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Merge pull request #2332 from hroff-1902/freqtradebot-refactor

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Freqtradebot refactoring
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Matthias 2019-10-08 19:44:08 +02:00 committed by GitHub
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2 changed files with 173 additions and 65 deletions
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61
freqtrade/freqtradebot.py
View File

@ -1,7 +1,6 @@
"""
Freqtrade is the main module of this bot. It contains the class Freqtrade()
"""
import copy
import logging
import traceback
@ -135,12 +134,11 @@ class FreqtradeBot:
self.strategy.informative_pairs())
# First process current opened trades
for trade in trades:
self.process_maybe_execute_sell(trade)
self.process_maybe_execute_sells(trades)
# Then looking for buy opportunities
if len(trades) < self.config['max_open_trades']:
self.process_maybe_execute_buy()
self.process_maybe_execute_buys()
if 'unfilledtimeout' in self.config:
# Check and handle any timed out open orders
@ -262,11 +260,10 @@ class FreqtradeBot:
Checks pairs as long as the open trade count is below `max_open_trades`.
:return: True if at least one trade has been created.
"""
interval = self.strategy.ticker_interval
whitelist = copy.deepcopy(self.active_pair_whitelist)
if not whitelist:
logger.warning("Whitelist is empty.")
logger.info("Active pair whitelist is empty.")
return False
# Remove currently opened and latest pairs from whitelist
@ -276,7 +273,8 @@ class FreqtradeBot:
logger.debug('Ignoring %s in pair whitelist', trade.pair)
if not whitelist:
logger.info("No currency pair in whitelist, but checking to sell open trades.")
logger.info("No currency pair in active pair whitelist, "
"but checking to sell open trades.")
return False
buycount = 0
@ -285,8 +283,10 @@ class FreqtradeBot:
if self.strategy.is_pair_locked(_pair):
logger.info(f"Pair {_pair} is currently locked.")
continue
(buy, sell) = self.strategy.get_signal(
_pair, interval, self.dataprovider.ohlcv(_pair, self.strategy.ticker_interval))
_pair, self.strategy.ticker_interval,
self.dataprovider.ohlcv(_pair, self.strategy.ticker_interval))
if buy and not sell and len(Trade.get_open_trades()) < self.config['max_open_trades']:
stake_amount = self._get_trade_stake_amount(_pair)
@ -431,10 +431,9 @@ class FreqtradeBot:
return True
def process_maybe_execute_buy(self) -> None:
def process_maybe_execute_buys(self) -> None:
"""
Tries to execute a buy trade in a safe way
:return: True if executed
Tries to execute buy orders for trades in a safe way
"""
try:
# Create entity and execute trade
@ -443,33 +442,29 @@ class FreqtradeBot:
except DependencyException as exception:
logger.warning('Unable to create trade: %s', exception)
def process_maybe_execute_sell(self, trade: Trade) -> bool:
def process_maybe_execute_sells(self, trades: List[Any]) -> None:
"""
Tries to execute a sell trade
:return: True if executed
Tries to execute sell orders for trades in a safe way
"""
try:
self.update_trade_state(trade)
result = False
for trade in trades:
try:
self.update_trade_state(trade)
if self.strategy.order_types.get('stoploss_on_exchange') and trade.is_open:
result = self.handle_stoploss_on_exchange(trade)
if result:
self.wallets.update()
return result
if trade.is_open and trade.open_order_id is None:
if (self.strategy.order_types.get('stoploss_on_exchange') and
self.handle_stoploss_on_exchange(trade)):
result = True
continue
# Check if we can sell our current pair
result = self.handle_trade(trade)
if trade.open_order_id is None and self.handle_trade(trade):
result = True
# Updating wallets if any trade occured
if result:
self.wallets.update()
except DependencyException as exception:
logger.warning('Unable to sell trade: %s', exception)
return result
except DependencyException as exception:
logger.warning('Unable to sell trade: %s', exception)
return False
# Updating wallets if any trade occured
if result:
self.wallets.update()
def get_real_amount(self, trade: Trade, order: Dict) -> float:
"""
@ -575,7 +570,7 @@ class FreqtradeBot:
:return: True if trade has been sold, False otherwise
"""
if not trade.is_open:
raise ValueError(f'Attempt to handle closed trade: {trade}')
raise DependencyException(f'Attempt to handle closed trade: {trade}')
logger.debug('Handling %s ...', trade)

177
tests/test_freqtradebot.py
View File

@ -655,7 +655,8 @@ def test_create_trades_no_pairs_let(default_conf, ticker, limit_buy_order, fee,
assert freqtrade.create_trades()
assert not freqtrade.create_trades()
assert log_has("No currency pair in whitelist, but checking to sell open trades.", caplog)
assert log_has("No currency pair in active pair whitelist, "
"but checking to sell open trades.", caplog)
def test_create_trades_no_pairs_in_whitelist(default_conf, ticker, limit_buy_order, fee,
@ -674,7 +675,7 @@ def test_create_trades_no_pairs_in_whitelist(default_conf, ticker, limit_buy_ord
patch_get_signal(freqtrade)
assert not freqtrade.create_trades()
assert log_has("Whitelist is empty.", caplog)
assert log_has("Active pair whitelist is empty.", caplog)
def test_create_trades_no_signal(default_conf, fee, mocker) -> None:
@ -1057,8 +1058,9 @@ def test_add_stoploss_on_exchange(mocker, default_conf, limit_buy_order) -> None
trade.open_order_id = None
trade.stoploss_order_id = None
trade.is_open = True
trades = [trade]
freqtrade.process_maybe_execute_sell(trade)
freqtrade.process_maybe_execute_sells(trades)
assert trade.stoploss_order_id == '13434334'
assert stoploss_limit.call_count == 1
assert trade.is_open is True
@ -1518,26 +1520,26 @@ def test_tsl_on_exchange_compatible_with_edge(mocker, edge_conf, fee, caplog,
stop_price=0.00002344 * 0.99)
def test_process_maybe_execute_buy(mocker, default_conf, caplog) -> None:
def test_process_maybe_execute_buys(mocker, default_conf, caplog) -> None:
freqtrade = get_patched_freqtradebot(mocker, default_conf)
mocker.patch('freqtrade.freqtradebot.FreqtradeBot.create_trades', MagicMock(return_value=False))
freqtrade.process_maybe_execute_buy()
freqtrade.process_maybe_execute_buys()
assert log_has('Found no buy signals for whitelisted currencies. Trying again...', caplog)
def test_process_maybe_execute_buy_exception(mocker, default_conf, caplog) -> None:
def test_process_maybe_execute_buys_exception(mocker, default_conf, caplog) -> None:
freqtrade = get_patched_freqtradebot(mocker, default_conf)
mocker.patch(
'freqtrade.freqtradebot.FreqtradeBot.create_trades',
MagicMock(side_effect=DependencyException)
)
freqtrade.process_maybe_execute_buy()
freqtrade.process_maybe_execute_buys()
assert log_has('Unable to create trade: ', caplog)
def test_process_maybe_execute_sell(mocker, default_conf, limit_buy_order, caplog) -> None:
def test_process_maybe_execute_sells(mocker, default_conf, limit_buy_order, caplog) -> None:
freqtrade = get_patched_freqtradebot(mocker, default_conf)
mocker.patch('freqtrade.freqtradebot.FreqtradeBot.handle_trade', MagicMock(return_value=True))
@ -1549,7 +1551,8 @@ def test_process_maybe_execute_sell(mocker, default_conf, limit_buy_order, caplo
trade = MagicMock()
trade.open_order_id = '123'
trade.open_fee = 0.001
assert not freqtrade.process_maybe_execute_sell(trade)
trades = [trade]
assert not freqtrade.process_maybe_execute_sells(trades)
# Test amount not modified by fee-logic
assert not log_has(
'Applying fee to amount for Trade {} from 90.99181073 to 90.81'.format(trade), caplog
@ -1557,24 +1560,25 @@ def test_process_maybe_execute_sell(mocker, default_conf, limit_buy_order, caplo
mocker.patch('freqtrade.freqtradebot.FreqtradeBot.get_real_amount', return_value=90.81)
# test amount modified by fee-logic
assert not freqtrade.process_maybe_execute_sell(trade)
assert not freqtrade.process_maybe_execute_sells(trades)
def test_process_maybe_execute_sell_exception(mocker, default_conf,
limit_buy_order, caplog) -> None:
def test_process_maybe_execute_sells_exception(mocker, default_conf,
limit_buy_order, caplog) -> None:
freqtrade = get_patched_freqtradebot(mocker, default_conf)
mocker.patch('freqtrade.exchange.Exchange.get_order', return_value=limit_buy_order)
trade = MagicMock()
trade.open_order_id = '123'
trade.open_fee = 0.001
trades = [trade]
# Test raise of DependencyException exception
mocker.patch(
'freqtrade.freqtradebot.FreqtradeBot.update_trade_state',
side_effect=DependencyException()
)
freqtrade.process_maybe_execute_sell(trade)
freqtrade.process_maybe_execute_sells(trades)
assert log_has('Unable to sell trade: ', caplog)
@ -1911,7 +1915,7 @@ def test_close_trade(default_conf, ticker, limit_buy_order, limit_sell_order,
trade.update(limit_sell_order)
assert trade.is_open is False
with pytest.raises(ValueError, match=r'.*closed trade.*'):
with pytest.raises(DependencyException, match=r'.*closed trade.*'):
freqtrade.handle_trade(trade)
@ -2418,13 +2422,6 @@ def test_execute_sell_with_stoploss_on_exchange(default_conf,
default_conf['exchange']['name'] = 'binance'
rpc_mock = patch_RPCManager(mocker)
patch_exchange(mocker)
mocker.patch.multiple(
'freqtrade.exchange.Exchange',
get_ticker=ticker,
get_fee=fee,
markets=PropertyMock(return_value=markets)
)
stoploss_limit = MagicMock(return_value={
'id': 123,
'info': {
@ -2433,11 +2430,16 @@ def test_execute_sell_with_stoploss_on_exchange(default_conf,
})
cancel_order = MagicMock(return_value=True)
mocker.patch('freqtrade.exchange.Exchange.symbol_amount_prec', lambda s, x, y: y)
mocker.patch('freqtrade.exchange.Exchange.symbol_price_prec', lambda s, x, y: y)
mocker.patch('freqtrade.exchange.Exchange.stoploss_limit', stoploss_limit)
mocker.patch('freqtrade.exchange.Exchange.cancel_order', cancel_order)
mocker.patch.multiple(
'freqtrade.exchange.Exchange',
get_ticker=ticker,
get_fee=fee,
markets=PropertyMock(return_value=markets),
symbol_amount_prec=lambda s, x, y: y,
symbol_price_prec=lambda s, x, y: y,
stoploss_limit=stoploss_limit,
cancel_order=cancel_order,
)
freqtrade = FreqtradeBot(default_conf)
freqtrade.strategy.order_types['stoploss_on_exchange'] = True
@ -2448,8 +2450,9 @@ def test_execute_sell_with_stoploss_on_exchange(default_conf,
trade = Trade.query.first()
assert trade
trades = [trade]
freqtrade.process_maybe_execute_sell(trade)
freqtrade.process_maybe_execute_sells(trades)
# Increase the price and sell it
mocker.patch.multiple(
@ -2477,7 +2480,9 @@ def test_may_execute_sell_after_stoploss_on_exchange_hit(default_conf,
'freqtrade.exchange.Exchange',
get_ticker=ticker,
get_fee=fee,
markets=PropertyMock(return_value=markets)
markets=PropertyMock(return_value=markets),
symbol_amount_prec=lambda s, x, y: y,
symbol_price_prec=lambda s, x, y: y,
)
stoploss_limit = MagicMock(return_value={
@ -2487,8 +2492,6 @@ def test_may_execute_sell_after_stoploss_on_exchange_hit(default_conf,
}
})
mocker.patch('freqtrade.exchange.Exchange.symbol_amount_prec', lambda s, x, y: y)
mocker.patch('freqtrade.exchange.Exchange.symbol_price_prec', lambda s, x, y: y)
mocker.patch('freqtrade.exchange.Binance.stoploss_limit', stoploss_limit)
freqtrade = FreqtradeBot(default_conf)
@ -2498,7 +2501,8 @@ def test_may_execute_sell_after_stoploss_on_exchange_hit(default_conf,
# Create some test data
freqtrade.create_trades()
trade = Trade.query.first()
freqtrade.process_maybe_execute_sell(trade)
trades = [trade]
freqtrade.process_maybe_execute_sells(trades)
assert trade
assert trade.stoploss_order_id == '123'
assert trade.open_order_id is None
@ -2526,13 +2530,122 @@ def test_may_execute_sell_after_stoploss_on_exchange_hit(default_conf,
})
mocker.patch('freqtrade.exchange.Exchange.get_order', stoploss_limit_executed)
freqtrade.process_maybe_execute_sell(trade)
freqtrade.process_maybe_execute_sells(trades)
assert trade.stoploss_order_id is None
assert trade.is_open is False
assert trade.sell_reason == SellType.STOPLOSS_ON_EXCHANGE.value
assert rpc_mock.call_count == 2
def test_may_execute_sell_stoploss_on_exchange_multi(default_conf,
ticker, fee,
limit_buy_order,
markets, mocker) -> None:
"""
Tests workflow of selling stoploss_on_exchange.
Sells
* first trade as stoploss
* 2nd trade is kept
* 3rd trade is sold via sell-signal
"""
default_conf['max_open_trades'] = 3
default_conf['exchange']['name'] = 'binance'
patch_RPCManager(mocker)
patch_exchange(mocker)
stoploss_limit = {
'id': 123,
'info': {}
}
stoploss_order_open = {
"id": "123",
"timestamp": 1542707426845,
"datetime": "2018-11-20T09:50:26.845Z",
"lastTradeTimestamp": None,
"symbol": "BTC/USDT",
"type": "stop_loss_limit",
"side": "sell",
"price": 1.08801,
"amount": 90.99181074,
"cost": 0.0,
"average": 0.0,
"filled": 0.0,
"remaining": 0.0,
"status": "open",
"fee": None,
"trades": None
}
stoploss_order_closed = stoploss_order_open.copy()
stoploss_order_closed['status'] = 'closed'
# Sell first trade based on stoploss, keep 2nd and 3rd trade open
stoploss_order_mock = MagicMock(
side_effect=[stoploss_order_closed, stoploss_order_open, stoploss_order_open])
# Sell 3rd trade (not called for the first trade)
should_sell_mock = MagicMock(side_effect=[
SellCheckTuple(sell_flag=False, sell_type=SellType.NONE),
SellCheckTuple(sell_flag=True, sell_type=SellType.SELL_SIGNAL)]
)
cancel_order_mock = MagicMock()
mocker.patch('freqtrade.exchange.Binance.stoploss_limit', stoploss_limit)
mocker.patch.multiple(
'freqtrade.exchange.Exchange',
get_ticker=ticker,
get_fee=fee,
markets=PropertyMock(return_value=markets),
symbol_amount_prec=lambda s, x, y: y,
symbol_price_prec=lambda s, x, y: y,
get_order=stoploss_order_mock,
cancel_order=cancel_order_mock,
)
wallets_mock = MagicMock()
mocker.patch.multiple(
'freqtrade.freqtradebot.FreqtradeBot',
create_stoploss_order=MagicMock(return_value=True),
update_trade_state=MagicMock(),
_notify_sell=MagicMock(),
)
mocker.patch("freqtrade.strategy.interface.IStrategy.should_sell", should_sell_mock)
mocker.patch("freqtrade.wallets.Wallets.update", wallets_mock)
freqtrade = FreqtradeBot(default_conf)
freqtrade.strategy.order_types['stoploss_on_exchange'] = True
# Switch ordertype to market to close trade immediately
freqtrade.strategy.order_types['sell'] = 'market'
patch_get_signal(freqtrade)
# Create some test data
freqtrade.create_trades()
wallets_mock.reset_mock()
Trade.session = MagicMock()
trades = Trade.query.all()
# Make sure stoploss-order is open and trade is bought (since we mock update_trade_state)
for trade in trades:
trade.stoploss_order_id = 3
trade.open_order_id = None
freqtrade.process_maybe_execute_sells(trades)
assert should_sell_mock.call_count == 2
# Only order for 3rd trade needs to be cancelled
assert cancel_order_mock.call_count == 1
# Wallets should only be called once per sell cycle
assert wallets_mock.call_count == 1
trade = trades[0]
assert trade.sell_reason == SellType.STOPLOSS_ON_EXCHANGE.value
assert not trade.is_open
trade = trades[1]
assert not trade.sell_reason
assert trade.is_open
trade = trades[2]
assert trade.sell_reason == SellType.SELL_SIGNAL.value
assert not trade.is_open
def test_execute_sell_market_order(default_conf, ticker, fee,
ticker_sell_up, markets, mocker) -> None:
rpc_mock = patch_RPCManager(mocker)