2022-05-14 11:52:58 +00:00
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from datetime import datetime, timedelta, timezone
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2022-08-20 11:47:34 +00:00
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from pathlib import Path
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2022-02-24 16:06:30 +00:00
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from unittest.mock import MagicMock, PropertyMock
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2022-02-06 02:54:58 +00:00
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2022-05-07 08:56:13 +00:00
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import pytest
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2022-02-14 23:34:59 +00:00
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from freqtrade.enums import MarginMode, TradingMode
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2022-05-14 11:52:58 +00:00
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from freqtrade.enums.candletype import CandleType
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from freqtrade.exchange.exchange import timeframe_to_minutes
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2022-08-20 11:47:34 +00:00
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from tests.conftest import get_mock_coro, get_patched_exchange, log_has
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2022-05-07 08:56:13 +00:00
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from tests.exchange.test_exchange import ccxt_exceptionhandlers
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2022-02-06 02:54:58 +00:00
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2022-05-14 11:52:58 +00:00
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def test_okx_ohlcv_candle_limit(default_conf, mocker):
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exchange = get_patched_exchange(mocker, default_conf, id='okx')
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timeframes = ('1m', '5m', '1h')
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start_time = int(datetime(2021, 1, 1, tzinfo=timezone.utc).timestamp() * 1000)
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for timeframe in timeframes:
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assert exchange.ohlcv_candle_limit(timeframe, CandleType.SPOT) == 300
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assert exchange.ohlcv_candle_limit(timeframe, CandleType.FUTURES) == 300
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assert exchange.ohlcv_candle_limit(timeframe, CandleType.MARK) == 100
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assert exchange.ohlcv_candle_limit(timeframe, CandleType.FUNDING_RATE) == 100
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2022-05-14 17:32:28 +00:00
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2022-05-14 11:52:58 +00:00
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assert exchange.ohlcv_candle_limit(timeframe, CandleType.SPOT, start_time) == 100
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assert exchange.ohlcv_candle_limit(timeframe, CandleType.FUTURES, start_time) == 100
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assert exchange.ohlcv_candle_limit(timeframe, CandleType.MARK, start_time) == 100
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assert exchange.ohlcv_candle_limit(timeframe, CandleType.FUNDING_RATE, start_time) == 100
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one_call = int((datetime.now(timezone.utc) - timedelta(
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minutes=290 * timeframe_to_minutes(timeframe))).timestamp() * 1000)
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2022-05-14 17:32:28 +00:00
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2022-05-14 11:52:58 +00:00
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assert exchange.ohlcv_candle_limit(timeframe, CandleType.SPOT, one_call) == 300
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assert exchange.ohlcv_candle_limit(timeframe, CandleType.FUTURES, one_call) == 300
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2022-05-14 17:32:28 +00:00
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2022-05-14 11:52:58 +00:00
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one_call = int((datetime.now(timezone.utc) - timedelta(
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minutes=320 * timeframe_to_minutes(timeframe))).timestamp() * 1000)
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assert exchange.ohlcv_candle_limit(timeframe, CandleType.SPOT, one_call) == 100
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assert exchange.ohlcv_candle_limit(timeframe, CandleType.FUTURES, one_call) == 100
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2022-02-13 03:59:26 +00:00
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def test_get_maintenance_ratio_and_amt_okx(
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2022-02-06 02:54:58 +00:00
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default_conf,
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mocker,
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):
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api_mock = MagicMock()
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default_conf['trading_mode'] = 'futures'
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default_conf['margin_mode'] = 'isolated'
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2022-02-10 09:31:16 +00:00
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default_conf['dry_run'] = False
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2022-02-13 03:59:26 +00:00
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mocker.patch.multiple(
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'freqtrade.exchange.Okx',
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2022-02-13 12:00:38 +00:00
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exchange_has=MagicMock(return_value=True),
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2022-02-13 03:59:26 +00:00
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load_leverage_tiers=MagicMock(return_value={
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'ETH/USDT:USDT': [
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{
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'tier': 1,
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2022-04-17 03:47:44 +00:00
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'minNotional': 0,
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'maxNotional': 2000,
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2022-02-16 15:04:43 +00:00
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'maintenanceMarginRate': 0.01,
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2022-02-13 03:59:26 +00:00
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'maxLeverage': 75,
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'info': {
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'baseMaxLoan': '',
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'imr': '0.013',
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'instId': '',
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'maxLever': '75',
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'maxSz': '2000',
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'minSz': '0',
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'mmr': '0.01',
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'optMgnFactor': '0',
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'quoteMaxLoan': '',
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'tier': '1',
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'uly': 'ETH-USDT'
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}
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},
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{
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'tier': 2,
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2022-04-17 03:47:44 +00:00
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'minNotional': 2001,
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'maxNotional': 4000,
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2022-02-16 15:04:43 +00:00
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'maintenanceMarginRate': 0.015,
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2022-02-13 03:59:26 +00:00
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'maxLeverage': 50,
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'info': {
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'baseMaxLoan': '',
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'imr': '0.02',
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'instId': '',
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'maxLever': '50',
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'maxSz': '4000',
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'minSz': '2001',
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'mmr': '0.015',
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'optMgnFactor': '0',
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'quoteMaxLoan': '',
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'tier': '2',
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'uly': 'ETH-USDT'
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}
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},
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{
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'tier': 3,
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2022-04-17 03:47:44 +00:00
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'minNotional': 4001,
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'maxNotional': 8000,
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2022-02-16 15:04:43 +00:00
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'maintenanceMarginRate': 0.02,
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2022-02-13 03:59:26 +00:00
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'maxLeverage': 20,
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'info': {
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'baseMaxLoan': '',
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'imr': '0.05',
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'instId': '',
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'maxLever': '20',
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'maxSz': '8000',
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'minSz': '4001',
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'mmr': '0.02',
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'optMgnFactor': '0',
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'quoteMaxLoan': '',
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'tier': '3',
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'uly': 'ETH-USDT'
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}
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},
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],
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'ADA/USDT:USDT': [
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{
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'tier': 1,
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2022-04-17 03:47:44 +00:00
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'minNotional': 0,
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'maxNotional': 500,
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2022-02-16 15:04:43 +00:00
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'maintenanceMarginRate': 0.02,
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2022-02-13 03:59:26 +00:00
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'maxLeverage': 75,
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'info': {
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'baseMaxLoan': '',
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'imr': '0.013',
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'instId': '',
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'maxLever': '75',
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'maxSz': '500',
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'minSz': '0',
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'mmr': '0.01',
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'optMgnFactor': '0',
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'quoteMaxLoan': '',
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'tier': '1',
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'uly': 'ADA-USDT'
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}
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},
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{
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'tier': 2,
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2022-04-17 03:47:44 +00:00
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'minNotional': 501,
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'maxNotional': 1000,
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2022-02-16 15:04:43 +00:00
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'maintenanceMarginRate': 0.025,
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2022-02-13 03:59:26 +00:00
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'maxLeverage': 50,
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'info': {
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'baseMaxLoan': '',
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'imr': '0.02',
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'instId': '',
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'maxLever': '50',
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'maxSz': '1000',
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'minSz': '501',
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'mmr': '0.015',
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'optMgnFactor': '0',
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'quoteMaxLoan': '',
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'tier': '2',
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'uly': 'ADA-USDT'
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}
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},
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{
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'tier': 3,
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2022-04-17 03:47:44 +00:00
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'minNotional': 1001,
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'maxNotional': 2000,
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2022-02-16 15:04:43 +00:00
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'maintenanceMarginRate': 0.03,
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2022-02-13 03:59:26 +00:00
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'maxLeverage': 20,
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'info': {
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'baseMaxLoan': '',
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'imr': '0.05',
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'instId': '',
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'maxLever': '20',
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'maxSz': '2000',
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'minSz': '1001',
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'mmr': '0.02',
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'optMgnFactor': '0',
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'quoteMaxLoan': '',
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'tier': '3',
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'uly': 'ADA-USDT'
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}
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},
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]
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})
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)
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exchange = get_patched_exchange(mocker, default_conf, api_mock, id="okx")
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2022-02-12 21:41:02 +00:00
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assert exchange.get_maintenance_ratio_and_amt('ETH/USDT:USDT', 2000) == (0.01, None)
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assert exchange.get_maintenance_ratio_and_amt('ETH/USDT:USDT', 2001) == (0.015, None)
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assert exchange.get_maintenance_ratio_and_amt('ETH/USDT:USDT', 4001) == (0.02, None)
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assert exchange.get_maintenance_ratio_and_amt('ETH/USDT:USDT', 8000) == (0.02, None)
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2022-02-06 02:54:58 +00:00
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2022-02-13 03:59:26 +00:00
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assert exchange.get_maintenance_ratio_and_amt('ADA/USDT:USDT', 1) == (0.02, None)
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assert exchange.get_maintenance_ratio_and_amt('ADA/USDT:USDT', 2000) == (0.03, None)
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2022-02-07 09:44:37 +00:00
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2022-02-13 03:59:26 +00:00
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def test_get_max_pair_stake_amount_okx(default_conf, mocker, leverage_tiers):
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2022-02-07 09:44:37 +00:00
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2022-02-13 03:59:26 +00:00
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exchange = get_patched_exchange(mocker, default_conf, id="okx")
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2022-02-07 09:44:37 +00:00
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assert exchange.get_max_pair_stake_amount('BNB/BUSD', 1.0) == float('inf')
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default_conf['trading_mode'] = 'futures'
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default_conf['margin_mode'] = 'isolated'
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2022-02-13 03:59:26 +00:00
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exchange = get_patched_exchange(mocker, default_conf, id="okx")
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2022-02-07 10:08:30 +00:00
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exchange._leverage_tiers = leverage_tiers
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2022-02-07 09:44:37 +00:00
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assert exchange.get_max_pair_stake_amount('BNB/BUSD', 1.0) == 30000000
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assert exchange.get_max_pair_stake_amount('BNB/USDT', 1.0) == 50000000
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assert exchange.get_max_pair_stake_amount('BTC/USDT', 1.0) == 1000000000
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assert exchange.get_max_pair_stake_amount('BTC/USDT', 1.0, 10.0) == 100000000
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assert exchange.get_max_pair_stake_amount('TTT/USDT', 1.0) == float('inf') # Not in tiers
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2022-02-13 03:59:26 +00:00
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2022-05-07 08:56:13 +00:00
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@pytest.mark.parametrize('mode,side,reduceonly,result', [
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('net', 'buy', False, 'net'),
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('net', 'sell', True, 'net'),
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('net', 'sell', False, 'net'),
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('net', 'buy', True, 'net'),
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('longshort', 'buy', False, 'long'),
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('longshort', 'sell', True, 'long'),
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('longshort', 'sell', False, 'short'),
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('longshort', 'buy', True, 'short'),
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])
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def test__get_posSide(default_conf, mocker, mode, side, reduceonly, result):
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exchange = get_patched_exchange(mocker, default_conf, id="okx")
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exchange.net_only = mode == 'net'
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assert exchange._get_posSide(side, reduceonly) == result
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def test_additional_exchange_init_okx(default_conf, mocker):
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api_mock = MagicMock()
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api_mock.fetch_accounts = MagicMock(return_value=[
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{'id': '2555',
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'type': '2',
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'currency': None,
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'info': {'acctLv': '2',
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'autoLoan': False,
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'ctIsoMode': 'automatic',
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'greeksType': 'PA',
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'level': 'Lv1',
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'levelTmp': '',
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'mgnIsoMode': 'automatic',
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'posMode': 'long_short_mode',
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'uid': '2555'}}])
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2022-05-07 11:13:26 +00:00
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default_conf['dry_run'] = False
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2022-05-07 08:56:13 +00:00
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exchange = get_patched_exchange(mocker, default_conf, id="okx", api_mock=api_mock)
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assert api_mock.fetch_accounts.call_count == 0
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exchange.trading_mode = TradingMode.FUTURES
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# Default to netOnly
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assert exchange.net_only
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exchange.additional_exchange_init()
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assert api_mock.fetch_accounts.call_count == 1
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assert not exchange.net_only
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api_mock.fetch_accounts = MagicMock(return_value=[
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{'id': '2555',
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'type': '2',
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'currency': None,
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'info': {'acctLv': '2',
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'autoLoan': False,
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'ctIsoMode': 'automatic',
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'greeksType': 'PA',
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'level': 'Lv1',
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'levelTmp': '',
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'mgnIsoMode': 'automatic',
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'posMode': 'net_mode',
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'uid': '2555'}}])
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exchange.additional_exchange_init()
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assert api_mock.fetch_accounts.call_count == 1
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assert exchange.net_only
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default_conf['trading_mode'] = 'futures'
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default_conf['margin_mode'] = 'isolated'
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ccxt_exceptionhandlers(mocker, default_conf, api_mock, 'okx',
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"additional_exchange_init", "fetch_accounts")
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2022-08-20 11:47:34 +00:00
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def test_load_leverage_tiers_okx(default_conf, mocker, markets, tmpdir, caplog, time_machine):
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default_conf['datadir'] = Path(tmpdir)
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# fd_mock = mocker.patch('freqtrade.exchange.exchange.file_dump_json')
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2022-02-14 22:53:29 +00:00
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api_mock = MagicMock()
|
2022-02-24 16:06:30 +00:00
|
|
|
type(api_mock).has = PropertyMock(return_value={
|
|
|
|
|
'fetchLeverageTiers': False,
|
|
|
|
|
'fetchMarketLeverageTiers': True,
|
|
|
|
|
})
|
2022-05-31 11:40:14 +00:00
|
|
|
api_mock.fetch_market_leverage_tiers = get_mock_coro(side_effect=[
|
2022-02-25 18:58:47 +00:00
|
|
|
[
|
|
|
|
|
{
|
|
|
|
|
'tier': 1,
|
2022-04-17 03:47:44 +00:00
|
|
|
'minNotional': 0,
|
|
|
|
|
'maxNotional': 500,
|
2022-02-25 18:58:47 +00:00
|
|
|
'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,
|
2022-04-17 03:47:44 +00:00
|
|
|
'minNotional': 501,
|
|
|
|
|
'maxNotional': 1000,
|
2022-02-25 18:58:47 +00:00
|
|
|
'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,
|
2022-04-17 03:47:44 +00:00
|
|
|
'minNotional': 1001,
|
|
|
|
|
'maxNotional': 2000,
|
2022-02-25 18:58:47 +00:00
|
|
|
'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'
|
|
|
|
|
}
|
|
|
|
|
},
|
|
|
|
|
],
|
|
|
|
|
[
|
|
|
|
|
{
|
|
|
|
|
'tier': 1,
|
2022-04-17 03:47:44 +00:00
|
|
|
'minNotional': 0,
|
|
|
|
|
'maxNotional': 2000,
|
2022-02-25 18:58:47 +00:00
|
|
|
'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,
|
2022-04-17 03:47:44 +00:00
|
|
|
'minNotional': 2001,
|
|
|
|
|
'maxNotional': 4000,
|
2022-02-25 18:58:47 +00:00
|
|
|
'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,
|
2022-04-17 03:47:44 +00:00
|
|
|
'minNotional': 4001,
|
|
|
|
|
'maxNotional': 8000,
|
2022-02-25 18:58:47 +00:00
|
|
|
'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'
|
|
|
|
|
}
|
|
|
|
|
},
|
|
|
|
|
]
|
2022-02-14 22:53:29 +00:00
|
|
|
])
|
|
|
|
|
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
|
2022-02-15 06:42:40 +00:00
|
|
|
# Initialization of load_leverage_tiers happens as part of exchange init.
|
2022-02-17 18:37:24 +00:00
|
|
|
assert exchange._leverage_tiers == {
|
2022-02-14 22:53:29 +00:00
|
|
|
'ADA/USDT:USDT': [
|
|
|
|
|
{
|
|
|
|
|
'min': 0,
|
|
|
|
|
'max': 500,
|
|
|
|
|
'mmr': 0.02,
|
|
|
|
|
'lev': 75,
|
|
|
|
|
'maintAmt': None
|
|
|
|
|
},
|
|
|
|
|
{
|
|
|
|
|
'min': 501,
|
|
|
|
|
'max': 1000,
|
|
|
|
|
'mmr': 0.025,
|
|
|
|
|
'lev': 50,
|
|
|
|
|
'maintAmt': None
|
|
|
|
|
},
|
|
|
|
|
{
|
|
|
|
|
'min': 1001,
|
|
|
|
|
'max': 2000,
|
|
|
|
|
'mmr': 0.03,
|
|
|
|
|
'lev': 20,
|
|
|
|
|
'maintAmt': None
|
|
|
|
|
},
|
|
|
|
|
],
|
|
|
|
|
'ETH/USDT:USDT': [
|
|
|
|
|
{
|
|
|
|
|
'min': 0,
|
|
|
|
|
'max': 2000,
|
|
|
|
|
'mmr': 0.01,
|
|
|
|
|
'lev': 75,
|
|
|
|
|
'maintAmt': None
|
|
|
|
|
},
|
|
|
|
|
{
|
|
|
|
|
'min': 2001,
|
|
|
|
|
'max': 4000,
|
|
|
|
|
'mmr': 0.015,
|
|
|
|
|
'lev': 50,
|
|
|
|
|
'maintAmt': None
|
|
|
|
|
},
|
|
|
|
|
{
|
|
|
|
|
'min': 4001,
|
|
|
|
|
'max': 8000,
|
|
|
|
|
'mmr': 0.02,
|
|
|
|
|
'lev': 20,
|
|
|
|
|
'maintAmt': None
|
|
|
|
|
},
|
|
|
|
|
],
|
|
|
|
|
}
|
2022-08-20 11:47:34 +00:00
|
|
|
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(days=2))
|
|
|
|
|
exchange.load_leverage_tiers()
|
|
|
|
|
|
|
|
|
|
assert log_has(logmsg, caplog)
|
