502 lines
20 KiB
Python
502 lines
20 KiB
Python
"""
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Tests in this file do NOT mock network calls, so they are expected to be fluky at times.
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However, these tests should give a good idea to determine if a new exchange is
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suitable to run with freqtrade.
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"""
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from copy import deepcopy
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from datetime import datetime, timedelta, timezone
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from pathlib import Path
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import pytest
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from freqtrade.enums import CandleType
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from freqtrade.exchange import timeframe_to_minutes, timeframe_to_prev_date
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from freqtrade.exchange.exchange import timeframe_to_msecs
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from freqtrade.resolvers.exchange_resolver import ExchangeResolver
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from tests.conftest import get_default_conf_usdt
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# Exchanges that should be tested
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EXCHANGES = {
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'bittrex': {
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'pair': 'BTC/USDT',
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'stake_currency': 'USDT',
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'hasQuoteVolume': False,
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'timeframe': '1h',
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'leverage_tiers_public': False,
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'leverage_in_spot_market': False,
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},
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# 'binance': {
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# 'pair': 'BTC/USDT',
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# 'stake_currency': 'USDT',
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# 'hasQuoteVolume': True,
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# 'timeframe': '5m',
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# 'futures': True,
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# 'leverage_tiers_public': False,
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# 'leverage_in_spot_market': False,
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# },
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'kraken': {
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'pair': 'BTC/USDT',
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'stake_currency': 'USDT',
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'hasQuoteVolume': True,
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'timeframe': '5m',
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'leverage_tiers_public': False,
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'leverage_in_spot_market': True,
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},
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'kucoin': {
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'pair': 'XRP/USDT',
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'stake_currency': 'USDT',
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'hasQuoteVolume': True,
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'timeframe': '5m',
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'leverage_tiers_public': False,
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'leverage_in_spot_market': True,
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},
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'gateio': {
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'pair': 'BTC/USDT',
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'stake_currency': 'USDT',
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'hasQuoteVolume': True,
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'timeframe': '5m',
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'futures': True,
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'futures_pair': 'BTC/USDT:USDT',
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'leverage_tiers_public': True,
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'leverage_in_spot_market': True,
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},
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'okx': {
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'pair': 'BTC/USDT',
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'stake_currency': 'USDT',
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'hasQuoteVolume': True,
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'timeframe': '5m',
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'futures_pair': 'BTC/USDT:USDT',
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'futures': True,
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'leverage_tiers_public': True,
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'leverage_in_spot_market': True,
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},
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'huobi': {
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'pair': 'BTC/USDT',
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'stake_currency': 'USDT',
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'hasQuoteVolume': True,
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'timeframe': '5m',
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'futures': False,
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},
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'bitvavo': {
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'pair': 'BTC/EUR',
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'stake_currency': 'EUR',
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'hasQuoteVolume': True,
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'timeframe': '5m',
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'leverage_tiers_public': False,
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'leverage_in_spot_market': False,
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},
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}
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@pytest.fixture(scope="class")
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def exchange_conf():
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config = get_default_conf_usdt((Path(__file__).parent / "testdata").resolve())
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config['exchange']['pair_whitelist'] = []
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config['exchange']['key'] = ''
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config['exchange']['secret'] = ''
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config['dry_run'] = False
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config['entry_pricing']['use_order_book'] = True
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config['exit_pricing']['use_order_book'] = True
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return config
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@pytest.fixture(params=EXCHANGES, scope="class")
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def exchange(request, exchange_conf):
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exchange_conf['exchange']['name'] = request.param
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exchange_conf['stake_currency'] = EXCHANGES[request.param]['stake_currency']
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exchange = ExchangeResolver.load_exchange(request.param, exchange_conf, validate=True)
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yield exchange, request.param
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@pytest.fixture(params=EXCHANGES, scope="class")
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def exchange_futures(request, exchange_conf, class_mocker):
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if not EXCHANGES[request.param].get('futures') is True:
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yield None, request.param
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else:
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exchange_conf = deepcopy(exchange_conf)
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exchange_conf['exchange']['name'] = request.param
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exchange_conf['trading_mode'] = 'futures'
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exchange_conf['margin_mode'] = 'isolated'
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exchange_conf['stake_currency'] = EXCHANGES[request.param]['stake_currency']
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class_mocker.patch(
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'freqtrade.exchange.binance.Binance.fill_leverage_tiers')
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class_mocker.patch('freqtrade.exchange.exchange.Exchange.fetch_trading_fees')
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class_mocker.patch('freqtrade.exchange.okx.Okx.additional_exchange_init')
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class_mocker.patch('freqtrade.exchange.binance.Binance.additional_exchange_init')
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class_mocker.patch('freqtrade.exchange.exchange.Exchange.load_cached_leverage_tiers',
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return_value=None)
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class_mocker.patch('freqtrade.exchange.exchange.Exchange.cache_leverage_tiers')
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exchange = ExchangeResolver.load_exchange(
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request.param, exchange_conf, validate=True, load_leverage_tiers=True)
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yield exchange, request.param
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@pytest.mark.longrun
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class TestCCXTExchange():
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def test_load_markets(self, exchange):
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exchange, exchangename = exchange
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pair = EXCHANGES[exchangename]['pair']
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markets = exchange.markets
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assert pair in markets
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assert isinstance(markets[pair], dict)
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assert exchange.market_is_spot(markets[pair])
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def test_has_validations(self, exchange):
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exchange, exchangename = exchange
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exchange.validate_ordertypes({
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'entry': 'limit',
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'exit': 'limit',
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'stoploss': 'limit',
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})
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if exchangename == 'gateio':
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# gateio doesn't have market orders on spot
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return
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exchange.validate_ordertypes({
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'entry': 'market',
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'exit': 'market',
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'stoploss': 'market',
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})
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def test_load_markets_futures(self, exchange_futures):
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exchange, exchangename = exchange_futures
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if not exchange:
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# exchange_futures only returns values for supported exchanges
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return
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pair = EXCHANGES[exchangename]['pair']
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pair = EXCHANGES[exchangename].get('futures_pair', pair)
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markets = exchange.markets
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assert pair in markets
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assert isinstance(markets[pair], dict)
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assert exchange.market_is_future(markets[pair])
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def test_ccxt_fetch_tickers(self, exchange):
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exchange, exchangename = exchange
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pair = EXCHANGES[exchangename]['pair']
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tickers = exchange.get_tickers()
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assert pair in tickers
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assert 'ask' in tickers[pair]
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assert tickers[pair]['ask'] is not None
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assert 'bid' in tickers[pair]
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assert tickers[pair]['bid'] is not None
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assert 'quoteVolume' in tickers[pair]
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if EXCHANGES[exchangename].get('hasQuoteVolume'):
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assert tickers[pair]['quoteVolume'] is not None
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def test_ccxt_fetch_ticker(self, exchange):
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exchange, exchangename = exchange
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pair = EXCHANGES[exchangename]['pair']
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ticker = exchange.fetch_ticker(pair)
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assert 'ask' in ticker
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assert ticker['ask'] is not None
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assert 'bid' in ticker
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assert ticker['bid'] is not None
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assert 'quoteVolume' in ticker
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if EXCHANGES[exchangename].get('hasQuoteVolume'):
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assert ticker['quoteVolume'] is not None
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def test_ccxt_fetch_l2_orderbook(self, exchange):
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exchange, exchangename = exchange
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pair = EXCHANGES[exchangename]['pair']
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l2 = exchange.fetch_l2_order_book(pair)
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assert 'asks' in l2
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assert 'bids' in l2
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assert len(l2['asks']) >= 1
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assert len(l2['bids']) >= 1
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l2_limit_range = exchange._ft_has['l2_limit_range']
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l2_limit_range_required = exchange._ft_has['l2_limit_range_required']
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if exchangename == 'gateio':
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# TODO: Gateio is unstable here at the moment, ignoring the limit partially.
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return
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for val in [1, 2, 5, 25, 100]:
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l2 = exchange.fetch_l2_order_book(pair, val)
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if not l2_limit_range or val in l2_limit_range:
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assert len(l2['asks']) == val
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assert len(l2['bids']) == val
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else:
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next_limit = exchange.get_next_limit_in_list(
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val, l2_limit_range, l2_limit_range_required)
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if next_limit is None:
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assert len(l2['asks']) > 100
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assert len(l2['asks']) > 100
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elif next_limit > 200:
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# Large orderbook sizes can be a problem for some exchanges (bitrex ...)
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assert len(l2['asks']) > 200
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assert len(l2['asks']) > 200
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else:
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assert len(l2['asks']) == next_limit
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assert len(l2['asks']) == next_limit
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def test_ccxt_fetch_ohlcv(self, exchange):
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exchange, exchangename = exchange
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pair = EXCHANGES[exchangename]['pair']
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timeframe = EXCHANGES[exchangename]['timeframe']
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pair_tf = (pair, timeframe, CandleType.SPOT)
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ohlcv = exchange.refresh_latest_ohlcv([pair_tf])
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assert isinstance(ohlcv, dict)
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assert len(ohlcv[pair_tf]) == len(exchange.klines(pair_tf))
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# assert len(exchange.klines(pair_tf)) > 200
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# Assume 90% uptime ...
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assert len(exchange.klines(pair_tf)) > exchange.ohlcv_candle_limit(
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timeframe, CandleType.SPOT) * 0.90
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# Check if last-timeframe is within the last 2 intervals
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now = datetime.now(timezone.utc) - timedelta(minutes=(timeframe_to_minutes(timeframe) * 2))
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assert exchange.klines(pair_tf).iloc[-1]['date'] >= timeframe_to_prev_date(timeframe, now)
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def ccxt__async_get_candle_history(self, exchange, exchangename, pair, timeframe, candle_type):
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timeframe_ms = timeframe_to_msecs(timeframe)
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now = timeframe_to_prev_date(
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timeframe, datetime.now(timezone.utc))
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for offset in (360, 120, 30, 10, 5, 2):
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since = now - timedelta(days=offset)
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since_ms = int(since.timestamp() * 1000)
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res = exchange.loop.run_until_complete(exchange._async_get_candle_history(
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pair=pair,
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timeframe=timeframe,
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since_ms=since_ms,
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candle_type=candle_type
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)
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)
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assert res
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assert res[0] == pair
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assert res[1] == timeframe
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assert res[2] == candle_type
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candles = res[3]
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candle_count = exchange.ohlcv_candle_limit(timeframe, candle_type, since_ms) * 0.9
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candle_count1 = (now.timestamp() * 1000 - since_ms) // timeframe_ms
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assert len(candles) >= min(candle_count, candle_count1)
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assert candles[0][0] == since_ms or (since_ms + timeframe_ms)
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def test_ccxt__async_get_candle_history(self, exchange):
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exchange, exchangename = exchange
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# For some weired reason, this test returns random lengths for bittrex.
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if not exchange._ft_has['ohlcv_has_history'] or exchangename in ('bittrex'):
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return
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pair = EXCHANGES[exchangename]['pair']
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timeframe = EXCHANGES[exchangename]['timeframe']
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self.ccxt__async_get_candle_history(
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exchange, exchangename, pair, timeframe, CandleType.SPOT)
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def test_ccxt__async_get_candle_history_futures(self, exchange_futures):
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exchange, exchangename = exchange_futures
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if not exchange:
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# exchange_futures only returns values for supported exchanges
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return
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pair = EXCHANGES[exchangename].get('futures_pair', EXCHANGES[exchangename]['pair'])
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timeframe = EXCHANGES[exchangename]['timeframe']
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self.ccxt__async_get_candle_history(
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exchange, exchangename, pair, timeframe, CandleType.FUTURES)
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def test_ccxt_fetch_funding_rate_history(self, exchange_futures):
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exchange, exchangename = exchange_futures
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if not exchange:
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# exchange_futures only returns values for supported exchanges
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return
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pair = EXCHANGES[exchangename].get('futures_pair', EXCHANGES[exchangename]['pair'])
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since = int((datetime.now(timezone.utc) - timedelta(days=5)).timestamp() * 1000)
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timeframe_ff = exchange._ft_has.get('funding_fee_timeframe',
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exchange._ft_has['mark_ohlcv_timeframe'])
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pair_tf = (pair, timeframe_ff, CandleType.FUNDING_RATE)
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funding_ohlcv = exchange.refresh_latest_ohlcv(
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[pair_tf],
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since_ms=since,
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drop_incomplete=False)
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assert isinstance(funding_ohlcv, dict)
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rate = funding_ohlcv[pair_tf]
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this_hour = timeframe_to_prev_date(timeframe_ff)
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hour1 = timeframe_to_prev_date(timeframe_ff, this_hour - timedelta(minutes=1))
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hour2 = timeframe_to_prev_date(timeframe_ff, hour1 - timedelta(minutes=1))
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hour3 = timeframe_to_prev_date(timeframe_ff, hour2 - timedelta(minutes=1))
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val0 = rate[rate['date'] == this_hour].iloc[0]['open']
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val1 = rate[rate['date'] == hour1].iloc[0]['open']
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val2 = rate[rate['date'] == hour2].iloc[0]['open']
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val3 = rate[rate['date'] == hour3].iloc[0]['open']
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# Test For last 4 hours
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# Avoids random test-failure when funding-fees are 0 for a few hours.
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assert val0 != 0.0 or val1 != 0.0 or val2 != 0.0 or val3 != 0.0
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# We expect funding rates to be different from 0.0 - or moving around.
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assert (
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rate['open'].max() != 0.0 or rate['open'].min() != 0.0 or
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(rate['open'].min() != rate['open'].max())
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)
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def test_ccxt_fetch_mark_price_history(self, exchange_futures):
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exchange, exchangename = exchange_futures
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if not exchange:
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# exchange_futures only returns values for supported exchanges
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return
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pair = EXCHANGES[exchangename].get('futures_pair', EXCHANGES[exchangename]['pair'])
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since = int((datetime.now(timezone.utc) - timedelta(days=5)).timestamp() * 1000)
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pair_tf = (pair, '1h', CandleType.MARK)
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mark_ohlcv = exchange.refresh_latest_ohlcv(
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[pair_tf],
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since_ms=since,
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drop_incomplete=False)
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assert isinstance(mark_ohlcv, dict)
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expected_tf = '1h'
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mark_candles = mark_ohlcv[pair_tf]
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this_hour = timeframe_to_prev_date(expected_tf)
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prev_hour = timeframe_to_prev_date(expected_tf, this_hour - timedelta(minutes=1))
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assert mark_candles[mark_candles['date'] == prev_hour].iloc[0]['open'] != 0.0
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assert mark_candles[mark_candles['date'] == this_hour].iloc[0]['open'] != 0.0
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def test_ccxt__calculate_funding_fees(self, exchange_futures):
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exchange, exchangename = exchange_futures
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if not exchange:
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# exchange_futures only returns values for supported exchanges
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return
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pair = EXCHANGES[exchangename].get('futures_pair', EXCHANGES[exchangename]['pair'])
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since = datetime.now(timezone.utc) - timedelta(days=5)
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funding_fee = exchange._fetch_and_calculate_funding_fees(
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pair, 20, is_short=False, open_date=since)
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assert isinstance(funding_fee, float)
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# assert funding_fee > 0
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# TODO: tests fetch_trades (?)
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def test_ccxt_get_fee(self, exchange):
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exchange, exchangename = exchange
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pair = EXCHANGES[exchangename]['pair']
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threshold = 0.01
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assert 0 < exchange.get_fee(pair, 'limit', 'buy') < threshold
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assert 0 < exchange.get_fee(pair, 'limit', 'sell') < threshold
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assert 0 < exchange.get_fee(pair, 'market', 'buy') < threshold
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assert 0 < exchange.get_fee(pair, 'market', 'sell') < threshold
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def test_ccxt_get_max_leverage_spot(self, exchange):
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spot, spot_name = exchange
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if spot:
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leverage_in_market_spot = EXCHANGES[spot_name].get('leverage_in_spot_market')
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if leverage_in_market_spot:
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spot_pair = EXCHANGES[spot_name].get('pair', EXCHANGES[spot_name]['pair'])
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spot_leverage = spot.get_max_leverage(spot_pair, 20)
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assert (isinstance(spot_leverage, float) or isinstance(spot_leverage, int))
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assert spot_leverage >= 1.0
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def test_ccxt_get_max_leverage_futures(self, exchange_futures):
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futures, futures_name = exchange_futures
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if futures:
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leverage_tiers_public = EXCHANGES[futures_name].get('leverage_tiers_public')
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if leverage_tiers_public:
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futures_pair = EXCHANGES[futures_name].get(
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'futures_pair',
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EXCHANGES[futures_name]['pair']
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)
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futures_leverage = futures.get_max_leverage(futures_pair, 20)
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assert (isinstance(futures_leverage, float) or isinstance(futures_leverage, int))
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assert futures_leverage >= 1.0
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def test_ccxt_get_contract_size(self, exchange_futures):
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futures, futures_name = exchange_futures
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if futures:
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futures_pair = EXCHANGES[futures_name].get(
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'futures_pair',
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EXCHANGES[futures_name]['pair']
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)
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contract_size = futures.get_contract_size(futures_pair)
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assert (isinstance(contract_size, float) or isinstance(contract_size, int))
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assert contract_size >= 0.0
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def test_ccxt_load_leverage_tiers(self, exchange_futures):
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futures, futures_name = exchange_futures
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if futures and EXCHANGES[futures_name].get('leverage_tiers_public'):
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leverage_tiers = futures.load_leverage_tiers()
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futures_pair = EXCHANGES[futures_name].get(
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'futures_pair',
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EXCHANGES[futures_name]['pair']
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)
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assert (isinstance(leverage_tiers, dict))
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assert futures_pair in leverage_tiers
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pair_tiers = leverage_tiers[futures_pair]
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assert len(pair_tiers) > 0
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oldLeverage = float('inf')
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oldMaintenanceMarginRate = oldminNotional = oldmaxNotional = -1
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for tier in pair_tiers:
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for key in [
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'maintenanceMarginRate',
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'minNotional',
|
|
'maxNotional',
|
|
'maxLeverage'
|
|
]:
|
|
assert key in tier
|
|
assert tier[key] >= 0.0
|
|
assert tier['maxNotional'] > tier['minNotional']
|
|
assert tier['maxLeverage'] <= oldLeverage
|
|
assert tier['maintenanceMarginRate'] >= oldMaintenanceMarginRate
|
|
assert tier['minNotional'] > oldminNotional
|
|
assert tier['maxNotional'] > oldmaxNotional
|
|
oldLeverage = tier['maxLeverage']
|
|
oldMaintenanceMarginRate = tier['maintenanceMarginRate']
|
|
oldminNotional = tier['minNotional']
|
|
oldmaxNotional = tier['maxNotional']
|
|
|
|
def test_ccxt_dry_run_liquidation_price(self, exchange_futures):
|
|
futures, futures_name = exchange_futures
|
|
if futures and EXCHANGES[futures_name].get('leverage_tiers_public'):
|
|
|
|
futures_pair = EXCHANGES[futures_name].get(
|
|
'futures_pair',
|
|
EXCHANGES[futures_name]['pair']
|
|
)
|
|
|
|
liquidation_price = futures.dry_run_liquidation_price(
|
|
futures_pair,
|
|
40000,
|
|
False,
|
|
100,
|
|
100,
|
|
100,
|
|
)
|
|
assert (isinstance(liquidation_price, float))
|
|
assert liquidation_price >= 0.0
|
|
|
|
liquidation_price = futures.dry_run_liquidation_price(
|
|
futures_pair,
|
|
40000,
|
|
False,
|
|
100,
|
|
100,
|
|
100,
|
|
)
|
|
assert (isinstance(liquidation_price, float))
|
|
assert liquidation_price >= 0.0
|
|
|
|
def test_ccxt_get_max_pair_stake_amount(self, exchange_futures):
|
|
futures, futures_name = exchange_futures
|
|
if futures:
|
|
futures_pair = EXCHANGES[futures_name].get(
|
|
'futures_pair',
|
|
EXCHANGES[futures_name]['pair']
|
|
)
|
|
max_stake_amount = futures.get_max_pair_stake_amount(futures_pair, 40000)
|
|
assert (isinstance(max_stake_amount, float))
|
|
assert max_stake_amount >= 0.0
|