stable/tests/test_integration.py
2023-03-01 20:27:15 +01:00

544 lines
20 KiB
Python

from unittest.mock import MagicMock
import pytest
from freqtrade.enums import ExitCheckTuple, ExitType, TradingMode
from freqtrade.persistence import Trade
from freqtrade.persistence.models import Order
from freqtrade.rpc.rpc import RPC
from tests.conftest import EXMS, get_patched_freqtradebot, log_has_re, patch_get_signal
def test_may_execute_exit_stoploss_on_exchange_multi(default_conf, ticker, fee,
limit_buy_order, mocker) -> None:
"""
Tests workflow of selling stoploss_on_exchange.
Sells
* first trade as stoploss
* 2nd trade is kept
* 3rd trade is sold via sell-signal
"""
default_conf['max_open_trades'] = 3
default_conf['exchange']['name'] = 'binance'
stoploss = {
'id': 123,
'info': {}
}
stoploss_order_open = {
"id": "123",
"timestamp": 1542707426845,
"datetime": "2018-11-20T09:50:26.845Z",
"lastTradeTimestamp": None,
"symbol": "BTC/USDT",
"type": "stop_loss_limit",
"side": "sell",
"price": 1.08801,
"amount": 90.99181074,
"cost": 0.0,
"average": 0.0,
"filled": 0.0,
"remaining": 0.0,
"status": "open",
"fee": None,
"trades": None
}
stoploss_order_closed = stoploss_order_open.copy()
stoploss_order_closed['status'] = 'closed'
stoploss_order_closed['filled'] = stoploss_order_closed['amount']
# Sell first trade based on stoploss, keep 2nd and 3rd trade open
stoploss_order_mock = MagicMock(
side_effect=[stoploss_order_closed, stoploss_order_open, stoploss_order_open])
# Sell 3rd trade (not called for the first trade)
should_sell_mock = MagicMock(side_effect=[
[],
[ExitCheckTuple(exit_type=ExitType.EXIT_SIGNAL)]]
)
cancel_order_mock = MagicMock()
mocker.patch('freqtrade.exchange.binance.Binance.create_stoploss', stoploss)
mocker.patch.multiple(
EXMS,
fetch_ticker=ticker,
get_fee=fee,
amount_to_precision=lambda s, x, y: y,
price_to_precision=lambda s, x, y: y,
fetch_stoploss_order=stoploss_order_mock,
cancel_stoploss_order_with_result=cancel_order_mock,
)
mocker.patch.multiple(
'freqtrade.freqtradebot.FreqtradeBot',
create_stoploss_order=MagicMock(return_value=True),
_notify_exit=MagicMock(),
)
mocker.patch("freqtrade.strategy.interface.IStrategy.should_exit", should_sell_mock)
wallets_mock = mocker.patch("freqtrade.wallets.Wallets.update", MagicMock())
mocker.patch("freqtrade.wallets.Wallets.get_free", MagicMock(return_value=1000))
freqtrade = get_patched_freqtradebot(mocker, default_conf)
freqtrade.strategy.order_types['stoploss_on_exchange'] = True
# Switch ordertype to market to close trade immediately
freqtrade.strategy.order_types['exit'] = 'market'
freqtrade.strategy.confirm_trade_entry = MagicMock(return_value=True)
freqtrade.strategy.confirm_trade_exit = MagicMock(return_value=True)
patch_get_signal(freqtrade)
# Create some test data
freqtrade.enter_positions()
assert freqtrade.strategy.confirm_trade_entry.call_count == 3
freqtrade.strategy.confirm_trade_entry.reset_mock()
assert freqtrade.strategy.confirm_trade_exit.call_count == 0
wallets_mock.reset_mock()
trades = Trade.query.all()
# Make sure stoploss-order is open and trade is bought (since we mock update_trade_state)
for trade in trades:
stoploss_order_closed['id'] = '3'
oobj = Order.parse_from_ccxt_object(stoploss_order_closed, trade.pair, 'stoploss')
trade.orders.append(oobj)
trade.stoploss_order_id = '3'
trade.open_order_id = None
n = freqtrade.exit_positions(trades)
assert n == 2
assert should_sell_mock.call_count == 2
assert freqtrade.strategy.confirm_trade_entry.call_count == 0
assert freqtrade.strategy.confirm_trade_exit.call_count == 1
freqtrade.strategy.confirm_trade_exit.reset_mock()
# Only order for 3rd trade needs to be cancelled
assert cancel_order_mock.call_count == 1
# Wallets must be updated between stoploss cancellation and selling, and will be updated again
# during update_trade_state
assert wallets_mock.call_count == 4
trade = trades[0]
assert trade.exit_reason == ExitType.STOPLOSS_ON_EXCHANGE.value
assert not trade.is_open
trade = trades[1]
assert not trade.exit_reason
assert trade.is_open
trade = trades[2]
assert trade.exit_reason == ExitType.EXIT_SIGNAL.value
assert not trade.is_open
@pytest.mark.parametrize("balance_ratio,result1", [
(1, 200),
(0.99, 198),
])
def test_forcebuy_last_unlimited(default_conf, ticker, fee, mocker, balance_ratio, result1) -> None:
"""
Tests workflow unlimited stake-amount
Buy 4 trades, forcebuy a 5th trade
Sell one trade, calculated stake amount should now be lower than before since
one trade was sold at a loss.
"""
default_conf['max_open_trades'] = 5
default_conf['force_entry_enable'] = True
default_conf['stake_amount'] = 'unlimited'
default_conf['tradable_balance_ratio'] = balance_ratio
default_conf['dry_run_wallet'] = 1000
default_conf['exchange']['name'] = 'binance'
default_conf['telegram']['enabled'] = True
mocker.patch('freqtrade.rpc.telegram.Telegram', MagicMock())
mocker.patch.multiple(
EXMS,
fetch_ticker=ticker,
get_fee=fee,
amount_to_precision=lambda s, x, y: y,
price_to_precision=lambda s, x, y: y,
)
mocker.patch.multiple(
'freqtrade.freqtradebot.FreqtradeBot',
create_stoploss_order=MagicMock(return_value=True),
_notify_exit=MagicMock(),
)
should_sell_mock = MagicMock(side_effect=[
[],
[ExitCheckTuple(exit_type=ExitType.EXIT_SIGNAL)],
[],
[],
[]]
)
mocker.patch("freqtrade.strategy.interface.IStrategy.should_exit", should_sell_mock)
freqtrade = get_patched_freqtradebot(mocker, default_conf)
rpc = RPC(freqtrade)
freqtrade.strategy.order_types['stoploss_on_exchange'] = True
# Switch ordertype to market to close trade immediately
freqtrade.strategy.order_types['exit'] = 'market'
patch_get_signal(freqtrade)
# Create 4 trades
n = freqtrade.enter_positions()
assert n == 4
trades = Trade.query.all()
assert len(trades) == 4
assert freqtrade.wallets.get_trade_stake_amount('XRP/BTC') == result1
rpc._rpc_force_entry('TKN/BTC', None)
trades = Trade.query.all()
assert len(trades) == 5
for trade in trades:
assert pytest.approx(trade.stake_amount) == result1
# Reset trade open order id's
trade.open_order_id = None
trades = Trade.get_open_trades()
assert len(trades) == 5
bals = freqtrade.wallets.get_all_balances()
n = freqtrade.exit_positions(trades)
assert n == 1
trades = Trade.get_open_trades()
# One trade sold
assert len(trades) == 4
# stake-amount should now be reduced, since one trade was sold at a loss.
assert freqtrade.wallets.get_trade_stake_amount('XRP/BTC') < result1
# Validate that balance of sold trade is not in dry-run balances anymore.
bals2 = freqtrade.wallets.get_all_balances()
assert bals != bals2
assert len(bals) == 6
assert len(bals2) == 5
assert 'LTC' in bals
assert 'LTC' not in bals2
def test_dca_buying(default_conf_usdt, ticker_usdt, fee, mocker) -> None:
default_conf_usdt['position_adjustment_enable'] = True
freqtrade = get_patched_freqtradebot(mocker, default_conf_usdt)
mocker.patch.multiple(
EXMS,
fetch_ticker=ticker_usdt,
get_fee=fee,
)
patch_get_signal(freqtrade)
freqtrade.enter_positions()
assert len(Trade.get_trades().all()) == 1
trade = Trade.get_trades().first()
assert len(trade.orders) == 1
assert pytest.approx(trade.stake_amount) == 60
assert trade.open_rate == 2.0
# No adjustment
freqtrade.process()
trade = Trade.get_trades().first()
assert len(trade.orders) == 1
assert pytest.approx(trade.stake_amount) == 60
# Reduce bid amount
ticker_usdt_modif = ticker_usdt.return_value
ticker_usdt_modif['bid'] = ticker_usdt_modif['bid'] * 0.995
mocker.patch(f'{EXMS}.fetch_ticker', return_value=ticker_usdt_modif)
# additional buy order
freqtrade.process()
trade = Trade.get_trades().first()
assert len(trade.orders) == 2
for o in trade.orders:
assert o.status == "closed"
assert pytest.approx(trade.stake_amount) == 120
# Open-rate averaged between 2.0 and 2.0 * 0.995
assert trade.open_rate < 2.0
assert trade.open_rate > 2.0 * 0.995
# No action - profit raised above 1% (the bar set in the strategy).
freqtrade.process()
trade = Trade.get_trades().first()
assert len(trade.orders) == 2
assert pytest.approx(trade.stake_amount) == 120
assert trade.orders[0].amount == 30
assert pytest.approx(trade.orders[1].amount) == 60 / ticker_usdt_modif['bid']
assert pytest.approx(trade.amount) == trade.orders[0].amount + trade.orders[1].amount
assert trade.nr_of_successful_buys == 2
assert trade.nr_of_successful_entries == 2
# Sell
patch_get_signal(freqtrade, enter_long=False, exit_long=True)
freqtrade.process()
trade = Trade.get_trades().first()
assert trade.is_open is False
assert trade.orders[0].amount == 30
assert trade.orders[0].side == 'buy'
assert pytest.approx(trade.orders[1].amount) == 60 / ticker_usdt_modif['bid']
# Sold everything
assert trade.orders[-1].side == 'sell'
assert trade.orders[2].amount == trade.amount
assert trade.nr_of_successful_buys == 2
assert trade.nr_of_successful_entries == 2
def test_dca_short(default_conf_usdt, ticker_usdt, fee, mocker) -> None:
default_conf_usdt['position_adjustment_enable'] = True
freqtrade = get_patched_freqtradebot(mocker, default_conf_usdt)
mocker.patch.multiple(
EXMS,
fetch_ticker=ticker_usdt,
get_fee=fee,
amount_to_precision=lambda s, x, y: round(y, 4),
price_to_precision=lambda s, x, y: y,
)
patch_get_signal(freqtrade, enter_long=False, enter_short=True)
freqtrade.enter_positions()
assert len(Trade.get_trades().all()) == 1
trade = Trade.get_trades().first()
assert len(trade.orders) == 1
assert pytest.approx(trade.stake_amount) == 60
assert trade.open_rate == 2.02
assert trade.orders[0].amount == trade.amount
# No adjustment
freqtrade.process()
trade = Trade.get_trades().first()
assert len(trade.orders) == 1
assert pytest.approx(trade.stake_amount) == 60
# Reduce bid amount
ticker_usdt_modif = ticker_usdt.return_value
ticker_usdt_modif['ask'] = ticker_usdt_modif['ask'] * 1.004
mocker.patch(f'{EXMS}.fetch_ticker', return_value=ticker_usdt_modif)
# additional buy order
freqtrade.process()
trade = Trade.get_trades().first()
assert len(trade.orders) == 2
for o in trade.orders:
assert o.status == "closed"
assert pytest.approx(trade.stake_amount) == 120
# Open-rate averaged between 2.0 and 2.0 * 1.015
assert trade.open_rate >= 2.02
assert trade.open_rate < 2.02 * 1.015
# No action - profit raised above 1% (the bar set in the strategy).
freqtrade.process()
trade = Trade.get_trades().first()
assert len(trade.orders) == 2
assert pytest.approx(trade.stake_amount) == 120
assert trade.orders[1].amount == round(60 / ticker_usdt_modif['ask'], 4)
assert trade.amount == trade.orders[0].amount + trade.orders[1].amount
assert trade.nr_of_successful_entries == 2
# Buy
patch_get_signal(freqtrade, enter_long=False, exit_short=True)
freqtrade.process()
trade = Trade.get_trades().first()
assert trade.is_open is False
# assert trade.orders[0].amount == 30
assert trade.orders[0].side == 'sell'
assert trade.orders[1].amount == round(60 / ticker_usdt_modif['ask'], 4)
# Sold everything
assert trade.orders[-1].side == 'buy'
assert trade.orders[2].amount == trade.amount
assert trade.nr_of_successful_entries == 2
assert trade.nr_of_successful_exits == 1
@pytest.mark.parametrize('leverage', [
1, 2
])
def test_dca_order_adjust(default_conf_usdt, ticker_usdt, leverage, fee, mocker) -> None:
default_conf_usdt['position_adjustment_enable'] = True
default_conf_usdt['trading_mode'] = 'futures'
default_conf_usdt['margin_mode'] = 'isolated'
freqtrade = get_patched_freqtradebot(mocker, default_conf_usdt)
mocker.patch.multiple(
EXMS,
fetch_ticker=ticker_usdt,
get_fee=fee,
amount_to_precision=lambda s, x, y: y,
price_to_precision=lambda s, x, y: y,
)
mocker.patch(f'{EXMS}._dry_is_price_crossed', return_value=False)
mocker.patch(f"{EXMS}.get_max_leverage", return_value=10)
mocker.patch(f"{EXMS}.get_funding_fees", return_value=0)
mocker.patch(f"{EXMS}.get_maintenance_ratio_and_amt", return_value=(0, 0))
patch_get_signal(freqtrade)
freqtrade.strategy.custom_entry_price = lambda **kwargs: ticker_usdt['ask'] * 0.96
freqtrade.strategy.leverage = MagicMock(return_value=leverage)
freqtrade.strategy.minimal_roi = {0: 0.2}
freqtrade.enter_positions()
assert len(Trade.get_trades().all()) == 1
trade: Trade = Trade.get_trades().first()
assert len(trade.orders) == 1
assert trade.open_order_id is not None
assert pytest.approx(trade.stake_amount) == 60
assert trade.open_rate == 1.96
assert trade.stop_loss_pct is None
assert trade.stop_loss == 0.0
assert trade.leverage == leverage
assert trade.stake_amount == 60
assert trade.initial_stop_loss == 0.0
assert trade.initial_stop_loss_pct is None
# No adjustment
freqtrade.process()
trade = Trade.get_trades().first()
assert len(trade.orders) == 1
assert trade.open_order_id is not None
assert pytest.approx(trade.stake_amount) == 60
# Cancel order and place new one
freqtrade.strategy.adjust_entry_price = MagicMock(return_value=1.99)
freqtrade.process()
trade = Trade.get_trades().first()
assert len(trade.orders) == 2
assert trade.open_order_id is not None
# Open rate is not adjusted yet
assert trade.open_rate == 1.96
assert trade.stop_loss_pct is None
assert trade.stop_loss == 0.0
assert trade.stake_amount == 60
assert trade.initial_stop_loss == 0.0
assert trade.initial_stop_loss_pct is None
# Fill order
mocker.patch(f'{EXMS}._dry_is_price_crossed', return_value=True)
freqtrade.process()
trade = Trade.get_trades().first()
assert len(trade.orders) == 2
assert trade.open_order_id is None
# Open rate is not adjusted yet
assert trade.open_rate == 1.99
assert pytest.approx(trade.stake_amount) == 60
assert trade.stop_loss_pct == -0.1
assert pytest.approx(trade.stop_loss) == 1.99 * (1 - 0.1 / leverage)
assert pytest.approx(trade.initial_stop_loss) == 1.99 * (1 - 0.1 / leverage)
assert trade.initial_stop_loss_pct == -0.1
# 2nd order - not filling
freqtrade.strategy.adjust_trade_position = MagicMock(return_value=120)
mocker.patch(f'{EXMS}._dry_is_price_crossed', return_value=False)
freqtrade.process()
trade = Trade.get_trades().first()
assert len(trade.orders) == 3
assert trade.open_order_id is not None
assert trade.open_rate == 1.99
assert trade.orders[-1].price == 1.96
assert trade.orders[-1].cost == 120 * leverage
# Replace new order with diff. order at a lower price
freqtrade.strategy.adjust_entry_price = MagicMock(return_value=1.95)
freqtrade.process()
trade = Trade.get_trades().first()
assert len(trade.orders) == 4
assert trade.open_order_id is not None
assert trade.open_rate == 1.99
assert pytest.approx(trade.stake_amount) == 60
assert trade.orders[-1].price == 1.95
assert pytest.approx(trade.orders[-1].cost) == 120 * leverage
# Fill DCA order
freqtrade.strategy.adjust_trade_position = MagicMock(return_value=None)
mocker.patch(f'{EXMS}._dry_is_price_crossed', return_value=True)
freqtrade.strategy.adjust_entry_price = MagicMock(side_effect=ValueError)
freqtrade.process()
trade = Trade.get_trades().first()
assert len(trade.orders) == 4
assert trade.open_order_id is None
assert pytest.approx(trade.open_rate) == 1.963153456
assert trade.orders[-1].price == 1.95
assert pytest.approx(trade.orders[-1].cost) == 120 * leverage
assert trade.orders[-1].status == 'closed'
assert pytest.approx(trade.amount) == 91.689215 * leverage
# Check the 2 filled orders equal the above amount
assert pytest.approx(trade.orders[1].amount) == 30.150753768 * leverage
assert pytest.approx(trade.orders[-1].amount) == 61.538461232 * leverage
@pytest.mark.parametrize('leverage', [1, 2])
def test_dca_exiting(default_conf_usdt, ticker_usdt, fee, mocker, caplog, leverage) -> None:
default_conf_usdt['position_adjustment_enable'] = True
freqtrade = get_patched_freqtradebot(mocker, default_conf_usdt)
freqtrade.trading_mode = TradingMode.FUTURES
mocker.patch.multiple(
EXMS,
fetch_ticker=ticker_usdt,
get_fee=fee,
amount_to_precision=lambda s, x, y: y,
price_to_precision=lambda s, x, y: y,
get_min_pair_stake_amount=MagicMock(return_value=10),
)
mocker.patch(f"{EXMS}.get_max_leverage", return_value=10)
patch_get_signal(freqtrade)
freqtrade.strategy.leverage = MagicMock(return_value=leverage)
freqtrade.enter_positions()
assert len(Trade.get_trades().all()) == 1
trade = Trade.get_trades().first()
assert len(trade.orders) == 1
assert pytest.approx(trade.stake_amount) == 60
assert pytest.approx(trade.amount) == 30.0 * leverage
assert trade.open_rate == 2.0
# Too small size
freqtrade.strategy.adjust_trade_position = MagicMock(return_value=-59)
freqtrade.process()
trade = Trade.get_trades().first()
assert len(trade.orders) == 1
assert pytest.approx(trade.stake_amount) == 60
assert pytest.approx(trade.amount) == 30.0 * leverage
assert log_has_re(
r"Remaining amount of \d\.\d+.* would be smaller than the minimum of 10.", caplog)
freqtrade.strategy.adjust_trade_position = MagicMock(return_value=-20)
freqtrade.process()
trade = Trade.get_trades().first()
assert len(trade.orders) == 2
assert trade.orders[-1].ft_order_side == 'sell'
assert pytest.approx(trade.stake_amount) == 40.198
assert pytest.approx(trade.amount) == 20.099 * leverage
assert trade.open_rate == 2.0
assert trade.is_open
caplog.clear()
# Sell more than what we got (we got ~20 coins left)
# First adjusts the amount to 20 - then rejects.
freqtrade.strategy.adjust_trade_position = MagicMock(return_value=-50)
freqtrade.process()
assert log_has_re("Adjusting amount to trade.amount as it is higher.*", caplog)
assert log_has_re("Remaining amount of 0.0 would be smaller than the minimum of 10.", caplog)
trade = Trade.get_trades().first()
assert len(trade.orders) == 2
assert trade.orders[-1].ft_order_side == 'sell'
assert pytest.approx(trade.stake_amount) == 40.198
assert trade.is_open
# use amount that would trunc to 0.0 once selling
mocker.patch(f"{EXMS}.amount_to_contract_precision", lambda s, p, v: round(v, 1))
freqtrade.strategy.adjust_trade_position = MagicMock(return_value=-0.01)
freqtrade.process()
trade = Trade.get_trades().first()
assert len(trade.orders) == 2
assert trade.orders[-1].ft_order_side == 'sell'
assert pytest.approx(trade.stake_amount) == 40.198
assert trade.is_open
assert log_has_re('Amount to exit is 0.0 due to exchange limits - not exiting.', caplog)