491 lines
18 KiB
Python
491 lines
18 KiB
Python
from datetime import datetime, timezone
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from unittest.mock import MagicMock
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import pytest
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from pandas import DataFrame, Timestamp
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from freqtrade.data.dataprovider import DataProvider
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from freqtrade.enums import CandleType, RunMode
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from freqtrade.exceptions import ExchangeError, OperationalException
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from freqtrade.plugins.pairlistmanager import PairListManager
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from tests.conftest import generate_test_data, get_patched_exchange
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@pytest.mark.parametrize('candle_type', [
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'mark',
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'',
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])
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def test_dp_ohlcv(mocker, default_conf, ohlcv_history, candle_type):
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default_conf["runmode"] = RunMode.DRY_RUN
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timeframe = default_conf["timeframe"]
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exchange = get_patched_exchange(mocker, default_conf)
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candletype = CandleType.from_string(candle_type)
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exchange._klines[("XRP/BTC", timeframe, candletype)] = ohlcv_history
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exchange._klines[("UNITTEST/BTC", timeframe, candletype)] = ohlcv_history
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dp = DataProvider(default_conf, exchange)
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assert dp.runmode == RunMode.DRY_RUN
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assert ohlcv_history.equals(dp.ohlcv("UNITTEST/BTC", timeframe, candle_type=candletype))
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assert isinstance(dp.ohlcv("UNITTEST/BTC", timeframe, candle_type=candletype), DataFrame)
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assert dp.ohlcv("UNITTEST/BTC", timeframe, candle_type=candletype) is not ohlcv_history
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assert dp.ohlcv("UNITTEST/BTC", timeframe, copy=False, candle_type=candletype) is ohlcv_history
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assert not dp.ohlcv("UNITTEST/BTC", timeframe, candle_type=candletype).empty
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assert dp.ohlcv("NONESENSE/AAA", timeframe, candle_type=candletype).empty
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# Test with and without parameter
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assert dp.ohlcv(
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"UNITTEST/BTC",
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timeframe,
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candle_type=candletype
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).equals(dp.ohlcv("UNITTEST/BTC", candle_type=candle_type))
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default_conf["runmode"] = RunMode.LIVE
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dp = DataProvider(default_conf, exchange)
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assert dp.runmode == RunMode.LIVE
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assert isinstance(dp.ohlcv("UNITTEST/BTC", timeframe, candle_type=candle_type), DataFrame)
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default_conf["runmode"] = RunMode.BACKTEST
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dp = DataProvider(default_conf, exchange)
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assert dp.runmode == RunMode.BACKTEST
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assert dp.ohlcv("UNITTEST/BTC", timeframe, candle_type=candle_type).empty
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def test_historic_ohlcv(mocker, default_conf, ohlcv_history):
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historymock = MagicMock(return_value=ohlcv_history)
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mocker.patch("freqtrade.data.dataprovider.load_pair_history", historymock)
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dp = DataProvider(default_conf, None)
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data = dp.historic_ohlcv("UNITTEST/BTC", "5m")
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assert isinstance(data, DataFrame)
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assert historymock.call_count == 1
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assert historymock.call_args_list[0][1]["timeframe"] == "5m"
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def test_historic_ohlcv_dataformat(mocker, default_conf, ohlcv_history):
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hdf5loadmock = MagicMock(return_value=ohlcv_history)
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jsonloadmock = MagicMock(return_value=ohlcv_history)
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mocker.patch("freqtrade.data.history.hdf5datahandler.HDF5DataHandler._ohlcv_load", hdf5loadmock)
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mocker.patch("freqtrade.data.history.jsondatahandler.JsonDataHandler._ohlcv_load", jsonloadmock)
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default_conf["runmode"] = RunMode.BACKTEST
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exchange = get_patched_exchange(mocker, default_conf)
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dp = DataProvider(default_conf, exchange)
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data = dp.historic_ohlcv("UNITTEST/BTC", "5m")
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assert isinstance(data, DataFrame)
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hdf5loadmock.assert_not_called()
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jsonloadmock.assert_called_once()
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# Switching to dataformat hdf5
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hdf5loadmock.reset_mock()
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jsonloadmock.reset_mock()
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default_conf["dataformat_ohlcv"] = "hdf5"
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dp = DataProvider(default_conf, exchange)
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data = dp.historic_ohlcv("UNITTEST/BTC", "5m")
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assert isinstance(data, DataFrame)
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hdf5loadmock.assert_called_once()
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jsonloadmock.assert_not_called()
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@pytest.mark.parametrize('candle_type', [
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'mark',
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'futures',
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'',
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])
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def test_get_pair_dataframe(mocker, default_conf, ohlcv_history, candle_type):
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default_conf["runmode"] = RunMode.DRY_RUN
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timeframe = default_conf["timeframe"]
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exchange = get_patched_exchange(mocker, default_conf)
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candletype = CandleType.from_string(candle_type)
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exchange._klines[("XRP/BTC", timeframe, candletype)] = ohlcv_history
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exchange._klines[("UNITTEST/BTC", timeframe, candletype)] = ohlcv_history
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dp = DataProvider(default_conf, exchange)
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assert dp.runmode == RunMode.DRY_RUN
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assert ohlcv_history.equals(dp.get_pair_dataframe(
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"UNITTEST/BTC", timeframe, candle_type=candle_type))
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assert ohlcv_history.equals(dp.get_pair_dataframe(
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"UNITTEST/BTC", timeframe, candle_type=candletype))
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assert isinstance(dp.get_pair_dataframe(
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"UNITTEST/BTC", timeframe, candle_type=candle_type), DataFrame)
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assert dp.get_pair_dataframe("UNITTEST/BTC", timeframe,
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candle_type=candle_type) is not ohlcv_history
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assert not dp.get_pair_dataframe("UNITTEST/BTC", timeframe, candle_type=candle_type).empty
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assert dp.get_pair_dataframe("NONESENSE/AAA", timeframe, candle_type=candle_type).empty
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# Test with and without parameter
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assert dp.get_pair_dataframe("UNITTEST/BTC", timeframe, candle_type=candle_type)\
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.equals(dp.get_pair_dataframe("UNITTEST/BTC", candle_type=candle_type))
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default_conf["runmode"] = RunMode.LIVE
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dp = DataProvider(default_conf, exchange)
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assert dp.runmode == RunMode.LIVE
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assert isinstance(dp.get_pair_dataframe(
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"UNITTEST/BTC", timeframe, candle_type=candle_type), DataFrame)
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assert dp.get_pair_dataframe("NONESENSE/AAA", timeframe, candle_type=candle_type).empty
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historymock = MagicMock(return_value=ohlcv_history)
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mocker.patch("freqtrade.data.dataprovider.load_pair_history", historymock)
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default_conf["runmode"] = RunMode.BACKTEST
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dp = DataProvider(default_conf, exchange)
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assert dp.runmode == RunMode.BACKTEST
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assert isinstance(dp.get_pair_dataframe(
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"UNITTEST/BTC", timeframe, candle_type=candle_type), DataFrame)
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# assert dp.get_pair_dataframe("NONESENSE/AAA", timeframe).empty
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def test_available_pairs(mocker, default_conf, ohlcv_history):
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exchange = get_patched_exchange(mocker, default_conf)
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timeframe = default_conf["timeframe"]
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exchange._klines[("XRP/BTC", timeframe)] = ohlcv_history
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exchange._klines[("UNITTEST/BTC", timeframe)] = ohlcv_history
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dp = DataProvider(default_conf, exchange)
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assert len(dp.available_pairs) == 2
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assert dp.available_pairs == [("XRP/BTC", timeframe), ("UNITTEST/BTC", timeframe), ]
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def test_producer_pairs(mocker, default_conf, ohlcv_history):
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dataprovider = DataProvider(default_conf, None)
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producer = "default"
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whitelist = ["XRP/BTC", "ETH/BTC"]
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assert len(dataprovider.get_producer_pairs(producer)) == 0
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dataprovider._set_producer_pairs(whitelist, producer)
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assert len(dataprovider.get_producer_pairs(producer)) == 2
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new_whitelist = ["BTC/USDT"]
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dataprovider._set_producer_pairs(new_whitelist, producer)
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assert dataprovider.get_producer_pairs(producer) == new_whitelist
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assert dataprovider.get_producer_pairs("bad") == []
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def test_get_producer_df(mocker, default_conf, ohlcv_history):
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dataprovider = DataProvider(default_conf, None)
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pair = 'BTC/USDT'
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timeframe = default_conf['timeframe']
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candle_type = CandleType.SPOT
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empty_la = datetime.fromtimestamp(0, tz=timezone.utc)
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now = datetime.now(timezone.utc)
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# no data has been added, any request should return an empty dataframe
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dataframe, la = dataprovider.get_producer_df(pair, timeframe, candle_type)
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assert dataframe.empty
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assert la == empty_la
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# the data is added, should return that added dataframe
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dataprovider._add_external_df(pair, ohlcv_history, now, timeframe, candle_type)
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dataframe, la = dataprovider.get_producer_df(pair, timeframe, candle_type)
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assert len(dataframe) > 0
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assert la > empty_la
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# no data on this producer, should return empty dataframe
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dataframe, la = dataprovider.get_producer_df(pair, producer_name='bad')
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assert dataframe.empty
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assert la == empty_la
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# non existent timeframe, empty dataframe
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datframe, la = dataprovider.get_producer_df(pair, timeframe='1h')
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assert dataframe.empty
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assert la == empty_la
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def test_emit_df(mocker, default_conf, ohlcv_history):
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mocker.patch('freqtrade.rpc.rpc_manager.RPCManager.__init__', MagicMock())
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rpc_mock = mocker.patch('freqtrade.rpc.rpc_manager.RPCManager', MagicMock())
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send_mock = mocker.patch('freqtrade.rpc.rpc_manager.RPCManager.send_msg', MagicMock())
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dataprovider = DataProvider(default_conf, exchange=None, rpc=rpc_mock)
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dataprovider_no_rpc = DataProvider(default_conf, exchange=None)
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pair = "BTC/USDT"
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# No emit yet
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assert send_mock.call_count == 0
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# Rpc is added, we call emit, should call send_msg
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dataprovider._emit_df(pair, ohlcv_history, False)
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assert send_mock.call_count == 1
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send_mock.reset_mock()
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dataprovider._emit_df(pair, ohlcv_history, True)
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assert send_mock.call_count == 2
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send_mock.reset_mock()
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# No rpc added, emit called, should not call send_msg
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dataprovider_no_rpc._emit_df(pair, ohlcv_history, False)
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assert send_mock.call_count == 0
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def test_refresh(mocker, default_conf, ohlcv_history):
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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, id="binance")
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timeframe = default_conf["timeframe"]
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pairs = [("XRP/BTC", timeframe), ("UNITTEST/BTC", timeframe)]
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pairs_non_trad = [("ETH/USDT", timeframe), ("BTC/TUSD", "1h")]
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dp = DataProvider(default_conf, exchange)
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dp.refresh(pairs)
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assert refresh_mock.call_count == 1
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assert len(refresh_mock.call_args[0]) == 1
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assert len(refresh_mock.call_args[0][0]) == len(pairs)
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assert refresh_mock.call_args[0][0] == pairs
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refresh_mock.reset_mock()
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dp.refresh(pairs, pairs_non_trad)
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assert refresh_mock.call_count == 1
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assert len(refresh_mock.call_args[0]) == 1
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assert len(refresh_mock.call_args[0][0]) == len(pairs) + len(pairs_non_trad)
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assert refresh_mock.call_args[0][0] == pairs + pairs_non_trad
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def test_orderbook(mocker, default_conf, order_book_l2):
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api_mock = MagicMock()
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api_mock.fetch_l2_order_book = order_book_l2
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exchange = get_patched_exchange(mocker, default_conf, api_mock=api_mock)
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dp = DataProvider(default_conf, exchange)
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res = dp.orderbook('ETH/BTC', 5)
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assert order_book_l2.call_count == 1
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assert order_book_l2.call_args_list[0][0][0] == 'ETH/BTC'
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assert order_book_l2.call_args_list[0][0][1] >= 5
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assert type(res) is dict
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assert 'bids' in res
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assert 'asks' in res
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def test_market(mocker, default_conf, markets):
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api_mock = MagicMock()
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api_mock.markets = markets
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exchange = get_patched_exchange(mocker, default_conf, api_mock=api_mock)
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dp = DataProvider(default_conf, exchange)
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res = dp.market('ETH/BTC')
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assert type(res) is dict
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assert 'symbol' in res
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assert res['symbol'] == 'ETH/BTC'
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res = dp.market('UNITTEST/BTC')
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assert res is None
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def test_ticker(mocker, default_conf, tickers):
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ticker_mock = MagicMock(return_value=tickers()['ETH/BTC'])
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mocker.patch("freqtrade.exchange.Exchange.fetch_ticker", ticker_mock)
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exchange = get_patched_exchange(mocker, default_conf)
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dp = DataProvider(default_conf, exchange)
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res = dp.ticker('ETH/BTC')
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assert type(res) is dict
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assert 'symbol' in res
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assert res['symbol'] == 'ETH/BTC'
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ticker_mock = MagicMock(side_effect=ExchangeError('Pair not found'))
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mocker.patch("freqtrade.exchange.Exchange.fetch_ticker", ticker_mock)
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exchange = get_patched_exchange(mocker, default_conf)
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dp = DataProvider(default_conf, exchange)
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res = dp.ticker('UNITTEST/BTC')
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assert res == {}
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def test_current_whitelist(mocker, default_conf, tickers):
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# patch default conf to volumepairlist
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default_conf['pairlists'][0] = {'method': 'VolumePairList', "number_assets": 5}
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mocker.patch.multiple('freqtrade.exchange.Exchange',
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exchange_has=MagicMock(return_value=True),
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get_tickers=tickers)
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exchange = get_patched_exchange(mocker, default_conf)
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pairlist = PairListManager(exchange, default_conf)
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dp = DataProvider(default_conf, exchange, pairlist)
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# Simulate volumepairs from exchange.
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pairlist.refresh_pairlist()
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assert dp.current_whitelist() == pairlist._whitelist
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# The identity of the 2 lists should not be identical, but a copy
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assert dp.current_whitelist() is not pairlist._whitelist
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with pytest.raises(OperationalException):
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dp = DataProvider(default_conf, exchange)
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dp.current_whitelist()
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def test_get_analyzed_dataframe(mocker, default_conf, ohlcv_history):
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default_conf["runmode"] = RunMode.DRY_RUN
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timeframe = default_conf["timeframe"]
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exchange = get_patched_exchange(mocker, default_conf)
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dp = DataProvider(default_conf, exchange)
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dp._set_cached_df("XRP/BTC", timeframe, ohlcv_history, CandleType.SPOT)
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dp._set_cached_df("UNITTEST/BTC", timeframe, ohlcv_history, CandleType.SPOT)
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assert dp.runmode == RunMode.DRY_RUN
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dataframe, time = dp.get_analyzed_dataframe("UNITTEST/BTC", timeframe)
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assert ohlcv_history.equals(dataframe)
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assert isinstance(time, datetime)
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dataframe, time = dp.get_analyzed_dataframe("XRP/BTC", timeframe)
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assert ohlcv_history.equals(dataframe)
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assert isinstance(time, datetime)
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dataframe, time = dp.get_analyzed_dataframe("NOTHING/BTC", timeframe)
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assert dataframe.empty
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assert isinstance(time, datetime)
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assert time == datetime(1970, 1, 1, tzinfo=timezone.utc)
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# Test backtest mode
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default_conf["runmode"] = RunMode.BACKTEST
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dp._set_dataframe_max_index(1)
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dataframe, time = dp.get_analyzed_dataframe("XRP/BTC", timeframe)
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assert len(dataframe) == 1
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dp._set_dataframe_max_index(2)
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dataframe, time = dp.get_analyzed_dataframe("XRP/BTC", timeframe)
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assert len(dataframe) == 2
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dp._set_dataframe_max_index(3)
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dataframe, time = dp.get_analyzed_dataframe("XRP/BTC", timeframe)
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assert len(dataframe) == 3
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dp._set_dataframe_max_index(500)
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dataframe, time = dp.get_analyzed_dataframe("XRP/BTC", timeframe)
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assert len(dataframe) == len(ohlcv_history)
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def test_no_exchange_mode(default_conf):
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dp = DataProvider(default_conf, None)
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message = "Exchange is not available to DataProvider."
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with pytest.raises(OperationalException, match=message):
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dp.refresh([()])
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with pytest.raises(OperationalException, match=message):
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dp.ohlcv('XRP/USDT', '5m', '')
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with pytest.raises(OperationalException, match=message):
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dp.market('XRP/USDT')
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with pytest.raises(OperationalException, match=message):
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dp.ticker('XRP/USDT')
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with pytest.raises(OperationalException, match=message):
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dp.orderbook('XRP/USDT', 20)
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with pytest.raises(OperationalException, match=message):
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dp.available_pairs()
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def test_dp_send_msg(default_conf):
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default_conf["runmode"] = RunMode.DRY_RUN
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default_conf["timeframe"] = '1h'
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dp = DataProvider(default_conf, None)
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msg = 'Test message'
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dp.send_msg(msg)
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assert msg in dp._msg_queue
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dp._msg_queue.pop()
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assert msg not in dp._msg_queue
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# Message is not resent due to caching
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dp.send_msg(msg)
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assert msg not in dp._msg_queue
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dp.send_msg(msg, always_send=True)
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assert msg in dp._msg_queue
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default_conf["runmode"] = RunMode.BACKTEST
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dp = DataProvider(default_conf, None)
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dp.send_msg(msg, always_send=True)
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assert msg not in dp._msg_queue
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def test_dp__add_external_candle(default_conf_usdt):
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timeframe = '1h'
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default_conf_usdt["timeframe"] = timeframe
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dp = DataProvider(default_conf_usdt, None)
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df = generate_test_data(timeframe, 24, '2022-01-01 00:00:00+00:00')
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last_analyzed = datetime.now(timezone.utc)
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res = dp._add_external_candle('ETH/USDT', df, last_analyzed, timeframe, CandleType.SPOT)
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assert res[0] is False
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# Why 1000 ??
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assert res[1] == 1000
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dp._add_external_df('ETH/USDT', df, last_analyzed, timeframe, CandleType.SPOT)
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# BTC is not stored yet
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res = dp._add_external_candle('BTC/USDT', df, last_analyzed, timeframe, CandleType.SPOT)
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assert res[0] is False
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df, _ = dp.get_producer_df('ETH/USDT', timeframe, CandleType.SPOT)
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assert len(df) == 24
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# Add the same dataframe again - dataframe size shall not change.
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res = dp._add_external_candle('ETH/USDT', df, last_analyzed, timeframe, CandleType.SPOT)
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assert res[0] is True
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assert res[1] == 0
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df, _ = dp.get_producer_df('ETH/USDT', timeframe, CandleType.SPOT)
|
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assert len(df) == 24
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|
|
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# Add a new day.
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df2 = generate_test_data(timeframe, 24, '2022-01-02 00:00:00+00:00')
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|
|
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res = dp._add_external_candle('ETH/USDT', df2, last_analyzed, timeframe, CandleType.SPOT)
|
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assert res[0] is True
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assert res[1] == 0
|
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df, _ = dp.get_producer_df('ETH/USDT', timeframe, CandleType.SPOT)
|
|
assert len(df) == 48
|
|
|
|
# Add a dataframe with a 12 hour offset - so 12 candles are overlapping, and 12 valid.
|
|
df3 = generate_test_data(timeframe, 24, '2022-01-02 12:00:00+00:00')
|
|
|
|
res = dp._add_external_candle('ETH/USDT', df3, last_analyzed, timeframe, CandleType.SPOT)
|
|
assert res[0] is True
|
|
assert res[1] == 0
|
|
df, _ = dp.get_producer_df('ETH/USDT', timeframe, CandleType.SPOT)
|
|
# New length = 48 + 12 (since we have a 12 hour offset).
|
|
assert len(df) == 60
|
|
assert df.iloc[-1]['date'] == df3.iloc[-1]['date']
|
|
assert df.iloc[-1]['date'] == Timestamp('2022-01-03 11:00:00+00:00')
|
|
|
|
# Generate 1 new candle
|
|
df4 = generate_test_data(timeframe, 1, '2022-01-03 12:00:00+00:00')
|
|
res = dp._add_external_candle('ETH/USDT', df4, last_analyzed, timeframe, CandleType.SPOT)
|
|
# assert res[0] is True
|
|
# assert res[1] == 0
|
|
df, _ = dp.get_producer_df('ETH/USDT', timeframe, CandleType.SPOT)
|
|
# New length = 61 + 1
|
|
assert len(df) == 61
|
|
assert df.iloc[-2]['date'] == Timestamp('2022-01-03 11:00:00+00:00')
|
|
assert df.iloc[-1]['date'] == Timestamp('2022-01-03 12:00:00+00:00')
|
|
|
|
# Gap in the data ...
|
|
df4 = generate_test_data(timeframe, 1, '2022-01-05 00:00:00+00:00')
|
|
res = dp._add_external_candle('ETH/USDT', df4, last_analyzed, timeframe, CandleType.SPOT)
|
|
assert res[0] is False
|
|
# 36 hours - from 2022-01-03 12:00:00+00:00 to 2022-01-05 00:00:00+00:00
|
|
assert res[1] == 36
|
|
df, _ = dp.get_producer_df('ETH/USDT', timeframe, CandleType.SPOT)
|
|
# New length = 61 + 1
|
|
assert len(df) == 61
|
|
|
|
# Empty dataframe
|
|
df4 = generate_test_data(timeframe, 0, '2022-01-05 00:00:00+00:00')
|
|
res = dp._add_external_candle('ETH/USDT', df4, last_analyzed, timeframe, CandleType.SPOT)
|
|
assert res[0] is False
|
|
# 36 hours - from 2022-01-03 12:00:00+00:00 to 2022-01-05 00:00:00+00:00
|
|
assert res[1] == 0
|