stable/tests/strategy/test_interface.py
2020-06-18 06:50:06 +02:00

470 lines
18 KiB
Python

# pragma pylint: disable=missing-docstring, C0103
import logging
from unittest.mock import MagicMock
import arrow
import pytest
from pandas import DataFrame
from freqtrade.configuration import TimeRange
from freqtrade.data.history import load_data
from freqtrade.exceptions import StrategyError, OperationalException
from freqtrade.persistence import Trade
from freqtrade.resolvers import StrategyResolver
from freqtrade.strategy.strategy_wrapper import strategy_safe_wrapper
from freqtrade.data.dataprovider import DataProvider
from tests.conftest import log_has, log_has_re
from .strats.default_strategy import DefaultStrategy
# Avoid to reinit the same object again and again
_STRATEGY = DefaultStrategy(config={})
_STRATEGY.dp = DataProvider({}, None, None)
def test_returns_latest_signal(mocker, default_conf, ohlcv_history):
ohlcv_history.loc[1, 'date'] = arrow.utcnow()
# Take a copy to correctly modify the call
mocked_history = ohlcv_history.copy()
mocked_history['sell'] = 0
mocked_history['buy'] = 0
mocked_history.loc[1, 'sell'] = 1
mocker.patch.object(
_STRATEGY.dp, 'get_analyzed_dataframe',
return_value=(mocked_history, 0)
)
assert _STRATEGY.get_signal('ETH/BTC', '5m') == (False, True)
mocked_history.loc[1, 'sell'] = 0
mocked_history.loc[1, 'buy'] = 1
mocker.patch.object(
_STRATEGY.dp, 'get_analyzed_dataframe',
return_value=(mocked_history, 0)
)
assert _STRATEGY.get_signal('ETH/BTC', '5m') == (True, False)
mocked_history.loc[1, 'sell'] = 0
mocked_history.loc[1, 'buy'] = 0
mocker.patch.object(
_STRATEGY.dp, 'get_analyzed_dataframe',
return_value=(mocked_history, 0)
)
assert _STRATEGY.get_signal('ETH/BTC', '5m') == (False, False)
def test_trade_no_dataprovider(default_conf, mocker, caplog):
strategy = DefaultStrategy({})
# Delete DP for sure (suffers from test leakage, as this is updated in the base class)
if strategy.dp is not None:
strategy.dp = None
with pytest.raises(OperationalException, match="DataProvider not found."):
strategy.get_signal('ETH/BTC', '5m')
with pytest.raises(OperationalException, match="DataProvider not found."):
strategy.analyze_pair('ETH/BTC')
def test_analyze_pair_empty(default_conf, mocker, caplog, ohlcv_history):
mocker.patch.object(_STRATEGY.dp, 'ohlcv', return_value=ohlcv_history)
mocker.patch.object(
_STRATEGY, '_analyze_ticker_internal',
return_value=DataFrame([])
)
mocker.patch.object(_STRATEGY, 'assert_df')
_STRATEGY.analyze_pair('ETH/BTC')
assert log_has('Empty dataframe for pair ETH/BTC', caplog)
def test_get_signal_empty(default_conf, mocker, caplog):
mocker.patch.object(_STRATEGY.dp, 'get_analyzed_dataframe', return_value=(DataFrame(), 0))
assert (False, False) == _STRATEGY.get_signal('foo', default_conf['timeframe'])
assert log_has('Empty candle (OHLCV) data for pair foo', caplog)
caplog.clear()
mocker.patch.object(_STRATEGY.dp, 'get_analyzed_dataframe', return_value=(None, 0))
assert (False, False) == _STRATEGY.get_signal('bar', default_conf['timeframe'])
assert log_has('Empty candle (OHLCV) data for pair bar', caplog)
def test_get_signal_exception_valueerror(default_conf, mocker, caplog, ohlcv_history):
caplog.set_level(logging.INFO)
mocker.patch.object(_STRATEGY.dp, 'ohlcv', return_value=ohlcv_history)
mocker.patch.object(
_STRATEGY, '_analyze_ticker_internal',
side_effect=ValueError('xyz')
)
_STRATEGY.analyze_pair('foo')
assert log_has_re(r'Strategy caused the following exception: xyz.*', caplog)
caplog.clear()
mocker.patch.object(
_STRATEGY, 'analyze_ticker',
side_effect=Exception('invalid ticker history ')
)
_STRATEGY.analyze_pair('foo')
assert log_has_re(r'Strategy caused the following exception: xyz.*', caplog)
def test_get_signal_empty_dataframe(default_conf, mocker, caplog, ohlcv_history):
caplog.set_level(logging.INFO)
mocker.patch.object(_STRATEGY.dp, 'get_analyzed_dataframe', return_value=(DataFrame([]), 0))
mocker.patch.object(_STRATEGY, 'assert_df')
assert (False, False) == _STRATEGY.get_signal('xyz', default_conf['timeframe'])
assert log_has('Empty dataframe for pair xyz', caplog)
def test_get_signal_old_dataframe(default_conf, mocker, caplog, ohlcv_history):
# default_conf defines a 5m interval. we check interval * 2 + 5m
# this is necessary as the last candle is removed (partial candles) by default
ohlcv_history.loc[1, 'date'] = arrow.utcnow().shift(minutes=-16)
# Take a copy to correctly modify the call
mocked_history = ohlcv_history.copy()
mocked_history['sell'] = 0
mocked_history['buy'] = 0
mocked_history.loc[1, 'buy'] = 1
caplog.set_level(logging.INFO)
mocker.patch.object(_STRATEGY.dp, 'get_analyzed_dataframe', return_value=(mocked_history, 0))
mocker.patch.object(_STRATEGY, 'assert_df')
assert (False, False) == _STRATEGY.get_signal('xyz', default_conf['timeframe'])
assert log_has('Outdated history for pair xyz. Last tick is 16 minutes old', caplog)
def test_assert_df_raise(default_conf, mocker, caplog, ohlcv_history):
# default_conf defines a 5m interval. we check interval * 2 + 5m
# this is necessary as the last candle is removed (partial candles) by default
ohlcv_history.loc[1, 'date'] = arrow.utcnow().shift(minutes=-16)
# Take a copy to correctly modify the call
mocked_history = ohlcv_history.copy()
mocked_history['sell'] = 0
mocked_history['buy'] = 0
mocked_history.loc[1, 'buy'] = 1
caplog.set_level(logging.INFO)
mocker.patch.object(_STRATEGY.dp, 'ohlcv', return_value=ohlcv_history)
mocker.patch.object(_STRATEGY.dp, 'get_analyzed_dataframe', return_value=(mocked_history, 0))
mocker.patch.object(
_STRATEGY, 'assert_df',
side_effect=StrategyError('Dataframe returned...')
)
_STRATEGY.analyze_pair('xyz')
assert log_has('Unable to analyze candle (OHLCV) data for pair xyz: Dataframe returned...',
caplog)
def test_assert_df(default_conf, mocker, ohlcv_history, caplog):
# Ensure it's running when passed correctly
_STRATEGY.assert_df(ohlcv_history, len(ohlcv_history),
ohlcv_history.loc[1, 'close'], ohlcv_history.loc[1, 'date'])
with pytest.raises(StrategyError, match=r"Dataframe returned from strategy.*length\."):
_STRATEGY.assert_df(ohlcv_history, len(ohlcv_history) + 1,
ohlcv_history.loc[1, 'close'], ohlcv_history.loc[1, 'date'])
with pytest.raises(StrategyError,
match=r"Dataframe returned from strategy.*last close price\."):
_STRATEGY.assert_df(ohlcv_history, len(ohlcv_history),
ohlcv_history.loc[1, 'close'] + 0.01, ohlcv_history.loc[1, 'date'])
with pytest.raises(StrategyError,
match=r"Dataframe returned from strategy.*last date\."):
_STRATEGY.assert_df(ohlcv_history, len(ohlcv_history),
ohlcv_history.loc[1, 'close'], ohlcv_history.loc[0, 'date'])
_STRATEGY.disable_dataframe_checks = True
caplog.clear()
_STRATEGY.assert_df(ohlcv_history, len(ohlcv_history),
ohlcv_history.loc[1, 'close'], ohlcv_history.loc[0, 'date'])
assert log_has_re(r"Dataframe returned from strategy.*last date\.", caplog)
# reset to avoid problems in other tests due to test leakage
_STRATEGY.disable_dataframe_checks = False
def test_ohlcvdata_to_dataframe(default_conf, testdatadir) -> None:
default_conf.update({'strategy': 'DefaultStrategy'})
strategy = StrategyResolver.load_strategy(default_conf)
timerange = TimeRange.parse_timerange('1510694220-1510700340')
data = load_data(testdatadir, '1m', ['UNITTEST/BTC'], timerange=timerange,
fill_up_missing=True)
processed = strategy.ohlcvdata_to_dataframe(data)
assert len(processed['UNITTEST/BTC']) == 102 # partial candle was removed
def test_ohlcvdata_to_dataframe_copy(mocker, default_conf, testdatadir) -> None:
default_conf.update({'strategy': 'DefaultStrategy'})
strategy = StrategyResolver.load_strategy(default_conf)
aimock = mocker.patch('freqtrade.strategy.interface.IStrategy.advise_indicators')
timerange = TimeRange.parse_timerange('1510694220-1510700340')
data = load_data(testdatadir, '1m', ['UNITTEST/BTC'], timerange=timerange,
fill_up_missing=True)
strategy.ohlcvdata_to_dataframe(data)
assert aimock.call_count == 1
# Ensure that a copy of the dataframe is passed to advice_indicators
assert aimock.call_args_list[0][0][0] is not data
def test_min_roi_reached(default_conf, fee) -> None:
# Use list to confirm sequence does not matter
min_roi_list = [{20: 0.05, 55: 0.01, 0: 0.1},
{0: 0.1, 20: 0.05, 55: 0.01}]
for roi in min_roi_list:
default_conf.update({'strategy': 'DefaultStrategy'})
strategy = StrategyResolver.load_strategy(default_conf)
strategy.minimal_roi = roi
trade = Trade(
pair='ETH/BTC',
stake_amount=0.001,
amount=5,
open_date=arrow.utcnow().shift(hours=-1).datetime,
fee_open=fee.return_value,
fee_close=fee.return_value,
exchange='bittrex',
open_rate=1,
)
assert not strategy.min_roi_reached(trade, 0.02, arrow.utcnow().shift(minutes=-56).datetime)
assert strategy.min_roi_reached(trade, 0.12, arrow.utcnow().shift(minutes=-56).datetime)
assert not strategy.min_roi_reached(trade, 0.04, arrow.utcnow().shift(minutes=-39).datetime)
assert strategy.min_roi_reached(trade, 0.06, arrow.utcnow().shift(minutes=-39).datetime)
assert not strategy.min_roi_reached(trade, -0.01, arrow.utcnow().shift(minutes=-1).datetime)
assert strategy.min_roi_reached(trade, 0.02, arrow.utcnow().shift(minutes=-1).datetime)
def test_min_roi_reached2(default_conf, fee) -> None:
# test with ROI raising after last interval
min_roi_list = [{20: 0.07,
30: 0.05,
55: 0.30,
0: 0.1
},
{0: 0.1,
20: 0.07,
30: 0.05,
55: 0.30
},
]
for roi in min_roi_list:
default_conf.update({'strategy': 'DefaultStrategy'})
strategy = StrategyResolver.load_strategy(default_conf)
strategy.minimal_roi = roi
trade = Trade(
pair='ETH/BTC',
stake_amount=0.001,
amount=5,
open_date=arrow.utcnow().shift(hours=-1).datetime,
fee_open=fee.return_value,
fee_close=fee.return_value,
exchange='bittrex',
open_rate=1,
)
assert not strategy.min_roi_reached(trade, 0.02, arrow.utcnow().shift(minutes=-56).datetime)
assert strategy.min_roi_reached(trade, 0.12, arrow.utcnow().shift(minutes=-56).datetime)
assert not strategy.min_roi_reached(trade, 0.04, arrow.utcnow().shift(minutes=-39).datetime)
assert strategy.min_roi_reached(trade, 0.071, arrow.utcnow().shift(minutes=-39).datetime)
assert not strategy.min_roi_reached(trade, 0.04, arrow.utcnow().shift(minutes=-26).datetime)
assert strategy.min_roi_reached(trade, 0.06, arrow.utcnow().shift(minutes=-26).datetime)
# Should not trigger with 20% profit since after 55 minutes only 30% is active.
assert not strategy.min_roi_reached(trade, 0.20, arrow.utcnow().shift(minutes=-2).datetime)
assert strategy.min_roi_reached(trade, 0.31, arrow.utcnow().shift(minutes=-2).datetime)
def test_min_roi_reached3(default_conf, fee) -> None:
# test for issue #1948
min_roi = {20: 0.07,
30: 0.05,
55: 0.30,
}
default_conf.update({'strategy': 'DefaultStrategy'})
strategy = StrategyResolver.load_strategy(default_conf)
strategy.minimal_roi = min_roi
trade = Trade(
pair='ETH/BTC',
stake_amount=0.001,
amount=5,
open_date=arrow.utcnow().shift(hours=-1).datetime,
fee_open=fee.return_value,
fee_close=fee.return_value,
exchange='bittrex',
open_rate=1,
)
assert not strategy.min_roi_reached(trade, 0.02, arrow.utcnow().shift(minutes=-56).datetime)
assert not strategy.min_roi_reached(trade, 0.12, arrow.utcnow().shift(minutes=-56).datetime)
assert not strategy.min_roi_reached(trade, 0.04, arrow.utcnow().shift(minutes=-39).datetime)
assert strategy.min_roi_reached(trade, 0.071, arrow.utcnow().shift(minutes=-39).datetime)
assert not strategy.min_roi_reached(trade, 0.04, arrow.utcnow().shift(minutes=-26).datetime)
assert strategy.min_roi_reached(trade, 0.06, arrow.utcnow().shift(minutes=-26).datetime)
# Should not trigger with 20% profit since after 55 minutes only 30% is active.
assert not strategy.min_roi_reached(trade, 0.20, arrow.utcnow().shift(minutes=-2).datetime)
assert strategy.min_roi_reached(trade, 0.31, arrow.utcnow().shift(minutes=-2).datetime)
def test_analyze_ticker_default(ohlcv_history, mocker, caplog) -> None:
caplog.set_level(logging.DEBUG)
ind_mock = MagicMock(side_effect=lambda x, meta: x)
buy_mock = MagicMock(side_effect=lambda x, meta: x)
sell_mock = MagicMock(side_effect=lambda x, meta: x)
mocker.patch.multiple(
'freqtrade.strategy.interface.IStrategy',
advise_indicators=ind_mock,
advise_buy=buy_mock,
advise_sell=sell_mock,
)
strategy = DefaultStrategy({})
strategy.analyze_ticker(ohlcv_history, {'pair': 'ETH/BTC'})
assert ind_mock.call_count == 1
assert buy_mock.call_count == 1
assert buy_mock.call_count == 1
assert log_has('TA Analysis Launched', caplog)
assert not log_has('Skipping TA Analysis for already analyzed candle', caplog)
caplog.clear()
strategy.analyze_ticker(ohlcv_history, {'pair': 'ETH/BTC'})
# No analysis happens as process_only_new_candles is true
assert ind_mock.call_count == 2
assert buy_mock.call_count == 2
assert buy_mock.call_count == 2
assert log_has('TA Analysis Launched', caplog)
assert not log_has('Skipping TA Analysis for already analyzed candle', caplog)
def test__analyze_ticker_internal_skip_analyze(ohlcv_history, mocker, caplog) -> None:
caplog.set_level(logging.DEBUG)
ind_mock = MagicMock(side_effect=lambda x, meta: x)
buy_mock = MagicMock(side_effect=lambda x, meta: x)
sell_mock = MagicMock(side_effect=lambda x, meta: x)
mocker.patch.multiple(
'freqtrade.strategy.interface.IStrategy',
advise_indicators=ind_mock,
advise_buy=buy_mock,
advise_sell=sell_mock,
)
strategy = DefaultStrategy({})
strategy.dp = DataProvider({}, None, None)
strategy.process_only_new_candles = True
ret = strategy._analyze_ticker_internal(ohlcv_history, {'pair': 'ETH/BTC'})
assert 'high' in ret.columns
assert 'low' in ret.columns
assert 'close' in ret.columns
assert isinstance(ret, DataFrame)
assert ind_mock.call_count == 1
assert buy_mock.call_count == 1
assert buy_mock.call_count == 1
assert log_has('TA Analysis Launched', caplog)
assert not log_has('Skipping TA Analysis for already analyzed candle', caplog)
caplog.clear()
ret = strategy._analyze_ticker_internal(ohlcv_history, {'pair': 'ETH/BTC'})
# No analysis happens as process_only_new_candles is true
assert ind_mock.call_count == 1
assert buy_mock.call_count == 1
assert buy_mock.call_count == 1
# only skipped analyze adds buy and sell columns, otherwise it's all mocked
assert 'buy' in ret.columns
assert 'sell' in ret.columns
assert ret['buy'].sum() == 0
assert ret['sell'].sum() == 0
assert not log_has('TA Analysis Launched', caplog)
assert log_has('Skipping TA Analysis for already analyzed candle', caplog)
def test_is_pair_locked(default_conf):
default_conf.update({'strategy': 'DefaultStrategy'})
strategy = StrategyResolver.load_strategy(default_conf)
# dict should be empty
assert not strategy._pair_locked_until
pair = 'ETH/BTC'
assert not strategy.is_pair_locked(pair)
strategy.lock_pair(pair, arrow.utcnow().shift(minutes=4).datetime)
# ETH/BTC locked for 4 minutes
assert strategy.is_pair_locked(pair)
# Test lock does not change
lock = strategy._pair_locked_until[pair]
strategy.lock_pair(pair, arrow.utcnow().shift(minutes=2).datetime)
assert lock == strategy._pair_locked_until[pair]
# XRP/BTC should not be locked now
pair = 'XRP/BTC'
assert not strategy.is_pair_locked(pair)
# Unlocking a pair that's not locked should not raise an error
strategy.unlock_pair(pair)
# Unlock original pair
pair = 'ETH/BTC'
strategy.unlock_pair(pair)
assert not strategy.is_pair_locked(pair)
def test_is_informative_pairs_callback(default_conf):
default_conf.update({'strategy': 'TestStrategyLegacy'})
strategy = StrategyResolver.load_strategy(default_conf)
# Should return empty
# Uses fallback to base implementation
assert [] == strategy.informative_pairs()
@pytest.mark.parametrize('error', [
ValueError, KeyError, Exception,
])
def test_strategy_safe_wrapper_error(caplog, error):
def failing_method():
raise error('This is an error.')
def working_method(argumentpassedin):
return argumentpassedin
with pytest.raises(StrategyError, match=r'This is an error.'):
strategy_safe_wrapper(failing_method, message='DeadBeef')()
assert log_has_re(r'DeadBeef.*', caplog)
ret = strategy_safe_wrapper(failing_method, message='DeadBeef', default_retval=True)()
assert isinstance(ret, bool)
assert ret
caplog.clear()
# Test supressing error
ret = strategy_safe_wrapper(failing_method, message='DeadBeef', supress_error=True)()
assert log_has_re(r'DeadBeef.*', caplog)
@pytest.mark.parametrize('value', [
1, 22, 55, True, False, {'a': 1, 'b': '112'},
[1, 2, 3, 4], (4, 2, 3, 6)
])
def test_strategy_safe_wrapper(value):
def working_method(argumentpassedin):
return argumentpassedin
ret = strategy_safe_wrapper(working_method, message='DeadBeef')(value)
assert type(ret) == type(value)
assert ret == value