, 2.76, 2.77, 2.75, 2.77, 0],
|
||
[1630472400000, 2.77, 2.79, 2.75, 2.78, 0],
|
||
[1630476000000, 2.78, 2.80, 2.77, 2.77, 0],
|
||
[1630479600000, 2.78, 2.79, 2.77, 2.77, 0],
|
||
[1630483200000, 2.77, 2.79, 2.77, 2.78, 0],
|
||
[1630486800000, 2.77, 2.84, 2.77, 2.84, 0],
|
||
[1630490400000, 2.84, 2.85, 2.81, 2.81, 0],
|
||
[1630494000000, 2.81, 2.83, 2.81, 2.81, 0],
|
||
[1630497600000, 2.81, 2.84, 2.81, 2.82, 0],
|
||
[1630501200000, 2.82, 2.83, 2.81, 2.81, 0],
|
||
]
|
||
|
||
|
||
@pytest.fixture(scope='function')
|
||
def funding_rate_history_hourly():
|
||
return [
|
||
{
|
||
"symbol": "ADA/USDT",
|
||
"fundingRate": -0.000008,
|
||
"timestamp": 1630454400000,
|
||
"datetime": "2021-09-01T00:00:00.000Z"
|
||
},
|
||
{
|
||
"symbol": "ADA/USDT",
|
||
"fundingRate": -0.000004,
|
||
"timestamp": 1630458000000,
|
||
"datetime": "2021-09-01T01:00:00.000Z"
|
||
},
|
||
{
|
||
"symbol": "ADA/USDT",
|
||
"fundingRate": 0.000012,
|
||
"timestamp": 1630461600000,
|
||
"datetime": "2021-09-01T02:00:00.000Z"
|
||
},
|
||
{
|
||
"symbol": "ADA/USDT",
|
||
"fundingRate": -0.000003,
|
||
"timestamp": 1630465200000,
|
||
"datetime": "2021-09-01T03:00:00.000Z"
|
||
},
|
||
{
|
||
"symbol": "ADA/USDT",
|
||
"fundingRate": -0.000007,
|
||
"timestamp": 1630468800000,
|
||
"datetime": "2021-09-01T04:00:00.000Z"
|
||
},
|
||
{
|
||
"symbol": "ADA/USDT",
|
||
"fundingRate": 0.000003,
|
||
"timestamp": 1630472400000,
|
||
"datetime": "2021-09-01T05:00:00.000Z"
|
||
},
|
||
{
|
||
"symbol": "ADA/USDT",
|
||
"fundingRate": 0.000019,
|
||
"timestamp": 1630476000000,
|
||
"datetime": "2021-09-01T06:00:00.000Z"
|
||
},
|
||
{
|
||
"symbol": "ADA/USDT",
|
||
"fundingRate": 0.000003,
|
||
"timestamp": 1630479600000,
|
||
"datetime": "2021-09-01T07:00:00.000Z"
|
||
},
|
||
{
|
||
"symbol": "ADA/USDT",
|
||
"fundingRate": -0.000003,
|
||
"timestamp": 1630483200000,
|
||
"datetime": "2021-09-01T08:00:00.000Z"
|
||
},
|
||
{
|
||
"symbol": "ADA/USDT",
|
||
"fundingRate": 0,
|
||
"timestamp": 1630486800000,
|
||
"datetime": "2021-09-01T09:00:00.000Z"
|
||
},
|
||
{
|
||
"symbol": "ADA/USDT",
|
||
"fundingRate": 0.000013,
|
||
"timestamp": 1630490400000,
|
||
"datetime": "2021-09-01T10:00:00.000Z"
|
||
},
|
||
{
|
||
"symbol": "ADA/USDT",
|
||
"fundingRate": 0.000077,
|
||
"timestamp": 1630494000000,
|
||
"datetime": "2021-09-01T11:00:00.000Z"
|
||
},
|
||
{
|
||
"symbol": "ADA/USDT",
|
||
"fundingRate": 0.000072,
|
||
"timestamp": 1630497600000,
|
||
"datetime": "2021-09-01T12:00:00.000Z"
|
||
},
|
||
{
|
||
"symbol": "ADA/USDT",
|
||
"fundingRate": 0.000097,
|
||
"timestamp": 1630501200000,
|
||
"datetime": "2021-09-01T13:00:00.000Z"
|
||
},
|
||
]
|
||
|
||
|
||
@pytest.fixture(scope='function')
|
||
def funding_rate_history_octohourly():
|
||
return [
|
||
{
|
||
"symbol": "ADA/USDT",
|
||
"fundingRate": -0.000008,
|
||
"timestamp": 1630454400000,
|
||
"datetime": "2021-09-01T00:00:00.000Z"
|
||
},
|
||
{
|
||
"symbol": "ADA/USDT",
|
||
"fundingRate": -0.000003,
|
||
"timestamp": 1630483200000,
|
||
"datetime": "2021-09-01T08:00:00.000Z"
|
||
}
|
||
]
|
||
|
||
|
||
@pytest.fixture(scope='function')
|
||
def leverage_tiers():
|
||
return {
|
||
"1000SHIB/USDT:USDT": [
|
||
{
|
||
'minNotional': 0,
|
||
'maxNotional': 50000,
|
||
'maintenanceMarginRate': 0.01,
|
||
'maxLeverage': 50,
|
||
'maintAmt': 0.0
|
||
},
|
||
{
|
||
'minNotional': 50000,
|
||
'maxNotional': 150000,
|
||
'maintenanceMarginRate': 0.025,
|
||
'maxLeverage': 20,
|
||
'maintAmt': 750.0
|
||
},
|
||
{
|
||
'minNotional': 150000,
|
||
'maxNotional': 250000,
|
||
'maintenanceMarginRate': 0.05,
|
||
'maxLeverage': 10,
|
||
'maintAmt': 4500.0
|
||
},
|
||
{
|
||
'minNotional': 250000,
|
||
'maxNotional': 500000,
|
||
'maintenanceMarginRate': 0.1,
|
||
'maxLeverage': 5,
|
||
'maintAmt': 17000.0
|
||
},
|
||
{
|
||
'minNotional': 500000,
|
||
'maxNotional': 1000000,
|
||
'maintenanceMarginRate': 0.125,
|
||
'maxLeverage': 4,
|
||
'maintAmt': 29500.0
|
||
},
|
||
{
|
||
'minNotional': 1000000,
|
||
'maxNotional': 2000000,
|
||
'maintenanceMarginRate': 0.25,
|
||
'maxLeverage': 2,
|
||
'maintAmt': 154500.0
|
||
},
|
||
{
|
||
'minNotional': 2000000,
|
||
'maxNotional': 30000000,
|
||
'maintenanceMarginRate': 0.5,
|
||
'maxLeverage': 1,
|
||
'maintAmt': 654500.0
|
||
},
|
||
],
|
||
"1INCH/USDT:USDT": [
|
||
{
|
||
'minNotional': 0,
|
||
'maxNotional': 5000,
|
||
'maintenanceMarginRate': 0.012,
|
||
'maxLeverage': 50,
|
||
'maintAmt': 0.0
|
||
},
|
||
{
|
||
'minNotional': 5000,
|
||
'maxNotional': 25000,
|
||
'maintenanceMarginRate': 0.025,
|
||
'maxLeverage': 20,
|
||
'maintAmt': 65.0
|
||
},
|
||
{
|
||
'minNotional': 25000,
|
||
'maxNotional': 100000,
|
||
'maintenanceMarginRate': 0.05,
|
||
'maxLeverage': 10,
|
||
'maintAmt': 690.0
|
||
},
|
||
{
|
||
'minNotional': 100000,
|
||
'maxNotional': 250000,
|
||
'maintenanceMarginRate': 0.1,
|
||
'maxLeverage': 5,
|
||
'maintAmt': 5690.0
|
||
},
|
||
{
|
||
'minNotional': 250000,
|
||
'maxNotional': 1000000,
|
||
'maintenanceMarginRate': 0.125,
|
||
'maxLeverage': 2,
|
||
'maintAmt': 11940.0
|
||
},
|
||
{
|
||
'minNotional': 1000000,
|
||
'maxNotional': 100000000,
|
||
'maintenanceMarginRate': 0.5,
|
||
'maxLeverage': 1,
|
||
'maintAmt': 386940.0
|
||
},
|
||
],
|
||
"AAVE/USDT:USDT": [
|
||
{
|
||
'minNotional': 0,
|
||
'maxNotional': 5000,
|
||
'maintenanceMarginRate': 0.01,
|
||
'maxLeverage': 50,
|
||
'maintAmt': 0.0
|
||
},
|
||
{
|
||
'minNotional': 5000,
|
||
'maxNotional': 25000,
|
||
'maintenanceMarginRate': 0.02,
|
||
'maxLeverage': 25,
|
||
'maintAmt': 75.0
|
||
},
|
||
{
|
||
'minNotional': 25000,
|
||
'maxNotional': 100000,
|
||
'maintenanceMarginRate': 0.05,
|
||
'maxLeverage': 10,
|
||
'maintAmt': 700.0
|
||
},
|
||
{
|
||
'minNotional': 100000,
|
||
'maxNotional': 250000,
|
||
'maintenanceMarginRate': 0.1,
|
||
'maxLeverage': 5,
|
||
'maintAmt': 5700.0
|
||
},
|
||
{
|
||
'minNotional': 250000,
|
||
'maxNotional': 1000000,
|
||
'maintenanceMarginRate': 0.125,
|
||
'maxLeverage': 2,
|
||
'maintAmt': 11950.0
|
||
},
|
||
{
|
||
'minNotional': 10000000,
|
||
'maxNotional': 50000000,
|
||
'maintenanceMarginRate': 0.5,
|
||
'maxLeverage': 1,
|
||
'maintAmt': 386950.0
|
||
},
|
||
],
|
||
"ADA/BUSD:BUSD": [
|
||
{
|
||
"minNotional": 0,
|
||
"maxNotional": 100000,
|
||
"maintenanceMarginRate": 0.025,
|
||
"maxLeverage": 20,
|
||
"maintAmt": 0.0
|
||
},
|
||
{
|
||
"minNotional": 100000,
|
||
"maxNotional": 500000,
|
||
"maintenanceMarginRate": 0.05,
|
||
"maxLeverage": 10,
|
||
"maintAmt": 2500.0
|
||
},
|
||
{
|
||
"minNotional": 500000,
|
||
"maxNotional": 1000000,
|
||
"maintenanceMarginRate": 0.1,
|
||
"maxLeverage": 5,
|
||
"maintAmt": 27500.0
|
||
},
|
||
{
|
||
"minNotional": 1000000,
|
||
"maxNotional": 2000000,
|
||
"maintenanceMarginRate": 0.15,
|
||
"maxLeverage": 3,
|
||
"maintAmt": 77500.0
|
||
},
|
||
{
|
||
"minNotional": 2000000,
|
||
"maxNotional": 5000000,
|
||
"maintenanceMarginRate": 0.25,
|
||
"maxLeverage": 2,
|
||
"maintAmt": 277500.0
|
||
},
|
||
{
|
||
"minNotional": 5000000,
|
||
"maxNotional": 30000000,
|
||
"maintenanceMarginRate": 0.5,
|
||
"maxLeverage": 1,
|
||
"maintAmt": 1527500.0
|
||
},
|
||
],
|
||
'BNB/BUSD:BUSD': [
|
||
{
|
||
"minNotional": 0, # stake(before leverage) = 0
|
||
"maxNotional": 100000, # max stake(before leverage) = 5000
|
||
"maintenanceMarginRate": 0.025,
|
||
"maxLeverage": 20,
|
||
"maintAmt": 0.0
|
||
},
|
||
{
|
||
"minNotional": 100000, # stake = 10000.0
|
||
"maxNotional": 500000, # max_stake = 50000.0
|
||
"maintenanceMarginRate": 0.05,
|
||
"maxLeverage": 10,
|
||
"maintAmt": 2500.0
|
||
},
|
||
{
|
||
"minNotional": 500000, # stake = 100000.0
|
||
"maxNotional": 1000000, # max_stake = 200000.0
|
||
"maintenanceMarginRate": 0.1,
|
||
"maxLeverage": 5,
|
||
"maintAmt": 27500.0
|
||
},
|
||
{
|
||
"minNotional": 1000000, # stake = 333333.3333333333
|
||
"maxNotional": 2000000, # max_stake = 666666.6666666666
|
||
"maintenanceMarginRate": 0.15,
|
||
"maxLeverage": 3,
|
||
"maintAmt": 77500.0
|
||
},
|
||
{
|
||
"minNotional": 2000000, # stake = 1000000.0
|
||
"maxNotional": 5000000, # max_stake = 2500000.0
|
||
"maintenanceMarginRate": 0.25,
|
||
"maxLeverage": 2,
|
||
"maintAmt": 277500.0
|
||
},
|
||
{
|
||
"minNotional": 5000000, # stake = 5000000.0
|
||
"maxNotional": 30000000, # max_stake = 30000000.0
|
||
"maintenanceMarginRate": 0.5,
|
||
"maxLeverage": 1,
|
||
"maintAmt": 1527500.0
|
||
}
|
||
],
|
||
'BNB/USDT:USDT': [
|
||
{
|
||
"minNotional": 0, # stake = 0.0
|
||
"maxNotional": 10000, # max_stake = 133.33333333333334
|
||
"maintenanceMarginRate": 0.0065,
|
||
"maxLeverage": 75,
|
||
"maintAmt": 0.0
|
||
},
|
||
{
|
||
"minNotional": 10000, # stake = 200.0
|
||
"maxNotional": 50000, # max_stake = 1000.0
|
||
"maintenanceMarginRate": 0.01,
|
||
"maxLeverage": 50,
|
||
"maintAmt": 35.0
|
||
},
|
||
{
|
||
"minNotional": 50000, # stake = 2000.0
|
||
"maxNotional": 250000, # max_stake = 10000.0
|
||
"maintenanceMarginRate": 0.02,
|
||
"maxLeverage": 25,
|
||
"maintAmt": 535.0
|
||
},
|
||
{
|
||
"minNotional": 250000, # stake = 25000.0
|
||
"maxNotional": 1000000, # max_stake = 100000.0
|
||
"maintenanceMarginRate": 0.05,
|
||
"maxLeverage": 10,
|
||
"maintAmt": 8035.0
|
||
},
|
||
{
|
||
"minNotional": 1000000, # stake = 200000.0
|
||
"maxNotional": 2000000, # max_stake = 400000.0
|
||
"maintenanceMarginRate": 0.1,
|
||
"maxLeverage": 5,
|
||
"maintAmt": 58035.0
|
||
},
|
||
{
|
||
"minNotional": 2000000, # stake = 500000.0
|
||
"maxNotional": 5000000, # max_stake = 1250000.0
|
||
"maintenanceMarginRate": 0.125,
|
||
"maxLeverage": 4,
|
||
"maintAmt": 108035.0
|
||
},
|
||
{
|
||
"minNotional": 5000000, # stake = 1666666.6666666667
|
||
"maxNotional": 10000000, # max_stake = 3333333.3333333335
|
||
"maintenanceMarginRate": 0.15,
|
||
"maxLeverage": 3,
|
||
"maintAmt": 233035.0
|
||
},
|
||
{
|
||
"minNotional": 10000000, # stake = 5000000.0
|
||
"maxNotional": 20000000, # max_stake = 10000000.0
|
||
"maintenanceMarginRate": 0.25,
|
||
"maxLeverage": 2,
|
||
"maintAmt": 1233035.0
|
||
},
|
||
{
|
||
"minNotional": 20000000, # stake = 20000000.0
|
||
"maxNotional": 50000000, # max_stake = 50000000.0
|
||
"maintenanceMarginRate": 0.5,
|
||
"maxLeverage": 1,
|
||
"maintAmt": 6233035.0
|
||
},
|
||
],
|
||
'BTC/USDT:USDT': [
|
||
{
|
||
"minNotional": 0, # stake = 0.0
|
||
"maxNotional": 50000, # max_stake = 400.0
|
||
"maintenanceMarginRate": 0.004,
|
||
"maxLeverage": 125,
|
||
"maintAmt": 0.0
|
||
},
|
||
{
|
||
"minNotional": 50000, # stake = 500.0
|
||
"maxNotional": 250000, # max_stake = 2500.0
|
||
"maintenanceMarginRate": 0.005,
|
||
"maxLeverage": 100,
|
||
"maintAmt": 50.0
|
||
},
|
||
{
|
||
"minNotional": 250000, # stake = 5000.0
|
||
"maxNotional": 1000000, # max_stake = 20000.0
|
||
"maintenanceMarginRate": 0.01,
|
||
"maxLeverage": 50,
|
||
"maintAmt": 1300.0
|
||
},
|
||
{
|
||
"minNotional": 1000000, # stake = 50000.0
|
||
"maxNotional": 7500000, # max_stake = 375000.0
|
||
"maintenanceMarginRate": 0.025,
|
||
"maxLeverage": 20,
|
||
"maintAmt": 16300.0
|
||
},
|
||
{
|
||
"minNotional": 7500000, # stake = 750000.0
|
||
"maxNotional": 40000000, # max_stake = 4000000.0
|
||
"maintenanceMarginRate": 0.05,
|
||
"maxLeverage": 10,
|
||
"maintAmt": 203800.0
|
||
},
|
||
{
|
||
"minNotional": 40000000, # stake = 8000000.0
|
||
"maxNotional": 100000000, # max_stake = 20000000.0
|
||
"maintenanceMarginRate": 0.1,
|
||
"maxLeverage": 5,
|
||
"maintAmt": 2203800.0
|
||
},
|
||
{
|
||
"minNotional": 100000000, # stake = 25000000.0
|
||
"maxNotional": 200000000, # max_stake = 50000000.0
|
||
"maintenanceMarginRate": 0.125,
|
||
"maxLeverage": 4,
|
||
"maintAmt": 4703800.0
|
||
},
|
||
{
|
||
"minNotional": 200000000, # stake = 66666666.666666664
|
||
"maxNotional": 400000000, # max_stake = 133333333.33333333
|
||
"maintenanceMarginRate": 0.15,
|
||
"maxLeverage": 3,
|
||
"maintAmt": 9703800.0
|
||
},
|
||
{
|
||
"minNotional": 400000000, # stake = 200000000.0
|
||
"maxNotional": 600000000, # max_stake = 300000000.0
|
||
"maintenanceMarginRate": 0.25,
|
||
"maxLeverage": 2,
|
||
"maintAmt": 4.97038E7
|
||
},
|
||
{
|
||
"minNotional": 600000000, # stake = 600000000.0
|
||
"maxNotional": 1000000000, # max_stake = 1000000000.0
|
||
"maintenanceMarginRate": 0.5,
|
||
"maxLeverage": 1,
|
||
"maintAmt": 1.997038E8
|
||
},
|
||
],
|
||
"ZEC/USDT:USDT": [
|
||
{
|
||
'minNotional': 0,
|
||
'maxNotional': 50000,
|
||
'maintenanceMarginRate': 0.01,
|
||
'maxLeverage': 50,
|
||
'maintAmt': 0.0
|
||
},
|
||
{
|
||
'minNotional': 50000,
|
||
'maxNotional': 150000,
|
||
'maintenanceMarginRate': 0.025,
|
||
'maxLeverage': 20,
|
||
'maintAmt': 750.0
|
||
},
|
||
{
|
||
'minNotional': 150000,
|
||
'maxNotional': 250000,
|
||
'maintenanceMarginRate': 0.05,
|
||
'maxLeverage': 10,
|
||
'maintAmt': 4500.0
|
||
},
|
||
{
|
||
'minNotional': 250000,
|
||
'maxNotional': 500000,
|
||
'maintenanceMarginRate': 0.1,
|
||
'maxLeverage': 5,
|
||
'maintAmt': 17000.0
|
||
},
|
||
{
|
||
'minNotional': 500000,
|
||
'maxNotional': 1000000,
|
||
'maintenanceMarginRate': 0.125,
|
||
'maxLeverage': 4,
|
||
'maintAmt': 29500.0
|
||
},
|
||
{
|
||
'minNotional': 1000000,
|
||
'maxNotional': 2000000,
|
||
'maintenanceMarginRate': 0.25,
|
||
'maxLeverage': 2,
|
||
'maintAmt': 154500.0
|
||
},
|
||
{
|
||
'minNotional': 2000000,
|
||
'maxNotional': 30000000,
|
||
'maintenanceMarginRate': 0.5,
|
||
'maxLeverage': 1,
|
||
'maintAmt': 654500.0
|
||
},
|
||
]
|
||
}
|