338 lines
13 KiB
Python
338 lines
13 KiB
Python
from datetime import datetime, timezone
|
|
from unittest.mock import MagicMock
|
|
|
|
import pytest
|
|
from pandas import DataFrame
|
|
|
|
from freqtrade.data.dataprovider import DataProvider
|
|
from freqtrade.enums import CandleType, RunMode
|
|
from freqtrade.exceptions import ExchangeError, OperationalException
|
|
from freqtrade.plugins.pairlistmanager import PairListManager
|
|
from tests.conftest import get_patched_exchange
|
|
|
|
|
|
@pytest.mark.parametrize('candle_type', [
|
|
'mark',
|
|
'',
|
|
])
|
|
def test_dp_ohlcv(mocker, default_conf, ohlcv_history, candle_type):
|
|
default_conf["runmode"] = RunMode.DRY_RUN
|
|
timeframe = default_conf["timeframe"]
|
|
exchange = get_patched_exchange(mocker, default_conf)
|
|
candletype = CandleType.from_string(candle_type)
|
|
exchange._klines[("XRP/BTC", timeframe, candletype)] = ohlcv_history
|
|
exchange._klines[("UNITTEST/BTC", timeframe, candletype)] = ohlcv_history
|
|
|
|
dp = DataProvider(default_conf, exchange)
|
|
assert dp.runmode == RunMode.DRY_RUN
|
|
assert ohlcv_history.equals(dp.ohlcv("UNITTEST/BTC", timeframe, candle_type=candletype))
|
|
assert isinstance(dp.ohlcv("UNITTEST/BTC", timeframe, candle_type=candletype), DataFrame)
|
|
assert dp.ohlcv("UNITTEST/BTC", timeframe, candle_type=candletype) is not ohlcv_history
|
|
assert dp.ohlcv("UNITTEST/BTC", timeframe, copy=False, candle_type=candletype) is ohlcv_history
|
|
assert not dp.ohlcv("UNITTEST/BTC", timeframe, candle_type=candletype).empty
|
|
assert dp.ohlcv("NONESENSE/AAA", timeframe, candle_type=candletype).empty
|
|
|
|
# Test with and without parameter
|
|
assert dp.ohlcv(
|
|
"UNITTEST/BTC",
|
|
timeframe,
|
|
candle_type=candletype
|
|
).equals(dp.ohlcv("UNITTEST/BTC", candle_type=candle_type))
|
|
|
|
default_conf["runmode"] = RunMode.LIVE
|
|
dp = DataProvider(default_conf, exchange)
|
|
assert dp.runmode == RunMode.LIVE
|
|
assert isinstance(dp.ohlcv("UNITTEST/BTC", timeframe, candle_type=candle_type), DataFrame)
|
|
|
|
default_conf["runmode"] = RunMode.BACKTEST
|
|
dp = DataProvider(default_conf, exchange)
|
|
assert dp.runmode == RunMode.BACKTEST
|
|
assert dp.ohlcv("UNITTEST/BTC", timeframe, candle_type=candle_type).empty
|
|
|
|
|
|
def test_historic_ohlcv(mocker, default_conf, ohlcv_history):
|
|
historymock = MagicMock(return_value=ohlcv_history)
|
|
mocker.patch("freqtrade.data.dataprovider.load_pair_history", historymock)
|
|
|
|
dp = DataProvider(default_conf, None)
|
|
data = dp.historic_ohlcv("UNITTEST/BTC", "5m")
|
|
assert isinstance(data, DataFrame)
|
|
assert historymock.call_count == 1
|
|
assert historymock.call_args_list[0][1]["timeframe"] == "5m"
|
|
|
|
|
|
def test_historic_ohlcv_dataformat(mocker, default_conf, ohlcv_history):
|
|
hdf5loadmock = MagicMock(return_value=ohlcv_history)
|
|
jsonloadmock = MagicMock(return_value=ohlcv_history)
|
|
mocker.patch("freqtrade.data.history.hdf5datahandler.HDF5DataHandler._ohlcv_load", hdf5loadmock)
|
|
mocker.patch("freqtrade.data.history.jsondatahandler.JsonDataHandler._ohlcv_load", jsonloadmock)
|
|
|
|
default_conf["runmode"] = RunMode.BACKTEST
|
|
exchange = get_patched_exchange(mocker, default_conf)
|
|
dp = DataProvider(default_conf, exchange)
|
|
data = dp.historic_ohlcv("UNITTEST/BTC", "5m")
|
|
assert isinstance(data, DataFrame)
|
|
hdf5loadmock.assert_not_called()
|
|
jsonloadmock.assert_called_once()
|
|
|
|
# Switching to dataformat hdf5
|
|
hdf5loadmock.reset_mock()
|
|
jsonloadmock.reset_mock()
|
|
default_conf["dataformat_ohlcv"] = "hdf5"
|
|
dp = DataProvider(default_conf, exchange)
|
|
data = dp.historic_ohlcv("UNITTEST/BTC", "5m")
|
|
assert isinstance(data, DataFrame)
|
|
hdf5loadmock.assert_called_once()
|
|
jsonloadmock.assert_not_called()
|
|
|
|
|
|
@pytest.mark.parametrize('candle_type', [
|
|
'mark',
|
|
'futures',
|
|
'',
|
|
])
|
|
def test_get_pair_dataframe(mocker, default_conf, ohlcv_history, candle_type):
|
|
default_conf["runmode"] = RunMode.DRY_RUN
|
|
timeframe = default_conf["timeframe"]
|
|
exchange = get_patched_exchange(mocker, default_conf)
|
|
candletype = CandleType.from_string(candle_type)
|
|
exchange._klines[("XRP/BTC", timeframe, candletype)] = ohlcv_history
|
|
exchange._klines[("UNITTEST/BTC", timeframe, candletype)] = ohlcv_history
|
|
|
|
dp = DataProvider(default_conf, exchange)
|
|
assert dp.runmode == RunMode.DRY_RUN
|
|
assert ohlcv_history.equals(dp.get_pair_dataframe(
|
|
"UNITTEST/BTC", timeframe, candle_type=candle_type))
|
|
assert ohlcv_history.equals(dp.get_pair_dataframe(
|
|
"UNITTEST/BTC", timeframe, candle_type=candletype))
|
|
assert isinstance(dp.get_pair_dataframe(
|
|
"UNITTEST/BTC", timeframe, candle_type=candle_type), DataFrame)
|
|
assert dp.get_pair_dataframe("UNITTEST/BTC", timeframe,
|
|
candle_type=candle_type) is not ohlcv_history
|
|
assert not dp.get_pair_dataframe("UNITTEST/BTC", timeframe, candle_type=candle_type).empty
|
|
assert dp.get_pair_dataframe("NONESENSE/AAA", timeframe, candle_type=candle_type).empty
|
|
|
|
# Test with and without parameter
|
|
assert dp.get_pair_dataframe("UNITTEST/BTC", timeframe, candle_type=candle_type)\
|
|
.equals(dp.get_pair_dataframe("UNITTEST/BTC", candle_type=candle_type))
|
|
|
|
default_conf["runmode"] = RunMode.LIVE
|
|
dp = DataProvider(default_conf, exchange)
|
|
assert dp.runmode == RunMode.LIVE
|
|
assert isinstance(dp.get_pair_dataframe(
|
|
"UNITTEST/BTC", timeframe, candle_type=candle_type), DataFrame)
|
|
assert dp.get_pair_dataframe("NONESENSE/AAA", timeframe, candle_type=candle_type).empty
|
|
|
|
historymock = MagicMock(return_value=ohlcv_history)
|
|
mocker.patch("freqtrade.data.dataprovider.load_pair_history", historymock)
|
|
default_conf["runmode"] = RunMode.BACKTEST
|
|
dp = DataProvider(default_conf, exchange)
|
|
assert dp.runmode == RunMode.BACKTEST
|
|
assert isinstance(dp.get_pair_dataframe(
|
|
"UNITTEST/BTC", timeframe, candle_type=candle_type), DataFrame)
|
|
# assert dp.get_pair_dataframe("NONESENSE/AAA", timeframe).empty
|
|
|
|
|
|
def test_available_pairs(mocker, default_conf, ohlcv_history):
|
|
exchange = get_patched_exchange(mocker, default_conf)
|
|
timeframe = default_conf["timeframe"]
|
|
exchange._klines[("XRP/BTC", timeframe)] = ohlcv_history
|
|
exchange._klines[("UNITTEST/BTC", timeframe)] = ohlcv_history
|
|
|
|
dp = DataProvider(default_conf, exchange)
|
|
assert len(dp.available_pairs) == 2
|
|
assert dp.available_pairs == [("XRP/BTC", timeframe), ("UNITTEST/BTC", timeframe), ]
|
|
|
|
|
|
def test_refresh(mocker, default_conf, ohlcv_history):
|
|
refresh_mock = MagicMock()
|
|
mocker.patch("freqtrade.exchange.Exchange.refresh_latest_ohlcv", refresh_mock)
|
|
|
|
exchange = get_patched_exchange(mocker, default_conf, id="binance")
|
|
timeframe = default_conf["timeframe"]
|
|
pairs = [("XRP/BTC", timeframe), ("UNITTEST/BTC", timeframe)]
|
|
|
|
pairs_non_trad = [("ETH/USDT", timeframe), ("BTC/TUSD", "1h")]
|
|
|
|
dp = DataProvider(default_conf, exchange)
|
|
dp.refresh(pairs)
|
|
|
|
assert refresh_mock.call_count == 1
|
|
assert len(refresh_mock.call_args[0]) == 1
|
|
assert len(refresh_mock.call_args[0][0]) == len(pairs)
|
|
assert refresh_mock.call_args[0][0] == pairs
|
|
|
|
refresh_mock.reset_mock()
|
|
dp.refresh(pairs, pairs_non_trad)
|
|
assert refresh_mock.call_count == 1
|
|
assert len(refresh_mock.call_args[0]) == 1
|
|
assert len(refresh_mock.call_args[0][0]) == len(pairs) + len(pairs_non_trad)
|
|
assert refresh_mock.call_args[0][0] == pairs + pairs_non_trad
|
|
|
|
|
|
def test_orderbook(mocker, default_conf, order_book_l2):
|
|
api_mock = MagicMock()
|
|
api_mock.fetch_l2_order_book = order_book_l2
|
|
exchange = get_patched_exchange(mocker, default_conf, api_mock=api_mock)
|
|
|
|
dp = DataProvider(default_conf, exchange)
|
|
res = dp.orderbook('ETH/BTC', 5)
|
|
assert order_book_l2.call_count == 1
|
|
assert order_book_l2.call_args_list[0][0][0] == 'ETH/BTC'
|
|
assert order_book_l2.call_args_list[0][0][1] >= 5
|
|
|
|
assert type(res) is dict
|
|
assert 'bids' in res
|
|
assert 'asks' in res
|
|
|
|
|
|
def test_market(mocker, default_conf, markets):
|
|
api_mock = MagicMock()
|
|
api_mock.markets = markets
|
|
exchange = get_patched_exchange(mocker, default_conf, api_mock=api_mock)
|
|
|
|
dp = DataProvider(default_conf, exchange)
|
|
res = dp.market('ETH/BTC')
|
|
|
|
assert type(res) is dict
|
|
assert 'symbol' in res
|
|
assert res['symbol'] == 'ETH/BTC'
|
|
|
|
res = dp.market('UNITTEST/BTC')
|
|
assert res is None
|
|
|
|
|
|
def test_ticker(mocker, default_conf, tickers):
|
|
ticker_mock = MagicMock(return_value=tickers()['ETH/BTC'])
|
|
mocker.patch("freqtrade.exchange.Exchange.fetch_ticker", ticker_mock)
|
|
exchange = get_patched_exchange(mocker, default_conf)
|
|
dp = DataProvider(default_conf, exchange)
|
|
res = dp.ticker('ETH/BTC')
|
|
assert type(res) is dict
|
|
assert 'symbol' in res
|
|
assert res['symbol'] == 'ETH/BTC'
|
|
|
|
ticker_mock = MagicMock(side_effect=ExchangeError('Pair not found'))
|
|
mocker.patch("freqtrade.exchange.Exchange.fetch_ticker", ticker_mock)
|
|
exchange = get_patched_exchange(mocker, default_conf)
|
|
dp = DataProvider(default_conf, exchange)
|
|
res = dp.ticker('UNITTEST/BTC')
|
|
assert res == {}
|
|
|
|
|
|
def test_current_whitelist(mocker, default_conf, tickers):
|
|
# patch default conf to volumepairlist
|
|
default_conf['pairlists'][0] = {'method': 'VolumePairList', "number_assets": 5}
|
|
|
|
mocker.patch.multiple('freqtrade.exchange.Exchange',
|
|
exchange_has=MagicMock(return_value=True),
|
|
get_tickers=tickers)
|
|
exchange = get_patched_exchange(mocker, default_conf)
|
|
|
|
pairlist = PairListManager(exchange, default_conf)
|
|
dp = DataProvider(default_conf, exchange, pairlist)
|
|
|
|
# Simulate volumepairs from exchange.
|
|
pairlist.refresh_pairlist()
|
|
|
|
assert dp.current_whitelist() == pairlist._whitelist
|
|
# The identity of the 2 lists should not be identical, but a copy
|
|
assert dp.current_whitelist() is not pairlist._whitelist
|
|
|
|
with pytest.raises(OperationalException):
|
|
dp = DataProvider(default_conf, exchange)
|
|
dp.current_whitelist()
|
|
|
|
|
|
def test_get_analyzed_dataframe(mocker, default_conf, ohlcv_history):
|
|
|
|
default_conf["runmode"] = RunMode.DRY_RUN
|
|
|
|
timeframe = default_conf["timeframe"]
|
|
exchange = get_patched_exchange(mocker, default_conf)
|
|
|
|
dp = DataProvider(default_conf, exchange)
|
|
dp._set_cached_df("XRP/BTC", timeframe, ohlcv_history, CandleType.SPOT)
|
|
dp._set_cached_df("UNITTEST/BTC", timeframe, ohlcv_history, CandleType.SPOT)
|
|
|
|
assert dp.runmode == RunMode.DRY_RUN
|
|
dataframe, time = dp.get_analyzed_dataframe("UNITTEST/BTC", timeframe)
|
|
assert ohlcv_history.equals(dataframe)
|
|
assert isinstance(time, datetime)
|
|
|
|
dataframe, time = dp.get_analyzed_dataframe("XRP/BTC", timeframe)
|
|
assert ohlcv_history.equals(dataframe)
|
|
assert isinstance(time, datetime)
|
|
|
|
dataframe, time = dp.get_analyzed_dataframe("NOTHING/BTC", timeframe)
|
|
assert dataframe.empty
|
|
assert isinstance(time, datetime)
|
|
assert time == datetime(1970, 1, 1, tzinfo=timezone.utc)
|
|
|
|
# Test backtest mode
|
|
default_conf["runmode"] = RunMode.BACKTEST
|
|
dp._set_dataframe_max_index(1)
|
|
dataframe, time = dp.get_analyzed_dataframe("XRP/BTC", timeframe)
|
|
|
|
assert len(dataframe) == 1
|
|
|
|
dp._set_dataframe_max_index(2)
|
|
dataframe, time = dp.get_analyzed_dataframe("XRP/BTC", timeframe)
|
|
assert len(dataframe) == 2
|
|
|
|
dp._set_dataframe_max_index(3)
|
|
dataframe, time = dp.get_analyzed_dataframe("XRP/BTC", timeframe)
|
|
assert len(dataframe) == 3
|
|
|
|
dp._set_dataframe_max_index(500)
|
|
dataframe, time = dp.get_analyzed_dataframe("XRP/BTC", timeframe)
|
|
assert len(dataframe) == len(ohlcv_history)
|
|
|
|
|
|
def test_no_exchange_mode(default_conf):
|
|
dp = DataProvider(default_conf, None)
|
|
|
|
message = "Exchange is not available to DataProvider."
|
|
|
|
with pytest.raises(OperationalException, match=message):
|
|
dp.refresh([()])
|
|
|
|
with pytest.raises(OperationalException, match=message):
|
|
dp.ohlcv('XRP/USDT', '5m', '')
|
|
|
|
with pytest.raises(OperationalException, match=message):
|
|
dp.market('XRP/USDT')
|
|
|
|
with pytest.raises(OperationalException, match=message):
|
|
dp.ticker('XRP/USDT')
|
|
|
|
with pytest.raises(OperationalException, match=message):
|
|
dp.orderbook('XRP/USDT', 20)
|
|
|
|
with pytest.raises(OperationalException, match=message):
|
|
dp.available_pairs()
|
|
|
|
|
|
def test_dp_send_msg(default_conf):
|
|
|
|
default_conf["runmode"] = RunMode.DRY_RUN
|
|
|
|
default_conf["timeframe"] = '1h'
|
|
dp = DataProvider(default_conf, None)
|
|
msg = 'Test message'
|
|
dp.send_msg(msg)
|
|
|
|
assert msg in dp._msg_queue
|
|
dp._msg_queue.pop()
|
|
assert msg not in dp._msg_queue
|
|
# Message is not resent due to caching
|
|
dp.send_msg(msg)
|
|
assert msg not in dp._msg_queue
|
|
dp.send_msg(msg, always_send=True)
|
|
assert msg in dp._msg_queue
|
|
|
|
default_conf["runmode"] = RunMode.BACKTEST
|
|
dp = DataProvider(default_conf, None)
|
|
dp.send_msg(msg, always_send=True)
|
|
assert msg not in dp._msg_queue
|