479 lines
17 KiB
Python
479 lines
17 KiB
Python
from datetime import datetime, timedelta, timezone
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from pathlib import Path
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from unittest.mock import MagicMock, PropertyMock
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import pytest
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from freqtrade.enums import CandleType, MarginMode, TradingMode
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from freqtrade.exchange.exchange import timeframe_to_minutes
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from tests.conftest import get_mock_coro, get_patched_exchange, log_has
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from tests.exchange.test_exchange import ccxt_exceptionhandlers
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def test_okx_ohlcv_candle_limit(default_conf, mocker):
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exchange = get_patched_exchange(mocker, default_conf, id='okx')
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timeframes = ('1m', '5m', '1h')
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start_time = int(datetime(2021, 1, 1, tzinfo=timezone.utc).timestamp() * 1000)
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for timeframe in timeframes:
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assert exchange.ohlcv_candle_limit(timeframe, CandleType.SPOT) == 300
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assert exchange.ohlcv_candle_limit(timeframe, CandleType.FUTURES) == 300
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assert exchange.ohlcv_candle_limit(timeframe, CandleType.MARK) == 100
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assert exchange.ohlcv_candle_limit(timeframe, CandleType.FUNDING_RATE) == 100
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assert exchange.ohlcv_candle_limit(timeframe, CandleType.SPOT, start_time) == 100
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assert exchange.ohlcv_candle_limit(timeframe, CandleType.FUTURES, start_time) == 100
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assert exchange.ohlcv_candle_limit(timeframe, CandleType.MARK, start_time) == 100
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assert exchange.ohlcv_candle_limit(timeframe, CandleType.FUNDING_RATE, start_time) == 100
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one_call = int((datetime.now(timezone.utc) - timedelta(
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minutes=290 * timeframe_to_minutes(timeframe))).timestamp() * 1000)
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assert exchange.ohlcv_candle_limit(timeframe, CandleType.SPOT, one_call) == 300
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assert exchange.ohlcv_candle_limit(timeframe, CandleType.FUTURES, one_call) == 300
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one_call = int((datetime.now(timezone.utc) - timedelta(
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minutes=320 * timeframe_to_minutes(timeframe))).timestamp() * 1000)
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assert exchange.ohlcv_candle_limit(timeframe, CandleType.SPOT, one_call) == 100
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assert exchange.ohlcv_candle_limit(timeframe, CandleType.FUTURES, one_call) == 100
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def test_get_maintenance_ratio_and_amt_okx(
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default_conf,
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mocker,
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):
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api_mock = MagicMock()
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default_conf['trading_mode'] = 'futures'
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default_conf['margin_mode'] = 'isolated'
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default_conf['dry_run'] = False
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mocker.patch.multiple(
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'freqtrade.exchange.Okx',
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exchange_has=MagicMock(return_value=True),
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load_leverage_tiers=MagicMock(return_value={
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'ETH/USDT:USDT': [
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{
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'tier': 1,
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'minNotional': 0,
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'maxNotional': 2000,
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'maintenanceMarginRate': 0.01,
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'maxLeverage': 75,
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'info': {
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'baseMaxLoan': '',
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'imr': '0.013',
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'instId': '',
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'maxLever': '75',
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'maxSz': '2000',
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'minSz': '0',
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'mmr': '0.01',
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'optMgnFactor': '0',
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'quoteMaxLoan': '',
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'tier': '1',
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'uly': 'ETH-USDT'
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}
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},
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{
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'tier': 2,
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'minNotional': 2001,
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'maxNotional': 4000,
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'maintenanceMarginRate': 0.015,
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'maxLeverage': 50,
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'info': {
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'baseMaxLoan': '',
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'imr': '0.02',
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'instId': '',
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'maxLever': '50',
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'maxSz': '4000',
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'minSz': '2001',
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'mmr': '0.015',
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'optMgnFactor': '0',
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'quoteMaxLoan': '',
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'tier': '2',
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'uly': 'ETH-USDT'
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}
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},
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{
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'tier': 3,
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'minNotional': 4001,
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'maxNotional': 8000,
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'maintenanceMarginRate': 0.02,
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'maxLeverage': 20,
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'info': {
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'baseMaxLoan': '',
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'imr': '0.05',
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'instId': '',
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'maxLever': '20',
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'maxSz': '8000',
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'minSz': '4001',
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'mmr': '0.02',
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'optMgnFactor': '0',
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'quoteMaxLoan': '',
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'tier': '3',
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'uly': 'ETH-USDT'
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}
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},
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],
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'ADA/USDT:USDT': [
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{
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'tier': 1,
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'minNotional': 0,
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'maxNotional': 500,
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'maintenanceMarginRate': 0.02,
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'maxLeverage': 75,
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'info': {
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'baseMaxLoan': '',
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'imr': '0.013',
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'instId': '',
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'maxLever': '75',
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'maxSz': '500',
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'minSz': '0',
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'mmr': '0.01',
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'optMgnFactor': '0',
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'quoteMaxLoan': '',
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'tier': '1',
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'uly': 'ADA-USDT'
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}
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},
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{
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'tier': 2,
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'minNotional': 501,
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'maxNotional': 1000,
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'maintenanceMarginRate': 0.025,
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'maxLeverage': 50,
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'info': {
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'baseMaxLoan': '',
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'imr': '0.02',
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'instId': '',
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'maxLever': '50',
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'maxSz': '1000',
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'minSz': '501',
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'mmr': '0.015',
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'optMgnFactor': '0',
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'quoteMaxLoan': '',
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'tier': '2',
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'uly': 'ADA-USDT'
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}
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},
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{
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'tier': 3,
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'minNotional': 1001,
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'maxNotional': 2000,
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'maintenanceMarginRate': 0.03,
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'maxLeverage': 20,
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'info': {
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'baseMaxLoan': '',
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'imr': '0.05',
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'instId': '',
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'maxLever': '20',
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'maxSz': '2000',
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'minSz': '1001',
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'mmr': '0.02',
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'optMgnFactor': '0',
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'quoteMaxLoan': '',
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'tier': '3',
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'uly': 'ADA-USDT'
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}
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},
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]
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})
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)
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exchange = get_patched_exchange(mocker, default_conf, api_mock, id="okx")
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assert exchange.get_maintenance_ratio_and_amt('ETH/USDT:USDT', 2000) == (0.01, None)
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assert exchange.get_maintenance_ratio_and_amt('ETH/USDT:USDT', 2001) == (0.015, None)
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assert exchange.get_maintenance_ratio_and_amt('ETH/USDT:USDT', 4001) == (0.02, None)
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assert exchange.get_maintenance_ratio_and_amt('ETH/USDT:USDT', 8000) == (0.02, None)
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assert exchange.get_maintenance_ratio_and_amt('ADA/USDT:USDT', 1) == (0.02, None)
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assert exchange.get_maintenance_ratio_and_amt('ADA/USDT:USDT', 2000) == (0.03, None)
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def test_get_max_pair_stake_amount_okx(default_conf, mocker, leverage_tiers):
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exchange = get_patched_exchange(mocker, default_conf, id="okx")
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assert exchange.get_max_pair_stake_amount('BNB/BUSD', 1.0) == float('inf')
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default_conf['trading_mode'] = 'futures'
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default_conf['margin_mode'] = 'isolated'
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exchange = get_patched_exchange(mocker, default_conf, id="okx")
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exchange._leverage_tiers = leverage_tiers
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assert exchange.get_max_pair_stake_amount('BNB/BUSD', 1.0) == 30000000
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assert exchange.get_max_pair_stake_amount('BNB/USDT', 1.0) == 50000000
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assert exchange.get_max_pair_stake_amount('BTC/USDT', 1.0) == 1000000000
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assert exchange.get_max_pair_stake_amount('BTC/USDT', 1.0, 10.0) == 100000000
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assert exchange.get_max_pair_stake_amount('TTT/USDT', 1.0) == float('inf') # Not in tiers
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@pytest.mark.parametrize('mode,side,reduceonly,result', [
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('net', 'buy', False, 'net'),
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('net', 'sell', True, 'net'),
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('net', 'sell', False, 'net'),
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('net', 'buy', True, 'net'),
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('longshort', 'buy', False, 'long'),
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('longshort', 'sell', True, 'long'),
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('longshort', 'sell', False, 'short'),
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('longshort', 'buy', True, 'short'),
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])
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def test__get_posSide(default_conf, mocker, mode, side, reduceonly, result):
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exchange = get_patched_exchange(mocker, default_conf, id="okx")
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exchange.net_only = mode == 'net'
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assert exchange._get_posSide(side, reduceonly) == result
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def test_additional_exchange_init_okx(default_conf, mocker):
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api_mock = MagicMock()
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api_mock.fetch_accounts = MagicMock(return_value=[
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{'id': '2555',
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'type': '2',
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'currency': None,
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'info': {'acctLv': '2',
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'autoLoan': False,
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'ctIsoMode': 'automatic',
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'greeksType': 'PA',
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'level': 'Lv1',
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'levelTmp': '',
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'mgnIsoMode': 'automatic',
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'posMode': 'long_short_mode',
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'uid': '2555'}}])
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default_conf['dry_run'] = False
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exchange = get_patched_exchange(mocker, default_conf, id="okx", api_mock=api_mock)
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assert api_mock.fetch_accounts.call_count == 0
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exchange.trading_mode = TradingMode.FUTURES
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# Default to netOnly
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assert exchange.net_only
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exchange.additional_exchange_init()
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assert api_mock.fetch_accounts.call_count == 1
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assert not exchange.net_only
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api_mock.fetch_accounts = MagicMock(return_value=[
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{'id': '2555',
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'type': '2',
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'currency': None,
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'info': {'acctLv': '2',
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'autoLoan': False,
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'ctIsoMode': 'automatic',
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'greeksType': 'PA',
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'level': 'Lv1',
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'levelTmp': '',
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'mgnIsoMode': 'automatic',
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'posMode': 'net_mode',
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'uid': '2555'}}])
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exchange.additional_exchange_init()
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assert api_mock.fetch_accounts.call_count == 1
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assert exchange.net_only
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default_conf['trading_mode'] = 'futures'
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default_conf['margin_mode'] = 'isolated'
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ccxt_exceptionhandlers(mocker, default_conf, api_mock, 'okx',
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"additional_exchange_init", "fetch_accounts")
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def test_load_leverage_tiers_okx(default_conf, mocker, markets, tmpdir, caplog, time_machine):
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default_conf['datadir'] = Path(tmpdir)
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# fd_mock = mocker.patch('freqtrade.exchange.exchange.file_dump_json')
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api_mock = MagicMock()
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type(api_mock).has = PropertyMock(return_value={
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'fetchLeverageTiers': False,
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'fetchMarketLeverageTiers': True,
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})
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api_mock.fetch_market_leverage_tiers = get_mock_coro(side_effect=[
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[
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{
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'tier': 1,
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'minNotional': 0,
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'maxNotional': 500,
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'maintenanceMarginRate': 0.02,
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'maxLeverage': 75,
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'info': {
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'baseMaxLoan': '',
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'imr': '0.013',
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'instId': '',
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'maxLever': '75',
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'maxSz': '500',
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'minSz': '0',
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'mmr': '0.01',
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'optMgnFactor': '0',
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'quoteMaxLoan': '',
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'tier': '1',
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'uly': 'ADA-USDT'
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}
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},
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{
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'tier': 2,
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'minNotional': 501,
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'maxNotional': 1000,
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'maintenanceMarginRate': 0.025,
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'maxLeverage': 50,
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'info': {
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'baseMaxLoan': '',
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'imr': '0.02',
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'instId': '',
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'maxLever': '50',
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'maxSz': '1000',
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'minSz': '501',
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'mmr': '0.015',
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'optMgnFactor': '0',
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'quoteMaxLoan': '',
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'tier': '2',
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'uly': 'ADA-USDT'
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}
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},
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{
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'tier': 3,
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'minNotional': 1001,
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'maxNotional': 2000,
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'maintenanceMarginRate': 0.03,
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'maxLeverage': 20,
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'info': {
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'baseMaxLoan': '',
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'imr': '0.05',
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'instId': '',
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'maxLever': '20',
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'maxSz': '2000',
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'minSz': '1001',
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'mmr': '0.02',
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'optMgnFactor': '0',
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'quoteMaxLoan': '',
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'tier': '3',
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'uly': 'ADA-USDT'
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}
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},
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],
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[
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{
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'tier': 1,
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'minNotional': 0,
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'maxNotional': 2000,
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'maintenanceMarginRate': 0.01,
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'maxLeverage': 75,
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'info': {
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'baseMaxLoan': '',
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'imr': '0.013',
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'instId': '',
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'maxLever': '75',
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'maxSz': '2000',
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'minSz': '0',
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'mmr': '0.01',
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'optMgnFactor': '0',
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'quoteMaxLoan': '',
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'tier': '1',
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'uly': 'ETH-USDT'
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}
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},
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{
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'tier': 2,
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'minNotional': 2001,
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'maxNotional': 4000,
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'maintenanceMarginRate': 0.015,
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'maxLeverage': 50,
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'info': {
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'baseMaxLoan': '',
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'imr': '0.02',
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'instId': '',
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'maxLever': '50',
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'maxSz': '4000',
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'minSz': '2001',
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'mmr': '0.015',
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'optMgnFactor': '0',
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'quoteMaxLoan': '',
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'tier': '2',
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'uly': 'ETH-USDT'
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}
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},
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{
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'tier': 3,
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'minNotional': 4001,
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'maxNotional': 8000,
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'maintenanceMarginRate': 0.02,
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'maxLeverage': 20,
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'info': {
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'baseMaxLoan': '',
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'imr': '0.05',
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'instId': '',
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'maxLever': '20',
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'maxSz': '8000',
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'minSz': '4001',
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'mmr': '0.02',
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'optMgnFactor': '0',
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'quoteMaxLoan': '',
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'tier': '3',
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'uly': 'ETH-USDT'
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}
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},
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]
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])
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default_conf['trading_mode'] = 'futures'
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default_conf['margin_mode'] = 'isolated'
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default_conf['stake_currency'] = 'USDT'
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exchange = get_patched_exchange(mocker, default_conf, api_mock, id="okx")
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exchange.trading_mode = TradingMode.FUTURES
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exchange.margin_mode = MarginMode.ISOLATED
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exchange.markets = markets
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# Initialization of load_leverage_tiers happens as part of exchange init.
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assert exchange._leverage_tiers == {
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'ADA/USDT:USDT': [
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{
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'minNotional': 0,
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'maxNotional': 500,
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'maintenanceMarginRate': 0.02,
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'maxLeverage': 75,
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'maintAmt': None
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},
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{
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'minNotional': 501,
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'maxNotional': 1000,
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'maintenanceMarginRate': 0.025,
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'maxLeverage': 50,
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'maintAmt': None
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},
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{
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'minNotional': 1001,
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'maxNotional': 2000,
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'maintenanceMarginRate': 0.03,
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'maxLeverage': 20,
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'maintAmt': None
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},
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],
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'ETH/USDT:USDT': [
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{
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'minNotional': 0,
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'maxNotional': 2000,
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'maintenanceMarginRate': 0.01,
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'maxLeverage': 75,
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'maintAmt': None
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},
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{
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'minNotional': 2001,
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'maxNotional': 4000,
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'maintenanceMarginRate': 0.015,
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'maxLeverage': 50,
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'maintAmt': None
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},
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{
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'minNotional': 4001,
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'maxNotional': 8000,
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'maintenanceMarginRate': 0.02,
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'maxLeverage': 20,
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'maintAmt': None
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},
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],
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}
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filename = (default_conf['datadir'] /
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f"futures/leverage_tiers_{default_conf['stake_currency']}.json")
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assert filename.is_file()
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logmsg = 'Cached leverage tiers are outdated. Will update.'
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assert not log_has(logmsg, caplog)
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api_mock.fetch_market_leverage_tiers.reset_mock()
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exchange.load_leverage_tiers()
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assert not log_has(logmsg, caplog)
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api_mock.fetch_market_leverage_tiers.call_count == 0
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# 2 day passes ...
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time_machine.move_to(datetime.now() + timedelta(weeks=5))
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exchange.load_leverage_tiers()
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assert log_has(logmsg, caplog)
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