1271 lines
58 KiB
Python
1271 lines
58 KiB
Python
# pragma pylint: disable=missing-docstring,C0103,protected-access
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import logging
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import time
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from unittest.mock import MagicMock, PropertyMock
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import pandas as pd
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import pytest
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import time_machine
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from freqtrade.constants import AVAILABLE_PAIRLISTS
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from freqtrade.enums import RunMode
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from freqtrade.exceptions import OperationalException
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from freqtrade.persistence import Trade
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from freqtrade.plugins.pairlist.pairlist_helpers import expand_pairlist
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from freqtrade.plugins.pairlistmanager import PairListManager
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from freqtrade.resolvers import PairListResolver
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from tests.conftest import (create_mock_trades, get_patched_exchange, get_patched_freqtradebot,
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log_has, log_has_re, num_log_has)
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@pytest.fixture(scope="function")
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def whitelist_conf(default_conf):
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default_conf['stake_currency'] = 'BTC'
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default_conf['exchange']['pair_whitelist'] = [
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'ETH/BTC',
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'TKN/BTC',
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'TRST/BTC',
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'SWT/BTC',
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'BCC/BTC',
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'HOT/BTC',
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]
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default_conf['exchange']['pair_blacklist'] = [
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'BLK/BTC'
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]
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default_conf['pairlists'] = [
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{
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"method": "VolumePairList",
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"number_assets": 5,
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"sort_key": "quoteVolume",
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},
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]
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return default_conf
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@pytest.fixture(scope="function")
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def whitelist_conf_2(default_conf):
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default_conf['stake_currency'] = 'BTC'
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default_conf['exchange']['pair_whitelist'] = [
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'ETH/BTC', 'TKN/BTC', 'BLK/BTC', 'LTC/BTC',
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'BTT/BTC', 'HOT/BTC', 'FUEL/BTC', 'XRP/BTC'
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]
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default_conf['exchange']['pair_blacklist'] = [
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'BLK/BTC'
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]
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default_conf['pairlists'] = [
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# { "method": "StaticPairList"},
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{
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"method": "VolumePairList",
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"number_assets": 5,
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"sort_key": "quoteVolume",
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"refresh_period": 0,
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},
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]
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return default_conf
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@pytest.fixture(scope="function")
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def whitelist_conf_agefilter(default_conf):
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default_conf['stake_currency'] = 'BTC'
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default_conf['exchange']['pair_whitelist'] = [
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'ETH/BTC', 'TKN/BTC', 'BLK/BTC', 'LTC/BTC',
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'BTT/BTC', 'HOT/BTC', 'FUEL/BTC', 'XRP/BTC'
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]
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default_conf['exchange']['pair_blacklist'] = [
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'BLK/BTC'
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]
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default_conf['pairlists'] = [
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{
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"method": "VolumePairList",
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"number_assets": 5,
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"sort_key": "quoteVolume",
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"refresh_period": -1,
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},
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{
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"method": "AgeFilter",
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"min_days_listed": 2,
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"max_days_listed": 100
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}
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]
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return default_conf
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@pytest.fixture(scope="function")
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def static_pl_conf(whitelist_conf):
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whitelist_conf['pairlists'] = [
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{
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"method": "StaticPairList",
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},
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]
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return whitelist_conf
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def test_log_cached(mocker, static_pl_conf, markets, tickers):
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mocker.patch.multiple('freqtrade.exchange.Exchange',
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markets=PropertyMock(return_value=markets),
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exchange_has=MagicMock(return_value=True),
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get_tickers=tickers
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)
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freqtrade = get_patched_freqtradebot(mocker, static_pl_conf)
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logmock = MagicMock()
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# Assign starting whitelist
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pl = freqtrade.pairlists._pairlist_handlers[0]
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pl.log_once('Hello world', logmock)
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assert logmock.call_count == 1
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pl.log_once('Hello world', logmock)
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assert logmock.call_count == 1
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assert pl._log_cache.currsize == 1
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assert ('Hello world',) in pl._log_cache._Cache__data
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pl.log_once('Hello world2', logmock)
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assert logmock.call_count == 2
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assert pl._log_cache.currsize == 2
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def test_load_pairlist_noexist(mocker, markets, default_conf):
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freqtrade = get_patched_freqtradebot(mocker, default_conf)
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mocker.patch('freqtrade.exchange.Exchange.markets', PropertyMock(return_value=markets))
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plm = PairListManager(freqtrade.exchange, default_conf)
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with pytest.raises(OperationalException,
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match=r"Impossible to load Pairlist 'NonexistingPairList'. "
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r"This class does not exist or contains Python code errors."):
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PairListResolver.load_pairlist('NonexistingPairList', freqtrade.exchange, plm,
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default_conf, {}, 1)
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def test_load_pairlist_verify_multi(mocker, markets_static, default_conf):
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freqtrade = get_patched_freqtradebot(mocker, default_conf)
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mocker.patch('freqtrade.exchange.Exchange.markets', PropertyMock(return_value=markets_static))
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plm = PairListManager(freqtrade.exchange, default_conf)
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# Call different versions one after the other, should always consider what was passed in
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# and have no side-effects (therefore the same check multiple times)
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assert plm.verify_whitelist(['ETH/BTC', 'XRP/BTC', ], print) == ['ETH/BTC', 'XRP/BTC']
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assert plm.verify_whitelist(['ETH/BTC', 'XRP/BTC', 'BUUU/BTC'], print) == ['ETH/BTC', 'XRP/BTC']
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assert plm.verify_whitelist(['XRP/BTC', 'BUUU/BTC'], print) == ['XRP/BTC']
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assert plm.verify_whitelist(['ETH/BTC', 'XRP/BTC', ], print) == ['ETH/BTC', 'XRP/BTC']
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assert plm.verify_whitelist(['ETH/USDT', 'XRP/USDT', ], print) == ['ETH/USDT', ]
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assert plm.verify_whitelist(['ETH/BTC', 'XRP/BTC', ], print) == ['ETH/BTC', 'XRP/BTC']
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def test_refresh_market_pair_not_in_whitelist(mocker, markets, static_pl_conf):
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freqtrade = get_patched_freqtradebot(mocker, static_pl_conf)
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mocker.patch('freqtrade.exchange.Exchange.markets', PropertyMock(return_value=markets))
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freqtrade.pairlists.refresh_pairlist()
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# List ordered by BaseVolume
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whitelist = ['ETH/BTC', 'TKN/BTC']
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# Ensure all except those in whitelist are removed
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assert set(whitelist) == set(freqtrade.pairlists.whitelist)
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# Ensure config dict hasn't been changed
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assert (static_pl_conf['exchange']['pair_whitelist'] ==
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freqtrade.config['exchange']['pair_whitelist'])
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def test_refresh_static_pairlist(mocker, markets, static_pl_conf):
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freqtrade = get_patched_freqtradebot(mocker, static_pl_conf)
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mocker.patch.multiple(
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'freqtrade.exchange.Exchange',
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exchange_has=MagicMock(return_value=True),
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markets=PropertyMock(return_value=markets),
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)
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freqtrade.pairlists.refresh_pairlist()
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# List ordered by BaseVolume
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whitelist = ['ETH/BTC', 'TKN/BTC']
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# Ensure all except those in whitelist are removed
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assert set(whitelist) == set(freqtrade.pairlists.whitelist)
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assert static_pl_conf['exchange']['pair_blacklist'] == freqtrade.pairlists.blacklist
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@pytest.mark.parametrize('pairs,expected', [
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(['NOEXIST/BTC', r'\+WHAT/BTC'],
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['ETH/BTC', 'TKN/BTC', 'TRST/BTC', 'NOEXIST/BTC', 'SWT/BTC', 'BCC/BTC', 'HOT/BTC']),
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(['NOEXIST/BTC', r'*/BTC'], # This is an invalid regex
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[]),
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])
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def test_refresh_static_pairlist_noexist(mocker, markets, static_pl_conf, pairs, expected, caplog):
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static_pl_conf['pairlists'][0]['allow_inactive'] = True
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static_pl_conf['exchange']['pair_whitelist'] += pairs
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freqtrade = get_patched_freqtradebot(mocker, static_pl_conf)
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mocker.patch.multiple(
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'freqtrade.exchange.Exchange',
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exchange_has=MagicMock(return_value=True),
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markets=PropertyMock(return_value=markets),
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)
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freqtrade.pairlists.refresh_pairlist()
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# Ensure all except those in whitelist are removed
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assert set(expected) == set(freqtrade.pairlists.whitelist)
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assert static_pl_conf['exchange']['pair_blacklist'] == freqtrade.pairlists.blacklist
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if not expected:
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assert log_has_re(r'Pair whitelist contains an invalid Wildcard: Wildcard error.*', caplog)
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def test_invalid_blacklist(mocker, markets, static_pl_conf, caplog):
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static_pl_conf['exchange']['pair_blacklist'] = ['*/BTC']
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freqtrade = get_patched_freqtradebot(mocker, static_pl_conf)
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mocker.patch.multiple(
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'freqtrade.exchange.Exchange',
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exchange_has=MagicMock(return_value=True),
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markets=PropertyMock(return_value=markets),
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)
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freqtrade.pairlists.refresh_pairlist()
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whitelist = []
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# Ensure all except those in whitelist are removed
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assert set(whitelist) == set(freqtrade.pairlists.whitelist)
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assert static_pl_conf['exchange']['pair_blacklist'] == freqtrade.pairlists.blacklist
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log_has_re(r"Pair blacklist contains an invalid Wildcard.*", caplog)
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def test_remove_logs_for_pairs_already_in_blacklist(mocker, markets, static_pl_conf, caplog):
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logger = logging.getLogger(__name__)
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freqtrade = get_patched_freqtradebot(mocker, static_pl_conf)
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mocker.patch.multiple(
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'freqtrade.exchange.Exchange',
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exchange_has=MagicMock(return_value=True),
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markets=PropertyMock(return_value=markets),
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)
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freqtrade.pairlists.refresh_pairlist()
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whitelist = ['ETH/BTC', 'TKN/BTC']
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caplog.clear()
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caplog.set_level(logging.INFO)
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# Ensure all except those in whitelist are removed.
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assert set(whitelist) == set(freqtrade.pairlists.whitelist)
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assert static_pl_conf['exchange']['pair_blacklist'] == freqtrade.pairlists.blacklist
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# Ensure that log message wasn't generated.
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assert not log_has('Pair BLK/BTC in your blacklist. Removing it from whitelist...', caplog)
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for _ in range(3):
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new_whitelist = freqtrade.pairlists.verify_blacklist(
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whitelist + ['BLK/BTC'], logger.warning)
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# Ensure that the pair is removed from the white list, and properly logged.
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assert set(whitelist) == set(new_whitelist)
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assert num_log_has('Pair BLK/BTC in your blacklist. Removing it from whitelist...',
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caplog) == 1
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def test_refresh_pairlist_dynamic(mocker, shitcoinmarkets, tickers, whitelist_conf):
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mocker.patch.multiple(
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'freqtrade.exchange.Exchange',
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get_tickers=tickers,
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exchange_has=MagicMock(return_value=True),
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)
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freqtrade = get_patched_freqtradebot(mocker, whitelist_conf)
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# Remock markets with shitcoinmarkets since get_patched_freqtradebot uses the markets fixture
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mocker.patch.multiple(
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'freqtrade.exchange.Exchange',
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markets=PropertyMock(return_value=shitcoinmarkets),
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)
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# argument: use the whitelist dynamically by exchange-volume
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whitelist = ['ETH/BTC', 'TKN/BTC', 'LTC/BTC', 'XRP/BTC', 'HOT/BTC']
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freqtrade.pairlists.refresh_pairlist()
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assert whitelist == freqtrade.pairlists.whitelist
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whitelist_conf['pairlists'] = [{'method': 'VolumePairList'}]
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with pytest.raises(OperationalException,
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match=r'`number_assets` not specified. Please check your configuration '
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r'for "pairlist.config.number_assets"'):
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PairListManager(freqtrade.exchange, whitelist_conf)
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def test_refresh_pairlist_dynamic_2(mocker, shitcoinmarkets, tickers, whitelist_conf_2):
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tickers_dict = tickers()
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mocker.patch.multiple(
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'freqtrade.exchange.Exchange',
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exchange_has=MagicMock(return_value=True),
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)
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# Remove caching of ticker data to emulate changing volume by the time of second call
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mocker.patch.multiple(
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'freqtrade.plugins.pairlistmanager.PairListManager',
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_get_cached_tickers=MagicMock(return_value=tickers_dict),
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)
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freqtrade = get_patched_freqtradebot(mocker, whitelist_conf_2)
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# Remock markets with shitcoinmarkets since get_patched_freqtradebot uses the markets fixture
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mocker.patch.multiple(
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'freqtrade.exchange.Exchange',
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markets=PropertyMock(return_value=shitcoinmarkets),
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)
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whitelist = ['ETH/BTC', 'TKN/BTC', 'LTC/BTC', 'XRP/BTC', 'HOT/BTC']
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freqtrade.pairlists.refresh_pairlist()
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assert whitelist == freqtrade.pairlists.whitelist
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# Delay to allow 0 TTL cache to expire...
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time.sleep(1)
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whitelist = ['FUEL/BTC', 'ETH/BTC', 'TKN/BTC', 'LTC/BTC', 'XRP/BTC']
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tickers_dict['FUEL/BTC']['quoteVolume'] = 10000.0
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freqtrade.pairlists.refresh_pairlist()
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assert whitelist == freqtrade.pairlists.whitelist
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def test_VolumePairList_refresh_empty(mocker, markets_empty, whitelist_conf):
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mocker.patch.multiple(
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'freqtrade.exchange.Exchange',
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exchange_has=MagicMock(return_value=True),
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)
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freqtrade = get_patched_freqtradebot(mocker, whitelist_conf)
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mocker.patch('freqtrade.exchange.Exchange.markets', PropertyMock(return_value=markets_empty))
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# argument: use the whitelist dynamically by exchange-volume
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whitelist = []
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whitelist_conf['exchange']['pair_whitelist'] = []
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freqtrade.pairlists.refresh_pairlist()
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pairslist = whitelist_conf['exchange']['pair_whitelist']
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assert set(whitelist) == set(pairslist)
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@pytest.mark.parametrize("pairlists,base_currency,whitelist_result", [
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# VolumePairList only
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([{"method": "VolumePairList", "number_assets": 5, "sort_key": "quoteVolume"}],
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"BTC", ['ETH/BTC', 'TKN/BTC', 'LTC/BTC', 'XRP/BTC', 'HOT/BTC']),
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([{"method": "VolumePairList", "number_assets": 5, "sort_key": "quoteVolume"}],
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"USDT", ['ETH/USDT', 'NANO/USDT', 'ADAHALF/USDT', 'ADADOUBLE/USDT']),
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# No pair for ETH, VolumePairList
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([{"method": "VolumePairList", "number_assets": 5, "sort_key": "quoteVolume"}],
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"ETH", []),
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# No pair for ETH, StaticPairList
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([{"method": "StaticPairList"}],
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"ETH", []),
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# No pair for ETH, all handlers
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([{"method": "StaticPairList"},
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{"method": "VolumePairList", "number_assets": 5, "sort_key": "quoteVolume"},
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{"method": "AgeFilter", "min_days_listed": 2, "max_days_listed": None},
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{"method": "PrecisionFilter"},
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{"method": "PriceFilter", "low_price_ratio": 0.03},
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{"method": "SpreadFilter", "max_spread_ratio": 0.005},
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{"method": "ShuffleFilter"}, {"method": "PerformanceFilter"}],
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"ETH", []),
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# AgeFilter and VolumePairList (require 2 days only, all should pass age test)
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([{"method": "VolumePairList", "number_assets": 5, "sort_key": "quoteVolume"},
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{"method": "AgeFilter", "min_days_listed": 2, "max_days_listed": 100}],
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"BTC", ['ETH/BTC', 'TKN/BTC', 'LTC/BTC', 'XRP/BTC', 'HOT/BTC']),
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# AgeFilter and VolumePairList (require 10 days, all should fail age test)
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([{"method": "VolumePairList", "number_assets": 5, "sort_key": "quoteVolume"},
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{"method": "AgeFilter", "min_days_listed": 10, "max_days_listed": None}],
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"BTC", []),
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# AgeFilter and VolumePairList (all pair listed > 2, all should fail age test)
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([{"method": "VolumePairList", "number_assets": 5, "sort_key": "quoteVolume"},
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{"method": "AgeFilter", "min_days_listed": 1, "max_days_listed": 2}],
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"BTC", []),
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# AgeFilter and VolumePairList LTC/BTC has 6 candles - removes all
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([{"method": "VolumePairList", "number_assets": 5, "sort_key": "quoteVolume"},
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{"method": "AgeFilter", "min_days_listed": 4, "max_days_listed": 5}],
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"BTC", []),
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# AgeFilter and VolumePairList LTC/BTC has 6 candles - passes
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([{"method": "VolumePairList", "number_assets": 5, "sort_key": "quoteVolume"},
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{"method": "AgeFilter", "min_days_listed": 4, "max_days_listed": 10}],
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"BTC", ["LTC/BTC"]),
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# Precisionfilter and quote volume
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([{"method": "VolumePairList", "number_assets": 5, "sort_key": "quoteVolume"},
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{"method": "PrecisionFilter"}],
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"BTC", ['ETH/BTC', 'TKN/BTC', 'LTC/BTC', 'XRP/BTC']),
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# PriceFilter and VolumePairList
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([{"method": "VolumePairList", "number_assets": 5, "sort_key": "quoteVolume"},
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{"method": "PriceFilter", "low_price_ratio": 0.03}],
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"BTC", ['ETH/BTC', 'TKN/BTC', 'LTC/BTC', 'XRP/BTC']),
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# PriceFilter and VolumePairList
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([{"method": "VolumePairList", "number_assets": 5, "sort_key": "quoteVolume"},
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{"method": "PriceFilter", "low_price_ratio": 0.03}],
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"USDT", ['ETH/USDT', 'NANO/USDT']),
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# Hot is removed by precision_filter, Fuel by low_price_ratio, Ripple by min_price.
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([{"method": "VolumePairList", "number_assets": 6, "sort_key": "quoteVolume"},
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{"method": "PrecisionFilter"},
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{"method": "PriceFilter", "low_price_ratio": 0.02, "min_price": 0.01}],
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"BTC", ['ETH/BTC', 'TKN/BTC', 'LTC/BTC']),
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# Hot is removed by precision_filter, Fuel by low_price_ratio, Ethereum by max_price.
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([{"method": "VolumePairList", "number_assets": 6, "sort_key": "quoteVolume"},
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{"method": "PrecisionFilter"},
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{"method": "PriceFilter", "low_price_ratio": 0.02, "max_price": 0.05}],
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"BTC", ['TKN/BTC', 'LTC/BTC', 'XRP/BTC']),
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# HOT and XRP are removed because below 1250 quoteVolume
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([{"method": "VolumePairList", "number_assets": 5,
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"sort_key": "quoteVolume", "min_value": 1250}],
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"BTC", ['ETH/BTC', 'TKN/BTC', 'LTC/BTC']),
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# StaticPairlist only
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([{"method": "StaticPairList"}],
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"BTC", ['ETH/BTC', 'TKN/BTC', 'HOT/BTC']),
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# Static Pairlist before VolumePairList - sorting changes
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# SpreadFilter
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([{"method": "VolumePairList", "number_assets": 5, "sort_key": "quoteVolume"},
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{"method": "SpreadFilter", "max_spread_ratio": 0.005}],
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"USDT", ['ETH/USDT']),
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# ShuffleFilter
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([{"method": "VolumePairList", "number_assets": 5, "sort_key": "quoteVolume"},
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{"method": "ShuffleFilter", "seed": 77}],
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"USDT", ['ADADOUBLE/USDT', 'ETH/USDT', 'NANO/USDT', 'ADAHALF/USDT']),
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# ShuffleFilter, other seed
|
|
([{"method": "VolumePairList", "number_assets": 5, "sort_key": "quoteVolume"},
|
|
{"method": "ShuffleFilter", "seed": 42}],
|
|
"USDT", ['ADAHALF/USDT', 'NANO/USDT', 'ADADOUBLE/USDT', 'ETH/USDT']),
|
|
# ShuffleFilter, no seed
|
|
([{"method": "VolumePairList", "number_assets": 5, "sort_key": "quoteVolume"},
|
|
{"method": "ShuffleFilter"}],
|
|
"USDT", 3), # whitelist_result is integer -- check only length of randomized pairlist
|
|
# AgeFilter only
|
|
([{"method": "AgeFilter", "min_days_listed": 2}],
|
|
"BTC", 'filter_at_the_beginning'), # OperationalException expected
|
|
# PrecisionFilter after StaticPairList
|
|
([{"method": "StaticPairList"},
|
|
{"method": "PrecisionFilter"}],
|
|
"BTC", ['ETH/BTC', 'TKN/BTC']),
|
|
# PrecisionFilter only
|
|
([{"method": "PrecisionFilter"}],
|
|
"BTC", 'filter_at_the_beginning'), # OperationalException expected
|
|
# PriceFilter after StaticPairList
|
|
([{"method": "StaticPairList"},
|
|
{"method": "PriceFilter", "low_price_ratio": 0.02, "min_price": 0.000001, "max_price": 0.1}],
|
|
"BTC", ['ETH/BTC', 'TKN/BTC']),
|
|
# PriceFilter only
|
|
([{"method": "PriceFilter", "low_price_ratio": 0.02}],
|
|
"BTC", 'filter_at_the_beginning'), # OperationalException expected
|
|
# ShuffleFilter after StaticPairList
|
|
([{"method": "StaticPairList"},
|
|
{"method": "ShuffleFilter", "seed": 42}],
|
|
"BTC", ['TKN/BTC', 'ETH/BTC', 'HOT/BTC']),
|
|
# ShuffleFilter only
|
|
([{"method": "ShuffleFilter", "seed": 42}],
|
|
"BTC", 'filter_at_the_beginning'), # OperationalException expected
|
|
# PerformanceFilter after StaticPairList
|
|
([{"method": "StaticPairList"},
|
|
{"method": "PerformanceFilter"}],
|
|
"BTC", ['ETH/BTC', 'TKN/BTC', 'HOT/BTC']),
|
|
# PerformanceFilter only
|
|
([{"method": "PerformanceFilter"}],
|
|
"BTC", 'filter_at_the_beginning'), # OperationalException expected
|
|
# SpreadFilter after StaticPairList
|
|
([{"method": "StaticPairList"},
|
|
{"method": "SpreadFilter", "max_spread_ratio": 0.005}],
|
|
"BTC", ['ETH/BTC', 'TKN/BTC']),
|
|
# SpreadFilter only
|
|
([{"method": "SpreadFilter", "max_spread_ratio": 0.005}],
|
|
"BTC", 'filter_at_the_beginning'), # OperationalException expected
|
|
# Static Pairlist after VolumePairList, on a non-first position (appends pairs)
|
|
([{"method": "VolumePairList", "number_assets": 2, "sort_key": "quoteVolume"},
|
|
{"method": "StaticPairList"}],
|
|
"BTC", ['ETH/BTC', 'TKN/BTC', 'TRST/BTC', 'SWT/BTC', 'BCC/BTC', 'HOT/BTC']),
|
|
([{"method": "VolumePairList", "number_assets": 20, "sort_key": "quoteVolume"},
|
|
{"method": "PriceFilter", "low_price_ratio": 0.02}],
|
|
"USDT", ['ETH/USDT', 'NANO/USDT']),
|
|
([{"method": "VolumePairList", "number_assets": 20, "sort_key": "quoteVolume"},
|
|
{"method": "PriceFilter", "max_value": 0.000001}],
|
|
"USDT", ['NANO/USDT']),
|
|
([{"method": "StaticPairList"},
|
|
{"method": "RangeStabilityFilter", "lookback_days": 10,
|
|
"min_rate_of_change": 0.01, "refresh_period": 1440}],
|
|
"BTC", ['ETH/BTC', 'TKN/BTC', 'HOT/BTC']),
|
|
([{"method": "StaticPairList"},
|
|
{"method": "RangeStabilityFilter", "lookback_days": 10,
|
|
"max_rate_of_change": 0.01, "refresh_period": 1440}],
|
|
"BTC", []), # All removed because of max_rate_of_change being 0.017
|
|
([{"method": "StaticPairList"},
|
|
{"method": "VolatilityFilter", "lookback_days": 3,
|
|
"min_volatility": 0.002, "max_volatility": 0.004, "refresh_period": 1440}],
|
|
"BTC", ['ETH/BTC', 'TKN/BTC']),
|
|
# VolumePairList with no offset = unchanged pairlist
|
|
([{"method": "VolumePairList", "number_assets": 20, "sort_key": "quoteVolume"},
|
|
{"method": "OffsetFilter", "offset": 0}],
|
|
"USDT", ['ETH/USDT', 'NANO/USDT', 'ADAHALF/USDT', 'ADADOUBLE/USDT']),
|
|
# VolumePairList with offset = 2
|
|
([{"method": "VolumePairList", "number_assets": 20, "sort_key": "quoteVolume"},
|
|
{"method": "OffsetFilter", "offset": 2}],
|
|
"USDT", ['ADAHALF/USDT', 'ADADOUBLE/USDT']),
|
|
# VolumePairList with higher offset, than total pairlist
|
|
([{"method": "VolumePairList", "number_assets": 20, "sort_key": "quoteVolume"},
|
|
{"method": "OffsetFilter", "offset": 100}],
|
|
"USDT", [])
|
|
])
|
|
def test_VolumePairList_whitelist_gen(mocker, whitelist_conf, shitcoinmarkets, tickers,
|
|
ohlcv_history, pairlists, base_currency,
|
|
whitelist_result, caplog) -> None:
|
|
whitelist_conf['pairlists'] = pairlists
|
|
whitelist_conf['stake_currency'] = base_currency
|
|
|
|
ohlcv_history_high_vola = ohlcv_history.copy()
|
|
ohlcv_history_high_vola.loc[ohlcv_history_high_vola.index == 1, 'close'] = 0.00090
|
|
|
|
ohlcv_data = {
|
|
('ETH/BTC', '1d'): ohlcv_history,
|
|
('TKN/BTC', '1d'): ohlcv_history,
|
|
('LTC/BTC', '1d'): pd.concat([ohlcv_history, ohlcv_history]),
|
|
('XRP/BTC', '1d'): ohlcv_history,
|
|
('HOT/BTC', '1d'): ohlcv_history_high_vola,
|
|
}
|
|
|
|
mocker.patch('freqtrade.exchange.Exchange.exchange_has', MagicMock(return_value=True))
|
|
|
|
freqtrade = get_patched_freqtradebot(mocker, whitelist_conf)
|
|
mocker.patch.multiple('freqtrade.exchange.Exchange',
|
|
get_tickers=tickers,
|
|
markets=PropertyMock(return_value=shitcoinmarkets)
|
|
)
|
|
mocker.patch.multiple(
|
|
'freqtrade.exchange.Exchange',
|
|
refresh_latest_ohlcv=MagicMock(return_value=ohlcv_data),
|
|
)
|
|
|
|
# Provide for PerformanceFilter's dependency
|
|
mocker.patch.multiple('freqtrade.persistence.Trade',
|
|
get_overall_performance=MagicMock(return_value=[])
|
|
)
|
|
|
|
# Set whitelist_result to None if pairlist is invalid and should produce exception
|
|
if whitelist_result == 'filter_at_the_beginning':
|
|
with pytest.raises(OperationalException,
|
|
match=r"This Pairlist Handler should not be used at the first position "
|
|
r"in the list of Pairlist Handlers."):
|
|
freqtrade.pairlists.refresh_pairlist()
|
|
else:
|
|
freqtrade.pairlists.refresh_pairlist()
|
|
whitelist = freqtrade.pairlists.whitelist
|
|
|
|
assert isinstance(whitelist, list)
|
|
|
|
# Verify length of pairlist matches (used for ShuffleFilter without seed)
|
|
if type(whitelist_result) is list:
|
|
assert whitelist == whitelist_result
|
|
else:
|
|
len(whitelist) == whitelist_result
|
|
|
|
for pairlist in pairlists:
|
|
if pairlist['method'] == 'AgeFilter' and pairlist['min_days_listed'] and \
|
|
len(ohlcv_history) < pairlist['min_days_listed']:
|
|
assert log_has_re(r'^Removed .* from whitelist, because age .* is less than '
|
|
r'.* day.*', caplog)
|
|
if pairlist['method'] == 'AgeFilter' and pairlist['max_days_listed'] and \
|
|
len(ohlcv_history) > pairlist['max_days_listed']:
|
|
assert log_has_re(r'^Removed .* from whitelist, because age .* is less than '
|
|
r'.* day.* or more than .* day', caplog)
|
|
if pairlist['method'] == 'PrecisionFilter' and whitelist_result:
|
|
assert log_has_re(r'^Removed .* from whitelist, because stop price .* '
|
|
r'would be <= stop limit.*', caplog)
|
|
if pairlist['method'] == 'PriceFilter' and whitelist_result:
|
|
assert (log_has_re(r'^Removed .* from whitelist, because 1 unit is .*%$', caplog) or
|
|
log_has_re(r'^Removed .* from whitelist, '
|
|
r'because last price < .*%$', caplog) or
|
|
log_has_re(r'^Removed .* from whitelist, '
|
|
r'because last price > .*%$', caplog) or
|
|
log_has_re(r'^Removed .* from whitelist, '
|
|
r'because min value change of .*', caplog) or
|
|
log_has_re(r"^Removed .* from whitelist, because ticker\['last'\] "
|
|
r"is empty.*", caplog))
|
|
if pairlist['method'] == 'VolumePairList':
|
|
logmsg = ("DEPRECATED: using any key other than quoteVolume for "
|
|
"VolumePairList is deprecated.")
|
|
if pairlist['sort_key'] != 'quoteVolume':
|
|
assert log_has(logmsg, caplog)
|
|
else:
|
|
assert not log_has(logmsg, caplog)
|
|
if pairlist["method"] == 'VolatilityFilter':
|
|
assert log_has_re(r'^Removed .* from whitelist, because volatility.*$', caplog)
|
|
|
|
|
|
@pytest.mark.parametrize("pairlists,base_currency,exchange,volumefilter_result", [
|
|
# default refresh of 1800 to small for daily candle lookback
|
|
([{"method": "VolumePairList", "number_assets": 5, "sort_key": "quoteVolume",
|
|
"lookback_days": 1}],
|
|
"BTC", "binance", "default_refresh_too_short"), # OperationalException expected
|
|
# ambigous configuration with lookback days and period
|
|
([{"method": "VolumePairList", "number_assets": 5, "sort_key": "quoteVolume",
|
|
"lookback_days": 1, "lookback_period": 1}],
|
|
"BTC", "binance", "lookback_days_and_period"), # OperationalException expected
|
|
# negative lookback period
|
|
([{"method": "VolumePairList", "number_assets": 5, "sort_key": "quoteVolume",
|
|
"lookback_timeframe": "1d", "lookback_period": -1}],
|
|
"BTC", "binance", "lookback_period_negative"), # OperationalException expected
|
|
# lookback range exceedes exchange limit
|
|
([{"method": "VolumePairList", "number_assets": 5, "sort_key": "quoteVolume",
|
|
"lookback_timeframe": "1m", "lookback_period": 2000, "refresh_period": 3600}],
|
|
"BTC", "binance", "lookback_exceeds_exchange_request_size"), # OperationalException expected
|
|
# expecing pairs as given
|
|
([{"method": "VolumePairList", "number_assets": 5, "sort_key": "quoteVolume",
|
|
"lookback_timeframe": "1d", "lookback_period": 1, "refresh_period": 86400}],
|
|
"BTC", "binance", ['LTC/BTC', 'ETH/BTC', 'TKN/BTC', 'XRP/BTC', 'HOT/BTC']),
|
|
# expecting pairs from default tickers, because 1h candles are not available
|
|
([{"method": "VolumePairList", "number_assets": 5, "sort_key": "quoteVolume",
|
|
"lookback_timeframe": "1h", "lookback_period": 2, "refresh_period": 3600}],
|
|
"BTC", "binance", ['ETH/BTC', 'TKN/BTC', 'LTC/BTC', 'HOT/BTC', 'FUEL/BTC']),
|
|
# ftx data is already in Quote currency, therefore won't require conversion
|
|
([{"method": "VolumePairList", "number_assets": 5, "sort_key": "quoteVolume",
|
|
"lookback_timeframe": "1d", "lookback_period": 1, "refresh_period": 86400}],
|
|
"BTC", "ftx", ['HOT/BTC', 'LTC/BTC', 'ETH/BTC', 'TKN/BTC', 'XRP/BTC']),
|
|
])
|
|
def test_VolumePairList_range(mocker, whitelist_conf, shitcoinmarkets, tickers, ohlcv_history,
|
|
pairlists, base_currency, exchange, volumefilter_result) -> None:
|
|
whitelist_conf['pairlists'] = pairlists
|
|
whitelist_conf['stake_currency'] = base_currency
|
|
whitelist_conf['exchange']['name'] = exchange
|
|
|
|
ohlcv_history_high_vola = ohlcv_history.copy()
|
|
ohlcv_history_high_vola.loc[ohlcv_history_high_vola.index == 1, 'close'] = 0.00090
|
|
|
|
# create candles for medium overall volume with last candle high volume
|
|
ohlcv_history_medium_volume = ohlcv_history.copy()
|
|
ohlcv_history_medium_volume.loc[ohlcv_history_medium_volume.index == 2, 'volume'] = 5
|
|
|
|
# create candles for high volume with all candles high volume, but very low price.
|
|
ohlcv_history_high_volume = ohlcv_history.copy()
|
|
ohlcv_history_high_volume.loc[:, 'volume'] = 10
|
|
ohlcv_history_high_volume.loc[:, 'low'] = ohlcv_history_high_volume.loc[:, 'low'] * 0.01
|
|
ohlcv_history_high_volume.loc[:, 'high'] = ohlcv_history_high_volume.loc[:, 'high'] * 0.01
|
|
ohlcv_history_high_volume.loc[:, 'close'] = ohlcv_history_high_volume.loc[:, 'close'] * 0.01
|
|
|
|
mocker.patch('freqtrade.exchange.ftx.Ftx.market_is_tradable', return_value=True)
|
|
|
|
ohlcv_data = {
|
|
('ETH/BTC', '1d'): ohlcv_history,
|
|
('TKN/BTC', '1d'): ohlcv_history,
|
|
('LTC/BTC', '1d'): ohlcv_history_medium_volume,
|
|
('XRP/BTC', '1d'): ohlcv_history_high_vola,
|
|
('HOT/BTC', '1d'): ohlcv_history_high_volume,
|
|
}
|
|
|
|
mocker.patch('freqtrade.exchange.Exchange.exchange_has', MagicMock(return_value=True))
|
|
|
|
if volumefilter_result == 'default_refresh_too_short':
|
|
with pytest.raises(OperationalException,
|
|
match=r'Refresh period of [0-9]+ seconds is smaller than one timeframe '
|
|
r'of [0-9]+.*\. Please adjust refresh_period to at least [0-9]+ '
|
|
r'and restart the bot\.'):
|
|
freqtrade = get_patched_freqtradebot(mocker, whitelist_conf)
|
|
return
|
|
elif volumefilter_result == 'lookback_days_and_period':
|
|
with pytest.raises(OperationalException,
|
|
match=r'Ambigous configuration: lookback_days and lookback_period both '
|
|
r'set in pairlist config\..*'):
|
|
freqtrade = get_patched_freqtradebot(mocker, whitelist_conf)
|
|
elif volumefilter_result == 'lookback_period_negative':
|
|
with pytest.raises(OperationalException,
|
|
match=r'VolumeFilter requires lookback_period to be >= 0'):
|
|
freqtrade = get_patched_freqtradebot(mocker, whitelist_conf)
|
|
elif volumefilter_result == 'lookback_exceeds_exchange_request_size':
|
|
with pytest.raises(OperationalException,
|
|
match=r'VolumeFilter requires lookback_period to not exceed '
|
|
r'exchange max request size \([0-9]+\)'):
|
|
freqtrade = get_patched_freqtradebot(mocker, whitelist_conf)
|
|
else:
|
|
freqtrade = get_patched_freqtradebot(mocker, whitelist_conf)
|
|
mocker.patch.multiple(
|
|
'freqtrade.exchange.Exchange',
|
|
get_tickers=tickers,
|
|
markets=PropertyMock(return_value=shitcoinmarkets)
|
|
)
|
|
|
|
# remove ohlcv when looback_timeframe != 1d
|
|
# to enforce fallback to ticker data
|
|
if 'lookback_timeframe' in pairlists[0]:
|
|
if pairlists[0]['lookback_timeframe'] != '1d':
|
|
ohlcv_data = []
|
|
|
|
mocker.patch.multiple(
|
|
'freqtrade.exchange.Exchange',
|
|
refresh_latest_ohlcv=MagicMock(return_value=ohlcv_data),
|
|
)
|
|
|
|
freqtrade.pairlists.refresh_pairlist()
|
|
whitelist = freqtrade.pairlists.whitelist
|
|
|
|
assert isinstance(whitelist, list)
|
|
assert whitelist == volumefilter_result
|
|
|
|
|
|
def test_PrecisionFilter_error(mocker, whitelist_conf) -> None:
|
|
whitelist_conf['pairlists'] = [{"method": "StaticPairList"}, {"method": "PrecisionFilter"}]
|
|
del whitelist_conf['stoploss']
|
|
|
|
mocker.patch('freqtrade.exchange.Exchange.exchange_has', MagicMock(return_value=True))
|
|
|
|
with pytest.raises(OperationalException,
|
|
match=r"PrecisionFilter can only work with stoploss defined\..*"):
|
|
PairListManager(MagicMock, whitelist_conf)
|
|
|
|
|
|
def test_PerformanceFilter_error(mocker, whitelist_conf, caplog) -> None:
|
|
whitelist_conf['pairlists'] = [{"method": "StaticPairList"}, {"method": "PerformanceFilter"}]
|
|
if hasattr(Trade, 'query'):
|
|
del Trade.query
|
|
mocker.patch('freqtrade.exchange.Exchange.exchange_has', MagicMock(return_value=True))
|
|
exchange = get_patched_exchange(mocker, whitelist_conf)
|
|
pm = PairListManager(exchange, whitelist_conf)
|
|
pm.refresh_pairlist()
|
|
|
|
assert log_has("PerformanceFilter is not available in this mode.", caplog)
|
|
|
|
|
|
def test_ShuffleFilter_init(mocker, whitelist_conf, caplog) -> None:
|
|
whitelist_conf['pairlists'] = [
|
|
{"method": "StaticPairList"},
|
|
{"method": "ShuffleFilter", "seed": 42}
|
|
]
|
|
|
|
exchange = get_patched_exchange(mocker, whitelist_conf)
|
|
PairListManager(exchange, whitelist_conf)
|
|
assert log_has("Backtesting mode detected, applying seed value: 42", caplog)
|
|
caplog.clear()
|
|
whitelist_conf['runmode'] = RunMode.DRY_RUN
|
|
PairListManager(exchange, whitelist_conf)
|
|
assert not log_has("Backtesting mode detected, applying seed value: 42", caplog)
|
|
assert log_has("Live mode detected, not applying seed.", caplog)
|
|
|
|
|
|
@pytest.mark.usefixtures("init_persistence")
|
|
def test_PerformanceFilter_lookback(mocker, whitelist_conf, fee, caplog) -> None:
|
|
whitelist_conf['exchange']['pair_whitelist'].append('XRP/BTC')
|
|
whitelist_conf['pairlists'] = [
|
|
{"method": "StaticPairList"},
|
|
{"method": "PerformanceFilter", "minutes": 60, "min_profit": 0.01}
|
|
]
|
|
mocker.patch('freqtrade.exchange.Exchange.exchange_has', MagicMock(return_value=True))
|
|
exchange = get_patched_exchange(mocker, whitelist_conf)
|
|
pm = PairListManager(exchange, whitelist_conf)
|
|
pm.refresh_pairlist()
|
|
|
|
assert pm.whitelist == ['ETH/BTC', 'TKN/BTC', 'XRP/BTC']
|
|
|
|
with time_machine.travel("2021-09-01 05:00:00 +00:00") as t:
|
|
create_mock_trades(fee)
|
|
pm.refresh_pairlist()
|
|
assert pm.whitelist == ['XRP/BTC']
|
|
assert log_has_re(r'Removing pair .* since .* is below .*', caplog)
|
|
|
|
# Move to "outside" of lookback window, so original sorting is restored.
|
|
t.move_to("2021-09-01 07:00:00 +00:00")
|
|
pm.refresh_pairlist()
|
|
assert pm.whitelist == ['ETH/BTC', 'TKN/BTC', 'XRP/BTC']
|
|
|
|
|
|
def test_gen_pair_whitelist_not_supported(mocker, default_conf, tickers) -> None:
|
|
default_conf['pairlists'] = [{'method': 'VolumePairList', 'number_assets': 10}]
|
|
|
|
mocker.patch.multiple('freqtrade.exchange.Exchange',
|
|
get_tickers=tickers,
|
|
exchange_has=MagicMock(return_value=False),
|
|
)
|
|
|
|
with pytest.raises(OperationalException,
|
|
match=r'Exchange does not support dynamic whitelist.*'):
|
|
get_patched_freqtradebot(mocker, default_conf)
|
|
|
|
|
|
@pytest.mark.parametrize("pairlist", AVAILABLE_PAIRLISTS)
|
|
def test_pairlist_class(mocker, whitelist_conf, markets, pairlist):
|
|
whitelist_conf['pairlists'][0]['method'] = pairlist
|
|
mocker.patch.multiple('freqtrade.exchange.Exchange',
|
|
markets=PropertyMock(return_value=markets),
|
|
exchange_has=MagicMock(return_value=True)
|
|
)
|
|
freqtrade = get_patched_freqtradebot(mocker, whitelist_conf)
|
|
|
|
assert freqtrade.pairlists.name_list == [pairlist]
|
|
assert pairlist in str(freqtrade.pairlists.short_desc())
|
|
assert isinstance(freqtrade.pairlists.whitelist, list)
|
|
assert isinstance(freqtrade.pairlists.blacklist, list)
|
|
|
|
|
|
@pytest.mark.parametrize("pairlist", AVAILABLE_PAIRLISTS)
|
|
@pytest.mark.parametrize("whitelist,log_message", [
|
|
(['ETH/BTC', 'TKN/BTC'], ""),
|
|
# TRX/ETH not in markets
|
|
(['ETH/BTC', 'TKN/BTC', 'TRX/ETH'], "is not compatible with exchange"),
|
|
# wrong stake
|
|
(['ETH/BTC', 'TKN/BTC', 'ETH/USDT'], "is not compatible with your stake currency"),
|
|
# BCH/BTC not available
|
|
(['ETH/BTC', 'TKN/BTC', 'BCH/BTC'], "is not compatible with exchange"),
|
|
# BTT/BTC is inactive
|
|
(['ETH/BTC', 'TKN/BTC', 'BTT/BTC'], "Market is not active"),
|
|
# XLTCUSDT is not a valid pair
|
|
(['ETH/BTC', 'TKN/BTC', 'XLTCUSDT'], "is not tradable with Freqtrade"),
|
|
])
|
|
def test__whitelist_for_active_markets(mocker, whitelist_conf, markets, pairlist, whitelist, caplog,
|
|
log_message, tickers):
|
|
whitelist_conf['pairlists'][0]['method'] = pairlist
|
|
mocker.patch.multiple('freqtrade.exchange.Exchange',
|
|
markets=PropertyMock(return_value=markets),
|
|
exchange_has=MagicMock(return_value=True),
|
|
get_tickers=tickers
|
|
)
|
|
freqtrade = get_patched_freqtradebot(mocker, whitelist_conf)
|
|
caplog.clear()
|
|
|
|
# Assign starting whitelist
|
|
pairlist_handler = freqtrade.pairlists._pairlist_handlers[0]
|
|
new_whitelist = pairlist_handler._whitelist_for_active_markets(whitelist)
|
|
|
|
assert set(new_whitelist) == set(['ETH/BTC', 'TKN/BTC'])
|
|
assert log_message in caplog.text
|
|
|
|
|
|
@pytest.mark.parametrize("pairlist", AVAILABLE_PAIRLISTS)
|
|
def test__whitelist_for_active_markets_empty(mocker, whitelist_conf, pairlist, tickers):
|
|
whitelist_conf['pairlists'][0]['method'] = pairlist
|
|
|
|
mocker.patch('freqtrade.exchange.Exchange.exchange_has', return_value=True)
|
|
|
|
freqtrade = get_patched_freqtradebot(mocker, whitelist_conf)
|
|
mocker.patch.multiple('freqtrade.exchange.Exchange',
|
|
markets=PropertyMock(return_value=None),
|
|
get_tickers=tickers
|
|
)
|
|
# Assign starting whitelist
|
|
pairlist_handler = freqtrade.pairlists._pairlist_handlers[0]
|
|
with pytest.raises(OperationalException, match=r'Markets not loaded.*'):
|
|
pairlist_handler._whitelist_for_active_markets(['ETH/BTC'])
|
|
|
|
|
|
def test_volumepairlist_invalid_sortvalue(mocker, whitelist_conf):
|
|
whitelist_conf['pairlists'][0].update({"sort_key": "asdf"})
|
|
|
|
mocker.patch('freqtrade.exchange.Exchange.exchange_has', MagicMock(return_value=True))
|
|
with pytest.raises(OperationalException,
|
|
match=r"key asdf not in .*"):
|
|
get_patched_freqtradebot(mocker, whitelist_conf)
|
|
|
|
|
|
def test_volumepairlist_caching(mocker, markets, whitelist_conf, tickers):
|
|
|
|
mocker.patch.multiple('freqtrade.exchange.Exchange',
|
|
markets=PropertyMock(return_value=markets),
|
|
exchange_has=MagicMock(return_value=True),
|
|
get_tickers=tickers
|
|
)
|
|
freqtrade = get_patched_freqtradebot(mocker, whitelist_conf)
|
|
assert len(freqtrade.pairlists._pairlist_handlers[0]._pair_cache) == 0
|
|
assert tickers.call_count == 0
|
|
freqtrade.pairlists.refresh_pairlist()
|
|
assert tickers.call_count == 1
|
|
|
|
assert len(freqtrade.pairlists._pairlist_handlers[0]._pair_cache) == 1
|
|
freqtrade.pairlists.refresh_pairlist()
|
|
assert tickers.call_count == 1
|
|
|
|
|
|
def test_agefilter_min_days_listed_too_small(mocker, default_conf, markets, tickers):
|
|
default_conf['pairlists'] = [{'method': 'VolumePairList', 'number_assets': 10},
|
|
{'method': 'AgeFilter', 'min_days_listed': -1}]
|
|
|
|
mocker.patch.multiple('freqtrade.exchange.Exchange',
|
|
markets=PropertyMock(return_value=markets),
|
|
exchange_has=MagicMock(return_value=True),
|
|
get_tickers=tickers
|
|
)
|
|
|
|
with pytest.raises(OperationalException,
|
|
match=r'AgeFilter requires min_days_listed to be >= 1'):
|
|
get_patched_freqtradebot(mocker, default_conf)
|
|
|
|
|
|
def test_agefilter_max_days_lower_than_min_days(mocker, default_conf, markets, tickers):
|
|
default_conf['pairlists'] = [{'method': 'VolumePairList', 'number_assets': 10},
|
|
{'method': 'AgeFilter', 'min_days_listed': 3,
|
|
"max_days_listed": 2}]
|
|
|
|
mocker.patch.multiple('freqtrade.exchange.Exchange',
|
|
markets=PropertyMock(return_value=markets),
|
|
exchange_has=MagicMock(return_value=True),
|
|
get_tickers=tickers
|
|
)
|
|
|
|
with pytest.raises(OperationalException,
|
|
match=r'AgeFilter max_days_listed <= min_days_listed not permitted'):
|
|
get_patched_freqtradebot(mocker, default_conf)
|
|
|
|
|
|
def test_agefilter_min_days_listed_too_large(mocker, default_conf, markets, tickers):
|
|
default_conf['pairlists'] = [{'method': 'VolumePairList', 'number_assets': 10},
|
|
{'method': 'AgeFilter', 'min_days_listed': 99999}]
|
|
|
|
mocker.patch.multiple('freqtrade.exchange.Exchange',
|
|
markets=PropertyMock(return_value=markets),
|
|
exchange_has=MagicMock(return_value=True),
|
|
get_tickers=tickers
|
|
)
|
|
|
|
with pytest.raises(OperationalException,
|
|
match=r'AgeFilter requires min_days_listed to not exceed '
|
|
r'exchange max request size \([0-9]+\)'):
|
|
get_patched_freqtradebot(mocker, default_conf)
|
|
|
|
|
|
def test_agefilter_caching(mocker, markets, whitelist_conf_agefilter, tickers, ohlcv_history):
|
|
with time_machine.travel("2021-09-01 05:00:00 +00:00") as t:
|
|
ohlcv_data = {
|
|
('ETH/BTC', '1d'): ohlcv_history,
|
|
('TKN/BTC', '1d'): ohlcv_history,
|
|
('LTC/BTC', '1d'): ohlcv_history,
|
|
}
|
|
mocker.patch.multiple(
|
|
'freqtrade.exchange.Exchange',
|
|
markets=PropertyMock(return_value=markets),
|
|
exchange_has=MagicMock(return_value=True),
|
|
get_tickers=tickers,
|
|
refresh_latest_ohlcv=MagicMock(return_value=ohlcv_data),
|
|
)
|
|
|
|
freqtrade = get_patched_freqtradebot(mocker, whitelist_conf_agefilter)
|
|
assert freqtrade.exchange.refresh_latest_ohlcv.call_count == 0
|
|
freqtrade.pairlists.refresh_pairlist()
|
|
assert len(freqtrade.pairlists.whitelist) == 3
|
|
assert freqtrade.exchange.refresh_latest_ohlcv.call_count > 0
|
|
|
|
freqtrade.pairlists.refresh_pairlist()
|
|
assert len(freqtrade.pairlists.whitelist) == 3
|
|
# Call to XRP/BTC cached
|
|
assert freqtrade.exchange.refresh_latest_ohlcv.call_count == 2
|
|
|
|
ohlcv_data = {
|
|
('ETH/BTC', '1d'): ohlcv_history,
|
|
('TKN/BTC', '1d'): ohlcv_history,
|
|
('LTC/BTC', '1d'): ohlcv_history,
|
|
('XRP/BTC', '1d'): ohlcv_history.iloc[[0]],
|
|
}
|
|
mocker.patch('freqtrade.exchange.Exchange.refresh_latest_ohlcv', return_value=ohlcv_data)
|
|
freqtrade.pairlists.refresh_pairlist()
|
|
assert len(freqtrade.pairlists.whitelist) == 3
|
|
assert freqtrade.exchange.refresh_latest_ohlcv.call_count == 1
|
|
|
|
# Move to next day
|
|
t.move_to("2021-09-02 01:00:00 +00:00")
|
|
mocker.patch('freqtrade.exchange.Exchange.refresh_latest_ohlcv', return_value=ohlcv_data)
|
|
freqtrade.pairlists.refresh_pairlist()
|
|
assert len(freqtrade.pairlists.whitelist) == 3
|
|
assert freqtrade.exchange.refresh_latest_ohlcv.call_count == 1
|
|
|
|
# Move another day with fresh mocks (now the pair is old enough)
|
|
t.move_to("2021-09-03 01:00:00 +00:00")
|
|
# Called once for XRP/BTC
|
|
ohlcv_data = {
|
|
('ETH/BTC', '1d'): ohlcv_history,
|
|
('TKN/BTC', '1d'): ohlcv_history,
|
|
('LTC/BTC', '1d'): ohlcv_history,
|
|
('XRP/BTC', '1d'): ohlcv_history,
|
|
}
|
|
mocker.patch('freqtrade.exchange.Exchange.refresh_latest_ohlcv', return_value=ohlcv_data)
|
|
freqtrade.pairlists.refresh_pairlist()
|
|
assert len(freqtrade.pairlists.whitelist) == 4
|
|
# Called once (only for XRP/BTC)
|
|
assert freqtrade.exchange.refresh_latest_ohlcv.call_count == 1
|
|
|
|
|
|
def test_OffsetFilter_error(mocker, whitelist_conf) -> None:
|
|
whitelist_conf['pairlists'] = (
|
|
[{"method": "StaticPairList"}, {"method": "OffsetFilter", "offset": -1}]
|
|
)
|
|
|
|
mocker.patch('freqtrade.exchange.Exchange.exchange_has', MagicMock(return_value=True))
|
|
|
|
with pytest.raises(OperationalException,
|
|
match=r'OffsetFilter requires offset to be >= 0'):
|
|
PairListManager(MagicMock, whitelist_conf)
|
|
|
|
|
|
def test_rangestabilityfilter_checks(mocker, default_conf, markets, tickers):
|
|
default_conf['pairlists'] = [{'method': 'VolumePairList', 'number_assets': 10},
|
|
{'method': 'RangeStabilityFilter', 'lookback_days': 99999}]
|
|
|
|
mocker.patch.multiple('freqtrade.exchange.Exchange',
|
|
markets=PropertyMock(return_value=markets),
|
|
exchange_has=MagicMock(return_value=True),
|
|
get_tickers=tickers
|
|
)
|
|
|
|
with pytest.raises(OperationalException,
|
|
match=r'RangeStabilityFilter requires lookback_days to not exceed '
|
|
r'exchange max request size \([0-9]+\)'):
|
|
get_patched_freqtradebot(mocker, default_conf)
|
|
|
|
default_conf['pairlists'] = [{'method': 'VolumePairList', 'number_assets': 10},
|
|
{'method': 'RangeStabilityFilter', 'lookback_days': 0}]
|
|
|
|
with pytest.raises(OperationalException,
|
|
match='RangeStabilityFilter requires lookback_days to be >= 1'):
|
|
get_patched_freqtradebot(mocker, default_conf)
|
|
|
|
|
|
@pytest.mark.parametrize('min_rate_of_change,max_rate_of_change,expected_length', [
|
|
(0.01, 0.99, 5),
|
|
(0.05, 0.0, 0), # Setting min rate_of_change to 5% removes all pairs from the whitelist.
|
|
])
|
|
def test_rangestabilityfilter_caching(mocker, markets, default_conf, tickers, ohlcv_history,
|
|
min_rate_of_change, max_rate_of_change, expected_length):
|
|
default_conf['pairlists'] = [{'method': 'VolumePairList', 'number_assets': 10},
|
|
{'method': 'RangeStabilityFilter', 'lookback_days': 2,
|
|
'min_rate_of_change': min_rate_of_change,
|
|
"max_rate_of_change": max_rate_of_change}]
|
|
|
|
mocker.patch.multiple('freqtrade.exchange.Exchange',
|
|
markets=PropertyMock(return_value=markets),
|
|
exchange_has=MagicMock(return_value=True),
|
|
get_tickers=tickers
|
|
)
|
|
ohlcv_data = {
|
|
('ETH/BTC', '1d'): ohlcv_history,
|
|
('TKN/BTC', '1d'): ohlcv_history,
|
|
('LTC/BTC', '1d'): ohlcv_history,
|
|
('XRP/BTC', '1d'): ohlcv_history,
|
|
('HOT/BTC', '1d'): ohlcv_history,
|
|
('BLK/BTC', '1d'): ohlcv_history,
|
|
}
|
|
mocker.patch.multiple(
|
|
'freqtrade.exchange.Exchange',
|
|
refresh_latest_ohlcv=MagicMock(return_value=ohlcv_data),
|
|
)
|
|
|
|
freqtrade = get_patched_freqtradebot(mocker, default_conf)
|
|
assert freqtrade.exchange.refresh_latest_ohlcv.call_count == 0
|
|
freqtrade.pairlists.refresh_pairlist()
|
|
assert len(freqtrade.pairlists.whitelist) == expected_length
|
|
assert freqtrade.exchange.refresh_latest_ohlcv.call_count > 0
|
|
|
|
previous_call_count = freqtrade.exchange.refresh_latest_ohlcv.call_count
|
|
freqtrade.pairlists.refresh_pairlist()
|
|
assert len(freqtrade.pairlists.whitelist) == expected_length
|
|
# Should not have increased since first call.
|
|
assert freqtrade.exchange.refresh_latest_ohlcv.call_count == previous_call_count
|
|
|
|
|
|
def test_spreadfilter_invalid_data(mocker, default_conf, markets, tickers, caplog):
|
|
default_conf['pairlists'] = [{'method': 'VolumePairList', 'number_assets': 10},
|
|
{'method': 'SpreadFilter', 'max_spread_ratio': 0.1}]
|
|
|
|
mocker.patch.multiple('freqtrade.exchange.Exchange',
|
|
markets=PropertyMock(return_value=markets),
|
|
exchange_has=MagicMock(return_value=True),
|
|
get_tickers=tickers
|
|
)
|
|
|
|
ftbot = get_patched_freqtradebot(mocker, default_conf)
|
|
ftbot.pairlists.refresh_pairlist()
|
|
|
|
assert len(ftbot.pairlists.whitelist) == 5
|
|
|
|
tickers.return_value['ETH/BTC']['ask'] = 0.0
|
|
del tickers.return_value['TKN/BTC']
|
|
del tickers.return_value['LTC/BTC']
|
|
mocker.patch.multiple('freqtrade.exchange.Exchange', get_tickers=tickers)
|
|
|
|
ftbot.pairlists.refresh_pairlist()
|
|
assert log_has_re(r'Removed .* invalid ticker data.*', caplog)
|
|
|
|
assert len(ftbot.pairlists.whitelist) == 2
|
|
|
|
|
|
@pytest.mark.parametrize("pairlistconfig,desc_expected,exception_expected", [
|
|
({"method": "PriceFilter", "low_price_ratio": 0.001, "min_price": 0.00000010,
|
|
"max_price": 1.0},
|
|
"[{'PriceFilter': 'PriceFilter - Filtering pairs priced below "
|
|
"0.1% or below 0.00000010 or above 1.00000000.'}]",
|
|
None
|
|
),
|
|
({"method": "PriceFilter", "low_price_ratio": 0.001, "min_price": 0.00000010},
|
|
"[{'PriceFilter': 'PriceFilter - Filtering pairs priced below 0.1% or below 0.00000010.'}]",
|
|
None
|
|
),
|
|
({"method": "PriceFilter", "low_price_ratio": 0.001, "max_price": 1.00010000},
|
|
"[{'PriceFilter': 'PriceFilter - Filtering pairs priced below 0.1% or above 1.00010000.'}]",
|
|
None
|
|
),
|
|
({"method": "PriceFilter", "min_price": 0.00002000},
|
|
"[{'PriceFilter': 'PriceFilter - Filtering pairs priced below 0.00002000.'}]",
|
|
None
|
|
),
|
|
({"method": "PriceFilter", "max_value": 0.00002000},
|
|
"[{'PriceFilter': 'PriceFilter - Filtering pairs priced Value above 0.00002000.'}]",
|
|
None
|
|
),
|
|
({"method": "PriceFilter"},
|
|
"[{'PriceFilter': 'PriceFilter - No price filters configured.'}]",
|
|
None
|
|
),
|
|
({"method": "PriceFilter", "low_price_ratio": -0.001},
|
|
None,
|
|
"PriceFilter requires low_price_ratio to be >= 0"
|
|
), # OperationalException expected
|
|
({"method": "PriceFilter", "min_price": -0.00000010},
|
|
None,
|
|
"PriceFilter requires min_price to be >= 0"
|
|
), # OperationalException expected
|
|
({"method": "PriceFilter", "max_price": -1.00010000},
|
|
None,
|
|
"PriceFilter requires max_price to be >= 0"
|
|
), # OperationalException expected
|
|
({"method": "PriceFilter", "max_value": -1.00010000},
|
|
None,
|
|
"PriceFilter requires max_value to be >= 0"
|
|
), # OperationalException expected
|
|
({"method": "RangeStabilityFilter", "lookback_days": 10,
|
|
"min_rate_of_change": 0.01},
|
|
"[{'RangeStabilityFilter': 'RangeStabilityFilter - Filtering pairs with rate of change below "
|
|
"0.01 over the last days.'}]",
|
|
None
|
|
),
|
|
({"method": "RangeStabilityFilter", "lookback_days": 10,
|
|
"min_rate_of_change": 0.01, "max_rate_of_change": 0.99},
|
|
"[{'RangeStabilityFilter': 'RangeStabilityFilter - Filtering pairs with rate of change below "
|
|
"0.01 and above 0.99 over the last days.'}]",
|
|
None
|
|
),
|
|
])
|
|
def test_pricefilter_desc(mocker, whitelist_conf, markets, pairlistconfig,
|
|
desc_expected, exception_expected):
|
|
mocker.patch.multiple('freqtrade.exchange.Exchange',
|
|
markets=PropertyMock(return_value=markets),
|
|
exchange_has=MagicMock(return_value=True)
|
|
)
|
|
whitelist_conf['pairlists'] = [pairlistconfig]
|
|
|
|
if desc_expected is not None:
|
|
freqtrade = get_patched_freqtradebot(mocker, whitelist_conf)
|
|
short_desc = str(freqtrade.pairlists.short_desc())
|
|
assert short_desc == desc_expected
|
|
else: # OperationalException expected
|
|
with pytest.raises(OperationalException,
|
|
match=exception_expected):
|
|
freqtrade = get_patched_freqtradebot(mocker, whitelist_conf)
|
|
|
|
|
|
def test_pairlistmanager_no_pairlist(mocker, whitelist_conf):
|
|
mocker.patch('freqtrade.exchange.Exchange.exchange_has', MagicMock(return_value=True))
|
|
|
|
whitelist_conf['pairlists'] = []
|
|
|
|
with pytest.raises(OperationalException,
|
|
match=r"No Pairlist Handlers defined"):
|
|
get_patched_freqtradebot(mocker, whitelist_conf)
|
|
|
|
|
|
@pytest.mark.parametrize("pairlists,pair_allowlist,overall_performance,allowlist_result", [
|
|
# No trades yet
|
|
([{"method": "StaticPairList"}, {"method": "PerformanceFilter"}],
|
|
['ETH/BTC', 'TKN/BTC', 'LTC/BTC'], [], ['ETH/BTC', 'TKN/BTC', 'LTC/BTC']),
|
|
# Happy path: Descending order, all values filled
|
|
([{"method": "StaticPairList"}, {"method": "PerformanceFilter"}],
|
|
['ETH/BTC', 'TKN/BTC'],
|
|
[{'pair': 'TKN/BTC', 'profit_ratio': 0.05, 'count': 3},
|
|
{'pair': 'ETH/BTC', 'profit_ratio': 0.04, 'count': 2}],
|
|
['TKN/BTC', 'ETH/BTC']),
|
|
# Performance data outside allow list ignored
|
|
([{"method": "StaticPairList"}, {"method": "PerformanceFilter"}],
|
|
['ETH/BTC', 'TKN/BTC'],
|
|
[{'pair': 'OTHER/BTC', 'profit_ratio': 0.05, 'count': 3},
|
|
{'pair': 'ETH/BTC', 'profit_ratio': 0.04, 'count': 2}],
|
|
['ETH/BTC', 'TKN/BTC']),
|
|
# Partial performance data missing and sorted between positive and negative profit
|
|
([{"method": "StaticPairList"}, {"method": "PerformanceFilter"}],
|
|
['ETH/BTC', 'TKN/BTC', 'LTC/BTC'],
|
|
[{'pair': 'ETH/BTC', 'profit_ratio': -0.05, 'count': 100},
|
|
{'pair': 'TKN/BTC', 'profit_ratio': 0.04, 'count': 2}],
|
|
['TKN/BTC', 'LTC/BTC', 'ETH/BTC']),
|
|
# Tie in performance data broken by count (ascending)
|
|
([{"method": "StaticPairList"}, {"method": "PerformanceFilter"}],
|
|
['ETH/BTC', 'TKN/BTC', 'LTC/BTC'],
|
|
[{'pair': 'LTC/BTC', 'profit_ratio': -0.0501, 'count': 101},
|
|
{'pair': 'TKN/BTC', 'profit_ratio': -0.0501, 'count': 2},
|
|
{'pair': 'ETH/BTC', 'profit_ratio': -0.0501, 'count': 100}],
|
|
['TKN/BTC', 'ETH/BTC', 'LTC/BTC']),
|
|
# Tie in performance and count, broken by alphabetical sort
|
|
([{"method": "StaticPairList"}, {"method": "PerformanceFilter"}],
|
|
['ETH/BTC', 'TKN/BTC', 'LTC/BTC'],
|
|
[{'pair': 'LTC/BTC', 'profit_ratio': -0.0501, 'count': 1},
|
|
{'pair': 'TKN/BTC', 'profit_ratio': -0.0501, 'count': 1},
|
|
{'pair': 'ETH/BTC', 'profit_ratio': -0.0501, 'count': 1}],
|
|
['ETH/BTC', 'LTC/BTC', 'TKN/BTC']),
|
|
])
|
|
def test_performance_filter(mocker, whitelist_conf, pairlists, pair_allowlist, overall_performance,
|
|
allowlist_result, tickers, markets, ohlcv_history_list):
|
|
allowlist_conf = whitelist_conf
|
|
allowlist_conf['pairlists'] = pairlists
|
|
allowlist_conf['exchange']['pair_whitelist'] = pair_allowlist
|
|
|
|
mocker.patch('freqtrade.exchange.Exchange.exchange_has', MagicMock(return_value=True))
|
|
|
|
freqtrade = get_patched_freqtradebot(mocker, allowlist_conf)
|
|
mocker.patch.multiple('freqtrade.exchange.Exchange',
|
|
get_tickers=tickers,
|
|
markets=PropertyMock(return_value=markets)
|
|
)
|
|
mocker.patch.multiple('freqtrade.exchange.Exchange',
|
|
get_historic_ohlcv=MagicMock(return_value=ohlcv_history_list),
|
|
)
|
|
mocker.patch.multiple('freqtrade.persistence.Trade',
|
|
get_overall_performance=MagicMock(return_value=overall_performance),
|
|
)
|
|
freqtrade.pairlists.refresh_pairlist()
|
|
allowlist = freqtrade.pairlists.whitelist
|
|
assert allowlist == allowlist_result
|
|
|
|
|
|
@pytest.mark.parametrize('wildcardlist,pairs,expected', [
|
|
(['BTC/USDT'],
|
|
['BTC/USDT'],
|
|
['BTC/USDT']),
|
|
(['BTC/USDT', 'ETH/USDT'],
|
|
['BTC/USDT', 'ETH/USDT'],
|
|
['BTC/USDT', 'ETH/USDT']),
|
|
(['BTC/USDT', 'ETH/USDT'],
|
|
['BTC/USDT'], ['BTC/USDT']), # Test one too many
|
|
(['.*/USDT'],
|
|
['BTC/USDT', 'ETH/USDT'], ['BTC/USDT', 'ETH/USDT']), # Wildcard simple
|
|
(['.*C/USDT'],
|
|
['BTC/USDT', 'ETC/USDT', 'ETH/USDT'], ['BTC/USDT', 'ETC/USDT']), # Wildcard exclude one
|
|
(['.*UP/USDT', 'BTC/USDT', 'ETH/USDT'],
|
|
['BTC/USDT', 'ETC/USDT', 'ETH/USDT', 'BTCUP/USDT', 'XRPUP/USDT', 'XRPDOWN/USDT'],
|
|
['BTC/USDT', 'ETH/USDT', 'BTCUP/USDT', 'XRPUP/USDT']), # Wildcard exclude one
|
|
(['BTC/.*', 'ETH/.*'],
|
|
['BTC/USDT', 'ETC/USDT', 'ETH/USDT', 'BTC/USD', 'ETH/EUR', 'BTC/GBP'],
|
|
['BTC/USDT', 'ETH/USDT', 'BTC/USD', 'ETH/EUR', 'BTC/GBP']), # Wildcard exclude one
|
|
(['*UP/USDT', 'BTC/USDT', 'ETH/USDT'],
|
|
['BTC/USDT', 'ETC/USDT', 'ETH/USDT', 'BTCUP/USDT', 'XRPUP/USDT', 'XRPDOWN/USDT'],
|
|
None),
|
|
(['BTC/USD'],
|
|
['BTC/USD', 'BTC/USDT'],
|
|
['BTC/USD']),
|
|
])
|
|
def test_expand_pairlist(wildcardlist, pairs, expected):
|
|
if expected is None:
|
|
with pytest.raises(ValueError, match=r'Wildcard error in \*UP/USDT,'):
|
|
expand_pairlist(wildcardlist, pairs)
|
|
else:
|
|
assert sorted(expand_pairlist(wildcardlist, pairs)) == sorted(expected)
|
|
|
|
|
|
@pytest.mark.parametrize('wildcardlist,pairs,expected', [
|
|
(['BTC/USDT'],
|
|
['BTC/USDT'],
|
|
['BTC/USDT']),
|
|
(['BTC/USDT', 'ETH/USDT'],
|
|
['BTC/USDT', 'ETH/USDT'],
|
|
['BTC/USDT', 'ETH/USDT']),
|
|
(['BTC/USDT', 'ETH/USDT'],
|
|
['BTC/USDT'], ['BTC/USDT', 'ETH/USDT']), # Test one too many
|
|
(['.*/USDT'],
|
|
['BTC/USDT', 'ETH/USDT'], ['BTC/USDT', 'ETH/USDT']), # Wildcard simple
|
|
(['.*C/USDT'],
|
|
['BTC/USDT', 'ETC/USDT', 'ETH/USDT'], ['BTC/USDT', 'ETC/USDT']), # Wildcard exclude one
|
|
(['.*UP/USDT', 'BTC/USDT', 'ETH/USDT'],
|
|
['BTC/USDT', 'ETC/USDT', 'ETH/USDT', 'BTCUP/USDT', 'XRPUP/USDT', 'XRPDOWN/USDT'],
|
|
['BTC/USDT', 'ETH/USDT', 'BTCUP/USDT', 'XRPUP/USDT']), # Wildcard exclude one
|
|
(['BTC/.*', 'ETH/.*'],
|
|
['BTC/USDT', 'ETC/USDT', 'ETH/USDT', 'BTC/USD', 'ETH/EUR', 'BTC/GBP'],
|
|
['BTC/USDT', 'ETH/USDT', 'BTC/USD', 'ETH/EUR', 'BTC/GBP']), # Wildcard exclude one
|
|
(['*UP/USDT', 'BTC/USDT', 'ETH/USDT'],
|
|
['BTC/USDT', 'ETC/USDT', 'ETH/USDT', 'BTCUP/USDT', 'XRPUP/USDT', 'XRPDOWN/USDT'],
|
|
None),
|
|
(['HELLO/WORLD'], [], ['HELLO/WORLD']), # Invalid pair kept
|
|
(['BTC/USD'],
|
|
['BTC/USD', 'BTC/USDT'],
|
|
['BTC/USD']),
|
|
|
|
])
|
|
def test_expand_pairlist_keep_invalid(wildcardlist, pairs, expected):
|
|
if expected is None:
|
|
with pytest.raises(ValueError, match=r'Wildcard error in \*UP/USDT,'):
|
|
expand_pairlist(wildcardlist, pairs, keep_invalid=True)
|
|
else:
|
|
assert sorted(expand_pairlist(wildcardlist, pairs, keep_invalid=True)) == sorted(expected)
|