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stable/tests/exchange/test_exchange.py
Matthias a3acdd5240 apply stop-reserve to minimum limits only when necessary 
it's unnecessary for amount - but necessary for Cost / price limits.
2023-04-03 06:37:31 +02:00

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