327 lines
13 KiB
Python
327 lines
13 KiB
Python
# pragma pylint: disable=missing-docstring, C0103
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import logging
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from unittest.mock import MagicMock
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import arrow
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from pandas import DataFrame
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from freqtrade.configuration import TimeRange
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from freqtrade.data.converter import parse_ticker_dataframe
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from freqtrade.data.history import load_tickerdata_file
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from freqtrade.persistence import Trade
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from freqtrade.resolvers import StrategyResolver
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from .strats.default_strategy import DefaultStrategy
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from tests.conftest import get_patched_exchange, log_has
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# Avoid to reinit the same object again and again
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_STRATEGY = DefaultStrategy(config={})
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def test_returns_latest_buy_signal(mocker, default_conf, ticker_history):
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mocker.patch.object(
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_STRATEGY, '_analyze_ticker_internal',
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return_value=DataFrame([{'buy': 1, 'sell': 0, 'date': arrow.utcnow()}])
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)
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assert _STRATEGY.get_signal('ETH/BTC', '5m', ticker_history) == (True, False)
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mocker.patch.object(
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_STRATEGY, '_analyze_ticker_internal',
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return_value=DataFrame([{'buy': 0, 'sell': 1, 'date': arrow.utcnow()}])
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)
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assert _STRATEGY.get_signal('ETH/BTC', '5m', ticker_history) == (False, True)
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def test_returns_latest_sell_signal(mocker, default_conf, ticker_history):
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mocker.patch.object(
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_STRATEGY, '_analyze_ticker_internal',
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return_value=DataFrame([{'sell': 1, 'buy': 0, 'date': arrow.utcnow()}])
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)
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assert _STRATEGY.get_signal('ETH/BTC', '5m', ticker_history) == (False, True)
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mocker.patch.object(
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_STRATEGY, '_analyze_ticker_internal',
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return_value=DataFrame([{'sell': 0, 'buy': 1, 'date': arrow.utcnow()}])
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)
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assert _STRATEGY.get_signal('ETH/BTC', '5m', ticker_history) == (True, False)
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def test_get_signal_empty(default_conf, mocker, caplog):
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assert (False, False) == _STRATEGY.get_signal('foo', default_conf['ticker_interval'],
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DataFrame())
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assert log_has('Empty ticker history for pair foo', caplog)
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caplog.clear()
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assert (False, False) == _STRATEGY.get_signal('bar', default_conf['ticker_interval'],
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[])
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assert log_has('Empty ticker history for pair bar', caplog)
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def test_get_signal_exception_valueerror(default_conf, mocker, caplog, ticker_history):
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caplog.set_level(logging.INFO)
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mocker.patch.object(
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_STRATEGY, '_analyze_ticker_internal',
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side_effect=ValueError('xyz')
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)
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assert (False, False) == _STRATEGY.get_signal('foo', default_conf['ticker_interval'],
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ticker_history)
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assert log_has('Unable to analyze ticker for pair foo: xyz', caplog)
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def test_get_signal_empty_dataframe(default_conf, mocker, caplog, ticker_history):
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caplog.set_level(logging.INFO)
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mocker.patch.object(
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_STRATEGY, '_analyze_ticker_internal',
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return_value=DataFrame([])
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)
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assert (False, False) == _STRATEGY.get_signal('xyz', default_conf['ticker_interval'],
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ticker_history)
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assert log_has('Empty dataframe for pair xyz', caplog)
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def test_get_signal_old_dataframe(default_conf, mocker, caplog, ticker_history):
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caplog.set_level(logging.INFO)
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# default_conf defines a 5m interval. we check interval * 2 + 5m
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# this is necessary as the last candle is removed (partial candles) by default
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oldtime = arrow.utcnow().shift(minutes=-16)
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ticks = DataFrame([{'buy': 1, 'date': oldtime}])
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mocker.patch.object(
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_STRATEGY, '_analyze_ticker_internal',
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return_value=DataFrame(ticks)
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)
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assert (False, False) == _STRATEGY.get_signal('xyz', default_conf['ticker_interval'],
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ticker_history)
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assert log_has('Outdated history for pair xyz. Last tick is 16 minutes old', caplog)
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def test_get_signal_handles_exceptions(mocker, default_conf):
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exchange = get_patched_exchange(mocker, default_conf)
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mocker.patch.object(
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_STRATEGY, 'analyze_ticker',
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side_effect=Exception('invalid ticker history ')
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)
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assert _STRATEGY.get_signal(exchange, 'ETH/BTC', '5m') == (False, False)
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def test_tickerdata_to_dataframe(default_conf, testdatadir) -> None:
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default_conf.update({'strategy': 'DefaultStrategy'})
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strategy = StrategyResolver.load_strategy(default_conf)
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timerange = TimeRange.parse_timerange('1510694220-1510700340')
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tick = load_tickerdata_file(testdatadir, 'UNITTEST/BTC', '1m', timerange=timerange)
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tickerlist = {'UNITTEST/BTC': parse_ticker_dataframe(tick, '1m', pair="UNITTEST/BTC",
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fill_missing=True)}
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data = strategy.tickerdata_to_dataframe(tickerlist)
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assert len(data['UNITTEST/BTC']) == 102 # partial candle was removed
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def test_min_roi_reached(default_conf, fee) -> None:
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# Use list to confirm sequence does not matter
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min_roi_list = [{20: 0.05, 55: 0.01, 0: 0.1},
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{0: 0.1, 20: 0.05, 55: 0.01}]
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for roi in min_roi_list:
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default_conf.update({'strategy': 'DefaultStrategy'})
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strategy = StrategyResolver.load_strategy(default_conf)
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strategy.minimal_roi = roi
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trade = Trade(
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pair='ETH/BTC',
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stake_amount=0.001,
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amount=5,
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open_date=arrow.utcnow().shift(hours=-1).datetime,
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fee_open=fee.return_value,
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fee_close=fee.return_value,
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exchange='bittrex',
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open_rate=1,
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)
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assert not strategy.min_roi_reached(trade, 0.02, arrow.utcnow().shift(minutes=-56).datetime)
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assert strategy.min_roi_reached(trade, 0.12, arrow.utcnow().shift(minutes=-56).datetime)
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assert not strategy.min_roi_reached(trade, 0.04, arrow.utcnow().shift(minutes=-39).datetime)
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assert strategy.min_roi_reached(trade, 0.06, arrow.utcnow().shift(minutes=-39).datetime)
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assert not strategy.min_roi_reached(trade, -0.01, arrow.utcnow().shift(minutes=-1).datetime)
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assert strategy.min_roi_reached(trade, 0.02, arrow.utcnow().shift(minutes=-1).datetime)
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def test_min_roi_reached2(default_conf, fee) -> None:
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# test with ROI raising after last interval
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min_roi_list = [{20: 0.07,
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30: 0.05,
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55: 0.30,
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0: 0.1
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},
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{0: 0.1,
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20: 0.07,
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30: 0.05,
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55: 0.30
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},
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]
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for roi in min_roi_list:
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default_conf.update({'strategy': 'DefaultStrategy'})
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strategy = StrategyResolver.load_strategy(default_conf)
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strategy.minimal_roi = roi
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trade = Trade(
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pair='ETH/BTC',
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stake_amount=0.001,
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amount=5,
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open_date=arrow.utcnow().shift(hours=-1).datetime,
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fee_open=fee.return_value,
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fee_close=fee.return_value,
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exchange='bittrex',
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open_rate=1,
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)
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assert not strategy.min_roi_reached(trade, 0.02, arrow.utcnow().shift(minutes=-56).datetime)
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assert strategy.min_roi_reached(trade, 0.12, arrow.utcnow().shift(minutes=-56).datetime)
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assert not strategy.min_roi_reached(trade, 0.04, arrow.utcnow().shift(minutes=-39).datetime)
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assert strategy.min_roi_reached(trade, 0.071, arrow.utcnow().shift(minutes=-39).datetime)
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assert not strategy.min_roi_reached(trade, 0.04, arrow.utcnow().shift(minutes=-26).datetime)
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assert strategy.min_roi_reached(trade, 0.06, arrow.utcnow().shift(minutes=-26).datetime)
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# Should not trigger with 20% profit since after 55 minutes only 30% is active.
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assert not strategy.min_roi_reached(trade, 0.20, arrow.utcnow().shift(minutes=-2).datetime)
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assert strategy.min_roi_reached(trade, 0.31, arrow.utcnow().shift(minutes=-2).datetime)
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def test_min_roi_reached3(default_conf, fee) -> None:
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# test for issue #1948
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min_roi = {20: 0.07,
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30: 0.05,
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55: 0.30,
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}
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default_conf.update({'strategy': 'DefaultStrategy'})
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strategy = StrategyResolver.load_strategy(default_conf)
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strategy.minimal_roi = min_roi
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trade = Trade(
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pair='ETH/BTC',
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stake_amount=0.001,
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amount=5,
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open_date=arrow.utcnow().shift(hours=-1).datetime,
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fee_open=fee.return_value,
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fee_close=fee.return_value,
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exchange='bittrex',
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open_rate=1,
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)
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assert not strategy.min_roi_reached(trade, 0.02, arrow.utcnow().shift(minutes=-56).datetime)
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assert not strategy.min_roi_reached(trade, 0.12, arrow.utcnow().shift(minutes=-56).datetime)
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assert not strategy.min_roi_reached(trade, 0.04, arrow.utcnow().shift(minutes=-39).datetime)
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assert strategy.min_roi_reached(trade, 0.071, arrow.utcnow().shift(minutes=-39).datetime)
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assert not strategy.min_roi_reached(trade, 0.04, arrow.utcnow().shift(minutes=-26).datetime)
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assert strategy.min_roi_reached(trade, 0.06, arrow.utcnow().shift(minutes=-26).datetime)
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# Should not trigger with 20% profit since after 55 minutes only 30% is active.
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assert not strategy.min_roi_reached(trade, 0.20, arrow.utcnow().shift(minutes=-2).datetime)
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assert strategy.min_roi_reached(trade, 0.31, arrow.utcnow().shift(minutes=-2).datetime)
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def test_analyze_ticker_default(ticker_history, mocker, caplog) -> None:
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caplog.set_level(logging.DEBUG)
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ind_mock = MagicMock(side_effect=lambda x, meta: x)
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buy_mock = MagicMock(side_effect=lambda x, meta: x)
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sell_mock = MagicMock(side_effect=lambda x, meta: x)
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mocker.patch.multiple(
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'freqtrade.strategy.interface.IStrategy',
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advise_indicators=ind_mock,
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advise_buy=buy_mock,
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advise_sell=sell_mock,
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)
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strategy = DefaultStrategy({})
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strategy.analyze_ticker(ticker_history, {'pair': 'ETH/BTC'})
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assert ind_mock.call_count == 1
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assert buy_mock.call_count == 1
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assert buy_mock.call_count == 1
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assert log_has('TA Analysis Launched', caplog)
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assert not log_has('Skipping TA Analysis for already analyzed candle', caplog)
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caplog.clear()
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strategy.analyze_ticker(ticker_history, {'pair': 'ETH/BTC'})
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# No analysis happens as process_only_new_candles is true
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assert ind_mock.call_count == 2
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assert buy_mock.call_count == 2
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assert buy_mock.call_count == 2
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assert log_has('TA Analysis Launched', caplog)
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assert not log_has('Skipping TA Analysis for already analyzed candle', caplog)
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def test__analyze_ticker_internal_skip_analyze(ticker_history, mocker, caplog) -> None:
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caplog.set_level(logging.DEBUG)
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ind_mock = MagicMock(side_effect=lambda x, meta: x)
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buy_mock = MagicMock(side_effect=lambda x, meta: x)
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sell_mock = MagicMock(side_effect=lambda x, meta: x)
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mocker.patch.multiple(
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'freqtrade.strategy.interface.IStrategy',
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advise_indicators=ind_mock,
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advise_buy=buy_mock,
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advise_sell=sell_mock,
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)
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strategy = DefaultStrategy({})
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strategy.process_only_new_candles = True
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ret = strategy._analyze_ticker_internal(ticker_history, {'pair': 'ETH/BTC'})
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assert 'high' in ret.columns
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assert 'low' in ret.columns
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assert 'close' in ret.columns
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assert isinstance(ret, DataFrame)
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assert ind_mock.call_count == 1
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assert buy_mock.call_count == 1
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assert buy_mock.call_count == 1
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assert log_has('TA Analysis Launched', caplog)
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assert not log_has('Skipping TA Analysis for already analyzed candle', caplog)
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caplog.clear()
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ret = strategy._analyze_ticker_internal(ticker_history, {'pair': 'ETH/BTC'})
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# No analysis happens as process_only_new_candles is true
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assert ind_mock.call_count == 1
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assert buy_mock.call_count == 1
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assert buy_mock.call_count == 1
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# only skipped analyze adds buy and sell columns, otherwise it's all mocked
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assert 'buy' in ret.columns
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assert 'sell' in ret.columns
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assert ret['buy'].sum() == 0
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assert ret['sell'].sum() == 0
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assert not log_has('TA Analysis Launched', caplog)
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assert log_has('Skipping TA Analysis for already analyzed candle', caplog)
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def test_is_pair_locked(default_conf):
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default_conf.update({'strategy': 'DefaultStrategy'})
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strategy = StrategyResolver.load_strategy(default_conf)
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# dict should be empty
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assert not strategy._pair_locked_until
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pair = 'ETH/BTC'
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assert not strategy.is_pair_locked(pair)
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strategy.lock_pair(pair, arrow.utcnow().shift(minutes=4).datetime)
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# ETH/BTC locked for 4 minutes
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assert strategy.is_pair_locked(pair)
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# Test lock does not change
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lock = strategy._pair_locked_until[pair]
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strategy.lock_pair(pair, arrow.utcnow().shift(minutes=2).datetime)
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assert lock == strategy._pair_locked_until[pair]
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# XRP/BTC should not be locked now
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pair = 'XRP/BTC'
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assert not strategy.is_pair_locked(pair)
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# Unlocking a pair that's not locked should not raise an error
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strategy.unlock_pair(pair)
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# Unlock original pair
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pair = 'ETH/BTC'
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strategy.unlock_pair(pair)
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assert not strategy.is_pair_locked(pair)
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