Merge pull request #10138 from freqtrade/backtest_max_fee

Backtest max fee

freqtrade/constants.py

@@ -171,6 +171,7 @@ CONF_SCHEMA = {
         'use_exit_signal': {'type': 'boolean'},
         'exit_profit_only': {'type': 'boolean'},
         'exit_profit_offset': {'type': 'number'},
+        'fee': {'type': 'number', 'minimum': 0, 'maximum': 0.1},
         'ignore_roi_if_entry_signal': {'type': 'boolean'},
         'ignore_buying_expired_candle_after': {'type': 'number'},
         'trading_mode': {'type': 'string', 'enum': TRADING_MODES},

freqtrade/optimize/backtesting.py

@@ -134,8 +134,17 @@ class Backtesting:
 
         if config.get('fee', None) is not None:
             self.fee = config['fee']
+            logger.info(f"Using fee {self.fee:.4%} from config.")
         else:
-            self.fee = self.exchange.get_fee(symbol=self.pairlists.whitelist[0])
+            fees = [
+                self.exchange.get_fee(
+                    symbol=self.pairlists.whitelist[0],
+                    taker_or_maker=mt,  # type: ignore
+                    )
+                for mt in ('taker', 'maker')
+            ]
+            self.fee = max(fee for fee in fees if fee is not None)
+            logger.info(f"Using fee {self.fee:.4%} - worst case fee from exchange (lowest tier).")
         self.precision_mode = self.exchange.precisionMode
 
         if self.config.get('freqai_backtest_live_models', False):

tests/conftest.py

@@ -241,6 +241,7 @@ def patch_exchange(
     if api_mock:
         mocker.patch(f'{EXMS}._init_ccxt', return_value=api_mock)
     else:
+        mocker.patch(f'{EXMS}.get_fee', return_value=0.0025)
         mocker.patch(f'{EXMS}._init_ccxt', MagicMock())
         mocker.patch(f'{EXMS}.timeframes', PropertyMock(
                 return_value=['5m', '15m', '1h', '1d']))

tests/exchange/test_exchange.py

@@ -1121,12 +1121,12 @@ def test_create_dry_run_order_fees(
     price_side,
     fee,
 ):
+    exchange = get_patched_exchange(mocker, default_conf)
     mocker.patch(
      f'{EXMS}.get_fee',
      side_effect=lambda symbol, taker_or_maker: 2.0 if taker_or_maker == 'taker' else 1.0
     )
     mocker.patch(f'{EXMS}._dry_is_price_crossed', return_value=price_side == 'other')
-    exchange = get_patched_exchange(mocker, default_conf)
 
     order = exchange.create_dry_run_order(
         pair='LTC/USDT',

tests/optimize/test_backtest_detail.py

@@ -921,12 +921,12 @@ def test_backtest_results(default_conf, mocker, caplog, data: BTContainer) -> No
     default_conf["use_exit_signal"] = data.use_exit_signal
     default_conf["max_open_trades"] = 10
 
+    patch_exchange(mocker)
     mocker.patch(f"{EXMS}.get_fee", return_value=0.0)
     mocker.patch(f"{EXMS}.get_min_pair_stake_amount", return_value=0.00001)
     mocker.patch(f"{EXMS}.get_max_pair_stake_amount", return_value=float('inf'))
     mocker.patch(f"{EXMS}.get_max_leverage", return_value=100)
     mocker.patch(f"{EXMS}.calculate_funding_fees", return_value=0)
-    patch_exchange(mocker)
     frame = _build_backtest_dataframe(data.data)
     backtesting = Backtesting(default_conf)
     # TODO: Should we initialize this properly??

tests/optimize/test_backtesting.py

@@ -298,12 +298,12 @@ def test_backtesting_init_no_timeframe(mocker, default_conf, caplog) -> None:
 
 def test_data_with_fee(default_conf, mocker) -> None:
     patch_exchange(mocker)
-    default_conf['fee'] = 0.1234
+    default_conf['fee'] = 0.01234
 
     fee_mock = mocker.patch(f'{EXMS}.get_fee', MagicMock(return_value=0.5))
     backtesting = Backtesting(default_conf)
     backtesting._set_strategy(backtesting.strategylist[0])
-    assert backtesting.fee == 0.1234
+    assert backtesting.fee == 0.01234
     assert fee_mock.call_count == 0
 
     default_conf['fee'] = 0.0
@@ -620,12 +620,11 @@ def test_backtest__enter_trade_futures(default_conf_usdt, fee, mocker) -> None:
     assert trade is None
 
 
-def test_backtest__check_trade_exit(default_conf, fee, mocker) -> None:
+def test_backtest__check_trade_exit(default_conf, mocker) -> None:
     default_conf['use_exit_signal'] = False
-    mocker.patch(f'{EXMS}.get_fee', fee)
+    patch_exchange(mocker)
     mocker.patch(f"{EXMS}.get_min_pair_stake_amount", return_value=0.00001)
     mocker.patch(f"{EXMS}.get_max_pair_stake_amount", return_value=float('inf'))
-    patch_exchange(mocker)
     default_conf['timeframe_detail'] = '1m'
     default_conf['max_open_trades'] = 2
     backtesting = Backtesting(default_conf)
@@ -683,14 +682,13 @@ def test_backtest__check_trade_exit(default_conf, fee, mocker) -> None:
     assert res is None
 
 
-def test_backtest_one(default_conf, fee, mocker, testdatadir) -> None:
+def test_backtest_one(default_conf, mocker, testdatadir) -> None:
     default_conf['use_exit_signal'] = False
     default_conf['max_open_trades'] = 10
 
-    mocker.patch(f'{EXMS}.get_fee', fee)
+    patch_exchange(mocker)
     mocker.patch(f"{EXMS}.get_min_pair_stake_amount", return_value=0.00001)
     mocker.patch(f"{EXMS}.get_max_pair_stake_amount", return_value=float('inf'))
-    patch_exchange(mocker)
     backtesting = Backtesting(default_conf)
     backtesting._set_strategy(backtesting.strategylist[0])
     pair = 'UNITTEST/BTC'
@@ -777,14 +775,13 @@ def test_backtest_one(default_conf, fee, mocker, testdatadir) -> None:
 
 
 @pytest.mark.parametrize('use_detail', [True, False])
-def test_backtest_one_detail(default_conf_usdt, fee, mocker, testdatadir, use_detail) -> None:
+def test_backtest_one_detail(default_conf_usdt, mocker, testdatadir, use_detail) -> None:
     default_conf_usdt['use_exit_signal'] = False
-    mocker.patch(f'{EXMS}.get_fee', fee)
+    patch_exchange(mocker)
     mocker.patch(f"{EXMS}.get_min_pair_stake_amount", return_value=0.00001)
     mocker.patch(f"{EXMS}.get_max_pair_stake_amount", return_value=float('inf'))
     if use_detail:
         default_conf_usdt['timeframe_detail'] = '1m'
-    patch_exchange(mocker)
 
     def advise_entry(df, *args, **kwargs):
         # Mock function to force several entries
@@ -864,14 +861,14 @@ def test_backtest_one_detail(default_conf_usdt, fee, mocker, testdatadir, use_de
     (False, -0.01780296, 5),
     ])
 def test_backtest_one_detail_futures(
-        default_conf_usdt, fee, mocker, testdatadir, use_detail, exp_funding_fee,
+        default_conf_usdt, mocker, testdatadir, use_detail, exp_funding_fee,
         exp_ff_updates) -> None:
     default_conf_usdt['use_exit_signal'] = False
     default_conf_usdt['trading_mode'] = 'futures'
     default_conf_usdt['margin_mode'] = 'isolated'
     default_conf_usdt['candle_type_def'] = CandleType.FUTURES
 
-    mocker.patch(f'{EXMS}.get_fee', fee)
+    patch_exchange(mocker)
     mocker.patch(f"{EXMS}.get_min_pair_stake_amount", return_value=0.00001)
     mocker.patch(f"{EXMS}.get_max_pair_stake_amount", return_value=float('inf'))
     mocker.patch('freqtrade.plugins.pairlistmanager.PairListManager.whitelist',
@@ -881,7 +878,6 @@ def test_backtest_one_detail_futures(
     default_conf_usdt['timeframe'] = '1h'
     if use_detail:
         default_conf_usdt['timeframe_detail'] = '5m'
-    patch_exchange(mocker)
 
     def advise_entry(df, *args, **kwargs):
         # Mock function to force several entries
@@ -1237,19 +1233,18 @@ def test_backtest_pricecontours_protections(default_conf, fee, mocker, testdatad
     ([{"method": "CooldownPeriod", "stop_duration": 3}], 'sine', 9),
     ([{"method": "CooldownPeriod", "stop_duration": 3}], 'raise', 10),
 ])
-def test_backtest_pricecontours(default_conf, fee, mocker, testdatadir,
+def test_backtest_pricecontours(default_conf, mocker, testdatadir,
                                 protections, contour, expected) -> None:
     if protections:
         default_conf['protections'] = protections
         default_conf['enable_protections'] = True
 
+    patch_exchange(mocker)
     mocker.patch(f"{EXMS}.get_min_pair_stake_amount", return_value=0.00001)
     mocker.patch(f"{EXMS}.get_max_pair_stake_amount", return_value=float('inf'))
-    mocker.patch(f'{EXMS}.get_fee', fee)
     # While entry-signals are unrealistic, running backtesting
     # over and over again should not cause different results
 
-    patch_exchange(mocker)
     default_conf['timeframe'] = '1m'
     backtesting = Backtesting(default_conf)
     backtesting._set_strategy(backtesting.strategylist[0])

tests/optimize/test_edge_cli.py

@@ -99,11 +99,11 @@ def test_edge_init(mocker, edge_conf) -> None:
 
 def test_edge_init_fee(mocker, edge_conf) -> None:
     patch_exchange(mocker)
-    edge_conf['fee'] = 0.1234
+    edge_conf['fee'] = 0.01234
     edge_conf['stake_amount'] = 20
     fee_mock = mocker.patch(f'{EXMS}.get_fee', return_value=0.5)
     edge_cli = EdgeCli(edge_conf)
-    assert edge_cli.edge.fee == 0.1234
+    assert edge_cli.edge.fee == 0.01234
     assert fee_mock.call_count == 0
 
 

tests/optimize/test_lookahead_analysis.py

@@ -343,11 +343,11 @@ def test_initialize_single_lookahead_analysis(lookahead_conf, mocker, caplog):
     'no_bias', 'bias1'
 ])
 def test_biased_strategy(lookahead_conf, mocker, caplog, scenario) -> None:
+    patch_exchange(mocker)
     mocker.patch('freqtrade.data.history.get_timerange', get_timerange)
     mocker.patch(f'{EXMS}.get_fee', return_value=0.0)
     mocker.patch(f'{EXMS}.get_min_pair_stake_amount', return_value=0.00001)
     mocker.patch(f'{EXMS}.get_max_pair_stake_amount', return_value=float('inf'))
-    patch_exchange(mocker)
     mocker.patch('freqtrade.plugins.pairlistmanager.PairListManager.whitelist',
                  PropertyMock(return_value=['UNITTEST/BTC']))
     lookahead_conf['pairs'] = ['UNITTEST/USDT']

tests/optimize/test_recursive_analysis.py

@@ -10,7 +10,7 @@ from freqtrade.data.history import get_timerange
 from freqtrade.exceptions import OperationalException
 from freqtrade.optimize.analysis.recursive import RecursiveAnalysis
 from freqtrade.optimize.analysis.recursive_helpers import RecursiveAnalysisSubFunctions
-from tests.conftest import get_args, log_has_re, patch_exchange
+from tests.conftest import EXMS, get_args, log_has_re, patch_exchange
 
 
 @pytest.fixture
@@ -152,8 +152,9 @@ def test_initialize_single_recursive_analysis(recursive_conf, mocker, caplog):
     'no_bias', 'bias1', 'bias2'
 ])
 def test_recursive_biased_strategy(recursive_conf, mocker, caplog, scenario) -> None:
-    mocker.patch('freqtrade.data.history.get_timerange', get_timerange)
     patch_exchange(mocker)
+    mocker.patch(f'{EXMS}.get_fee', return_value=0.0)
+    mocker.patch('freqtrade.data.history.get_timerange', get_timerange)
     mocker.patch('freqtrade.plugins.pairlistmanager.PairListManager.whitelist',
                  PropertyMock(return_value=['UNITTEST/BTC']))
     recursive_conf['pairs'] = ['UNITTEST/BTC']

tests/rpc/test_rpc.py

@@ -103,6 +103,7 @@ def test_rpc_trade_status(default_conf, ticker, fee, mocker) -> None:
             'funding_fee': ANY, 'ft_order_tag': None,
         }],
     }
+    freqtradebot = get_patched_freqtradebot(mocker, default_conf)
     mocker.patch('freqtrade.rpc.telegram.Telegram', MagicMock())
     mocker.patch.multiple(
         EXMS,
@@ -111,7 +112,6 @@ def test_rpc_trade_status(default_conf, ticker, fee, mocker) -> None:
         _dry_is_price_crossed=MagicMock(side_effect=[False, True]),
     )
 
-    freqtradebot = get_patched_freqtradebot(mocker, default_conf)
     patch_get_signal(freqtradebot)
     rpc = RPC(freqtradebot)