464 lines
18 KiB
Python
464 lines
18 KiB
Python
# pragma pylint: disable=missing-docstring, C0103
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import logging
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from datetime import datetime, timedelta, timezone
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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.configuration import TimeRange
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from freqtrade.data.dataprovider import DataProvider
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from freqtrade.data.history import load_data
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from freqtrade.exceptions import StrategyError
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from freqtrade.persistence import Trade
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from freqtrade.resolvers import StrategyResolver
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from freqtrade.strategy.strategy_wrapper import strategy_safe_wrapper
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from tests.conftest import log_has, log_has_re
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from .strats.default_strategy import DefaultStrategy
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# Avoid to reinit the same object again and again
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_STRATEGY = DefaultStrategy(config={})
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_STRATEGY.dp = DataProvider({}, None, None)
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def test_returns_latest_signal(mocker, default_conf, ohlcv_history):
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ohlcv_history.loc[1, 'date'] = arrow.utcnow()
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# Take a copy to correctly modify the call
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mocked_history = ohlcv_history.copy()
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mocked_history['sell'] = 0
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mocked_history['buy'] = 0
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mocked_history.loc[1, 'sell'] = 1
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assert _STRATEGY.get_signal('ETH/BTC', '5m', mocked_history) == (False, True)
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mocked_history.loc[1, 'sell'] = 0
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mocked_history.loc[1, 'buy'] = 1
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assert _STRATEGY.get_signal('ETH/BTC', '5m', mocked_history) == (True, False)
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mocked_history.loc[1, 'sell'] = 0
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mocked_history.loc[1, 'buy'] = 0
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assert _STRATEGY.get_signal('ETH/BTC', '5m', mocked_history) == (False, False)
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def test_analyze_pair_empty(default_conf, mocker, caplog, ohlcv_history):
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mocker.patch.object(_STRATEGY.dp, 'ohlcv', return_value=ohlcv_history)
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mocker.patch.object(
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_STRATEGY, '_analyze_ticker_internal',
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return_value=DataFrame([])
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)
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mocker.patch.object(_STRATEGY, 'assert_df')
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_STRATEGY.analyze_pair('ETH/BTC')
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assert log_has('Empty dataframe for pair ETH/BTC', caplog)
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def test_get_signal_empty(default_conf, mocker, caplog):
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assert (False, False) == _STRATEGY.get_signal('foo', default_conf['timeframe'], DataFrame())
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assert log_has('Empty candle (OHLCV) data for pair foo', caplog)
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caplog.clear()
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assert (False, False) == _STRATEGY.get_signal('bar', default_conf['timeframe'], None)
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assert log_has('Empty candle (OHLCV) data for pair bar', caplog)
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caplog.clear()
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assert (False, False) == _STRATEGY.get_signal('baz', default_conf['timeframe'], DataFrame([]))
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assert log_has('Empty candle (OHLCV) data for pair baz', caplog)
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def test_get_signal_exception_valueerror(default_conf, mocker, caplog, ohlcv_history):
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caplog.set_level(logging.INFO)
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mocker.patch.object(_STRATEGY.dp, 'ohlcv', return_value=ohlcv_history)
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mocker.patch.object(
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_STRATEGY, '_analyze_ticker_internal',
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side_effect=ValueError('xyz')
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)
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_STRATEGY.analyze_pair('foo')
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assert log_has_re(r'Strategy caused the following exception: xyz.*', caplog)
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caplog.clear()
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mocker.patch.object(
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_STRATEGY, 'analyze_ticker',
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side_effect=Exception('invalid ticker history ')
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)
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_STRATEGY.analyze_pair('foo')
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assert log_has_re(r'Strategy caused the following exception: xyz.*', caplog)
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def test_get_signal_old_dataframe(default_conf, mocker, caplog, ohlcv_history):
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# default_conf defines a 5m interval. we check interval * 2 + 5m
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# this is necessary as the last candle is removed (partial candles) by default
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ohlcv_history.loc[1, 'date'] = arrow.utcnow().shift(minutes=-16)
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# Take a copy to correctly modify the call
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mocked_history = ohlcv_history.copy()
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mocked_history['sell'] = 0
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mocked_history['buy'] = 0
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mocked_history.loc[1, 'buy'] = 1
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caplog.set_level(logging.INFO)
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mocker.patch.object(_STRATEGY, 'assert_df')
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assert (False, False) == _STRATEGY.get_signal('xyz', default_conf['timeframe'], mocked_history)
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assert log_has('Outdated history for pair xyz. Last tick is 16 minutes old', caplog)
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def test_assert_df_raise(default_conf, mocker, caplog, ohlcv_history):
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# default_conf defines a 5m interval. we check interval * 2 + 5m
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# this is necessary as the last candle is removed (partial candles) by default
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ohlcv_history.loc[1, 'date'] = arrow.utcnow().shift(minutes=-16)
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# Take a copy to correctly modify the call
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mocked_history = ohlcv_history.copy()
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mocked_history['sell'] = 0
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mocked_history['buy'] = 0
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mocked_history.loc[1, 'buy'] = 1
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caplog.set_level(logging.INFO)
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mocker.patch.object(_STRATEGY.dp, 'ohlcv', return_value=ohlcv_history)
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mocker.patch.object(_STRATEGY.dp, 'get_analyzed_dataframe', return_value=(mocked_history, 0))
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mocker.patch.object(
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_STRATEGY, 'assert_df',
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side_effect=StrategyError('Dataframe returned...')
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)
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_STRATEGY.analyze_pair('xyz')
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assert log_has('Unable to analyze candle (OHLCV) data for pair xyz: Dataframe returned...',
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caplog)
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def test_assert_df(default_conf, mocker, ohlcv_history, caplog):
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# Ensure it's running when passed correctly
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_STRATEGY.assert_df(ohlcv_history, len(ohlcv_history),
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ohlcv_history.loc[1, 'close'], ohlcv_history.loc[1, 'date'])
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with pytest.raises(StrategyError, match=r"Dataframe returned from strategy.*length\."):
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_STRATEGY.assert_df(ohlcv_history, len(ohlcv_history) + 1,
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ohlcv_history.loc[1, 'close'], ohlcv_history.loc[1, 'date'])
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with pytest.raises(StrategyError,
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match=r"Dataframe returned from strategy.*last close price\."):
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_STRATEGY.assert_df(ohlcv_history, len(ohlcv_history),
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ohlcv_history.loc[1, 'close'] + 0.01, ohlcv_history.loc[1, 'date'])
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with pytest.raises(StrategyError,
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match=r"Dataframe returned from strategy.*last date\."):
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_STRATEGY.assert_df(ohlcv_history, len(ohlcv_history),
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ohlcv_history.loc[1, 'close'], ohlcv_history.loc[0, 'date'])
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_STRATEGY.disable_dataframe_checks = True
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caplog.clear()
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_STRATEGY.assert_df(ohlcv_history, len(ohlcv_history),
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ohlcv_history.loc[1, 'close'], ohlcv_history.loc[0, 'date'])
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assert log_has_re(r"Dataframe returned from strategy.*last date\.", caplog)
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# reset to avoid problems in other tests due to test leakage
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_STRATEGY.disable_dataframe_checks = False
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def test_ohlcvdata_to_dataframe(default_conf, testdatadir) -> None:
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default_conf.update({'strategy': 'DefaultStrategy'})
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strategy = StrategyResolver.load_strategy(default_conf)
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timerange = TimeRange.parse_timerange('1510694220-1510700340')
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data = load_data(testdatadir, '1m', ['UNITTEST/BTC'], timerange=timerange,
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fill_up_missing=True)
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processed = strategy.ohlcvdata_to_dataframe(data)
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assert len(processed['UNITTEST/BTC']) == 102 # partial candle was removed
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def test_ohlcvdata_to_dataframe_copy(mocker, default_conf, testdatadir) -> None:
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default_conf.update({'strategy': 'DefaultStrategy'})
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strategy = StrategyResolver.load_strategy(default_conf)
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aimock = mocker.patch('freqtrade.strategy.interface.IStrategy.advise_indicators')
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timerange = TimeRange.parse_timerange('1510694220-1510700340')
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data = load_data(testdatadir, '1m', ['UNITTEST/BTC'], timerange=timerange,
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fill_up_missing=True)
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strategy.ohlcvdata_to_dataframe(data)
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assert aimock.call_count == 1
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# Ensure that a copy of the dataframe is passed to advice_indicators
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assert aimock.call_args_list[0][0][0] is not data
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def test_min_roi_reached(default_conf, fee) -> None:
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# Use list to confirm sequence does not matter
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min_roi_list = [{20: 0.05, 55: 0.01, 0: 0.1},
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{0: 0.1, 20: 0.05, 55: 0.01}]
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for roi in min_roi_list:
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default_conf.update({'strategy': 'DefaultStrategy'})
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strategy = StrategyResolver.load_strategy(default_conf)
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strategy.minimal_roi = roi
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trade = Trade(
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pair='ETH/BTC',
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stake_amount=0.001,
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amount=5,
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open_date=arrow.utcnow().shift(hours=-1).datetime,
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fee_open=fee.return_value,
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fee_close=fee.return_value,
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exchange='bittrex',
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open_rate=1,
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)
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assert not strategy.min_roi_reached(trade, 0.02, arrow.utcnow().shift(minutes=-56).datetime)
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assert strategy.min_roi_reached(trade, 0.12, arrow.utcnow().shift(minutes=-56).datetime)
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assert not strategy.min_roi_reached(trade, 0.04, arrow.utcnow().shift(minutes=-39).datetime)
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assert strategy.min_roi_reached(trade, 0.06, arrow.utcnow().shift(minutes=-39).datetime)
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assert not strategy.min_roi_reached(trade, -0.01, arrow.utcnow().shift(minutes=-1).datetime)
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assert strategy.min_roi_reached(trade, 0.02, arrow.utcnow().shift(minutes=-1).datetime)
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def test_min_roi_reached2(default_conf, fee) -> None:
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# test with ROI raising after last interval
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min_roi_list = [{20: 0.07,
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30: 0.05,
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55: 0.30,
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0: 0.1
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},
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{0: 0.1,
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20: 0.07,
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30: 0.05,
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55: 0.30
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},
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]
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for roi in min_roi_list:
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default_conf.update({'strategy': 'DefaultStrategy'})
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strategy = StrategyResolver.load_strategy(default_conf)
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strategy.minimal_roi = roi
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trade = Trade(
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pair='ETH/BTC',
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stake_amount=0.001,
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amount=5,
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open_date=arrow.utcnow().shift(hours=-1).datetime,
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fee_open=fee.return_value,
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fee_close=fee.return_value,
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exchange='bittrex',
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open_rate=1,
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)
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assert not strategy.min_roi_reached(trade, 0.02, arrow.utcnow().shift(minutes=-56).datetime)
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assert strategy.min_roi_reached(trade, 0.12, arrow.utcnow().shift(minutes=-56).datetime)
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assert not strategy.min_roi_reached(trade, 0.04, arrow.utcnow().shift(minutes=-39).datetime)
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assert strategy.min_roi_reached(trade, 0.071, arrow.utcnow().shift(minutes=-39).datetime)
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assert not strategy.min_roi_reached(trade, 0.04, arrow.utcnow().shift(minutes=-26).datetime)
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assert strategy.min_roi_reached(trade, 0.06, arrow.utcnow().shift(minutes=-26).datetime)
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# Should not trigger with 20% profit since after 55 minutes only 30% is active.
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assert not strategy.min_roi_reached(trade, 0.20, arrow.utcnow().shift(minutes=-2).datetime)
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assert strategy.min_roi_reached(trade, 0.31, arrow.utcnow().shift(minutes=-2).datetime)
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def test_min_roi_reached3(default_conf, fee) -> None:
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# test for issue #1948
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min_roi = {20: 0.07,
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30: 0.05,
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55: 0.30,
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}
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default_conf.update({'strategy': 'DefaultStrategy'})
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strategy = StrategyResolver.load_strategy(default_conf)
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strategy.minimal_roi = min_roi
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trade = Trade(
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pair='ETH/BTC',
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stake_amount=0.001,
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amount=5,
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open_date=arrow.utcnow().shift(hours=-1).datetime,
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fee_open=fee.return_value,
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fee_close=fee.return_value,
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exchange='bittrex',
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open_rate=1,
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)
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assert not strategy.min_roi_reached(trade, 0.02, arrow.utcnow().shift(minutes=-56).datetime)
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assert not strategy.min_roi_reached(trade, 0.12, arrow.utcnow().shift(minutes=-56).datetime)
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assert not strategy.min_roi_reached(trade, 0.04, arrow.utcnow().shift(minutes=-39).datetime)
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assert strategy.min_roi_reached(trade, 0.071, arrow.utcnow().shift(minutes=-39).datetime)
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assert not strategy.min_roi_reached(trade, 0.04, arrow.utcnow().shift(minutes=-26).datetime)
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assert strategy.min_roi_reached(trade, 0.06, arrow.utcnow().shift(minutes=-26).datetime)
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# Should not trigger with 20% profit since after 55 minutes only 30% is active.
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assert not strategy.min_roi_reached(trade, 0.20, arrow.utcnow().shift(minutes=-2).datetime)
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assert strategy.min_roi_reached(trade, 0.31, arrow.utcnow().shift(minutes=-2).datetime)
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def test_analyze_ticker_default(ohlcv_history, mocker, caplog) -> None:
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caplog.set_level(logging.DEBUG)
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ind_mock = MagicMock(side_effect=lambda x, meta: x)
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buy_mock = MagicMock(side_effect=lambda x, meta: x)
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sell_mock = MagicMock(side_effect=lambda x, meta: x)
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mocker.patch.multiple(
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'freqtrade.strategy.interface.IStrategy',
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advise_indicators=ind_mock,
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advise_buy=buy_mock,
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advise_sell=sell_mock,
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)
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strategy = DefaultStrategy({})
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strategy.analyze_ticker(ohlcv_history, {'pair': 'ETH/BTC'})
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assert ind_mock.call_count == 1
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assert buy_mock.call_count == 1
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assert buy_mock.call_count == 1
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assert log_has('TA Analysis Launched', caplog)
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assert not log_has('Skipping TA Analysis for already analyzed candle', caplog)
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caplog.clear()
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strategy.analyze_ticker(ohlcv_history, {'pair': 'ETH/BTC'})
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# No analysis happens as process_only_new_candles is true
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assert ind_mock.call_count == 2
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assert buy_mock.call_count == 2
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assert buy_mock.call_count == 2
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assert log_has('TA Analysis Launched', caplog)
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assert not log_has('Skipping TA Analysis for already analyzed candle', caplog)
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def test__analyze_ticker_internal_skip_analyze(ohlcv_history, mocker, caplog) -> None:
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caplog.set_level(logging.DEBUG)
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ind_mock = MagicMock(side_effect=lambda x, meta: x)
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buy_mock = MagicMock(side_effect=lambda x, meta: x)
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sell_mock = MagicMock(side_effect=lambda x, meta: x)
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mocker.patch.multiple(
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'freqtrade.strategy.interface.IStrategy',
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advise_indicators=ind_mock,
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advise_buy=buy_mock,
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advise_sell=sell_mock,
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)
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strategy = DefaultStrategy({})
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strategy.dp = DataProvider({}, None, None)
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strategy.process_only_new_candles = True
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ret = strategy._analyze_ticker_internal(ohlcv_history, {'pair': 'ETH/BTC'})
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assert 'high' in ret.columns
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assert 'low' in ret.columns
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assert 'close' in ret.columns
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assert isinstance(ret, DataFrame)
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assert ind_mock.call_count == 1
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assert buy_mock.call_count == 1
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assert buy_mock.call_count == 1
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assert log_has('TA Analysis Launched', caplog)
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assert not log_has('Skipping TA Analysis for already analyzed candle', caplog)
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caplog.clear()
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ret = strategy._analyze_ticker_internal(ohlcv_history, {'pair': 'ETH/BTC'})
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# No analysis happens as process_only_new_candles is true
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assert ind_mock.call_count == 1
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assert buy_mock.call_count == 1
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assert buy_mock.call_count == 1
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# only skipped analyze adds buy and sell columns, otherwise it's all mocked
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assert 'buy' in ret.columns
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assert 'sell' in ret.columns
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assert ret['buy'].sum() == 0
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assert ret['sell'].sum() == 0
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assert not log_has('TA Analysis Launched', caplog)
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assert log_has('Skipping TA Analysis for already analyzed candle', caplog)
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def test_is_pair_locked(default_conf):
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default_conf.update({'strategy': 'DefaultStrategy'})
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strategy = StrategyResolver.load_strategy(default_conf)
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# dict should be empty
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assert not strategy._pair_locked_until
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pair = 'ETH/BTC'
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assert not strategy.is_pair_locked(pair)
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strategy.lock_pair(pair, arrow.utcnow().shift(minutes=4).datetime)
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# ETH/BTC locked for 4 minutes
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assert strategy.is_pair_locked(pair)
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# Test lock does not change
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lock = strategy._pair_locked_until[pair]
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strategy.lock_pair(pair, arrow.utcnow().shift(minutes=2).datetime)
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assert lock == strategy._pair_locked_until[pair]
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# XRP/BTC should not be locked now
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pair = 'XRP/BTC'
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assert not strategy.is_pair_locked(pair)
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# Unlocking a pair that's not locked should not raise an error
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strategy.unlock_pair(pair)
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# Unlock original pair
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pair = 'ETH/BTC'
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strategy.unlock_pair(pair)
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assert not strategy.is_pair_locked(pair)
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pair = 'BTC/USDT'
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# Lock until 14:30
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lock_time = datetime(2020, 5, 1, 14, 30, 0, tzinfo=timezone.utc)
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strategy.lock_pair(pair, lock_time)
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# Lock is in the past ...
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assert not strategy.is_pair_locked(pair)
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# latest candle is from 14:20, lock goes to 14:30
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assert strategy.is_pair_locked(pair, lock_time + timedelta(minutes=-10))
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assert strategy.is_pair_locked(pair, lock_time + timedelta(minutes=-50))
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# latest candle is from 14:25 (lock should be lifted)
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# Since this is the "new candle" available at 14:30
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assert not strategy.is_pair_locked(pair, lock_time + timedelta(minutes=-4))
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# Should not be locked after time expired
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assert not strategy.is_pair_locked(pair, lock_time + timedelta(minutes=10))
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# Change timeframe to 15m
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strategy.timeframe = '15m'
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# Candle from 14:14 - lock goes until 14:30
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assert strategy.is_pair_locked(pair, lock_time + timedelta(minutes=-16))
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assert strategy.is_pair_locked(pair, lock_time + timedelta(minutes=-15, seconds=-2))
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# Candle from 14:15 - lock goes until 14:30
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assert not strategy.is_pair_locked(pair, lock_time + timedelta(minutes=-15))
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def test_is_informative_pairs_callback(default_conf):
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default_conf.update({'strategy': 'TestStrategyLegacy'})
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strategy = StrategyResolver.load_strategy(default_conf)
|
|
# Should return empty
|
|
# Uses fallback to base implementation
|
|
assert [] == strategy.informative_pairs()
|
|
|
|
|
|
@pytest.mark.parametrize('error', [
|
|
ValueError, KeyError, Exception,
|
|
])
|
|
def test_strategy_safe_wrapper_error(caplog, error):
|
|
def failing_method():
|
|
raise error('This is an error.')
|
|
|
|
def working_method(argumentpassedin):
|
|
return argumentpassedin
|
|
|
|
with pytest.raises(StrategyError, match=r'This is an error.'):
|
|
strategy_safe_wrapper(failing_method, message='DeadBeef')()
|
|
|
|
assert log_has_re(r'DeadBeef.*', caplog)
|
|
ret = strategy_safe_wrapper(failing_method, message='DeadBeef', default_retval=True)()
|
|
|
|
assert isinstance(ret, bool)
|
|
assert ret
|
|
|
|
caplog.clear()
|
|
# Test supressing error
|
|
ret = strategy_safe_wrapper(failing_method, message='DeadBeef', supress_error=True)()
|
|
assert log_has_re(r'DeadBeef.*', caplog)
|
|
|
|
|
|
@pytest.mark.parametrize('value', [
|
|
1, 22, 55, True, False, {'a': 1, 'b': '112'},
|
|
[1, 2, 3, 4], (4, 2, 3, 6)
|
|
])
|
|
def test_strategy_safe_wrapper(value):
|
|
|
|
def working_method(argumentpassedin):
|
|
return argumentpassedin
|
|
|
|
ret = strategy_safe_wrapper(working_method, message='DeadBeef')(value)
|
|
|
|
assert type(ret) == type(value)
|
|
assert ret == value
|