CTYPTO/freqtrade
1
0
Fork 0
mirror of https://github.com/freqtrade/freqtrade.git synced 2025-12-07 00:11:14 +00:00
Code Issues Packages Projects Releases Wiki Activity

Merged feat/short into lev-strat

Browse Source
This commit is contained in:
Sam Germain
2021-09-19 17:44:12 -06:00
parent a89c67787b
commit 778f0d9d0a
41 changed files with 3173 additions and 614 deletions
Download Patch File Download Diff File Expand all files Collapse all files

229
tests/exchange/test_exchange.py
View File

@@ -11,6 +11,7 @@ import ccxt
import pytest
from pandas import DataFrame
from freqtrade.enums import Collateral, TradingMode
from freqtrade.exceptions import (DDosProtection, DependencyException, InvalidOrderException,
OperationalException, PricingError, TemporaryError)
from freqtrade.exchange import Binance, Bittrex, Exchange, Kraken
@@ -131,6 +132,7 @@ def test_init_ccxt_kwargs(default_conf, mocker, caplog):
assert log_has("Applying additional ccxt config: {'TestKWARG': 11, 'TestKWARG44': 11}", caplog)
assert ex._api.headers == {'hello': 'world'}
assert ex._ccxt_config == {}
Exchange._headers = {}
@@ -395,7 +397,11 @@ def test_get_min_pair_stake_amount(mocker, default_conf) -> None:
PropertyMock(return_value=markets)
)
result = exchange.get_min_pair_stake_amount('ETH/BTC', 1, stoploss)
assert isclose(result, 2 * (1+0.05) / (1-abs(stoploss)))
expected_result = 2 * (1+0.05) / (1-abs(stoploss))
assert isclose(result, expected_result)
# With Leverage
result = exchange.get_min_pair_stake_amount('ETH/BTC', 1, stoploss, 3.0)
assert isclose(result, expected_result/3)
# min amount is set
markets["ETH/BTC"]["limits"] = {
@@ -407,7 +413,11 @@ def test_get_min_pair_stake_amount(mocker, default_conf) -> None:
PropertyMock(return_value=markets)
)
result = exchange.get_min_pair_stake_amount('ETH/BTC', 2, stoploss)
assert isclose(result, 2 * 2 * (1+0.05) / (1-abs(stoploss)))
expected_result = 2 * 2 * (1+0.05) / (1-abs(stoploss))
assert isclose(result, expected_result)
# With Leverage
result = exchange.get_min_pair_stake_amount('ETH/BTC', 2, stoploss, 5.0)
assert isclose(result, expected_result/5)
# min amount and cost are set (cost is minimal)
markets["ETH/BTC"]["limits"] = {
@@ -419,7 +429,11 @@ def test_get_min_pair_stake_amount(mocker, default_conf) -> None:
PropertyMock(return_value=markets)
)
result = exchange.get_min_pair_stake_amount('ETH/BTC', 2, stoploss)
assert isclose(result, max(2, 2 * 2) * (1+0.05) / (1-abs(stoploss)))
expected_result = max(2, 2 * 2) * (1+0.05) / (1-abs(stoploss))
assert isclose(result, expected_result)
# With Leverage
result = exchange.get_min_pair_stake_amount('ETH/BTC', 2, stoploss, 10)
assert isclose(result, expected_result/10)
# min amount and cost are set (amount is minial)
markets["ETH/BTC"]["limits"] = {
@@ -431,14 +445,26 @@ def test_get_min_pair_stake_amount(mocker, default_conf) -> None:
PropertyMock(return_value=markets)
)
result = exchange.get_min_pair_stake_amount('ETH/BTC', 2, stoploss)
assert isclose(result, max(8, 2 * 2) * (1+0.05) / (1-abs(stoploss)))
expected_result = max(8, 2 * 2) * (1+0.05) / (1-abs(stoploss))
assert isclose(result, expected_result)
# With Leverage
result = exchange.get_min_pair_stake_amount('ETH/BTC', 2, stoploss, 7.0)
assert isclose(result, expected_result/7.0)
result = exchange.get_min_pair_stake_amount('ETH/BTC', 2, -0.4)
assert isclose(result, max(8, 2 * 2) * 1.5)
expected_result = max(8, 2 * 2) * 1.5
assert isclose(result, expected_result)
# With Leverage
result = exchange.get_min_pair_stake_amount('ETH/BTC', 2, -0.4, 8.0)
assert isclose(result, expected_result/8.0)
# Really big stoploss
result = exchange.get_min_pair_stake_amount('ETH/BTC', 2, -1)
assert isclose(result, max(8, 2 * 2) * 1.5)
expected_result = max(8, 2 * 2) * 1.5
assert isclose(result, expected_result)
# With Leverage
result = exchange.get_min_pair_stake_amount('ETH/BTC', 2, -1, 12.0)
assert isclose(result, expected_result/12)
def test_get_min_pair_stake_amount_real_data(mocker, default_conf) -> None:
@@ -456,10 +482,10 @@ def test_get_min_pair_stake_amount_real_data(mocker, default_conf) -> None:
PropertyMock(return_value=markets)
)
result = exchange.get_min_pair_stake_amount('ETH/BTC', 0.020405, stoploss)
assert round(result, 8) == round(
max(0.0001, 0.001 * 0.020405) * (1+0.05) / (1-abs(stoploss)),
8
)
expected_result = max(0.0001, 0.001 * 0.020405) * (1+0.05) / (1-abs(stoploss))
assert round(result, 8) == round(expected_result, 8)
result = exchange.get_min_pair_stake_amount('ETH/BTC', 0.020405, stoploss, 3.0)
assert round(result, 8) == round(expected_result/3, 8)
def test_set_sandbox(default_conf, mocker):
@@ -970,7 +996,13 @@ def test_create_dry_run_order(default_conf, mocker, side, exchange_name):
exchange = get_patched_exchange(mocker, default_conf, id=exchange_name)
order = exchange.create_dry_run_order(
pair='ETH/BTC', ordertype='limit', side=side, amount=1, rate=200)
pair='ETH/BTC',
ordertype='limit',
side=side,
amount=1,
rate=200,
leverage=1.0
)
assert 'id' in order
assert f'dry_run_{side}_' in order["id"]
assert order["side"] == side
@@ -993,7 +1025,13 @@ def test_create_dry_run_order_limit_fill(default_conf, mocker, side, startprice,
)
order = exchange.create_dry_run_order(
pair='LTC/USDT', ordertype='limit', side=side, amount=1, rate=startprice)
pair='LTC/USDT',
ordertype='limit',
side=side,
amount=1,
rate=startprice,
leverage=1.0
)
assert order_book_l2_usd.call_count == 1
assert 'id' in order
assert f'dry_run_{side}_' in order["id"]
@@ -1039,7 +1077,13 @@ def test_create_dry_run_order_market_fill(default_conf, mocker, side, rate, amou
)
order = exchange.create_dry_run_order(
pair='LTC/USDT', ordertype='market', side=side, amount=amount, rate=rate)
pair='LTC/USDT',
ordertype='market',
side=side,
amount=amount,
rate=rate,
leverage=1.0
)
assert 'id' in order
assert f'dry_run_{side}_' in order["id"]
assert order["side"] == side
@@ -1049,10 +1093,7 @@ def test_create_dry_run_order_market_fill(default_conf, mocker, side, rate, amou
assert round(order["average"], 4) == round(endprice, 4)
@pytest.mark.parametrize("side", [
("buy"),
("sell")
])
@pytest.mark.parametrize("side", ["buy", "sell"])
@pytest.mark.parametrize("ordertype,rate,marketprice", [
("market", None, None),
("market", 200, True),
@@ -1074,9 +1115,17 @@ def test_create_order(default_conf, mocker, side, ordertype, rate, marketprice,
mocker.patch('freqtrade.exchange.Exchange.amount_to_precision', lambda s, x, y: y)
mocker.patch('freqtrade.exchange.Exchange.price_to_precision', lambda s, x, y: y)
exchange = get_patched_exchange(mocker, default_conf, api_mock, id=exchange_name)
exchange._set_leverage = MagicMock()
exchange.set_margin_mode = MagicMock()
order = exchange.create_order(
pair='ETH/BTC', ordertype=ordertype, side=side, amount=1, rate=200)
pair='ETH/BTC',
ordertype=ordertype,
side=side,
amount=1,
rate=200,
leverage=1.0
)
assert 'id' in order
assert 'info' in order
@@ -1086,6 +1135,21 @@ def test_create_order(default_conf, mocker, side, ordertype, rate, marketprice,
assert api_mock.create_order.call_args[0][2] == side
assert api_mock.create_order.call_args[0][3] == 1
assert api_mock.create_order.call_args[0][4] is rate
assert exchange._set_leverage.call_count == 0
assert exchange.set_margin_mode.call_count == 0
exchange.trading_mode = TradingMode.FUTURES
order = exchange.create_order(
pair='ETH/BTC',
ordertype=ordertype,
side=side,
amount=1,
rate=200,
leverage=3.0
)
assert exchange._set_leverage.call_count == 1
assert exchange.set_margin_mode.call_count == 1
def test_buy_dry_run(default_conf, mocker):
@@ -2624,10 +2688,17 @@ def test_get_fee(default_conf, mocker, exchange_name):
def test_stoploss_order_unsupported_exchange(default_conf, mocker):
exchange = get_patched_exchange(mocker, default_conf, id='bittrex')
with pytest.raises(OperationalException, match=r"stoploss is not implemented .*"):
exchange.stoploss(pair='ETH/BTC', amount=1, stop_price=220, order_types={})
exchange.stoploss(
pair='ETH/BTC',
amount=1,
stop_price=220,
order_types={},
side="sell",
leverage=1.0
)
with pytest.raises(OperationalException, match=r"stoploss is not implemented .*"):
exchange.stoploss_adjust(1, {})
exchange.stoploss_adjust(1, {}, side="sell")
def test_merge_ft_has_dict(default_conf, mocker):
@@ -2972,7 +3043,123 @@ def test_calculate_fee_rate(mocker, default_conf, order, expected) -> None:
(3, 5, 5),
(4, 5, 2),
(5, 5, 1),
])
def test_calculate_backoff(retrycount, max_retries, expected):
assert calculate_backoff(retrycount, max_retries) == expected
@pytest.mark.parametrize('exchange', ['binance', 'kraken', 'ftx'])
@pytest.mark.parametrize('stake_amount,leverage,min_stake_with_lev', [
(9.0, 3.0, 3.0),
(20.0, 5.0, 4.0),
(100.0, 100.0, 1.0)
])
def test_get_stake_amount_considering_leverage(
exchange,
stake_amount,
leverage,
min_stake_with_lev,
mocker,
default_conf
):
exchange = get_patched_exchange(mocker, default_conf, id=exchange)
assert exchange._get_stake_amount_considering_leverage(
stake_amount, leverage) == min_stake_with_lev
@pytest.mark.parametrize("exchange_name,trading_mode", [
("binance", TradingMode.FUTURES),
("ftx", TradingMode.MARGIN),
("ftx", TradingMode.FUTURES)
])
def test__set_leverage(mocker, default_conf, exchange_name, trading_mode):
api_mock = MagicMock()
api_mock.set_leverage = MagicMock()
type(api_mock).has = PropertyMock(return_value={'setLeverage': True})
default_conf['dry_run'] = False
ccxt_exceptionhandlers(
mocker,
default_conf,
api_mock,
exchange_name,
"_set_leverage",
"set_leverage",
pair="XRP/USDT",
leverage=5.0,
trading_mode=trading_mode
)
@pytest.mark.parametrize("collateral", [
(Collateral.CROSS),
(Collateral.ISOLATED)
])
def test_set_margin_mode(mocker, default_conf, collateral):
api_mock = MagicMock()
api_mock.set_margin_mode = MagicMock()
type(api_mock).has = PropertyMock(return_value={'setMarginMode': True})
default_conf['dry_run'] = False
ccxt_exceptionhandlers(
mocker,
default_conf,
api_mock,
"binance",
"set_margin_mode",
"set_margin_mode",
pair="XRP/USDT",
collateral=collateral
)
@pytest.mark.parametrize("exchange_name, trading_mode, collateral, exception_thrown", [
("binance", TradingMode.SPOT, None, False),
("binance", TradingMode.MARGIN, Collateral.ISOLATED, True),
("kraken", TradingMode.SPOT, None, False),
("kraken", TradingMode.MARGIN, Collateral.ISOLATED, True),
("kraken", TradingMode.FUTURES, Collateral.ISOLATED, True),
("ftx", TradingMode.SPOT, None, False),
("ftx", TradingMode.MARGIN, Collateral.ISOLATED, True),
("ftx", TradingMode.FUTURES, Collateral.ISOLATED, True),
("bittrex", TradingMode.SPOT, None, False),
("bittrex", TradingMode.MARGIN, Collateral.CROSS, True),
("bittrex", TradingMode.MARGIN, Collateral.ISOLATED, True),
("bittrex", TradingMode.FUTURES, Collateral.CROSS, True),
("bittrex", TradingMode.FUTURES, Collateral.ISOLATED, True),
# TODO-lev: Remove once implemented
("binance", TradingMode.MARGIN, Collateral.CROSS, True),
("binance", TradingMode.FUTURES, Collateral.CROSS, True),
("binance", TradingMode.FUTURES, Collateral.ISOLATED, True),
("kraken", TradingMode.MARGIN, Collateral.CROSS, True),
("kraken", TradingMode.FUTURES, Collateral.CROSS, True),
("ftx", TradingMode.MARGIN, Collateral.CROSS, True),
("ftx", TradingMode.FUTURES, Collateral.CROSS, True),
# TODO-lev: Uncomment once implemented
# ("binance", TradingMode.MARGIN, Collateral.CROSS, False),
# ("binance", TradingMode.FUTURES, Collateral.CROSS, False),
# ("binance", TradingMode.FUTURES, Collateral.ISOLATED, False),
# ("kraken", TradingMode.MARGIN, Collateral.CROSS, False),
# ("kraken", TradingMode.FUTURES, Collateral.CROSS, False),
# ("ftx", TradingMode.MARGIN, Collateral.CROSS, False),
# ("ftx", TradingMode.FUTURES, Collateral.CROSS, False)
])
def test_validate_trading_mode_and_collateral(
default_conf,
mocker,
exchange_name,
trading_mode,
collateral,
exception_thrown
):
exchange = get_patched_exchange(
mocker, default_conf, id=exchange_name, mock_supported_modes=False)
if (exception_thrown):
with pytest.raises(OperationalException):
exchange.validate_trading_mode_and_collateral(trading_mode, collateral)
else:
exchange.validate_trading_mode_and_collateral(trading_mode, collateral)