freqtrade_origin/freqtrade/tests/strategy/test_interface.py

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# pragma pylint: disable=missing-docstring, C0103
import logging
from unittest.mock import MagicMock
import arrow
from pandas import DataFrame
from freqtrade.arguments import TimeRange
from freqtrade.data.converter import parse_ticker_dataframe
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from freqtrade.data.history import load_tickerdata_file
from freqtrade.persistence import Trade
from freqtrade.tests.conftest import get_patched_exchange, log_has
from freqtrade.strategy.default_strategy import DefaultStrategy
# Avoid to reinit the same object again and again
_STRATEGY = DefaultStrategy(config={})
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def test_returns_latest_buy_signal(mocker, default_conf, ticker_history):
mocker.patch.object(
_STRATEGY, 'analyze_ticker',
return_value=DataFrame([{'buy': 1, 'sell': 0, 'date': arrow.utcnow()}])
)
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assert _STRATEGY.get_signal('ETH/BTC', '5m', ticker_history) == (True, False)
mocker.patch.object(
_STRATEGY, 'analyze_ticker',
return_value=DataFrame([{'buy': 0, 'sell': 1, 'date': arrow.utcnow()}])
)
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assert _STRATEGY.get_signal('ETH/BTC', '5m', ticker_history) == (False, True)
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def test_returns_latest_sell_signal(mocker, default_conf, ticker_history):
mocker.patch.object(
_STRATEGY, 'analyze_ticker',
return_value=DataFrame([{'sell': 1, 'buy': 0, 'date': arrow.utcnow()}])
)
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assert _STRATEGY.get_signal('ETH/BTC', '5m', ticker_history) == (False, True)
mocker.patch.object(
_STRATEGY, 'analyze_ticker',
return_value=DataFrame([{'sell': 0, 'buy': 1, 'date': arrow.utcnow()}])
)
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assert _STRATEGY.get_signal('ETH/BTC', '5m', ticker_history) == (True, False)
def test_get_signal_empty(default_conf, mocker, caplog):
assert (False, False) == _STRATEGY.get_signal('foo', default_conf['ticker_interval'],
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DataFrame())
assert log_has('Empty ticker history for pair foo', caplog.record_tuples)
caplog.clear()
assert (False, False) == _STRATEGY.get_signal('bar', default_conf['ticker_interval'],
[])
assert log_has('Empty ticker history for pair bar', caplog.record_tuples)
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def test_get_signal_exception_valueerror(default_conf, mocker, caplog, ticker_history):
caplog.set_level(logging.INFO)
mocker.patch.object(
_STRATEGY, 'analyze_ticker',
side_effect=ValueError('xyz')
)
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assert (False, False) == _STRATEGY.get_signal('foo', default_conf['ticker_interval'],
ticker_history)
assert log_has('Unable to analyze ticker for pair foo: xyz', caplog.record_tuples)
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def test_get_signal_empty_dataframe(default_conf, mocker, caplog, ticker_history):
caplog.set_level(logging.INFO)
mocker.patch.object(
_STRATEGY, 'analyze_ticker',
return_value=DataFrame([])
)
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assert (False, False) == _STRATEGY.get_signal('xyz', default_conf['ticker_interval'],
ticker_history)
assert log_has('Empty dataframe for pair xyz', caplog.record_tuples)
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def test_get_signal_old_dataframe(default_conf, mocker, caplog, ticker_history):
caplog.set_level(logging.INFO)
# default_conf defines a 5m interval. we check interval * 2 + 5m
# this is necessary as the last candle is removed (partial candles) by default
oldtime = arrow.utcnow().shift(minutes=-16)
ticks = DataFrame([{'buy': 1, 'date': oldtime}])
mocker.patch.object(
_STRATEGY, 'analyze_ticker',
return_value=DataFrame(ticks)
)
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assert (False, False) == _STRATEGY.get_signal('xyz', default_conf['ticker_interval'],
ticker_history)
assert log_has(
'Outdated history for pair xyz. Last tick is 16 minutes old',
caplog.record_tuples
)
def test_get_signal_handles_exceptions(mocker, default_conf):
exchange = get_patched_exchange(mocker, default_conf)
mocker.patch.object(
_STRATEGY, 'analyze_ticker',
side_effect=Exception('invalid ticker history ')
)
assert _STRATEGY.get_signal(exchange, 'ETH/BTC', '5m') == (False, False)
def test_tickerdata_to_dataframe(default_conf) -> None:
strategy = DefaultStrategy(default_conf)
timerange = TimeRange(None, 'line', 0, -100)
tick = load_tickerdata_file(None, 'UNITTEST/BTC', '1m', timerange=timerange)
tickerlist = {'UNITTEST/BTC': parse_ticker_dataframe(tick, '1m', True)}
data = strategy.tickerdata_to_dataframe(tickerlist)
assert len(data['UNITTEST/BTC']) == 102 # partial candle was removed
def test_min_roi_reached(default_conf, fee) -> None:
min_roi_list = [{20: 0.05, 55: 0.01, 0: 0.1},
{0: 0.1, 20: 0.05, 55: 0.01}]
for roi in min_roi_list:
strategy = DefaultStrategy(default_conf)
strategy.minimal_roi = roi
trade = Trade(
pair='ETH/BTC',
stake_amount=0.001,
open_date=arrow.utcnow().shift(hours=-1).datetime,
fee_open=fee.return_value,
fee_close=fee.return_value,
exchange='bittrex',
open_rate=1,
)
assert not strategy.min_roi_reached(trade, 0.02, arrow.utcnow().shift(minutes=-56).datetime)
assert strategy.min_roi_reached(trade, 0.12, arrow.utcnow().shift(minutes=-56).datetime)
assert not strategy.min_roi_reached(trade, 0.04, arrow.utcnow().shift(minutes=-39).datetime)
assert strategy.min_roi_reached(trade, 0.06, arrow.utcnow().shift(minutes=-39).datetime)
assert not strategy.min_roi_reached(trade, -0.01, arrow.utcnow().shift(minutes=-1).datetime)
assert strategy.min_roi_reached(trade, 0.02, arrow.utcnow().shift(minutes=-1).datetime)
def test_analyze_ticker_default(ticker_history, mocker, caplog) -> None:
caplog.set_level(logging.DEBUG)
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ind_mock = MagicMock(side_effect=lambda x, meta: x)
buy_mock = MagicMock(side_effect=lambda x, meta: x)
sell_mock = MagicMock(side_effect=lambda x, meta: x)
mocker.patch.multiple(
'freqtrade.strategy.interface.IStrategy',
advise_indicators=ind_mock,
advise_buy=buy_mock,
advise_sell=sell_mock,
)
strategy = DefaultStrategy({})
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strategy.analyze_ticker(ticker_history, {'pair': 'ETH/BTC'})
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assert ind_mock.call_count == 1
assert buy_mock.call_count == 1
assert buy_mock.call_count == 1
assert log_has('TA Analysis Launched', caplog.record_tuples)
assert not log_has('Skippinig TA Analysis for already analyzed candle',
caplog.record_tuples)
caplog.clear()
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strategy.analyze_ticker(ticker_history, {'pair': 'ETH/BTC'})
# No analysis happens as process_only_new_candles is true
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assert ind_mock.call_count == 2
assert buy_mock.call_count == 2
assert buy_mock.call_count == 2
assert log_has('TA Analysis Launched', caplog.record_tuples)
assert not log_has('Skippinig TA Analysis for already analyzed candle',
caplog.record_tuples)
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def test_analyze_ticker_skip_analyze(ticker_history, mocker, caplog) -> None:
caplog.set_level(logging.DEBUG)
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ind_mock = MagicMock(side_effect=lambda x, meta: x)
buy_mock = MagicMock(side_effect=lambda x, meta: x)
sell_mock = MagicMock(side_effect=lambda x, meta: x)
mocker.patch.multiple(
'freqtrade.strategy.interface.IStrategy',
advise_indicators=ind_mock,
advise_buy=buy_mock,
advise_sell=sell_mock,
)
strategy = DefaultStrategy({})
strategy.process_only_new_candles = True
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ret = strategy.analyze_ticker(ticker_history, {'pair': 'ETH/BTC'})
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assert 'high' in ret.columns
assert 'low' in ret.columns
assert 'close' in ret.columns
assert isinstance(ret, DataFrame)
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assert ind_mock.call_count == 1
assert buy_mock.call_count == 1
assert buy_mock.call_count == 1
assert log_has('TA Analysis Launched', caplog.record_tuples)
assert not log_has('Skippinig TA Analysis for already analyzed candle',
caplog.record_tuples)
caplog.clear()
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ret = strategy.analyze_ticker(ticker_history, {'pair': 'ETH/BTC'})
# No analysis happens as process_only_new_candles is true
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assert ind_mock.call_count == 1
assert buy_mock.call_count == 1
assert buy_mock.call_count == 1
# only skipped analyze adds buy and sell columns, otherwise it's all mocked
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assert 'buy' in ret.columns
assert 'sell' in ret.columns
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assert ret['buy'].sum() == 0
assert ret['sell'].sum() == 0
assert not log_has('TA Analysis Launched', caplog.record_tuples)
assert log_has('Skippinig TA Analysis for already analyzed candle',
caplog.record_tuples)