597 lines
20 KiB
Python
597 lines
20 KiB
Python
from datetime import datetime, timezone
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from random import randint
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from unittest.mock import MagicMock, PropertyMock
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import ccxt
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import pytest
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from freqtrade.enums import MarginMode, TradingMode
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from freqtrade.exceptions import DependencyException, InvalidOrderException, OperationalException
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from tests.conftest import get_mock_coro, get_patched_exchange, log_has_re
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from tests.exchange.test_exchange import ccxt_exceptionhandlers
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@pytest.mark.parametrize('trademode', [TradingMode.FUTURES, TradingMode.SPOT])
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@pytest.mark.parametrize('limitratio,expected,side', [
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(None, 220 * 0.99, "sell"),
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(0.99, 220 * 0.99, "sell"),
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(0.98, 220 * 0.98, "sell"),
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(None, 220 * 1.01, "buy"),
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(0.99, 220 * 1.01, "buy"),
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(0.98, 220 * 1.02, "buy"),
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])
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def test_stoploss_order_binance(default_conf, mocker, limitratio, expected, side, trademode):
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api_mock = MagicMock()
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order_id = 'test_prod_buy_{}'.format(randint(0, 10 ** 6))
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order_type = 'stop_loss_limit' if trademode == TradingMode.SPOT else 'limit'
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api_mock.create_order = MagicMock(return_value={
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'id': order_id,
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'info': {
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'foo': 'bar'
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}
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})
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default_conf['dry_run'] = False
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default_conf['margin_mode'] = MarginMode.ISOLATED
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default_conf['trading_mode'] = trademode
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mocker.patch('freqtrade.exchange.Exchange.amount_to_precision', lambda s, x, y: y)
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mocker.patch('freqtrade.exchange.Exchange.price_to_precision', lambda s, x, y: y)
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exchange = get_patched_exchange(mocker, default_conf, api_mock, 'binance')
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with pytest.raises(OperationalException):
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order = exchange.stoploss(
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pair='ETH/BTC',
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amount=1,
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stop_price=190,
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side=side,
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order_types={'stoploss': 'limit', 'stoploss_on_exchange_limit_ratio': 1.05},
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leverage=1.0
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)
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api_mock.create_order.reset_mock()
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order_types = {'stoploss': 'limit'}
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if limitratio is not None:
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order_types.update({'stoploss_on_exchange_limit_ratio': limitratio})
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order = exchange.stoploss(
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pair='ETH/BTC',
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amount=1,
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stop_price=220,
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order_types=order_types,
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side=side,
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leverage=1.0
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)
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assert 'id' in order
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assert 'info' in order
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assert order['id'] == order_id
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assert api_mock.create_order.call_args_list[0][1]['symbol'] == 'ETH/BTC'
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assert api_mock.create_order.call_args_list[0][1]['type'] == order_type
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assert api_mock.create_order.call_args_list[0][1]['side'] == side
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assert api_mock.create_order.call_args_list[0][1]['amount'] == 1
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# Price should be 1% below stopprice
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assert api_mock.create_order.call_args_list[0][1]['price'] == expected
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if trademode == TradingMode.SPOT:
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params_dict = {'stopPrice': 220}
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else:
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params_dict = {'stopPrice': 220, 'reduceOnly': True}
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assert api_mock.create_order.call_args_list[0][1]['params'] == params_dict
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# test exception handling
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with pytest.raises(DependencyException):
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api_mock.create_order = MagicMock(side_effect=ccxt.InsufficientFunds("0 balance"))
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exchange = get_patched_exchange(mocker, default_conf, api_mock, 'binance')
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exchange.stoploss(
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pair='ETH/BTC',
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amount=1,
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stop_price=220,
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order_types={},
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side=side,
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leverage=1.0)
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with pytest.raises(InvalidOrderException):
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api_mock.create_order = MagicMock(
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side_effect=ccxt.InvalidOrder("binance Order would trigger immediately."))
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exchange = get_patched_exchange(mocker, default_conf, api_mock, 'binance')
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exchange.stoploss(
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pair='ETH/BTC',
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amount=1,
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stop_price=220,
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order_types={},
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side=side,
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leverage=1.0
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)
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ccxt_exceptionhandlers(mocker, default_conf, api_mock, "binance",
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"stoploss", "create_order", retries=1,
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pair='ETH/BTC', amount=1, stop_price=220, order_types={},
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side=side, leverage=1.0)
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def test_stoploss_order_dry_run_binance(default_conf, mocker):
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api_mock = MagicMock()
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order_type = 'stop_loss_limit'
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default_conf['dry_run'] = True
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mocker.patch('freqtrade.exchange.Exchange.amount_to_precision', lambda s, x, y: y)
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mocker.patch('freqtrade.exchange.Exchange.price_to_precision', lambda s, x, y: y)
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exchange = get_patched_exchange(mocker, default_conf, api_mock, 'binance')
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with pytest.raises(OperationalException):
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order = exchange.stoploss(
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pair='ETH/BTC',
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amount=1,
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stop_price=190,
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side="sell",
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order_types={'stoploss_on_exchange_limit_ratio': 1.05},
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leverage=1.0
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)
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api_mock.create_order.reset_mock()
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order = exchange.stoploss(
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pair='ETH/BTC',
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amount=1,
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stop_price=220,
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order_types={},
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side="sell",
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leverage=1.0
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)
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assert 'id' in order
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assert 'info' in order
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assert 'type' in order
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assert order['type'] == order_type
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assert order['price'] == 220
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assert order['amount'] == 1
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@pytest.mark.parametrize('sl1,sl2,sl3,side', [
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(1501, 1499, 1501, "sell"),
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(1499, 1501, 1499, "buy")
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])
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def test_stoploss_adjust_binance(mocker, default_conf, sl1, sl2, sl3, side):
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exchange = get_patched_exchange(mocker, default_conf, id='binance')
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order = {
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'type': 'stop_loss_limit',
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'price': 1500,
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'stopPrice': 1500,
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'info': {'stopPrice': 1500},
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}
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assert exchange.stoploss_adjust(sl1, order, side=side)
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assert not exchange.stoploss_adjust(sl2, order, side=side)
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# Test with invalid order case
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order['type'] = 'stop_loss'
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assert not exchange.stoploss_adjust(sl3, order, side=side)
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def test_fill_leverage_tiers_binance(default_conf, mocker):
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api_mock = MagicMock()
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api_mock.fetch_leverage_tiers = MagicMock(return_value={
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'ADA/BUSD': [
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{
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"tier": 1,
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"minNotional": 0,
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"maxNotional": 100000,
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"maintenanceMarginRate": 0.025,
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"maxLeverage": 20,
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"info": {
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"bracket": "1",
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"initialLeverage": "20",
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"maxNotional": "100000",
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"minNotional": "0",
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"maintMarginRatio": "0.025",
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"cum": "0.0"
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}
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},
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{
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"tier": 2,
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"minNotional": 100000,
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"maxNotional": 500000,
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"maintenanceMarginRate": 0.05,
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"maxLeverage": 10,
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"info": {
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"bracket": "2",
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"initialLeverage": "10",
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"maxNotional": "500000",
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"minNotional": "100000",
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"maintMarginRatio": "0.05",
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"cum": "2500.0"
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}
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},
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{
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"tier": 3,
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"minNotional": 500000,
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"maxNotional": 1000000,
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"maintenanceMarginRate": 0.1,
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"maxLeverage": 5,
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"info": {
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"bracket": "3",
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"initialLeverage": "5",
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"maxNotional": "1000000",
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"minNotional": "500000",
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"maintMarginRatio": "0.1",
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"cum": "27500.0"
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}
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},
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{
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"tier": 4,
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"minNotional": 1000000,
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"maxNotional": 2000000,
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"maintenanceMarginRate": 0.15,
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"maxLeverage": 3,
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"info": {
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"bracket": "4",
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"initialLeverage": "3",
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"maxNotional": "2000000",
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"minNotional": "1000000",
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"maintMarginRatio": "0.15",
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"cum": "77500.0"
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}
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},
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{
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"tier": 5,
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"minNotional": 2000000,
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"maxNotional": 5000000,
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"maintenanceMarginRate": 0.25,
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"maxLeverage": 2,
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"info": {
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"bracket": "5",
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"initialLeverage": "2",
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"maxNotional": "5000000",
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"minNotional": "2000000",
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"maintMarginRatio": "0.25",
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"cum": "277500.0"
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}
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},
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{
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"tier": 6,
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"minNotional": 5000000,
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"maxNotional": 30000000,
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"maintenanceMarginRate": 0.5,
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"maxLeverage": 1,
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"info": {
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"bracket": "6",
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"initialLeverage": "1",
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"maxNotional": "30000000",
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"minNotional": "5000000",
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"maintMarginRatio": "0.5",
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"cum": "1527500.0"
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}
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}
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],
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"ZEC/USDT": [
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{
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"tier": 1,
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"minNotional": 0,
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"maxNotional": 50000,
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"maintenanceMarginRate": 0.01,
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"maxLeverage": 50,
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"info": {
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"bracket": "1",
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"initialLeverage": "50",
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"maxNotional": "50000",
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"minNotional": "0",
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"maintMarginRatio": "0.01",
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"cum": "0.0"
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}
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},
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{
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"tier": 2,
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"minNotional": 50000,
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"maxNotional": 150000,
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"maintenanceMarginRate": 0.025,
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"maxLeverage": 20,
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"info": {
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"bracket": "2",
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"initialLeverage": "20",
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"maxNotional": "150000",
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"minNotional": "50000",
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"maintMarginRatio": "0.025",
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"cum": "750.0"
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}
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},
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{
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"tier": 3,
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"minNotional": 150000,
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"maxNotional": 250000,
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"maintenanceMarginRate": 0.05,
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"maxLeverage": 10,
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"info": {
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"bracket": "3",
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"initialLeverage": "10",
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"maxNotional": "250000",
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"minNotional": "150000",
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"maintMarginRatio": "0.05",
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"cum": "4500.0"
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}
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},
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{
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"tier": 4,
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"minNotional": 250000,
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"maxNotional": 500000,
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"maintenanceMarginRate": 0.1,
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"maxLeverage": 5,
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"info": {
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"bracket": "4",
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"initialLeverage": "5",
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"maxNotional": "500000",
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"minNotional": "250000",
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"maintMarginRatio": "0.1",
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"cum": "17000.0"
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}
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},
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{
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"tier": 5,
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"minNotional": 500000,
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"maxNotional": 1000000,
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"maintenanceMarginRate": 0.125,
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"maxLeverage": 4,
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"info": {
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"bracket": "5",
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"initialLeverage": "4",
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"maxNotional": "1000000",
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"minNotional": "500000",
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"maintMarginRatio": "0.125",
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"cum": "29500.0"
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}
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},
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{
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"tier": 6,
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"minNotional": 1000000,
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"maxNotional": 2000000,
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"maintenanceMarginRate": 0.25,
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"maxLeverage": 2,
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"info": {
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"bracket": "6",
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"initialLeverage": "2",
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"maxNotional": "2000000",
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"minNotional": "1000000",
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"maintMarginRatio": "0.25",
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"cum": "154500.0"
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}
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},
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{
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"tier": 7,
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"minNotional": 2000000,
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"maxNotional": 30000000,
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"maintenanceMarginRate": 0.5,
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"maxLeverage": 1,
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"info": {
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"bracket": "7",
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"initialLeverage": "1",
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"maxNotional": "30000000",
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"minNotional": "2000000",
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"maintMarginRatio": "0.5",
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"cum": "654500.0"
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}
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}
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],
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})
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default_conf['dry_run'] = False
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default_conf['trading_mode'] = TradingMode.FUTURES
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default_conf['margin_mode'] = MarginMode.ISOLATED
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exchange = get_patched_exchange(mocker, default_conf, api_mock, id="binance")
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exchange.fill_leverage_tiers()
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assert exchange._leverage_tiers == {
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'ADA/BUSD': [
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{
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"minNotional": 0,
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"maxNotional": 100000,
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"maintenanceMarginRate": 0.025,
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"maxLeverage": 20,
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"maintAmt": 0.0
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},
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{
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"minNotional": 100000,
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"maxNotional": 500000,
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"maintenanceMarginRate": 0.05,
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"maxLeverage": 10,
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"maintAmt": 2500.0
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},
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{
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"minNotional": 500000,
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"maxNotional": 1000000,
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"maintenanceMarginRate": 0.1,
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"maxLeverage": 5,
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"maintAmt": 27500.0
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},
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{
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"minNotional": 1000000,
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"maxNotional": 2000000,
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"maintenanceMarginRate": 0.15,
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"maxLeverage": 3,
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"maintAmt": 77500.0
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},
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{
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"minNotional": 2000000,
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"maxNotional": 5000000,
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"maintenanceMarginRate": 0.25,
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"maxLeverage": 2,
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"maintAmt": 277500.0
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},
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{
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"minNotional": 5000000,
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"maxNotional": 30000000,
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"maintenanceMarginRate": 0.5,
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"maxLeverage": 1,
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"maintAmt": 1527500.0
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}
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],
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"ZEC/USDT": [
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{
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'minNotional': 0,
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'maxNotional': 50000,
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'maintenanceMarginRate': 0.01,
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'maxLeverage': 50,
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'maintAmt': 0.0
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},
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{
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'minNotional': 50000,
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'maxNotional': 150000,
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'maintenanceMarginRate': 0.025,
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'maxLeverage': 20,
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'maintAmt': 750.0
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},
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{
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'minNotional': 150000,
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'maxNotional': 250000,
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'maintenanceMarginRate': 0.05,
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'maxLeverage': 10,
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'maintAmt': 4500.0
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},
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{
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'minNotional': 250000,
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'maxNotional': 500000,
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'maintenanceMarginRate': 0.1,
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'maxLeverage': 5,
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'maintAmt': 17000.0
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},
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{
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'minNotional': 500000,
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'maxNotional': 1000000,
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'maintenanceMarginRate': 0.125,
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'maxLeverage': 4,
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'maintAmt': 29500.0
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},
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{
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'minNotional': 1000000,
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'maxNotional': 2000000,
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'maintenanceMarginRate': 0.25,
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'maxLeverage': 2,
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'maintAmt': 154500.0
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},
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{
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'minNotional': 2000000,
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'maxNotional': 30000000,
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'maintenanceMarginRate': 0.5,
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'maxLeverage': 1,
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'maintAmt': 654500.0
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},
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]
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}
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api_mock = MagicMock()
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api_mock.load_leverage_tiers = MagicMock()
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type(api_mock).has = PropertyMock(return_value={'fetchLeverageTiers': True})
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ccxt_exceptionhandlers(
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mocker,
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default_conf,
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api_mock,
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"binance",
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"fill_leverage_tiers",
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"fetch_leverage_tiers",
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)
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def test_fill_leverage_tiers_binance_dryrun(default_conf, mocker, leverage_tiers):
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api_mock = MagicMock()
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default_conf['trading_mode'] = TradingMode.FUTURES
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default_conf['margin_mode'] = MarginMode.ISOLATED
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exchange = get_patched_exchange(mocker, default_conf, api_mock, id="binance")
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exchange.fill_leverage_tiers()
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assert len(exchange._leverage_tiers.keys()) > 100
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for key, value in leverage_tiers.items():
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v = exchange._leverage_tiers[key]
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assert isinstance(v, list)
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assert len(v) == len(value)
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def test__set_leverage_binance(mocker, default_conf):
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api_mock = MagicMock()
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api_mock.set_leverage = MagicMock()
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type(api_mock).has = PropertyMock(return_value={'setLeverage': True})
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default_conf['dry_run'] = False
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exchange = get_patched_exchange(mocker, default_conf, id="binance")
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exchange._set_leverage(3.0, trading_mode=TradingMode.MARGIN)
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ccxt_exceptionhandlers(
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mocker,
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default_conf,
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api_mock,
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"binance",
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"_set_leverage",
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"set_leverage",
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pair="XRP/USDT",
|
|
leverage=5.0,
|
|
trading_mode=TradingMode.FUTURES
|
|
)
|
|
|
|
|
|
@pytest.mark.asyncio
|
|
@pytest.mark.parametrize('candle_type', ['mark', ''])
|
|
async def test__async_get_historic_ohlcv_binance(default_conf, mocker, caplog, candle_type):
|
|
ohlcv = [
|
|
[
|
|
int((datetime.now(timezone.utc).timestamp() - 1000) * 1000),
|
|
1, # open
|
|
2, # high
|
|
3, # low
|
|
4, # close
|
|
5, # volume (in quote currency)
|
|
]
|
|
]
|
|
|
|
exchange = get_patched_exchange(mocker, default_conf, id='binance')
|
|
# Monkey-patch async function
|
|
exchange._api_async.fetch_ohlcv = get_mock_coro(ohlcv)
|
|
|
|
pair = 'ETH/BTC'
|
|
respair, restf, restype, res = await exchange._async_get_historic_ohlcv(
|
|
pair, "5m", 1500000000000, is_new_pair=False, candle_type=candle_type)
|
|
assert respair == pair
|
|
assert restf == '5m'
|
|
assert restype == candle_type
|
|
# Call with very old timestamp - causes tons of requests
|
|
assert exchange._api_async.fetch_ohlcv.call_count > 400
|
|
# assert res == ohlcv
|
|
exchange._api_async.fetch_ohlcv.reset_mock()
|
|
_, _, _, res = await exchange._async_get_historic_ohlcv(
|
|
pair, "5m", 1500000000000, is_new_pair=True, candle_type=candle_type)
|
|
|
|
# Called twice - one "init" call - and one to get the actual data.
|
|
assert exchange._api_async.fetch_ohlcv.call_count == 2
|
|
assert res == ohlcv
|
|
assert log_has_re(r"Candle-data for ETH/BTC available starting with .*", caplog)
|
|
|
|
|
|
@pytest.mark.parametrize("trading_mode,margin_mode,config", [
|
|
("spot", "", {}),
|
|
("margin", "cross", {"options": {"defaultType": "margin"}}),
|
|
("futures", "isolated", {"options": {"defaultType": "future"}}),
|
|
])
|
|
def test__ccxt_config(default_conf, mocker, trading_mode, margin_mode, config):
|
|
default_conf['trading_mode'] = trading_mode
|
|
default_conf['margin_mode'] = margin_mode
|
|
exchange = get_patched_exchange(mocker, default_conf, id="binance")
|
|
assert exchange._ccxt_config == config
|
|
|
|
|
|
@pytest.mark.parametrize('pair,nominal_value,mm_ratio,amt', [
|
|
("BNB/BUSD", 0.0, 0.025, 0),
|
|
("BNB/USDT", 100.0, 0.0065, 0),
|
|
("BTC/USDT", 170.30, 0.004, 0),
|
|
("BNB/BUSD", 999999.9, 0.1, 27500.0),
|
|
("BNB/USDT", 5000000.0, 0.15, 233035.0),
|
|
("BTC/USDT", 600000000, 0.5, 1.997038E8),
|
|
])
|
|
def test_get_maintenance_ratio_and_amt_binance(
|
|
default_conf,
|
|
mocker,
|
|
leverage_tiers,
|
|
pair,
|
|
nominal_value,
|
|
mm_ratio,
|
|
amt,
|
|
):
|
|
mocker.patch('freqtrade.exchange.Exchange.exchange_has', return_value=True)
|
|
exchange = get_patched_exchange(mocker, default_conf, id="binance")
|
|
exchange._leverage_tiers = leverage_tiers
|
|
(result_ratio, result_amt) = exchange.get_maintenance_ratio_and_amt(pair, nominal_value)
|
|
assert (round(result_ratio, 8), round(result_amt, 8)) == (mm_ratio, amt)
|