559 lines
22 KiB
Python
559 lines
22 KiB
Python
# pragma pylint: disable=missing-docstring, protected-access, C0103
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import json
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import os
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import uuid
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from pathlib import Path
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from shutil import copyfile
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from unittest.mock import MagicMock
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import arrow
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import pytest
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from pandas import DataFrame
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from freqtrade import OperationalException
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from freqtrade.configuration import TimeRange
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from freqtrade.data import history
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from freqtrade.data.history import (download_pair_history,
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load_cached_data_for_updating,
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load_tickerdata_file, make_testdata_path,
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trim_tickerlist)
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from freqtrade.exchange import timeframe_to_minutes
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from freqtrade.misc import file_dump_json
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from freqtrade.strategy.default_strategy import DefaultStrategy
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from freqtrade.tests.conftest import (get_patched_exchange, log_has,
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patch_exchange)
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# Change this if modifying UNITTEST/BTC testdatafile
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_BTC_UNITTEST_LENGTH = 13681
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def _backup_file(file: str, copy_file: bool = False) -> None:
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"""
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Backup existing file to avoid deleting the user file
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:param file: complete path to the file
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:param touch_file: create an empty file in replacement
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:return: None
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"""
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file_swp = file + '.swp'
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if os.path.isfile(file):
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os.rename(file, file_swp)
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if copy_file:
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copyfile(file_swp, file)
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def _clean_test_file(file: str) -> None:
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"""
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Backup existing file to avoid deleting the user file
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:param file: complete path to the file
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:return: None
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"""
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file_swp = file + '.swp'
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# 1. Delete file from the test
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if os.path.isfile(file):
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os.remove(file)
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# 2. Rollback to the initial file
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if os.path.isfile(file_swp):
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os.rename(file_swp, file)
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def test_load_data_30min_ticker(mocker, caplog, default_conf) -> None:
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ld = history.load_pair_history(pair='UNITTEST/BTC', ticker_interval='30m', datadir=None)
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assert isinstance(ld, DataFrame)
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assert not log_has(
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'Download history data for pair: "UNITTEST/BTC", interval: 30m '
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'and store in None.', caplog
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)
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def test_load_data_7min_ticker(mocker, caplog, default_conf) -> None:
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ld = history.load_pair_history(pair='UNITTEST/BTC', ticker_interval='7m', datadir=None)
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assert not isinstance(ld, DataFrame)
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assert ld is None
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assert log_has(
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'No history data for pair: "UNITTEST/BTC", interval: 7m. '
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'Use --refresh-pairs-cached option or download_backtest_data.py '
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'script to download the data', caplog
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)
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def test_load_data_1min_ticker(ticker_history, mocker, caplog) -> None:
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mocker.patch('freqtrade.exchange.Exchange.get_history', return_value=ticker_history)
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file = os.path.join(os.path.dirname(__file__), '..', 'testdata', 'UNITTEST_BTC-1m.json')
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_backup_file(file, copy_file=True)
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history.load_data(datadir=None, ticker_interval='1m', pairs=['UNITTEST/BTC'])
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assert os.path.isfile(file) is True
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assert not log_has(
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'Download history data for pair: "UNITTEST/BTC", interval: 1m '
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'and store in None.', caplog
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)
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_clean_test_file(file)
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def test_load_data_with_new_pair_1min(ticker_history_list, mocker, caplog, default_conf) -> None:
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"""
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Test load_pair_history() with 1 min ticker
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"""
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mocker.patch('freqtrade.exchange.Exchange.get_history', return_value=ticker_history_list)
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exchange = get_patched_exchange(mocker, default_conf)
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file = os.path.join(os.path.dirname(__file__), '..', 'testdata', 'MEME_BTC-1m.json')
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_backup_file(file)
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# do not download a new pair if refresh_pairs isn't set
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history.load_pair_history(datadir=None,
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ticker_interval='1m',
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refresh_pairs=False,
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pair='MEME/BTC')
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assert os.path.isfile(file) is False
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assert log_has(
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'No history data for pair: "MEME/BTC", interval: 1m. '
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'Use --refresh-pairs-cached option or download_backtest_data.py '
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'script to download the data', caplog
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)
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# download a new pair if refresh_pairs is set
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history.load_pair_history(datadir=None,
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ticker_interval='1m',
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refresh_pairs=True,
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exchange=exchange,
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pair='MEME/BTC')
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assert os.path.isfile(file) is True
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assert log_has(
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'Download history data for pair: "MEME/BTC", interval: 1m '
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'and store in None.', caplog
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)
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with pytest.raises(OperationalException, match=r'Exchange needs to be initialized when.*'):
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history.load_pair_history(datadir=None,
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ticker_interval='1m',
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refresh_pairs=True,
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exchange=None,
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pair='MEME/BTC')
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_clean_test_file(file)
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def test_load_data_live(default_conf, mocker, caplog) -> None:
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refresh_mock = MagicMock()
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mocker.patch("freqtrade.exchange.Exchange.refresh_latest_ohlcv", refresh_mock)
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exchange = get_patched_exchange(mocker, default_conf)
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history.load_data(datadir=None, ticker_interval='5m',
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pairs=['UNITTEST/BTC', 'UNITTEST2/BTC'],
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live=True,
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exchange=exchange)
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assert refresh_mock.call_count == 1
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assert len(refresh_mock.call_args_list[0][0][0]) == 2
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assert log_has('Live: Downloading data for all defined pairs ...', caplog)
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def test_load_data_live_noexchange(default_conf, mocker, caplog) -> None:
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with pytest.raises(OperationalException,
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match=r'Exchange needs to be initialized when using live data.'):
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history.load_data(datadir=None, ticker_interval='5m',
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pairs=['UNITTEST/BTC', 'UNITTEST2/BTC'],
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exchange=None,
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live=True,
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)
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def test_testdata_path() -> None:
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assert str(Path('freqtrade') / 'tests' / 'testdata') in str(make_testdata_path(None))
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def test_load_cached_data_for_updating(mocker) -> None:
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datadir = Path(__file__).parent.parent.joinpath('testdata')
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test_data = None
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test_filename = datadir.joinpath('UNITTEST_BTC-1m.json')
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with open(test_filename, "rt") as file:
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test_data = json.load(file)
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# change now time to test 'line' cases
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# now = last cached item + 1 hour
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now_ts = test_data[-1][0] / 1000 + 60 * 60
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mocker.patch('arrow.utcnow', return_value=arrow.get(now_ts))
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# timeframe starts earlier than the cached data
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# should fully update data
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timerange = TimeRange('date', None, test_data[0][0] / 1000 - 1, 0)
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data, start_ts = load_cached_data_for_updating(datadir, 'UNITTEST/BTC', '1m', timerange)
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assert data == []
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assert start_ts == test_data[0][0] - 1000
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# same with 'line' timeframe
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num_lines = (test_data[-1][0] - test_data[1][0]) / 1000 / 60 + 120
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data, start_ts = load_cached_data_for_updating(datadir, 'UNITTEST/BTC', '1m', TimeRange(None, 'line', 0, -num_lines))
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assert data == []
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assert start_ts < test_data[0][0] - 1
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# timeframe starts in the center of the cached data
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# should return the chached data w/o the last item
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timerange = TimeRange('date', None, test_data[0][0] / 1000 + 1, 0)
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data, start_ts = load_cached_data_for_updating(datadir, 'UNITTEST/BTC', '1m', timerange)
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assert data == test_data[:-1]
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assert test_data[-2][0] < start_ts < test_data[-1][0]
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# same with 'line' timeframe
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num_lines = (test_data[-1][0] - test_data[1][0]) / 1000 / 60 + 30
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timerange = TimeRange(None, 'line', 0, -num_lines)
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data, start_ts = load_cached_data_for_updating(datadir, 'UNITTEST/BTC', '1m', timerange)
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assert data == test_data[:-1]
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assert test_data[-2][0] < start_ts < test_data[-1][0]
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# timeframe starts after the chached data
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# should return the chached data w/o the last item
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timerange = TimeRange('date', None, test_data[-1][0] / 1000 + 1, 0)
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data, start_ts = load_cached_data_for_updating(datadir, 'UNITTEST/BTC', '1m', timerange)
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assert data == test_data[:-1]
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assert test_data[-2][0] < start_ts < test_data[-1][0]
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# same with 'line' timeframe
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num_lines = 30
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timerange = TimeRange(None, 'line', 0, -num_lines)
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data, start_ts = load_cached_data_for_updating(datadir, 'UNITTEST/BTC', '1m', timerange)
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assert data == test_data[:-1]
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assert test_data[-2][0] < start_ts < test_data[-1][0]
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# no timeframe is set
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# should return the chached data w/o the last item
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num_lines = 30
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timerange = TimeRange(None, 'line', 0, -num_lines)
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data, start_ts = load_cached_data_for_updating(datadir, 'UNITTEST/BTC', '1m', timerange)
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assert data == test_data[:-1]
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assert test_data[-2][0] < start_ts < test_data[-1][0]
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# no datafile exist
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# should return timestamp start time
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timerange = TimeRange('date', None, now_ts - 10000, 0)
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data, start_ts = load_cached_data_for_updating(datadir, 'NONEXIST/BTC', '1m', timerange)
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assert data == []
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assert start_ts == (now_ts - 10000) * 1000
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# same with 'line' timeframe
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num_lines = 30
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timerange = TimeRange(None, 'line', 0, -num_lines)
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data, start_ts = load_cached_data_for_updating(datadir, 'NONEXIST/BTC', '1m', timerange)
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assert data == []
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assert start_ts == (now_ts - num_lines * 60) * 1000
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# no datafile exist, no timeframe is set
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# should return an empty array and None
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data, start_ts = load_cached_data_for_updating(datadir, 'NONEXIST/BTC', '1m', None)
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assert data == []
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assert start_ts is None
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def test_download_pair_history(ticker_history_list, mocker, default_conf) -> None:
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mocker.patch('freqtrade.exchange.Exchange.get_history', return_value=ticker_history_list)
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exchange = get_patched_exchange(mocker, default_conf)
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file1_1 = os.path.join(os.path.dirname(__file__), '..', 'testdata', 'MEME_BTC-1m.json')
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file1_5 = os.path.join(os.path.dirname(__file__), '..', 'testdata', 'MEME_BTC-5m.json')
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file2_1 = os.path.join(os.path.dirname(__file__), '..', 'testdata', 'CFI_BTC-1m.json')
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file2_5 = os.path.join(os.path.dirname(__file__), '..', 'testdata', 'CFI_BTC-5m.json')
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_backup_file(file1_1)
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_backup_file(file1_5)
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_backup_file(file2_1)
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_backup_file(file2_5)
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assert os.path.isfile(file1_1) is False
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assert os.path.isfile(file2_1) is False
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assert download_pair_history(datadir=None, exchange=exchange,
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pair='MEME/BTC',
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ticker_interval='1m')
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assert download_pair_history(datadir=None, exchange=exchange,
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pair='CFI/BTC',
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ticker_interval='1m')
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assert not exchange._pairs_last_refresh_time
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assert os.path.isfile(file1_1) is True
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assert os.path.isfile(file2_1) is True
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# clean files freshly downloaded
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_clean_test_file(file1_1)
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_clean_test_file(file2_1)
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assert os.path.isfile(file1_5) is False
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assert os.path.isfile(file2_5) is False
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assert download_pair_history(datadir=None, exchange=exchange,
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pair='MEME/BTC',
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ticker_interval='5m')
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assert download_pair_history(datadir=None, exchange=exchange,
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pair='CFI/BTC',
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ticker_interval='5m')
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assert not exchange._pairs_last_refresh_time
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assert os.path.isfile(file1_5) is True
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assert os.path.isfile(file2_5) is True
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# clean files freshly downloaded
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_clean_test_file(file1_5)
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_clean_test_file(file2_5)
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def test_download_pair_history2(mocker, default_conf) -> None:
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tick = [
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[1509836520000, 0.00162008, 0.00162008, 0.00162008, 0.00162008, 108.14853839],
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[1509836580000, 0.00161, 0.00161, 0.00161, 0.00161, 82.390199]
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]
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json_dump_mock = mocker.patch('freqtrade.misc.file_dump_json', return_value=None)
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mocker.patch('freqtrade.exchange.Exchange.get_history', return_value=tick)
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exchange = get_patched_exchange(mocker, default_conf)
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download_pair_history(None, exchange, pair="UNITTEST/BTC", ticker_interval='1m')
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download_pair_history(None, exchange, pair="UNITTEST/BTC", ticker_interval='3m')
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assert json_dump_mock.call_count == 2
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def test_download_backtesting_data_exception(ticker_history, mocker, caplog, default_conf) -> None:
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mocker.patch('freqtrade.exchange.Exchange.get_history',
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side_effect=Exception('File Error'))
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exchange = get_patched_exchange(mocker, default_conf)
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file1_1 = os.path.join(os.path.dirname(__file__), '..', 'testdata', 'MEME_BTC-1m.json')
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file1_5 = os.path.join(os.path.dirname(__file__), '..', 'testdata', 'MEME_BTC-5m.json')
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_backup_file(file1_1)
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_backup_file(file1_5)
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assert not download_pair_history(datadir=None, exchange=exchange,
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pair='MEME/BTC',
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ticker_interval='1m')
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# clean files freshly downloaded
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_clean_test_file(file1_1)
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_clean_test_file(file1_5)
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assert log_has(
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'Failed to download history data for pair: "MEME/BTC", interval: 1m. '
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'Error: File Error', caplog
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)
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def test_load_tickerdata_file() -> None:
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# 7 does not exist in either format.
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assert not load_tickerdata_file(None, 'UNITTEST/BTC', '7m')
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# 1 exists only as a .json
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tickerdata = load_tickerdata_file(None, 'UNITTEST/BTC', '1m')
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assert _BTC_UNITTEST_LENGTH == len(tickerdata)
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# 8 .json is empty and will fail if it's loaded. .json.gz is a copy of 1.json
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tickerdata = load_tickerdata_file(None, 'UNITTEST/BTC', '8m')
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assert _BTC_UNITTEST_LENGTH == len(tickerdata)
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def test_load_partial_missing(caplog) -> None:
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# Make sure we start fresh - test missing data at start
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start = arrow.get('2018-01-01T00:00:00')
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end = arrow.get('2018-01-11T00:00:00')
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tickerdata = history.load_data(None, '5m', ['UNITTEST/BTC'],
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refresh_pairs=False,
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timerange=TimeRange('date', 'date',
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start.timestamp, end.timestamp))
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# timedifference in 5 minutes
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td = ((end - start).total_seconds() // 60 // 5) + 1
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assert td != len(tickerdata['UNITTEST/BTC'])
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start_real = tickerdata['UNITTEST/BTC'].iloc[0, 0]
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assert log_has(f'Missing data at start for pair '
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f'UNITTEST/BTC, data starts at {start_real.strftime("%Y-%m-%d %H:%M:%S")}',
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caplog)
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# Make sure we start fresh - test missing data at end
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caplog.clear()
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start = arrow.get('2018-01-10T00:00:00')
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end = arrow.get('2018-02-20T00:00:00')
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tickerdata = history.load_data(datadir=None, ticker_interval='5m',
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pairs=['UNITTEST/BTC'], refresh_pairs=False,
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timerange=TimeRange('date', 'date',
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start.timestamp, end.timestamp))
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# timedifference in 5 minutes
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td = ((end - start).total_seconds() // 60 // 5) + 1
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assert td != len(tickerdata['UNITTEST/BTC'])
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# Shift endtime with +5 - as last candle is dropped (partial candle)
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end_real = arrow.get(tickerdata['UNITTEST/BTC'].iloc[-1, 0]).shift(minutes=5)
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assert log_has(f'Missing data at end for pair '
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f'UNITTEST/BTC, data ends at {end_real.strftime("%Y-%m-%d %H:%M:%S")}',
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caplog)
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def test_init(default_conf, mocker) -> None:
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exchange = get_patched_exchange(mocker, default_conf)
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assert {} == history.load_data(
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datadir='',
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exchange=exchange,
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pairs=[],
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refresh_pairs=True,
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ticker_interval=default_conf['ticker_interval']
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)
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def test_trim_tickerlist() -> None:
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file = os.path.join(os.path.dirname(__file__), '..', 'testdata', 'UNITTEST_BTC-1m.json')
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with open(file) as data_file:
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ticker_list = json.load(data_file)
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ticker_list_len = len(ticker_list)
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# Test the pattern ^(-\d+)$
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# This pattern uses the latest N elements
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timerange = TimeRange(None, 'line', 0, -5)
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ticker = trim_tickerlist(ticker_list, timerange)
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ticker_len = len(ticker)
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assert ticker_len == 5
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assert ticker_list[0] is not ticker[0] # The first element should be different
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assert ticker_list[-1] is ticker[-1] # The last element must be the same
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# Test the pattern ^(\d+)-$
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# This pattern keep X element from the end
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timerange = TimeRange('line', None, 5, 0)
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ticker = trim_tickerlist(ticker_list, timerange)
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ticker_len = len(ticker)
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assert ticker_len == 5
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assert ticker_list[0] is ticker[0] # The first element must be the same
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assert ticker_list[-1] is not ticker[-1] # The last element should be different
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# Test the pattern ^(\d+)-(\d+)$
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# This pattern extract a window
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timerange = TimeRange('index', 'index', 5, 10)
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ticker = trim_tickerlist(ticker_list, timerange)
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ticker_len = len(ticker)
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assert ticker_len == 5
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assert ticker_list[0] is not ticker[0] # The first element should be different
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assert ticker_list[5] is ticker[0] # The list starts at the index 5
|
|
assert ticker_list[9] is ticker[-1] # The list ends at the index 9 (5 elements)
|
|
|
|
# Test the pattern ^(\d{8})-(\d{8})$
|
|
# This pattern extract a window between the dates
|
|
timerange = TimeRange('date', 'date', ticker_list[5][0] / 1000, ticker_list[10][0] / 1000 - 1)
|
|
ticker = trim_tickerlist(ticker_list, timerange)
|
|
ticker_len = len(ticker)
|
|
|
|
assert ticker_len == 5
|
|
assert ticker_list[0] is not ticker[0] # The first element should be different
|
|
assert ticker_list[5] is ticker[0] # The list starts at the index 5
|
|
assert ticker_list[9] is ticker[-1] # The list ends at the index 9 (5 elements)
|
|
|
|
# Test the pattern ^-(\d{8})$
|
|
# This pattern extracts elements from the start to the date
|
|
timerange = TimeRange(None, 'date', 0, ticker_list[10][0] / 1000 - 1)
|
|
ticker = trim_tickerlist(ticker_list, timerange)
|
|
ticker_len = len(ticker)
|
|
|
|
assert ticker_len == 10
|
|
assert ticker_list[0] is ticker[0] # The start of the list is included
|
|
assert ticker_list[9] is ticker[-1] # The element 10 is not included
|
|
|
|
# Test the pattern ^(\d{8})-$
|
|
# This pattern extracts elements from the date to now
|
|
timerange = TimeRange('date', None, ticker_list[10][0] / 1000 - 1, None)
|
|
ticker = trim_tickerlist(ticker_list, timerange)
|
|
ticker_len = len(ticker)
|
|
|
|
assert ticker_len == ticker_list_len - 10
|
|
assert ticker_list[10] is ticker[0] # The first element is element #10
|
|
assert ticker_list[-1] is ticker[-1] # The last element is the same
|
|
|
|
# Test a wrong pattern
|
|
# This pattern must return the list unchanged
|
|
timerange = TimeRange(None, None, None, 5)
|
|
ticker = trim_tickerlist(ticker_list, timerange)
|
|
ticker_len = len(ticker)
|
|
|
|
assert ticker_list_len == ticker_len
|
|
|
|
# Test invalid timerange (start after stop)
|
|
timerange = TimeRange('index', 'index', 10, 5)
|
|
with pytest.raises(ValueError, match=r'The timerange .* is incorrect'):
|
|
trim_tickerlist(ticker_list, timerange)
|
|
|
|
assert ticker_list_len == ticker_len
|
|
|
|
# passing empty list
|
|
timerange = TimeRange(None, None, None, 5)
|
|
ticker = trim_tickerlist([], timerange)
|
|
assert 0 == len(ticker)
|
|
assert not ticker
|
|
|
|
|
|
def test_file_dump_json_tofile() -> None:
|
|
file = os.path.join(os.path.dirname(__file__), '..', 'testdata',
|
|
'test_{id}.json'.format(id=str(uuid.uuid4())))
|
|
data = {'bar': 'foo'}
|
|
|
|
# check the file we will create does not exist
|
|
assert os.path.isfile(file) is False
|
|
|
|
# Create the Json file
|
|
file_dump_json(file, data)
|
|
|
|
# Check the file was create
|
|
assert os.path.isfile(file) is True
|
|
|
|
# Open the Json file created and test the data is in it
|
|
with open(file) as data_file:
|
|
json_from_file = json.load(data_file)
|
|
|
|
assert 'bar' in json_from_file
|
|
assert json_from_file['bar'] == 'foo'
|
|
|
|
# Remove the file
|
|
_clean_test_file(file)
|
|
|
|
|
|
def test_get_timeframe(default_conf, mocker) -> None:
|
|
patch_exchange(mocker)
|
|
strategy = DefaultStrategy(default_conf)
|
|
|
|
data = strategy.tickerdata_to_dataframe(
|
|
history.load_data(
|
|
datadir=None,
|
|
ticker_interval='1m',
|
|
pairs=['UNITTEST/BTC']
|
|
)
|
|
)
|
|
min_date, max_date = history.get_timeframe(data)
|
|
assert min_date.isoformat() == '2017-11-04T23:02:00+00:00'
|
|
assert max_date.isoformat() == '2017-11-14T22:58:00+00:00'
|
|
|
|
|
|
def test_validate_backtest_data_warn(default_conf, mocker, caplog) -> None:
|
|
patch_exchange(mocker)
|
|
strategy = DefaultStrategy(default_conf)
|
|
|
|
data = strategy.tickerdata_to_dataframe(
|
|
history.load_data(
|
|
datadir=None,
|
|
ticker_interval='1m',
|
|
pairs=['UNITTEST/BTC'],
|
|
fill_up_missing=False
|
|
)
|
|
)
|
|
min_date, max_date = history.get_timeframe(data)
|
|
caplog.clear()
|
|
assert history.validate_backtest_data(data['UNITTEST/BTC'], 'UNITTEST/BTC',
|
|
min_date, max_date, timeframe_to_minutes('1m'))
|
|
assert len(caplog.record_tuples) == 1
|
|
assert log_has(
|
|
"UNITTEST/BTC has missing frames: expected 14396, got 13680, that's 716 missing values",
|
|
caplog)
|
|
|
|
|
|
def test_validate_backtest_data(default_conf, mocker, caplog) -> None:
|
|
patch_exchange(mocker)
|
|
strategy = DefaultStrategy(default_conf)
|
|
|
|
timerange = TimeRange('index', 'index', 200, 250)
|
|
data = strategy.tickerdata_to_dataframe(
|
|
history.load_data(
|
|
datadir=None,
|
|
ticker_interval='5m',
|
|
pairs=['UNITTEST/BTC'],
|
|
timerange=timerange
|
|
)
|
|
)
|
|
|
|
min_date, max_date = history.get_timeframe(data)
|
|
caplog.clear()
|
|
assert not history.validate_backtest_data(data['UNITTEST/BTC'], 'UNITTEST/BTC',
|
|
min_date, max_date, timeframe_to_minutes('5m'))
|
|
assert len(caplog.record_tuples) == 0
|