freqtrade_origin/tests/exchange/test_okx.py

from datetime import datetime, timedelta, timezone
from pathlib import Path
from unittest.mock import AsyncMock, MagicMock, PropertyMock

import ccxt
import pytest

from freqtrade.enums import CandleType, MarginMode, TradingMode
from freqtrade.exceptions import RetryableOrderError, TemporaryError
from freqtrade.exchange.exchange import timeframe_to_minutes
from tests.conftest import EXMS, get_patched_exchange, log_has
from tests.exchange.test_exchange import ccxt_exceptionhandlers


def test_okx_ohlcv_candle_limit(default_conf, mocker):
    exchange = get_patched_exchange(mocker, default_conf, id='okx')
    timeframes = ('1m', '5m', '1h')
    start_time = int(datetime(2021, 1, 1, tzinfo=timezone.utc).timestamp() * 1000)

    for timeframe in timeframes:
        assert exchange.ohlcv_candle_limit(timeframe, CandleType.SPOT) == 300
        assert exchange.ohlcv_candle_limit(timeframe, CandleType.FUTURES) == 300
        assert exchange.ohlcv_candle_limit(timeframe, CandleType.MARK) == 100
        assert exchange.ohlcv_candle_limit(timeframe, CandleType.FUNDING_RATE) == 100

        assert exchange.ohlcv_candle_limit(timeframe, CandleType.SPOT, start_time) == 100
        assert exchange.ohlcv_candle_limit(timeframe, CandleType.FUTURES, start_time) == 100
        assert exchange.ohlcv_candle_limit(timeframe, CandleType.MARK, start_time) == 100
        assert exchange.ohlcv_candle_limit(timeframe, CandleType.FUNDING_RATE, start_time) == 100
        one_call = int((datetime.now(timezone.utc) - timedelta(
            minutes=290 * timeframe_to_minutes(timeframe))).timestamp() * 1000)

        assert exchange.ohlcv_candle_limit(timeframe, CandleType.SPOT, one_call) == 300
        assert exchange.ohlcv_candle_limit(timeframe, CandleType.FUTURES, one_call) == 300

        one_call = int((datetime.now(timezone.utc) - timedelta(
            minutes=320 * timeframe_to_minutes(timeframe))).timestamp() * 1000)
        assert exchange.ohlcv_candle_limit(timeframe, CandleType.SPOT, one_call) == 100
        assert exchange.ohlcv_candle_limit(timeframe, CandleType.FUTURES, one_call) == 100


def test_get_maintenance_ratio_and_amt_okx(
    default_conf,
    mocker,
):
    api_mock = MagicMock()
    default_conf['trading_mode'] = 'futures'
    default_conf['margin_mode'] = 'isolated'
    default_conf['dry_run'] = False
    mocker.patch.multiple(
        'freqtrade.exchange.okx.Okx',
        exchange_has=MagicMock(return_value=True),
        load_leverage_tiers=MagicMock(return_value={
            'ETH/USDT:USDT': [
                {
                    'tier': 1,
                    'minNotional': 0,
                    'maxNotional': 2000,
                    'maintenanceMarginRate': 0.01,
                    'maxLeverage': 75,
                    'info': {
                        'baseMaxLoan': '',
                        'imr': '0.013',
                        'instId': '',
                        'maxLever': '75',
                        'maxSz': '2000',
                        'minSz': '0',
                        'mmr': '0.01',
                        'optMgnFactor': '0',
                        'quoteMaxLoan': '',
                        'tier': '1',
                        'uly': 'ETH-USDT'
                    }
                },
                {
                    'tier': 2,
                    'minNotional': 2001,
                    'maxNotional': 4000,
                    'maintenanceMarginRate': 0.015,
                    'maxLeverage': 50,
                    'info': {
                        'baseMaxLoan': '',
                        'imr': '0.02',
                        'instId': '',
                        'maxLever': '50',
                        'maxSz': '4000',
                        'minSz': '2001',
                        'mmr': '0.015',
                        'optMgnFactor': '0',
                        'quoteMaxLoan': '',
                        'tier': '2',
                        'uly': 'ETH-USDT'
                    }
                },
                {
                    'tier': 3,
                    'minNotional': 4001,
                    'maxNotional': 8000,
                    'maintenanceMarginRate': 0.02,
                    'maxLeverage': 20,
                    'info': {
                        'baseMaxLoan': '',
                        'imr': '0.05',
                        'instId': '',
                        'maxLever': '20',
                        'maxSz': '8000',
                        'minSz': '4001',
                        'mmr': '0.02',
                        'optMgnFactor': '0',
                        'quoteMaxLoan': '',
                        'tier': '3',
                        'uly': 'ETH-USDT'
                    }
                },
            ],
            'ADA/USDT:USDT': [
                {
                    'tier': 1,
                    'minNotional': 0,
                    'maxNotional': 500,
                    'maintenanceMarginRate': 0.02,
                    'maxLeverage': 75,
                    'info': {
                        'baseMaxLoan': '',
                        'imr': '0.013',
                        'instId': '',
                        'maxLever': '75',
                        'maxSz': '500',
                        'minSz': '0',
                        'mmr': '0.01',
                        'optMgnFactor': '0',
                        'quoteMaxLoan': '',
                        'tier': '1',
                        'uly': 'ADA-USDT'
                    }
                },
                {
                    'tier': 2,
                    'minNotional': 501,
                    'maxNotional': 1000,
                    'maintenanceMarginRate': 0.025,
                    'maxLeverage': 50,
                    'info': {
                        'baseMaxLoan': '',
                        'imr': '0.02',
                        'instId': '',
                        'maxLever': '50',
                        'maxSz': '1000',
                        'minSz': '501',
                        'mmr': '0.015',
                        'optMgnFactor': '0',
                        'quoteMaxLoan': '',
                        'tier': '2',
                        'uly': 'ADA-USDT'
                    }
                },
                {
                    'tier': 3,
                    'minNotional': 1001,
                    'maxNotional': 2000,
                    'maintenanceMarginRate': 0.03,
                    'maxLeverage': 20,
                    'info': {
                        'baseMaxLoan': '',
                        'imr': '0.05',
                        'instId': '',
                        'maxLever': '20',
                        'maxSz': '2000',
                        'minSz': '1001',
                        'mmr': '0.02',
                        'optMgnFactor': '0',
                        'quoteMaxLoan': '',
                        'tier': '3',
                        'uly': 'ADA-USDT'
                    }
                },
            ]
        })
    )
    exchange = get_patched_exchange(mocker, default_conf, api_mock, id="okx")
    assert exchange.get_maintenance_ratio_and_amt('ETH/USDT:USDT', 2000) == (0.01, None)
    assert exchange.get_maintenance_ratio_and_amt('ETH/USDT:USDT', 2001) == (0.015, None)
    assert exchange.get_maintenance_ratio_and_amt('ETH/USDT:USDT', 4001) == (0.02, None)
    assert exchange.get_maintenance_ratio_and_amt('ETH/USDT:USDT', 8000) == (0.02, None)

    assert exchange.get_maintenance_ratio_and_amt('ADA/USDT:USDT', 1) == (0.02, None)
    assert exchange.get_maintenance_ratio_and_amt('ADA/USDT:USDT', 2000) == (0.03, None)


def test_get_max_pair_stake_amount_okx(default_conf, mocker, leverage_tiers):

    exchange = get_patched_exchange(mocker, default_conf, id="okx")
    assert exchange.get_max_pair_stake_amount('BNB/BUSD', 1.0) == float('inf')

    default_conf['trading_mode'] = 'futures'
    default_conf['margin_mode'] = 'isolated'
    exchange = get_patched_exchange(mocker, default_conf, id="okx")
    exchange._leverage_tiers = leverage_tiers

    assert exchange.get_max_pair_stake_amount('BNB/BUSD:BUSD', 1.0) == 30000000
    assert exchange.get_max_pair_stake_amount('BNB/USDT:USDT', 1.0) == 50000000
    assert exchange.get_max_pair_stake_amount('BTC/USDT:USDT', 1.0) == 1000000000
    assert exchange.get_max_pair_stake_amount('BTC/USDT:USDT', 1.0, 10.0) == 100000000

    assert exchange.get_max_pair_stake_amount('TTT/USDT:USDT', 1.0) == float('inf')  # Not in tiers


@pytest.mark.parametrize('mode,side,reduceonly,result', [
    ('net', 'buy', False, 'net'),
    ('net', 'sell', True, 'net'),
    ('net', 'sell', False, 'net'),
    ('net', 'buy', True, 'net'),
    ('longshort', 'buy', False, 'long'),
    ('longshort', 'sell', True, 'long'),
    ('longshort', 'sell', False, 'short'),
    ('longshort', 'buy', True, 'short'),
])
def test__get_posSide(default_conf, mocker, mode, side, reduceonly, result):

    exchange = get_patched_exchange(mocker, default_conf, id="okx")
    exchange.net_only = mode == 'net'
    assert exchange._get_posSide(side, reduceonly) == result


def test_additional_exchange_init_okx(default_conf, mocker):
    api_mock = MagicMock()
    api_mock.fetch_accounts = MagicMock(return_value=[
        {'id': '2555',
         'type': '2',
         'currency': None,
         'info': {'acctLv': '2',
                  'autoLoan': False,
                  'ctIsoMode': 'automatic',
                  'greeksType': 'PA',
                  'level': 'Lv1',
                  'levelTmp': '',
                  'mgnIsoMode': 'automatic',
                  'posMode': 'long_short_mode',
                  'uid': '2555'}}])
    default_conf['dry_run'] = False
    exchange = get_patched_exchange(mocker, default_conf, id="okx", api_mock=api_mock)
    assert api_mock.fetch_accounts.call_count == 0
    exchange.trading_mode = TradingMode.FUTURES
    # Default to netOnly
    assert exchange.net_only
    exchange.additional_exchange_init()
    assert api_mock.fetch_accounts.call_count == 1
    assert not exchange.net_only

    api_mock.fetch_accounts = MagicMock(return_value=[
            {'id': '2555',
             'type': '2',
             'currency': None,
             'info': {'acctLv': '2',
                      'autoLoan': False,
                      'ctIsoMode': 'automatic',
                      'greeksType': 'PA',
                      'level': 'Lv1',
                      'levelTmp': '',
                      'mgnIsoMode': 'automatic',
                      'posMode': 'net_mode',
                      'uid': '2555'}}])
    exchange.additional_exchange_init()
    assert api_mock.fetch_accounts.call_count == 1
    assert exchange.net_only
    default_conf['trading_mode'] = 'futures'
    default_conf['margin_mode'] = 'isolated'
    ccxt_exceptionhandlers(mocker, default_conf, api_mock, 'okx',
                           "additional_exchange_init", "fetch_accounts")


def test_load_leverage_tiers_okx(default_conf, mocker, markets, tmpdir, caplog, time_machine):

    default_conf['datadir'] = Path(tmpdir)
    # fd_mock = mocker.patch('freqtrade.exchange.exchange.file_dump_json')
    api_mock = MagicMock()
    type(api_mock).has = PropertyMock(return_value={
        'fetchLeverageTiers': False,
        'fetchMarketLeverageTiers': True,
    })
    api_mock.fetch_market_leverage_tiers = AsyncMock(side_effect=[
        [
            {
                'tier': 1,
                'minNotional': 0,
                'maxNotional': 500,
                'maintenanceMarginRate': 0.02,
                'maxLeverage': 75,
                'info': {
                    'baseMaxLoan': '',
                    'imr': '0.013',
                    'instId': '',
                    'maxLever': '75',
                    'maxSz': '500',
                    'minSz': '0',
                    'mmr': '0.01',
                    'optMgnFactor': '0',
                    'quoteMaxLoan': '',
                    'tier': '1',
                    'uly': 'ADA-USDT'
                }
            },
            {
                'tier': 2,
                'minNotional': 501,
                'maxNotional': 1000,
                'maintenanceMarginRate': 0.025,
                'maxLeverage': 50,
                'info': {
                    'baseMaxLoan': '',
                    'imr': '0.02',
                    'instId': '',
                    'maxLever': '50',
                    'maxSz': '1000',
                    'minSz': '501',
                    'mmr': '0.015',
                    'optMgnFactor': '0',
                    'quoteMaxLoan': '',
                    'tier': '2',
                    'uly': 'ADA-USDT'
                }
            },
            {
                'tier': 3,
                'minNotional': 1001,
                'maxNotional': 2000,
                'maintenanceMarginRate': 0.03,
                'maxLeverage': 20,
                'info': {
                    'baseMaxLoan': '',
                    'imr': '0.05',
                    'instId': '',
                    'maxLever': '20',
                    'maxSz': '2000',
                    'minSz': '1001',
                    'mmr': '0.02',
                    'optMgnFactor': '0',
                    'quoteMaxLoan': '',
                    'tier': '3',
                    'uly': 'ADA-USDT'
                }
            },
        ],
        TemporaryError("this Failed"),
        [
            {
                'tier': 1,
                'minNotional': 0,
                'maxNotional': 2000,
                'maintenanceMarginRate': 0.01,
                'maxLeverage': 75,
                'info': {
                    'baseMaxLoan': '',
                    'imr': '0.013',
                    'instId': '',
                    'maxLever': '75',
                    'maxSz': '2000',
                    'minSz': '0',
                    'mmr': '0.01',
                    'optMgnFactor': '0',
                    'quoteMaxLoan': '',
                    'tier': '1',
                    'uly': 'ETH-USDT'
                }
            },
            {
                'tier': 2,
                'minNotional': 2001,
                'maxNotional': 4000,
                'maintenanceMarginRate': 0.015,
                'maxLeverage': 50,
                'info': {
                    'baseMaxLoan': '',
                    'imr': '0.02',
                    'instId': '',
                    'maxLever': '50',
                    'maxSz': '4000',
                    'minSz': '2001',
                    'mmr': '0.015',
                    'optMgnFactor': '0',
                    'quoteMaxLoan': '',
                    'tier': '2',
                    'uly': 'ETH-USDT'
                }
            },
            {
                'tier': 3,
                'minNotional': 4001,
                'maxNotional': 8000,
                'maintenanceMarginRate': 0.02,
                'maxLeverage': 20,
                'info': {
                    'baseMaxLoan': '',
                    'imr': '0.05',
                    'instId': '',
                    'maxLever': '20',
                    'maxSz': '8000',
                    'minSz': '4001',
                    'mmr': '0.02',
                    'optMgnFactor': '0',
                    'quoteMaxLoan': '',
                    'tier': '3',
                    'uly': 'ETH-USDT'
                }
            },
        ]
    ])
    default_conf['trading_mode'] = 'futures'
    default_conf['margin_mode'] = 'isolated'
    default_conf['stake_currency'] = 'USDT'
    exchange = get_patched_exchange(mocker, default_conf, api_mock, id="okx")
    exchange.trading_mode = TradingMode.FUTURES
    exchange.margin_mode = MarginMode.ISOLATED
    exchange.markets = markets
    # Initialization of load_leverage_tiers happens as part of exchange init.
    assert exchange._leverage_tiers == {
        'ADA/USDT:USDT': [
            {
                'minNotional': 0,
                'maxNotional': 500,
                'maintenanceMarginRate': 0.02,
                'maxLeverage': 75,
                'maintAmt': None
            },
            {
                'minNotional': 501,
                'maxNotional': 1000,
                'maintenanceMarginRate': 0.025,
                'maxLeverage': 50,
                'maintAmt': None
            },
            {
                'minNotional': 1001,
                'maxNotional': 2000,
                'maintenanceMarginRate': 0.03,
                'maxLeverage': 20,
                'maintAmt': None
            },
        ],
        'ETH/USDT:USDT': [
            {
                'minNotional': 0,
                'maxNotional': 2000,
                'maintenanceMarginRate': 0.01,
                'maxLeverage': 75,
                'maintAmt': None
            },
            {
                'minNotional': 2001,
                'maxNotional': 4000,
                'maintenanceMarginRate': 0.015,
                'maxLeverage': 50,
                'maintAmt': None
            },
            {
                'minNotional': 4001,
                'maxNotional': 8000,
                'maintenanceMarginRate': 0.02,
                'maxLeverage': 20,
                'maintAmt': None
            },
        ],
    }
    filename = (default_conf['datadir'] /
                f"futures/leverage_tiers_{default_conf['stake_currency']}.json")
    assert filename.is_file()

    logmsg = 'Cached leverage tiers are outdated. Will update.'
    assert not log_has(logmsg, caplog)

    api_mock.fetch_market_leverage_tiers.reset_mock()

    exchange.load_leverage_tiers()
    assert not log_has(logmsg, caplog)

    api_mock.fetch_market_leverage_tiers.call_count == 0
    # 2 day passes ...
    time_machine.move_to(datetime.now() + timedelta(weeks=5))
    exchange.load_leverage_tiers()

    assert log_has(logmsg, caplog)


def test__set_leverage_okx(mocker, default_conf):

    api_mock = MagicMock()
    api_mock.set_leverage = MagicMock()
    type(api_mock).has = PropertyMock(return_value={'setLeverage': True})
    default_conf['dry_run'] = False
    default_conf['trading_mode'] = TradingMode.FUTURES
    default_conf['margin_mode'] = MarginMode.ISOLATED

    exchange = get_patched_exchange(mocker, default_conf, api_mock, id="okx")
    exchange._lev_prep('BTC/USDT:USDT', 3.2, 'buy')
    assert api_mock.set_leverage.call_count == 1
    # Leverage is rounded to 3.
    assert api_mock.set_leverage.call_args_list[0][1]['leverage'] == 3.2
    assert api_mock.set_leverage.call_args_list[0][1]['symbol'] == 'BTC/USDT:USDT'
    assert api_mock.set_leverage.call_args_list[0][1]['params'] == {
        'mgnMode': 'isolated',
        'posSide': 'net'}
    api_mock.set_leverage = MagicMock(side_effect=ccxt.NetworkError())
    exchange._lev_prep('BTC/USDT:USDT', 3.2, 'buy')
    api_mock.fetch_leverage.call_count == 1

    api_mock.fetch_leverage = MagicMock(side_effect=ccxt.NetworkError())
    ccxt_exceptionhandlers(
        mocker,
        default_conf,
        api_mock,
        "okx",
        "_lev_prep",
        "set_leverage",
        pair="XRP/USDT:USDT",
        leverage=5.0,
        side='buy'
    )


@pytest.mark.usefixtures("init_persistence")
def test_fetch_stoploss_order_okx(default_conf, mocker):
    default_conf['dry_run'] = False
    api_mock = MagicMock()
    api_mock.fetch_order = MagicMock()

    exchange = get_patched_exchange(mocker, default_conf, api_mock, id='okx')

    exchange.fetch_stoploss_order('1234', 'ETH/BTC')
    assert api_mock.fetch_order.call_count == 1
    assert api_mock.fetch_order.call_args_list[0][0][0] == '1234'
    assert api_mock.fetch_order.call_args_list[0][0][1] == 'ETH/BTC'
    assert api_mock.fetch_order.call_args_list[0][1]['params'] == {'stop': True}

    api_mock.fetch_order = MagicMock(side_effect=ccxt.OrderNotFound)
    api_mock.fetch_open_orders = MagicMock(return_value=[])
    api_mock.fetch_closed_orders = MagicMock(return_value=[])
    api_mock.fetch_canceled_orders = MagicMock(creturn_value=[])

    with pytest.raises(RetryableOrderError):
        exchange.fetch_stoploss_order('1234', 'ETH/BTC')
    assert api_mock.fetch_order.call_count == 1
    assert api_mock.fetch_open_orders.call_count == 1
    assert api_mock.fetch_closed_orders.call_count == 1
    assert api_mock.fetch_canceled_orders.call_count == 1

    api_mock.fetch_order.reset_mock()
    api_mock.fetch_open_orders.reset_mock()
    api_mock.fetch_closed_orders.reset_mock()
    api_mock.fetch_canceled_orders.reset_mock()

    api_mock.fetch_closed_orders = MagicMock(return_value=[
        {
            'id': '1234',
            'status': 'closed',
            'info': {'ordId': '123455'}
        }
    ])
    mocker.patch(f"{EXMS}.fetch_order", MagicMock(return_value={'id': '123455'}))
    resp = exchange.fetch_stoploss_order('1234', 'ETH/BTC')
    assert api_mock.fetch_order.call_count == 1
    assert api_mock.fetch_open_orders.call_count == 1
    assert api_mock.fetch_closed_orders.call_count == 1
    assert api_mock.fetch_canceled_orders.call_count == 0

    assert resp['id'] == '1234'
    assert resp['id_stop'] == '123455'
    assert resp['type'] == 'stoploss'

    default_conf['dry_run'] = True
    exchange = get_patched_exchange(mocker, default_conf, api_mock, id='okx')
    dro_mock = mocker.patch(f"{EXMS}.fetch_dry_run_order", MagicMock(return_value={'id': '123455'}))

    api_mock.fetch_order.reset_mock()
    api_mock.fetch_open_orders.reset_mock()
    api_mock.fetch_closed_orders.reset_mock()
    api_mock.fetch_canceled_orders.reset_mock()
    resp = exchange.fetch_stoploss_order('1234', 'ETH/BTC')

    assert api_mock.fetch_order.call_count == 0
    assert api_mock.fetch_open_orders.call_count == 0
    assert api_mock.fetch_closed_orders.call_count == 0
    assert api_mock.fetch_canceled_orders.call_count == 0
    assert dro_mock.call_count == 1


@pytest.mark.parametrize('sl1,sl2,sl3,side', [
    (1501, 1499, 1501, "sell"),
    (1499, 1501, 1499, "buy")
])
def test_stoploss_adjust_okx(mocker, default_conf, sl1, sl2, sl3, side):
    exchange = get_patched_exchange(mocker, default_conf, id='okx')
    order = {
        'type': 'stoploss',
        'price': 1500,
        'stopLossPrice': 1500,
    }
    assert exchange.stoploss_adjust(sl1, order, side=side)
    assert not exchange.stoploss_adjust(sl2, order, side=side)


def test_stoploss_cancel_okx(mocker, default_conf):
    exchange = get_patched_exchange(mocker, default_conf, id='okx')

    exchange.cancel_order = MagicMock()

    exchange.cancel_stoploss_order('1234', 'ETH/USDT')
    assert exchange.cancel_order.call_count == 1
    assert exchange.cancel_order.call_args_list[0][1]['order_id'] == '1234'
    assert exchange.cancel_order.call_args_list[0][1]['pair'] == 'ETH/USDT'
    assert exchange.cancel_order.call_args_list[0][1]['params'] == {'stop': True}


def test__get_stop_params_okx(mocker, default_conf):
    default_conf['trading_mode'] = 'futures'
    default_conf['margin_mode'] = 'isolated'
    exchange = get_patched_exchange(mocker, default_conf, id='okx')
    params = exchange._get_stop_params('ETH/USDT:USDT', 1500, 'sell')

    assert params['tdMode'] == 'isolated'
    assert params['posSide'] == 'net'