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test: Add comprehensive test for stacked_imbalances with multiple price entries

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This commit is contained in:
Joe Schr
2025-01-03 16:27:18 +01:00
parent 5589578872
commit ea96abecd0
1 changed files with 36 additions and 0 deletions
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36
tests/data/test_converter_orderflow.py
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@@ -7,6 +7,7 @@ from freqtrade.data.converter.orderflow import (
ORDERFLOW_ADDED_COLUMNS,
timeframe_to_DateOffset,
trades_to_volumeprofile_with_total_delta_bid_ask,
stacked_imbalance,
)
from freqtrade.data.converter.trade_converter import trades_list_to_df
from freqtrade.data.dataprovider import DataProvider
@@ -569,6 +570,41 @@ def test_analyze_with_orderflow(
assert isinstance(lastval_of2, dict)
def test_stacked_imbalances_multiple_prices():
"""Test that stacked imbalances correctly returns multiple price levels when present"""
# Test with empty result
df_no_stacks = pd.DataFrame(
{
'bid_imbalance': [False, False, True, False],
'ask_imbalance': [False, True, False, False]
},
index=[234.95, 234.96, 234.97, 234.98]
)
no_stacks = stacked_imbalance(df_no_stacks, "bid", stacked_imbalance_range=2, should_reverse=False)
assert no_stacks == [np.nan]
# Create a sample DataFrame with known imbalances
df = pd.DataFrame(
{
'bid_imbalance': [True, True, True, False, False, True, True, False],
'ask_imbalance': [False, False, True, True, True, False, False, True]
},
index=[234.95, 234.96, 234.97, 234.98, 234.99, 235.00, 235.01, 235.02]
)
# Test bid imbalances (should return prices in ascending order)
bid_prices = stacked_imbalance(df, "bid", stacked_imbalance_range=2, should_reverse=False)
assert bid_prices == [234.95, 234.96, 234.97, 235.00, 235.01]
# Test ask imbalances (should return prices in descending order)
ask_prices = stacked_imbalance(df, "ask", stacked_imbalance_range=2, should_reverse=True)
assert ask_prices == [235.02, 234.99, 234.98, 234.97]
# Test with higher stacked_imbalance_range
bid_prices_higher = stacked_imbalance(df, "bid", stacked_imbalance_range=3, should_reverse=False)
assert bid_prices_higher == [234.95, 234.96, 234.97]
def test_timeframe_to_DateOffset():
assert timeframe_to_DateOffset("1s") == pd.DateOffset(seconds=1)
assert timeframe_to_DateOffset("1m") == pd.DateOffset(minutes=1)