807 lines
22 KiB
Python
807 lines
22 KiB
Python
# pragma pylint: disable=missing-docstring
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import json
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import logging
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from datetime import datetime
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from functools import reduce
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from typing import Dict, Optional
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from unittest.mock import MagicMock, PropertyMock
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import arrow
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import pytest
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from telegram import Chat, Message, Update
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from freqtrade.exchange.exchange_helpers import parse_ticker_dataframe
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from freqtrade.exchange import Exchange
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from freqtrade.edge import Edge, PairInfo
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from freqtrade.freqtradebot import FreqtradeBot
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logging.getLogger('').setLevel(logging.INFO)
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def log_has(line, logs):
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# caplog mocker returns log as a tuple: ('freqtrade.something', logging.WARNING, 'foobar')
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# and we want to match line against foobar in the tuple
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return reduce(lambda a, b: a or b,
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filter(lambda x: x[2] == line, logs),
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False)
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def patch_exchange(mocker, api_mock=None, id='bittrex') -> None:
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mocker.patch('freqtrade.exchange.Exchange._load_markets', MagicMock(return_value={}))
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mocker.patch('freqtrade.exchange.Exchange.validate_timeframes', MagicMock())
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mocker.patch('freqtrade.exchange.Exchange.validate_ordertypes', MagicMock())
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mocker.patch('freqtrade.exchange.Exchange.id', PropertyMock(return_value=id))
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mocker.patch('freqtrade.exchange.Exchange.name', PropertyMock(return_value=id.title()))
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if api_mock:
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mocker.patch('freqtrade.exchange.Exchange._init_ccxt', MagicMock(return_value=api_mock))
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else:
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mocker.patch('freqtrade.exchange.Exchange._init_ccxt', MagicMock())
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def get_patched_exchange(mocker, config, api_mock=None, id='bittrex') -> Exchange:
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patch_exchange(mocker, api_mock, id)
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exchange = Exchange(config)
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return exchange
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def patch_wallet(mocker, free=999.9) -> None:
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mocker.patch('freqtrade.wallets.Wallets.get_free', MagicMock(
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return_value=free
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))
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def patch_edge(mocker) -> None:
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# "ETH/BTC",
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# "LTC/BTC",
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# "XRP/BTC",
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# "NEO/BTC"
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mocker.patch('freqtrade.edge.Edge._cached_pairs', mocker.PropertyMock(
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return_value={
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'NEO/BTC': PairInfo(-0.20, 0.66, 3.71, 0.50, 1.71, 10, 25),
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'LTC/BTC': PairInfo(-0.21, 0.66, 3.71, 0.50, 1.71, 11, 20),
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}
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))
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mocker.patch('freqtrade.edge.Edge.stoploss', MagicMock(return_value=-0.20))
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mocker.patch('freqtrade.edge.Edge.calculate', MagicMock(return_value=True))
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def get_patched_edge(mocker, config) -> Edge:
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patch_edge(mocker)
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edge = Edge(config)
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return edge
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# Functions for recurrent object patching
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def get_patched_freqtradebot(mocker, config) -> FreqtradeBot:
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"""
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This function patch _init_modules() to not call dependencies
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:param mocker: a Mocker object to apply patches
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:param config: Config to pass to the bot
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:return: None
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"""
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# mocker.patch('freqtrade.fiat_convert.Market', {'price_usd': 12345.0})
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patch_coinmarketcap(mocker, {'price_usd': 12345.0})
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mocker.patch('freqtrade.freqtradebot.RPCManager', MagicMock())
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mocker.patch('freqtrade.freqtradebot.persistence.init', MagicMock())
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patch_exchange(mocker, None)
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mocker.patch('freqtrade.freqtradebot.RPCManager._init', MagicMock())
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mocker.patch('freqtrade.freqtradebot.RPCManager.send_msg', MagicMock())
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return FreqtradeBot(config)
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def patch_coinmarketcap(mocker, value: Optional[Dict[str, float]] = None) -> None:
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"""
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Mocker to coinmarketcap to speed up tests
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:param mocker: mocker to patch coinmarketcap class
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:return: None
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"""
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tickermock = MagicMock(return_value={'price_usd': 12345.0})
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listmock = MagicMock(return_value={'data': [{'id': 1, 'name': 'Bitcoin', 'symbol': 'BTC',
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'website_slug': 'bitcoin'},
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{'id': 1027, 'name': 'Ethereum', 'symbol': 'ETH',
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'website_slug': 'ethereum'}
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]})
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mocker.patch.multiple(
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'freqtrade.fiat_convert.Market',
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ticker=tickermock,
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listings=listmock,
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)
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@pytest.fixture(scope="function")
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def default_conf():
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""" Returns validated configuration suitable for most tests """
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configuration = {
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"max_open_trades": 1,
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"stake_currency": "BTC",
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"stake_amount": 0.001,
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"fiat_display_currency": "USD",
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"ticker_interval": '5m',
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"dry_run": True,
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"minimal_roi": {
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"40": 0.0,
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"30": 0.01,
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"20": 0.02,
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"0": 0.04
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},
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"stoploss": -0.10,
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"unfilledtimeout": {
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"buy": 10,
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"sell": 30
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},
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"bid_strategy": {
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"ask_last_balance": 0.0,
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"use_order_book": False,
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"order_book_top": 1,
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"check_depth_of_market": {
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"enabled": False,
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"bids_to_ask_delta": 1
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}
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},
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"ask_strategy": {
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"use_order_book": False,
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"order_book_min": 1,
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"order_book_max": 1
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},
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"exchange": {
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"name": "bittrex",
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"enabled": True,
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"key": "key",
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"secret": "secret",
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"pair_whitelist": [
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"ETH/BTC",
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"LTC/BTC",
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"XRP/BTC",
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"NEO/BTC"
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]
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},
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"telegram": {
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"enabled": True,
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"token": "token",
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"chat_id": "0"
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},
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"initial_state": "running",
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"db_url": "sqlite://",
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"loglevel": logging.DEBUG,
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}
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return configuration
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@pytest.fixture
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def update():
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_update = Update(0)
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_update.message = Message(0, 0, datetime.utcnow(), Chat(0, 0))
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return _update
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@pytest.fixture
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def fee():
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return MagicMock(return_value=0.0025)
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@pytest.fixture
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def ticker():
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return MagicMock(return_value={
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'bid': 0.00001098,
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'ask': 0.00001099,
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'last': 0.00001098,
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})
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@pytest.fixture
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def ticker_sell_up():
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return MagicMock(return_value={
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'bid': 0.00001172,
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'ask': 0.00001173,
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'last': 0.00001172,
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})
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@pytest.fixture
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def ticker_sell_down():
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return MagicMock(return_value={
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'bid': 0.00001044,
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'ask': 0.00001043,
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'last': 0.00001044,
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})
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@pytest.fixture
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def markets():
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return MagicMock(return_value=[
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{
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'id': 'ethbtc',
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'symbol': 'ETH/BTC',
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'base': 'ETH',
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'quote': 'BTC',
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'active': True,
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'precision': {
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'price': 8,
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'amount': 8,
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'cost': 8,
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},
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'lot': 0.00000001,
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'limits': {
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'amount': {
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'min': 0.01,
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'max': 1000,
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},
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'price': 500000,
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'cost': {
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'min': 1,
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'max': 500000,
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},
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},
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'info': '',
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},
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{
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'id': 'tknbtc',
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'symbol': 'TKN/BTC',
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'base': 'TKN',
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'quote': 'BTC',
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'active': True,
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'precision': {
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'price': 8,
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'amount': 8,
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'cost': 8,
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},
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'lot': 0.00000001,
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'limits': {
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'amount': {
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'min': 0.01,
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'max': 1000,
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},
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'price': 500000,
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'cost': {
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'min': 1,
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'max': 500000,
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},
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},
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'info': '',
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},
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{
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'id': 'blkbtc',
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'symbol': 'BLK/BTC',
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'base': 'BLK',
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'quote': 'BTC',
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'active': True,
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'precision': {
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'price': 8,
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'amount': 8,
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'cost': 8,
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},
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'lot': 0.00000001,
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'limits': {
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'amount': {
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'min': 0.01,
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'max': 1000,
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},
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'price': 500000,
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'cost': {
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'min': 1,
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'max': 500000,
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},
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},
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'info': '',
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},
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{
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'id': 'ltcbtc',
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'symbol': 'LTC/BTC',
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'base': 'LTC',
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'quote': 'BTC',
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'active': False,
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'precision': {
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'price': 8,
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'amount': 8,
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'cost': 8,
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},
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'lot': 0.00000001,
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'limits': {
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'amount': {
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'min': 0.01,
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'max': 1000,
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},
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'price': 500000,
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'cost': {
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'min': 1,
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'max': 500000,
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},
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},
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'info': '',
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},
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{
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'id': 'xrpbtc',
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'symbol': 'XRP/BTC',
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'base': 'XRP',
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'quote': 'BTC',
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'active': False,
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'precision': {
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'price': 8,
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'amount': 8,
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'cost': 8,
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},
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'lot': 0.00000001,
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'limits': {
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'amount': {
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'min': 0.01,
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'max': 1000,
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},
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'price': 500000,
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'cost': {
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'min': 1,
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'max': 500000,
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},
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},
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'info': '',
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},
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{
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'id': 'neobtc',
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'symbol': 'NEO/BTC',
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'base': 'NEO',
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'quote': 'BTC',
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'active': False,
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'precision': {
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'price': 8,
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'amount': 8,
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'cost': 8,
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},
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'lot': 0.00000001,
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'limits': {
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'amount': {
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'min': 0.01,
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'max': 1000,
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},
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'price': 500000,
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'cost': {
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'min': 1,
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'max': 500000,
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},
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},
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'info': '',
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}
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])
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@pytest.fixture
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def markets_empty():
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return MagicMock(return_value=[])
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@pytest.fixture(scope='function')
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def limit_buy_order():
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return {
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'id': 'mocked_limit_buy',
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'type': 'limit',
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'side': 'buy',
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'pair': 'mocked',
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'datetime': arrow.utcnow().isoformat(),
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'price': 0.00001099,
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'amount': 90.99181073,
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'remaining': 0.0,
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'status': 'closed'
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}
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@pytest.fixture
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def limit_buy_order_old():
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return {
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'id': 'mocked_limit_buy_old',
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'type': 'limit',
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'side': 'buy',
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'pair': 'mocked',
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'datetime': str(arrow.utcnow().shift(minutes=-601).datetime),
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'price': 0.00001099,
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'amount': 90.99181073,
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'remaining': 90.99181073,
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'status': 'open'
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}
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@pytest.fixture
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def limit_sell_order_old():
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return {
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'id': 'mocked_limit_sell_old',
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'type': 'limit',
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'side': 'sell',
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'pair': 'ETH/BTC',
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'datetime': arrow.utcnow().shift(minutes=-601).isoformat(),
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'price': 0.00001099,
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'amount': 90.99181073,
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'remaining': 90.99181073,
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'status': 'open'
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}
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@pytest.fixture
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def limit_buy_order_old_partial():
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return {
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'id': 'mocked_limit_buy_old_partial',
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'type': 'limit',
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'side': 'buy',
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'pair': 'ETH/BTC',
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'datetime': arrow.utcnow().shift(minutes=-601).isoformat(),
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'price': 0.00001099,
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'amount': 90.99181073,
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'remaining': 67.99181073,
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'status': 'open'
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}
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@pytest.fixture
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def limit_sell_order():
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return {
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'id': 'mocked_limit_sell',
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'type': 'limit',
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'side': 'sell',
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'pair': 'mocked',
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'datetime': arrow.utcnow().isoformat(),
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'price': 0.00001173,
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'amount': 90.99181073,
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'remaining': 0.0,
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'status': 'closed'
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}
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@pytest.fixture
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def order_book_l2():
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return MagicMock(return_value={
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'bids': [
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[0.043936, 10.442],
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[0.043935, 31.865],
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[0.043933, 11.212],
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[0.043928, 0.088],
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[0.043925, 10.0],
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[0.043921, 10.0],
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[0.04392, 37.64],
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[0.043899, 0.066],
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[0.043885, 0.676],
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[0.04387, 22.758]
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],
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'asks': [
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[0.043949, 0.346],
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[0.04395, 0.608],
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[0.043951, 3.948],
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[0.043954, 0.288],
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[0.043958, 9.277],
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[0.043995, 1.566],
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[0.044, 0.588],
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[0.044002, 0.992],
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[0.044003, 0.095],
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[0.04402, 37.64]
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],
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'timestamp': None,
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'datetime': None,
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'nonce': 288004540
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})
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@pytest.fixture
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def ticker_history():
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return [
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[
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1511686200000, # unix timestamp ms
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8.794e-05, # open
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8.948e-05, # high
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8.794e-05, # low
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8.88e-05, # close
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0.0877869, # volume (in quote currency)
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],
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[
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1511686500000,
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8.88e-05,
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8.942e-05,
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8.88e-05,
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8.893e-05,
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0.05874751,
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],
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[
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1511686800000,
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8.891e-05,
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8.893e-05,
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8.875e-05,
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8.877e-05,
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0.7039405
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]
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]
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@pytest.fixture
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def tickers():
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return MagicMock(return_value={
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'ETH/BTC': {
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'symbol': 'ETH/BTC',
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'timestamp': 1522014806207,
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'datetime': '2018-03-25T21:53:26.207Z',
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'high': 0.061697,
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'low': 0.060531,
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'bid': 0.061588,
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'bidVolume': 3.321,
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'ask': 0.061655,
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'askVolume': 0.212,
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'vwap': 0.06105296,
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'open': 0.060809,
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'close': 0.060761,
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'first': None,
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'last': 0.061588,
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'change': 1.281,
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'percentage': None,
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'average': None,
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'baseVolume': 111649.001,
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'quoteVolume': 6816.50176926,
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'info': {}
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},
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'TKN/BTC': {
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'symbol': 'TKN/BTC',
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'timestamp': 1522014806169,
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'datetime': '2018-03-25T21:53:26.169Z',
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'high': 0.01885,
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'low': 0.018497,
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'bid': 0.018799,
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'bidVolume': 8.38,
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'ask': 0.018802,
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'askVolume': 15.0,
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'vwap': 0.01869197,
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'open': 0.018585,
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'close': 0.018573,
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'baseVolume': 81058.66,
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'quoteVolume': 2247.48374509,
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},
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'BLK/BTC': {
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'symbol': 'BLK/BTC',
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'timestamp': 1522014806072,
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'datetime': '2018-03-25T21:53:26.720Z',
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'high': 0.007745,
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'low': 0.007512,
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'bid': 0.007729,
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|
'bidVolume': 0.01,
|
|
'ask': 0.007743,
|
|
'askVolume': 21.37,
|
|
'vwap': 0.00761466,
|
|
'open': 0.007653,
|
|
'close': 0.007652,
|
|
'first': None,
|
|
'last': 0.007743,
|
|
'change': 1.176,
|
|
'percentage': None,
|
|
'average': None,
|
|
'baseVolume': 295152.26,
|
|
'quoteVolume': 1515.14631229,
|
|
'info': {}
|
|
},
|
|
'LTC/BTC': {
|
|
'symbol': 'LTC/BTC',
|
|
'timestamp': 1523787258992,
|
|
'datetime': '2018-04-15T10:14:19.992Z',
|
|
'high': 0.015978,
|
|
'low': 0.0157,
|
|
'bid': 0.015954,
|
|
'bidVolume': 12.83,
|
|
'ask': 0.015957,
|
|
'askVolume': 0.49,
|
|
'vwap': 0.01581636,
|
|
'open': 0.015823,
|
|
'close': 0.01582,
|
|
'first': None,
|
|
'last': 0.015951,
|
|
'change': 0.809,
|
|
'percentage': None,
|
|
'average': None,
|
|
'baseVolume': 88620.68,
|
|
'quoteVolume': 1401.65697943,
|
|
'info': {}
|
|
},
|
|
'ETH/USDT': {
|
|
'symbol': 'ETH/USDT',
|
|
'timestamp': 1522014804118,
|
|
'datetime': '2018-03-25T21:53:24.118Z',
|
|
'high': 530.88,
|
|
'low': 512.0,
|
|
'bid': 529.73,
|
|
'bidVolume': 0.2,
|
|
'ask': 530.21,
|
|
'askVolume': 0.2464,
|
|
'vwap': 521.02438405,
|
|
'open': 527.27,
|
|
'close': 528.42,
|
|
'first': None,
|
|
'last': 530.21,
|
|
'change': 0.558,
|
|
'percentage': None,
|
|
'average': None,
|
|
'baseVolume': 72300.0659,
|
|
'quoteVolume': 37670097.3022171,
|
|
'info': {}
|
|
},
|
|
'TKN/USDT': {
|
|
'symbol': 'TKN/USDT',
|
|
'timestamp': 1522014806198,
|
|
'datetime': '2018-03-25T21:53:26.198Z',
|
|
'high': 8718.0,
|
|
'low': 8365.77,
|
|
'bid': 8603.64,
|
|
'bidVolume': 0.15846,
|
|
'ask': 8603.67,
|
|
'askVolume': 0.069147,
|
|
'vwap': 8536.35621697,
|
|
'open': 8680.0,
|
|
'close': 8680.0,
|
|
'first': None,
|
|
'last': 8603.67,
|
|
'change': -0.879,
|
|
'percentage': None,
|
|
'average': None,
|
|
'baseVolume': 30414.604298,
|
|
'quoteVolume': 259629896.48584127,
|
|
'info': {}
|
|
},
|
|
'BLK/USDT': {
|
|
'symbol': 'BLK/USDT',
|
|
'timestamp': 1522014806145,
|
|
'datetime': '2018-03-25T21:53:26.145Z',
|
|
'high': 66.95,
|
|
'low': 63.38,
|
|
'bid': 66.473,
|
|
'bidVolume': 4.968,
|
|
'ask': 66.54,
|
|
'askVolume': 2.704,
|
|
'vwap': 65.0526901,
|
|
'open': 66.43,
|
|
'close': 66.383,
|
|
'first': None,
|
|
'last': 66.5,
|
|
'change': 0.105,
|
|
'percentage': None,
|
|
'average': None,
|
|
'baseVolume': 294106.204,
|
|
'quoteVolume': 19132399.743954,
|
|
'info': {}
|
|
},
|
|
'LTC/USDT': {
|
|
'symbol': 'LTC/USDT',
|
|
'timestamp': 1523787257812,
|
|
'datetime': '2018-04-15T10:14:18.812Z',
|
|
'high': 129.94,
|
|
'low': 124.0,
|
|
'bid': 129.28,
|
|
'bidVolume': 0.03201,
|
|
'ask': 129.52,
|
|
'askVolume': 0.14529,
|
|
'vwap': 126.92838682,
|
|
'open': 127.0,
|
|
'close': 127.1,
|
|
'first': None,
|
|
'last': 129.28,
|
|
'change': 1.795,
|
|
'percentage': None,
|
|
'average': None,
|
|
'baseVolume': 59698.79897,
|
|
'quoteVolume': 29132399.743954,
|
|
'info': {}
|
|
}
|
|
})
|
|
|
|
|
|
@pytest.fixture
|
|
def result():
|
|
with open('freqtrade/tests/testdata/UNITTEST_BTC-1m.json') as data_file:
|
|
return parse_ticker_dataframe(json.load(data_file))
|
|
|
|
# FIX:
|
|
# Create an fixture/function
|
|
# that inserts a trade of some type and open-status
|
|
# return the open-order-id
|
|
# See tests in rpc/main that could use this
|
|
|
|
|
|
@pytest.fixture(scope="function")
|
|
def trades_for_order():
|
|
return [{'info': {'id': 34567,
|
|
'orderId': 123456,
|
|
'price': '0.24544100',
|
|
'qty': '8.00000000',
|
|
'commission': '0.00800000',
|
|
'commissionAsset': 'LTC',
|
|
'time': 1521663363189,
|
|
'isBuyer': True,
|
|
'isMaker': False,
|
|
'isBestMatch': True},
|
|
'timestamp': 1521663363189,
|
|
'datetime': '2018-03-21T20:16:03.189Z',
|
|
'symbol': 'LTC/ETH',
|
|
'id': '34567',
|
|
'order': '123456',
|
|
'type': None,
|
|
'side': 'buy',
|
|
'price': 0.245441,
|
|
'cost': 1.963528,
|
|
'amount': 8.0,
|
|
'fee': {'cost': 0.008, 'currency': 'LTC'}}]
|
|
|
|
|
|
@pytest.fixture(scope="function")
|
|
def trades_for_order2():
|
|
return [{'info': {'id': 34567,
|
|
'orderId': 123456,
|
|
'price': '0.24544100',
|
|
'qty': '8.00000000',
|
|
'commission': '0.00800000',
|
|
'commissionAsset': 'LTC',
|
|
'time': 1521663363189,
|
|
'isBuyer': True,
|
|
'isMaker': False,
|
|
'isBestMatch': True},
|
|
'timestamp': 1521663363189,
|
|
'datetime': '2018-03-21T20:16:03.189Z',
|
|
'symbol': 'LTC/ETH',
|
|
'id': '34567',
|
|
'order': '123456',
|
|
'type': None,
|
|
'side': 'buy',
|
|
'price': 0.245441,
|
|
'cost': 1.963528,
|
|
'amount': 4.0,
|
|
'fee': {'cost': 0.004, 'currency': 'LTC'}},
|
|
{'info': {'id': 34567,
|
|
'orderId': 123456,
|
|
'price': '0.24544100',
|
|
'qty': '8.00000000',
|
|
'commission': '0.00800000',
|
|
'commissionAsset': 'LTC',
|
|
'time': 1521663363189,
|
|
'isBuyer': True,
|
|
'isMaker': False,
|
|
'isBestMatch': True},
|
|
'timestamp': 1521663363189,
|
|
'datetime': '2018-03-21T20:16:03.189Z',
|
|
'symbol': 'LTC/ETH',
|
|
'id': '34567',
|
|
'order': '123456',
|
|
'type': None,
|
|
'side': 'buy',
|
|
'price': 0.245441,
|
|
'cost': 1.963528,
|
|
'amount': 4.0,
|
|
'fee': {'cost': 0.004, 'currency': 'LTC'}}]
|
|
|
|
|
|
@pytest.fixture
|
|
def buy_order_fee():
|
|
return {
|
|
'id': 'mocked_limit_buy_old',
|
|
'type': 'limit',
|
|
'side': 'buy',
|
|
'pair': 'mocked',
|
|
'datetime': str(arrow.utcnow().shift(minutes=-601).datetime),
|
|
'price': 0.245441,
|
|
'amount': 8.0,
|
|
'remaining': 90.99181073,
|
|
'status': 'closed',
|
|
'fee': None
|
|
}
|
|
|
|
|
|
@pytest.fixture(scope="function")
|
|
def edge_conf(default_conf):
|
|
default_conf['edge'] = {
|
|
"enabled": True,
|
|
"process_throttle_secs": 1800,
|
|
"calculate_since_number_of_days": 14,
|
|
"allowed_risk": 0.01,
|
|
"stoploss_range_min": -0.01,
|
|
"stoploss_range_max": -0.1,
|
|
"stoploss_range_step": -0.01,
|
|
"maximum_winrate": 0.80,
|
|
"minimum_expectancy": 0.20,
|
|
"min_trade_number": 15,
|
|
"max_trade_duration_minute": 1440,
|
|
"remove_pumps": False
|
|
}
|
|
|
|
return default_conf
|