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https://github.com/freqtrade/freqtrade.git
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10348 | Create new pair list to dynamically fetch pairs based on percent volume change
This commit is contained in:
jainanuj94
376
tests/plugins/test_percentvolumechangepairlist.py
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376
tests/plugins/test_percentvolumechangepairlist.py
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from datetime import datetime, timezone
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from unittest.mock import MagicMock
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import pandas as pd
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import pytest
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from freqtrade.data.converter import ohlcv_to_dataframe
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from freqtrade.enums import CandleType
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from freqtrade.exceptions import OperationalException
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from freqtrade.plugins.pairlist.PercentVolumeChangePairList import PercentVolumeChangePairList
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from freqtrade.plugins.pairlistmanager import PairListManager
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from tests.conftest import (
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EXMS,
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generate_test_data_raw,
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get_patched_exchange,
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get_patched_freqtradebot,
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)
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@pytest.fixture(scope="function")
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def rpl_config(default_conf):
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default_conf["stake_currency"] = "USDT"
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default_conf["exchange"]["pair_whitelist"] = [
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"ETH/USDT",
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"XRP/USDT",
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]
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default_conf["exchange"]["pair_blacklist"] = ["BLK/USDT"]
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return default_conf
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def test_volume_change_pair_list_init_exchange_support(mocker, rpl_config):
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rpl_config["pairlists"] = [
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{
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"method": "PercentVolumeChangePairList",
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"number_assets": 2,
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"sort_key": "rolling_volume_change",
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"min_value": 0,
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"refresh_period": 86400,
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}
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]
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with pytest.raises(
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OperationalException,
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match=r"Exchange does not support dynamic whitelist in this configuration. "
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r"Please edit your config and either remove PercentVolumeChangePairList, "
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r"or switch to using candles. and restart the bot.",
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):
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get_patched_freqtradebot(mocker, rpl_config)
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def test_volume_change_pair_list_init_wrong_refresh_period(mocker, rpl_config):
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rpl_config["pairlists"] = [
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{
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"method": "PercentVolumeChangePairList",
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"number_assets": 2,
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"sort_key": "rolling_volume_change",
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"min_value": 0,
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"refresh_period": 1800,
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"lookback_days": 4,
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}
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]
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with pytest.raises(
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OperationalException,
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match=r"Refresh period of 1800 seconds is smaller than one "
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r"timeframe of 1d. Please adjust refresh_period "
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r"to at least 86400 and restart the bot.",
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):
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get_patched_freqtradebot(mocker, rpl_config)
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def test_volume_change_pair_list_init_wrong_lookback_period(mocker, rpl_config):
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rpl_config["pairlists"] = [
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{
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"method": "PercentVolumeChangePairList",
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"number_assets": 2,
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"sort_key": "rolling_volume_change",
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"min_value": 0,
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"refresh_period": 86400,
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"lookback_days": 3,
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"lookback_period": 3,
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}
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]
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with pytest.raises(
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OperationalException,
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match=r"Ambiguous configuration: lookback_days "
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r"and lookback_period both set in pairlist config. "
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r"Please set lookback_days only or lookback_period "
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r"and lookback_timeframe and restart the bot.",
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):
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get_patched_freqtradebot(mocker, rpl_config)
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rpl_config["pairlists"] = [
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{
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"method": "PercentVolumeChangePairList",
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"number_assets": 2,
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"sort_key": "rolling_volume_change",
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"min_value": 0,
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"refresh_period": 86400,
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"lookback_days": 3,
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}
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]
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with pytest.raises(
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OperationalException, match=r"ChangeFilter requires lookback_period to be >= 4"
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):
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get_patched_freqtradebot(mocker, rpl_config)
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rpl_config["pairlists"] = [
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{
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"method": "PercentVolumeChangePairList",
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"number_assets": 2,
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"sort_key": "rolling_volume_change",
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"min_value": 0,
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"refresh_period": 86400,
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"lookback_period": 3,
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}
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]
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with pytest.raises(
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OperationalException, match=r"ChangeFilter requires lookback_period to be >= 4"
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):
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get_patched_freqtradebot(mocker, rpl_config)
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rpl_config["pairlists"] = [
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{
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"method": "PercentVolumeChangePairList",
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"number_assets": 2,
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"sort_key": "rolling_volume_change",
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"min_value": 0,
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"refresh_period": 86400,
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"lookback_days": 1001,
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}
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]
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with pytest.raises(
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OperationalException,
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match=r"ChangeFilter requires lookback_period to not exceed"
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r" exchange max request size \(1000\)",
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):
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get_patched_freqtradebot(mocker, rpl_config)
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def test_volume_change_pair_list_init_wrong_config(mocker, rpl_config):
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rpl_config["pairlists"] = [
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{
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"method": "PercentVolumeChangePairList",
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"sort_key": "rolling_volume_change",
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"min_value": 0,
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"refresh_period": 86400,
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}
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]
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with pytest.raises(
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OperationalException,
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match=r"`number_assets` not specified. Please check your configuration "
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r'for "pairlist.config.number_assets"',
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):
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get_patched_freqtradebot(mocker, rpl_config)
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def test_gen_pairlist_with_valid_change_pair_list_config(mocker, rpl_config, tickers, time_machine):
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rpl_config["pairlists"] = [
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{
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"method": "PercentVolumeChangePairList",
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"number_assets": 2,
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"sort_key": "rolling_volume_change",
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"min_value": 0,
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"refresh_period": 86400,
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"lookback_days": 4,
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}
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]
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start = datetime(2024, 8, 1, 0, 0, 0, 0, tzinfo=timezone.utc)
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time_machine.move_to(start, tick=False)
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mock_ohlcv_data = {
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("ETH/USDT", "1d", CandleType.SPOT): pd.DataFrame(
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ohlcv_to_dataframe(
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generate_test_data_raw("1d", 100, start.strftime("%Y-%m-%d"), random_seed=12),
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"1d",
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pair="ETH/USDT",
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fill_missing=True,
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)
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),
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("BTC/USDT", "1d", CandleType.SPOT): pd.DataFrame(
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ohlcv_to_dataframe(
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generate_test_data_raw("1d", 100, start.strftime("%Y-%m-%d"), random_seed=13),
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"1d",
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pair="BTC/USDT",
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fill_missing=True,
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)
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),
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("XRP/USDT", "1d", CandleType.SPOT): pd.DataFrame(
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ohlcv_to_dataframe(
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generate_test_data_raw("1d", 100, start.strftime("%Y-%m-%d"), random_seed=14),
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"1d",
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pair="XRP/USDT",
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fill_missing=True,
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)
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),
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("NEO/USDT", "1d", CandleType.SPOT): pd.DataFrame(
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ohlcv_to_dataframe(
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generate_test_data_raw("1d", 100, start.strftime("%Y-%m-%d"), random_seed=15),
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"1d",
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pair="NEO/USDT",
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fill_missing=True,
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)
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),
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("TKN/USDT", "1d", CandleType.SPOT): pd.DataFrame(
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# Make sure always have highest rolling_volume_change
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{
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"timestamp": [
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"2024-07-01 00:00:00",
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"2024-07-01 01:00:00",
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"2024-07-01 02:00:00",
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"2024-07-01 03:00:00",
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"2024-07-01 04:00:00",
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"2024-07-01 05:00:00",
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],
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"open": [100, 102, 101, 103, 104, 105],
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"high": [102, 103, 102, 104, 105, 106],
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"low": [99, 101, 100, 102, 103, 104],
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"close": [101, 102, 103, 104, 105, 106],
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"volume": [1000, 1500, 2000, 2500, 3000, 3500],
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}
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),
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}
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mocker.patch(f"{EXMS}.refresh_latest_ohlcv", MagicMock(return_value=mock_ohlcv_data))
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exchange = get_patched_exchange(mocker, rpl_config, exchange="binance")
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pairlistmanager = PairListManager(exchange, rpl_config)
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remote_pairlist = PercentVolumeChangePairList(
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exchange, pairlistmanager, rpl_config, rpl_config["pairlists"][0], 0
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)
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result = remote_pairlist.gen_pairlist(tickers)
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assert len(result) == 2
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assert result == ["TKN/USDT", "BTC/USDT"]
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def test_filter_pairlist_with_empty_ticker(mocker, rpl_config, tickers, time_machine):
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rpl_config["pairlists"] = [
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{
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"method": "PercentVolumeChangePairList",
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"number_assets": 2,
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"sort_key": "rolling_volume_change",
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"min_value": 0,
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"refresh_period": 86400,
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"lookback_days": 4,
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}
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]
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start = datetime(2024, 8, 1, 0, 0, 0, 0, tzinfo=timezone.utc)
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time_machine.move_to(start, tick=False)
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mock_ohlcv_data = {
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("ETH/USDT", "1d", CandleType.SPOT): pd.DataFrame(
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{
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"timestamp": [
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"2024-07-01 00:00:00",
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"2024-07-01 01:00:00",
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"2024-07-01 02:00:00",
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"2024-07-01 03:00:00",
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"2024-07-01 04:00:00",
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"2024-07-01 05:00:00",
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],
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"open": [100, 102, 101, 103, 104, 105],
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"high": [102, 103, 102, 104, 105, 106],
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"low": [99, 101, 100, 102, 103, 104],
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"close": [101, 102, 103, 104, 105, 106],
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"volume": [1000, 1500, 2000, 2500, 3000, 3500],
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}
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),
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("XRP/USDT", "1d", CandleType.SPOT): pd.DataFrame(
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{
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"timestamp": [
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"2024-07-01 00:00:00",
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"2024-07-01 01:00:00",
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"2024-07-01 02:00:00",
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"2024-07-01 03:00:00",
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"2024-07-01 04:00:00",
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"2024-07-01 05:00:00",
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],
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"open": [100, 102, 101, 103, 104, 105],
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"high": [102, 103, 102, 104, 105, 106],
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"low": [99, 101, 100, 102, 103, 104],
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"close": [101, 102, 103, 104, 105, 106],
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"volume": [1000, 1500, 2000, 2500, 3000, 3500],
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}
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),
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}
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mocker.patch(f"{EXMS}.refresh_latest_ohlcv", MagicMock(return_value=mock_ohlcv_data))
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exchange = get_patched_exchange(mocker, rpl_config, exchange="binance")
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pairlistmanager = PairListManager(exchange, rpl_config)
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remote_pairlist = PercentVolumeChangePairList(
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exchange, pairlistmanager, rpl_config, rpl_config["pairlists"][0], 0
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)
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result = remote_pairlist.filter_pairlist(rpl_config["exchange"]["pair_whitelist"], {})
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assert len(result) == 2
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assert result == ["ETH/USDT", "XRP/USDT"]
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def test_filter_pairlist_with_max_value_set(mocker, rpl_config, tickers, time_machine):
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rpl_config["pairlists"] = [
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{
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"method": "PercentVolumeChangePairList",
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"number_assets": 2,
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"sort_key": "rolling_volume_change",
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"min_value": 0,
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"max_value": 15,
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"refresh_period": 86400,
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"lookback_days": 4,
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}
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]
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start = datetime(2024, 8, 1, 0, 0, 0, 0, tzinfo=timezone.utc)
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time_machine.move_to(start, tick=False)
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mock_ohlcv_data = {
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("ETH/USDT", "1d", CandleType.SPOT): pd.DataFrame(
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{
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"timestamp": [
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"2024-07-01 00:00:00",
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"2024-07-01 01:00:00",
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"2024-07-01 02:00:00",
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"2024-07-01 03:00:00",
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"2024-07-01 04:00:00",
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"2024-07-01 05:00:00",
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],
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"open": [100, 102, 101, 103, 104, 105],
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"high": [102, 103, 102, 104, 105, 106],
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"low": [99, 101, 100, 102, 103, 104],
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"close": [101, 102, 103, 104, 105, 106],
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"volume": [1000, 1500, 2000, 1800, 2400, 2500],
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}
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),
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("XRP/USDT", "1d", CandleType.SPOT): pd.DataFrame(
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{
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"timestamp": [
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"2024-07-01 00:00:00",
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"2024-07-01 01:00:00",
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"2024-07-01 02:00:00",
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"2024-07-01 03:00:00",
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"2024-07-01 04:00:00",
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"2024-07-01 05:00:00",
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],
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"open": [100, 102, 101, 103, 104, 105],
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"high": [102, 103, 102, 104, 105, 106],
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"low": [99, 101, 100, 102, 103, 104],
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"close": [101, 102, 103, 104, 105, 106],
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"volume": [1000, 1500, 2000, 2500, 3000, 3500],
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}
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),
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}
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mocker.patch(f"{EXMS}.refresh_latest_ohlcv", MagicMock(return_value=mock_ohlcv_data))
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exchange = get_patched_exchange(mocker, rpl_config, exchange="binance")
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pairlistmanager = PairListManager(exchange, rpl_config)
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remote_pairlist = PercentVolumeChangePairList(
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exchange, pairlistmanager, rpl_config, rpl_config["pairlists"][0], 0
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)
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result = remote_pairlist.filter_pairlist(rpl_config["exchange"]["pair_whitelist"], {})
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assert len(result) == 1
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assert result == ["ETH/USDT"]
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