562 lines
21 KiB
Python
562 lines
21 KiB
Python
from datetime import datetime, timedelta, timezone
|
|
from pathlib import Path
|
|
from unittest.mock import MagicMock, PropertyMock
|
|
|
|
import ccxt
|
|
import pytest
|
|
|
|
from freqtrade.enums import CandleType, MarginMode, TradingMode
|
|
from freqtrade.exceptions import RetryableOrderError
|
|
from freqtrade.exchange.exchange import timeframe_to_minutes
|
|
from tests.conftest import EXMS, get_mock_coro, get_patched_exchange, log_has
|
|
from tests.exchange.test_exchange import ccxt_exceptionhandlers
|
|
|
|
|
|
def test_okx_ohlcv_candle_limit(default_conf, mocker):
|
|
exchange = get_patched_exchange(mocker, default_conf, id='okx')
|
|
timeframes = ('1m', '5m', '1h')
|
|
start_time = int(datetime(2021, 1, 1, tzinfo=timezone.utc).timestamp() * 1000)
|
|
|
|
for timeframe in timeframes:
|
|
assert exchange.ohlcv_candle_limit(timeframe, CandleType.SPOT) == 300
|
|
assert exchange.ohlcv_candle_limit(timeframe, CandleType.FUTURES) == 300
|
|
assert exchange.ohlcv_candle_limit(timeframe, CandleType.MARK) == 100
|
|
assert exchange.ohlcv_candle_limit(timeframe, CandleType.FUNDING_RATE) == 100
|
|
|
|
assert exchange.ohlcv_candle_limit(timeframe, CandleType.SPOT, start_time) == 100
|
|
assert exchange.ohlcv_candle_limit(timeframe, CandleType.FUTURES, start_time) == 100
|
|
assert exchange.ohlcv_candle_limit(timeframe, CandleType.MARK, start_time) == 100
|
|
assert exchange.ohlcv_candle_limit(timeframe, CandleType.FUNDING_RATE, start_time) == 100
|
|
one_call = int((datetime.now(timezone.utc) - timedelta(
|
|
minutes=290 * timeframe_to_minutes(timeframe))).timestamp() * 1000)
|
|
|
|
assert exchange.ohlcv_candle_limit(timeframe, CandleType.SPOT, one_call) == 300
|
|
assert exchange.ohlcv_candle_limit(timeframe, CandleType.FUTURES, one_call) == 300
|
|
|
|
one_call = int((datetime.now(timezone.utc) - timedelta(
|
|
minutes=320 * timeframe_to_minutes(timeframe))).timestamp() * 1000)
|
|
assert exchange.ohlcv_candle_limit(timeframe, CandleType.SPOT, one_call) == 100
|
|
assert exchange.ohlcv_candle_limit(timeframe, CandleType.FUTURES, one_call) == 100
|
|
|
|
|
|
def test_get_maintenance_ratio_and_amt_okx(
|
|
default_conf,
|
|
mocker,
|
|
):
|
|
api_mock = MagicMock()
|
|
default_conf['trading_mode'] = 'futures'
|
|
default_conf['margin_mode'] = 'isolated'
|
|
default_conf['dry_run'] = False
|
|
mocker.patch.multiple(
|
|
'freqtrade.exchange.okx.Okx',
|
|
exchange_has=MagicMock(return_value=True),
|
|
load_leverage_tiers=MagicMock(return_value={
|
|
'ETH/USDT:USDT': [
|
|
{
|
|
'tier': 1,
|
|
'minNotional': 0,
|
|
'maxNotional': 2000,
|
|
'maintenanceMarginRate': 0.01,
|
|
'maxLeverage': 75,
|
|
'info': {
|
|
'baseMaxLoan': '',
|
|
'imr': '0.013',
|
|
'instId': '',
|
|
'maxLever': '75',
|
|
'maxSz': '2000',
|
|
'minSz': '0',
|
|
'mmr': '0.01',
|
|
'optMgnFactor': '0',
|
|
'quoteMaxLoan': '',
|
|
'tier': '1',
|
|
'uly': 'ETH-USDT'
|
|
}
|
|
},
|
|
{
|
|
'tier': 2,
|
|
'minNotional': 2001,
|
|
'maxNotional': 4000,
|
|
'maintenanceMarginRate': 0.015,
|
|
'maxLeverage': 50,
|
|
'info': {
|
|
'baseMaxLoan': '',
|
|
'imr': '0.02',
|
|
'instId': '',
|
|
'maxLever': '50',
|
|
'maxSz': '4000',
|
|
'minSz': '2001',
|
|
'mmr': '0.015',
|
|
'optMgnFactor': '0',
|
|
'quoteMaxLoan': '',
|
|
'tier': '2',
|
|
'uly': 'ETH-USDT'
|
|
}
|
|
},
|
|
{
|
|
'tier': 3,
|
|
'minNotional': 4001,
|
|
'maxNotional': 8000,
|
|
'maintenanceMarginRate': 0.02,
|
|
'maxLeverage': 20,
|
|
'info': {
|
|
'baseMaxLoan': '',
|
|
'imr': '0.05',
|
|
'instId': '',
|
|
'maxLever': '20',
|
|
'maxSz': '8000',
|
|
'minSz': '4001',
|
|
'mmr': '0.02',
|
|
'optMgnFactor': '0',
|
|
'quoteMaxLoan': '',
|
|
'tier': '3',
|
|
'uly': 'ETH-USDT'
|
|
}
|
|
},
|
|
],
|
|
'ADA/USDT:USDT': [
|
|
{
|
|
'tier': 1,
|
|
'minNotional': 0,
|
|
'maxNotional': 500,
|
|
'maintenanceMarginRate': 0.02,
|
|
'maxLeverage': 75,
|
|
'info': {
|
|
'baseMaxLoan': '',
|
|
'imr': '0.013',
|
|
'instId': '',
|
|
'maxLever': '75',
|
|
'maxSz': '500',
|
|
'minSz': '0',
|
|
'mmr': '0.01',
|
|
'optMgnFactor': '0',
|
|
'quoteMaxLoan': '',
|
|
'tier': '1',
|
|
'uly': 'ADA-USDT'
|
|
}
|
|
},
|
|
{
|
|
'tier': 2,
|
|
'minNotional': 501,
|
|
'maxNotional': 1000,
|
|
'maintenanceMarginRate': 0.025,
|
|
'maxLeverage': 50,
|
|
'info': {
|
|
'baseMaxLoan': '',
|
|
'imr': '0.02',
|
|
'instId': '',
|
|
'maxLever': '50',
|
|
'maxSz': '1000',
|
|
'minSz': '501',
|
|
'mmr': '0.015',
|
|
'optMgnFactor': '0',
|
|
'quoteMaxLoan': '',
|
|
'tier': '2',
|
|
'uly': 'ADA-USDT'
|
|
}
|
|
},
|
|
{
|
|
'tier': 3,
|
|
'minNotional': 1001,
|
|
'maxNotional': 2000,
|
|
'maintenanceMarginRate': 0.03,
|
|
'maxLeverage': 20,
|
|
'info': {
|
|
'baseMaxLoan': '',
|
|
'imr': '0.05',
|
|
'instId': '',
|
|
'maxLever': '20',
|
|
'maxSz': '2000',
|
|
'minSz': '1001',
|
|
'mmr': '0.02',
|
|
'optMgnFactor': '0',
|
|
'quoteMaxLoan': '',
|
|
'tier': '3',
|
|
'uly': 'ADA-USDT'
|
|
}
|
|
},
|
|
]
|
|
})
|
|
)
|
|
exchange = get_patched_exchange(mocker, default_conf, api_mock, id="okx")
|
|
assert exchange.get_maintenance_ratio_and_amt('ETH/USDT:USDT', 2000) == (0.01, None)
|
|
assert exchange.get_maintenance_ratio_and_amt('ETH/USDT:USDT', 2001) == (0.015, None)
|
|
assert exchange.get_maintenance_ratio_and_amt('ETH/USDT:USDT', 4001) == (0.02, None)
|
|
assert exchange.get_maintenance_ratio_and_amt('ETH/USDT:USDT', 8000) == (0.02, None)
|
|
|
|
assert exchange.get_maintenance_ratio_and_amt('ADA/USDT:USDT', 1) == (0.02, None)
|
|
assert exchange.get_maintenance_ratio_and_amt('ADA/USDT:USDT', 2000) == (0.03, None)
|
|
|
|
|
|
def test_get_max_pair_stake_amount_okx(default_conf, mocker, leverage_tiers):
|
|
|
|
exchange = get_patched_exchange(mocker, default_conf, id="okx")
|
|
assert exchange.get_max_pair_stake_amount('BNB/BUSD', 1.0) == float('inf')
|
|
|
|
default_conf['trading_mode'] = 'futures'
|
|
default_conf['margin_mode'] = 'isolated'
|
|
exchange = get_patched_exchange(mocker, default_conf, id="okx")
|
|
exchange._leverage_tiers = leverage_tiers
|
|
|
|
assert exchange.get_max_pair_stake_amount('BNB/BUSD:BUSD', 1.0) == 30000000
|
|
assert exchange.get_max_pair_stake_amount('BNB/USDT:USDT', 1.0) == 50000000
|
|
assert exchange.get_max_pair_stake_amount('BTC/USDT:USDT', 1.0) == 1000000000
|
|
assert exchange.get_max_pair_stake_amount('BTC/USDT:USDT', 1.0, 10.0) == 100000000
|
|
|
|
assert exchange.get_max_pair_stake_amount('TTT/USDT:USDT', 1.0) == float('inf') # Not in tiers
|
|
|
|
|
|
@pytest.mark.parametrize('mode,side,reduceonly,result', [
|
|
('net', 'buy', False, 'net'),
|
|
('net', 'sell', True, 'net'),
|
|
('net', 'sell', False, 'net'),
|
|
('net', 'buy', True, 'net'),
|
|
('longshort', 'buy', False, 'long'),
|
|
('longshort', 'sell', True, 'long'),
|
|
('longshort', 'sell', False, 'short'),
|
|
('longshort', 'buy', True, 'short'),
|
|
])
|
|
def test__get_posSide(default_conf, mocker, mode, side, reduceonly, result):
|
|
|
|
exchange = get_patched_exchange(mocker, default_conf, id="okx")
|
|
exchange.net_only = mode == 'net'
|
|
assert exchange._get_posSide(side, reduceonly) == result
|
|
|
|
|
|
def test_additional_exchange_init_okx(default_conf, mocker):
|
|
api_mock = MagicMock()
|
|
api_mock.fetch_accounts = MagicMock(return_value=[
|
|
{'id': '2555',
|
|
'type': '2',
|
|
'currency': None,
|
|
'info': {'acctLv': '2',
|
|
'autoLoan': False,
|
|
'ctIsoMode': 'automatic',
|
|
'greeksType': 'PA',
|
|
'level': 'Lv1',
|
|
'levelTmp': '',
|
|
'mgnIsoMode': 'automatic',
|
|
'posMode': 'long_short_mode',
|
|
'uid': '2555'}}])
|
|
default_conf['dry_run'] = False
|
|
exchange = get_patched_exchange(mocker, default_conf, id="okx", api_mock=api_mock)
|
|
assert api_mock.fetch_accounts.call_count == 0
|
|
exchange.trading_mode = TradingMode.FUTURES
|
|
# Default to netOnly
|
|
assert exchange.net_only
|
|
exchange.additional_exchange_init()
|
|
assert api_mock.fetch_accounts.call_count == 1
|
|
assert not exchange.net_only
|
|
|
|
api_mock.fetch_accounts = MagicMock(return_value=[
|
|
{'id': '2555',
|
|
'type': '2',
|
|
'currency': None,
|
|
'info': {'acctLv': '2',
|
|
'autoLoan': False,
|
|
'ctIsoMode': 'automatic',
|
|
'greeksType': 'PA',
|
|
'level': 'Lv1',
|
|
'levelTmp': '',
|
|
'mgnIsoMode': 'automatic',
|
|
'posMode': 'net_mode',
|
|
'uid': '2555'}}])
|
|
exchange.additional_exchange_init()
|
|
assert api_mock.fetch_accounts.call_count == 1
|
|
assert exchange.net_only
|
|
default_conf['trading_mode'] = 'futures'
|
|
default_conf['margin_mode'] = 'isolated'
|
|
ccxt_exceptionhandlers(mocker, default_conf, api_mock, 'okx',
|
|
"additional_exchange_init", "fetch_accounts")
|
|
|
|
|
|
def test_load_leverage_tiers_okx(default_conf, mocker, markets, tmpdir, caplog, time_machine):
|
|
|
|
default_conf['datadir'] = Path(tmpdir)
|
|
# fd_mock = mocker.patch('freqtrade.exchange.exchange.file_dump_json')
|
|
api_mock = MagicMock()
|
|
type(api_mock).has = PropertyMock(return_value={
|
|
'fetchLeverageTiers': False,
|
|
'fetchMarketLeverageTiers': True,
|
|
})
|
|
api_mock.fetch_market_leverage_tiers = get_mock_coro(side_effect=[
|
|
[
|
|
{
|
|
'tier': 1,
|
|
'minNotional': 0,
|
|
'maxNotional': 500,
|
|
'maintenanceMarginRate': 0.02,
|
|
'maxLeverage': 75,
|
|
'info': {
|
|
'baseMaxLoan': '',
|
|
'imr': '0.013',
|
|
'instId': '',
|
|
'maxLever': '75',
|
|
'maxSz': '500',
|
|
'minSz': '0',
|
|
'mmr': '0.01',
|
|
'optMgnFactor': '0',
|
|
'quoteMaxLoan': '',
|
|
'tier': '1',
|
|
'uly': 'ADA-USDT'
|
|
}
|
|
},
|
|
{
|
|
'tier': 2,
|
|
'minNotional': 501,
|
|
'maxNotional': 1000,
|
|
'maintenanceMarginRate': 0.025,
|
|
'maxLeverage': 50,
|
|
'info': {
|
|
'baseMaxLoan': '',
|
|
'imr': '0.02',
|
|
'instId': '',
|
|
'maxLever': '50',
|
|
'maxSz': '1000',
|
|
'minSz': '501',
|
|
'mmr': '0.015',
|
|
'optMgnFactor': '0',
|
|
'quoteMaxLoan': '',
|
|
'tier': '2',
|
|
'uly': 'ADA-USDT'
|
|
}
|
|
},
|
|
{
|
|
'tier': 3,
|
|
'minNotional': 1001,
|
|
'maxNotional': 2000,
|
|
'maintenanceMarginRate': 0.03,
|
|
'maxLeverage': 20,
|
|
'info': {
|
|
'baseMaxLoan': '',
|
|
'imr': '0.05',
|
|
'instId': '',
|
|
'maxLever': '20',
|
|
'maxSz': '2000',
|
|
'minSz': '1001',
|
|
'mmr': '0.02',
|
|
'optMgnFactor': '0',
|
|
'quoteMaxLoan': '',
|
|
'tier': '3',
|
|
'uly': 'ADA-USDT'
|
|
}
|
|
},
|
|
],
|
|
[
|
|
{
|
|
'tier': 1,
|
|
'minNotional': 0,
|
|
'maxNotional': 2000,
|
|
'maintenanceMarginRate': 0.01,
|
|
'maxLeverage': 75,
|
|
'info': {
|
|
'baseMaxLoan': '',
|
|
'imr': '0.013',
|
|
'instId': '',
|
|
'maxLever': '75',
|
|
'maxSz': '2000',
|
|
'minSz': '0',
|
|
'mmr': '0.01',
|
|
'optMgnFactor': '0',
|
|
'quoteMaxLoan': '',
|
|
'tier': '1',
|
|
'uly': 'ETH-USDT'
|
|
}
|
|
},
|
|
{
|
|
'tier': 2,
|
|
'minNotional': 2001,
|
|
'maxNotional': 4000,
|
|
'maintenanceMarginRate': 0.015,
|
|
'maxLeverage': 50,
|
|
'info': {
|
|
'baseMaxLoan': '',
|
|
'imr': '0.02',
|
|
'instId': '',
|
|
'maxLever': '50',
|
|
'maxSz': '4000',
|
|
'minSz': '2001',
|
|
'mmr': '0.015',
|
|
'optMgnFactor': '0',
|
|
'quoteMaxLoan': '',
|
|
'tier': '2',
|
|
'uly': 'ETH-USDT'
|
|
}
|
|
},
|
|
{
|
|
'tier': 3,
|
|
'minNotional': 4001,
|
|
'maxNotional': 8000,
|
|
'maintenanceMarginRate': 0.02,
|
|
'maxLeverage': 20,
|
|
'info': {
|
|
'baseMaxLoan': '',
|
|
'imr': '0.05',
|
|
'instId': '',
|
|
'maxLever': '20',
|
|
'maxSz': '8000',
|
|
'minSz': '4001',
|
|
'mmr': '0.02',
|
|
'optMgnFactor': '0',
|
|
'quoteMaxLoan': '',
|
|
'tier': '3',
|
|
'uly': 'ETH-USDT'
|
|
}
|
|
},
|
|
]
|
|
])
|
|
default_conf['trading_mode'] = 'futures'
|
|
default_conf['margin_mode'] = 'isolated'
|
|
default_conf['stake_currency'] = 'USDT'
|
|
exchange = get_patched_exchange(mocker, default_conf, api_mock, id="okx")
|
|
exchange.trading_mode = TradingMode.FUTURES
|
|
exchange.margin_mode = MarginMode.ISOLATED
|
|
exchange.markets = markets
|
|
# Initialization of load_leverage_tiers happens as part of exchange init.
|
|
assert exchange._leverage_tiers == {
|
|
'ADA/USDT:USDT': [
|
|
{
|
|
'minNotional': 0,
|
|
'maxNotional': 500,
|
|
'maintenanceMarginRate': 0.02,
|
|
'maxLeverage': 75,
|
|
'maintAmt': None
|
|
},
|
|
{
|
|
'minNotional': 501,
|
|
'maxNotional': 1000,
|
|
'maintenanceMarginRate': 0.025,
|
|
'maxLeverage': 50,
|
|
'maintAmt': None
|
|
},
|
|
{
|
|
'minNotional': 1001,
|
|
'maxNotional': 2000,
|
|
'maintenanceMarginRate': 0.03,
|
|
'maxLeverage': 20,
|
|
'maintAmt': None
|
|
},
|
|
],
|
|
'ETH/USDT:USDT': [
|
|
{
|
|
'minNotional': 0,
|
|
'maxNotional': 2000,
|
|
'maintenanceMarginRate': 0.01,
|
|
'maxLeverage': 75,
|
|
'maintAmt': None
|
|
},
|
|
{
|
|
'minNotional': 2001,
|
|
'maxNotional': 4000,
|
|
'maintenanceMarginRate': 0.015,
|
|
'maxLeverage': 50,
|
|
'maintAmt': None
|
|
},
|
|
{
|
|
'minNotional': 4001,
|
|
'maxNotional': 8000,
|
|
'maintenanceMarginRate': 0.02,
|
|
'maxLeverage': 20,
|
|
'maintAmt': None
|
|
},
|
|
],
|
|
}
|
|
filename = (default_conf['datadir'] /
|
|
f"futures/leverage_tiers_{default_conf['stake_currency']}.json")
|
|
assert filename.is_file()
|
|
|
|
logmsg = 'Cached leverage tiers are outdated. Will update.'
|
|
assert not log_has(logmsg, caplog)
|
|
|
|
api_mock.fetch_market_leverage_tiers.reset_mock()
|
|
|
|
exchange.load_leverage_tiers()
|
|
assert not log_has(logmsg, caplog)
|
|
|
|
api_mock.fetch_market_leverage_tiers.call_count == 0
|
|
# 2 day passes ...
|
|
time_machine.move_to(datetime.now() + timedelta(weeks=5))
|
|
exchange.load_leverage_tiers()
|
|
|
|
assert log_has(logmsg, caplog)
|
|
|
|
|
|
@pytest.mark.usefixtures("init_persistence")
|
|
def test_fetch_stoploss_order_okx(default_conf, mocker):
|
|
default_conf['dry_run'] = False
|
|
api_mock = MagicMock()
|
|
api_mock.fetch_order = MagicMock()
|
|
|
|
exchange = get_patched_exchange(mocker, default_conf, api_mock, id='okx')
|
|
|
|
exchange.fetch_stoploss_order('1234', 'ETH/BTC')
|
|
assert api_mock.fetch_order.call_count == 1
|
|
assert api_mock.fetch_order.call_args_list[0][0][0] == '1234'
|
|
assert api_mock.fetch_order.call_args_list[0][0][1] == 'ETH/BTC'
|
|
assert api_mock.fetch_order.call_args_list[0][1]['params'] == {'stop': True}
|
|
|
|
api_mock.fetch_order = MagicMock(side_effect=ccxt.OrderNotFound)
|
|
api_mock.fetch_open_orders = MagicMock(return_value=[])
|
|
api_mock.fetch_closed_orders = MagicMock(return_value=[])
|
|
api_mock.fetch_canceled_orders = MagicMock(creturn_value=[])
|
|
|
|
with pytest.raises(RetryableOrderError):
|
|
exchange.fetch_stoploss_order('1234', 'ETH/BTC')
|
|
assert api_mock.fetch_order.call_count == 1
|
|
assert api_mock.fetch_open_orders.call_count == 1
|
|
assert api_mock.fetch_closed_orders.call_count == 1
|
|
assert api_mock.fetch_canceled_orders.call_count == 1
|
|
|
|
api_mock.fetch_order.reset_mock()
|
|
api_mock.fetch_open_orders.reset_mock()
|
|
api_mock.fetch_closed_orders.reset_mock()
|
|
api_mock.fetch_canceled_orders.reset_mock()
|
|
|
|
api_mock.fetch_closed_orders = MagicMock(return_value=[
|
|
{
|
|
'id': '1234',
|
|
'status': 'closed',
|
|
'info': {'ordId': '123455'}
|
|
}
|
|
])
|
|
mocker.patch(f"{EXMS}.fetch_order", MagicMock(return_value={'id': '123455'}))
|
|
resp = exchange.fetch_stoploss_order('1234', 'ETH/BTC')
|
|
assert api_mock.fetch_order.call_count == 1
|
|
assert api_mock.fetch_open_orders.call_count == 1
|
|
assert api_mock.fetch_closed_orders.call_count == 1
|
|
assert api_mock.fetch_canceled_orders.call_count == 0
|
|
|
|
assert resp['id'] == '1234'
|
|
assert resp['id_stop'] == '123455'
|
|
assert resp['type'] == 'stoploss'
|
|
|
|
default_conf['dry_run'] = True
|
|
exchange = get_patched_exchange(mocker, default_conf, api_mock, id='okx')
|
|
dro_mock = mocker.patch(f"{EXMS}.fetch_dry_run_order", MagicMock(return_value={'id': '123455'}))
|
|
|
|
api_mock.fetch_order.reset_mock()
|
|
api_mock.fetch_open_orders.reset_mock()
|
|
api_mock.fetch_closed_orders.reset_mock()
|
|
api_mock.fetch_canceled_orders.reset_mock()
|
|
resp = exchange.fetch_stoploss_order('1234', 'ETH/BTC')
|
|
|
|
assert api_mock.fetch_order.call_count == 0
|
|
assert api_mock.fetch_open_orders.call_count == 0
|
|
assert api_mock.fetch_closed_orders.call_count == 0
|
|
assert api_mock.fetch_canceled_orders.call_count == 0
|
|
assert dro_mock.call_count == 1
|
|
|
|
|
|
@pytest.mark.parametrize('sl1,sl2,sl3,side', [
|
|
(1501, 1499, 1501, "sell"),
|
|
(1499, 1501, 1499, "buy")
|
|
])
|
|
def test_stoploss_adjust_okx(mocker, default_conf, sl1, sl2, sl3, side):
|
|
exchange = get_patched_exchange(mocker, default_conf, id='okx')
|
|
order = {
|
|
'type': 'stoploss',
|
|
'price': 1500,
|
|
'stopLossPrice': 1500,
|
|
}
|
|
assert exchange.stoploss_adjust(sl1, order, side=side)
|
|
assert not exchange.stoploss_adjust(sl2, order, side=side)
|