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simplify dry-run taker/maker selection

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This commit is contained in:
Matthias 2022-07-16 17:03:45 +02:00
parent 8b2535a8da
commit 4172f92bfc
2 changed files with 20 additions and 56 deletions
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33
freqtrade/exchange/exchange.py
View File

@ -811,26 +811,6 @@ class Exchange:
# Dry-run methods
def taker_or_maker(
self,
order_reason: Literal['entry', 'exit', 'stoploss'], # TODO: stoploss
):
order_type = self._config['order_types'][order_reason]
if order_type == 'market' or order_reason == 'stoploss':
return 'taker'
else:
return (
'maker' if (
(
order_reason == 'entry' and
self._config['entry_pricing']['price_side'] == 'same'
) or (
order_reason == 'exit' and
self._config['exit_pricing']['price_side'] == 'same'
)
) else 'taker'
)
def create_dry_run_order(self, pair: str, ordertype: str, side: str, amount: float,
rate: float, leverage: float, params: Dict = {},
stop_loss: bool = False) -> Dict[str, Any]:
@ -873,7 +853,7 @@ class Exchange:
# market orders will always incurr taker fees
dry_order = self.add_dry_order_fee(pair, dry_order, 'taker')
dry_order = self.check_dry_limit_order_filled(dry_order)
dry_order = self.check_dry_limit_order_filled(dry_order, immediate=True)
self._dry_run_open_orders[dry_order["id"]] = dry_order
# Copy order and close it - so the returned order is open unless it's a market order
@ -955,7 +935,8 @@ class Exchange:
pass
return False
def check_dry_limit_order_filled(self, order: Dict[str, Any]) -> Dict[str, Any]:
def check_dry_limit_order_filled(
self, order: Dict[str, Any], immediate: bool = False) -> Dict[str, Any]:
"""
Check dry-run limit order fill and update fee (if it filled).
"""
@ -969,15 +950,11 @@ class Exchange:
'filled': order['amount'],
'remaining': 0,
})
enter_long = not order['is_short'] and order['side'] == 'buy'
enter_short = order['is_short'] and order['side'] == 'sell'
entry_or_exit: EntryExit = (
'entry' if (enter_short or enter_long) else 'exit'
)
self.add_dry_order_fee(
pair,
order,
self.taker_or_maker(entry_or_exit)
'taker' if immediate else 'maker',
)
return order

43
tests/exchange/test_exchange.py
View File

@ -1160,23 +1160,33 @@ def test_create_dry_run_order_fees(
price_side,
fee,
):
default_conf[f"{order_reason}_pricing"]["price_side"] = "same"
default_conf["order_types"][order_reason] = order_type
mocker.patch(
'freqtrade.exchange.Exchange.get_fee',
lambda symbol, taker_or_maker: 2.0 if taker_or_maker == 'taker' else 1.0
side_effect=lambda symbol, taker_or_maker: 2.0 if taker_or_maker == 'taker' else 1.0
)
mocker.patch('freqtrade.exchange.Exchange._is_dry_limit_order_filled',
return_value=price_side == 'other')
exchange = get_patched_exchange(mocker, default_conf)
order = exchange.create_dry_run_order(
pair='ADA/USDT',
pair='LTC/USDT',
ordertype=order_type,
side=side,
amount=10,
rate=2.0,
leverage=1.0
)
if price_side == 'other' or order_type == 'market':
assert order['fee']['rate'] == fee
return
else:
assert order['fee'] is None
assert order['ft_fee_base'] == fee
mocker.patch('freqtrade.exchange.Exchange._is_dry_limit_order_filled',
return_value=price_side != 'other')
order1 = exchange.fetch_dry_run_order(order['id'])
assert order1['fee']['rate'] == fee
@pytest.mark.parametrize("side,startprice,endprice", [
@ -5101,26 +5111,3 @@ def test_stoploss_contract_size(mocker, default_conf, contract_size, order_amoun
assert order['cost'] == 100
assert order['filled'] == 100
assert order['remaining'] == 100
@pytest.mark.parametrize('order_reason,price_side,order_type,taker_or_maker', [
("entry", "same", "limit", "maker"),
("exit", "same", "limit", "maker"),
("entry", "other", "limit", "taker"),
("exit", "other", "limit", "taker"),
("stoploss", "same", "limit", "taker"),
("stoploss", "other", "limit", "taker"),
("entry", "same", "market", "taker"),
("exit", "same", "market", "taker"),
("entry", "other", "market", "taker"),
("exit", "other", "market", "taker"),
("stoploss", "same", "market", "taker"),
("stoploss", "other", "market", "taker"),
])
def test_taker_or_maker(mocker, default_conf, order_reason, price_side, order_type, taker_or_maker):
if order_reason != 'stoploss':
default_conf[f"{order_reason}_pricing"]["price_side"] = price_side
default_conf["order_types"] = {}
default_conf["order_types"][order_reason] = order_type
exchange = get_patched_exchange(mocker, default_conf)
assert exchange.taker_or_maker(order_reason) == taker_or_maker