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mock order_book and additional test

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This commit is contained in:
Nullart2 2018-08-14 18:12:44 +08:00
parent c9c0e108ab
commit 78610bb47f
3 changed files with 72 additions and 9 deletions
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1
freqtrade/freqtradebot.py
View File

@ -253,6 +253,7 @@ class FreqtradeBot(object):
logger.info('Getting price from order book')
order_book_top = experimental_bid_strategy.get('order_book_top', 1)
order_book = self.exchange.get_order_book(pair, order_book_top)
logger.debug('order_book %s', order_book)
# top 1 = index 0
order_book_rate = order_book['bids'][order_book_top - 1][0]
# if ticker has lower rate, then use ticker ( usefull if down trending )

33
freqtrade/tests/conftest.py
View File

@ -419,6 +419,39 @@ def limit_sell_order():
}
@pytest.fixture
def order_book_l2():
return MagicMock(return_value={
'bids': [
[0.043936, 10.442],
[0.043935, 31.865],
[0.043933, 11.212],
[0.043928, 0.088],
[0.043925, 10.0],
[0.043921, 10.0],
[0.04392, 37.64],
[0.043899, 0.066],
[0.043885, 0.676],
[0.04387, 22.758]
],
'asks': [
[0.043949, 0.346],
[0.04395, 0.608],
[0.043951, 3.948],
[0.043954, 0.288],
[0.043958, 9.277],
[0.043995, 1.566],
[0.044, 0.588],
[0.044002, 0.992],
[0.044003, 0.095],
[0.04402, 37.64]
],
'timestamp': None,
'datetime': None,
'nonce': 288004540
})
@pytest.fixture
def ticker_history():
return [

47
freqtrade/tests/test_freqtradebot.py
View File

@ -1887,10 +1887,12 @@ def test_get_real_amount_open_trade(default_conf, mocker):
assert freqtrade.get_real_amount(trade, order) == amount
def test_order_book_depth_of_market(default_conf, ticker, limit_buy_order, fee, markets, mocker):
def test_order_book_depth_of_market(default_conf, ticker, limit_buy_order, fee, markets, mocker,
order_book_l2):
default_conf['experimental']['check_depth_of_market']['enabled'] = True
default_conf['experimental']['check_depth_of_market']['bids_to_ask_delta'] = 0.1
patch_RPCManager(mocker)
mocker.patch('freqtrade.exchange.Exchange.get_order_book', order_book_l2)
mocker.patch.multiple(
'freqtrade.exchange.Exchange',
validate_pairs=MagicMock(),
@ -1920,12 +1922,13 @@ def test_order_book_depth_of_market(default_conf, ticker, limit_buy_order, fee,
assert whitelist == default_conf['exchange']['pair_whitelist']
def test_order_book_depth_of_market_high_delta(default_conf, ticker,
limit_buy_order, fee, markets, mocker):
def test_order_book_depth_of_market_high_delta(default_conf, ticker, limit_buy_order,
fee, markets, mocker, order_book_l2):
default_conf['experimental']['check_depth_of_market']['enabled'] = True
# delta is 100 which is impossible to reach. hence check_depth_of_market will return false
default_conf['experimental']['check_depth_of_market']['bids_to_ask_delta'] = 100
patch_RPCManager(mocker)
mocker.patch('freqtrade.exchange.Exchange.get_order_book', order_book_l2)
mocker.patch.multiple(
'freqtrade.exchange.Exchange',
validate_pairs=MagicMock(),
@ -1943,11 +1946,12 @@ def test_order_book_depth_of_market_high_delta(default_conf, ticker,
assert trade is None
def test_order_book_bid_strategy1(default_conf) -> None:
def test_order_book_bid_strategy1(mocker, default_conf, order_book_l2) -> None:
"""
test if function get_target_bid will return the order book price
instead of the ask rate
"""
mocker.patch('freqtrade.exchange.Exchange.get_order_book', order_book_l2)
default_conf['exchange']['name'] = 'binance'
default_conf['experimental']['bid_strategy']['use_order_book'] = True
default_conf['experimental']['bid_strategy']['order_book_top'] = 2
@ -1955,14 +1959,31 @@ def test_order_book_bid_strategy1(default_conf) -> None:
default_conf['telegram']['enabled'] = False
freqtrade = FreqtradeBot(default_conf)
assert freqtrade.get_target_bid('BTC/USDT', {'ask': 200000, 'last': 200000}) != 200000
assert freqtrade.get_target_bid('ETH/BTC', {'ask': 0.045, 'last': 0.046}) == 0.043935
def test_order_book_bid_strategy2(default_conf) -> None:
def test_order_book_bid_strategy2(mocker, default_conf, order_book_l2) -> None:
"""
test if function get_target_bid will return the ask rate (since its value is lower)
instead of the order book rate (even if enabled)
"""
mocker.patch('freqtrade.exchange.Exchange.get_order_book', order_book_l2)
default_conf['exchange']['name'] = 'binance'
default_conf['experimental']['bid_strategy']['use_order_book'] = True
default_conf['experimental']['bid_strategy']['order_book_top'] = 2
default_conf['bid_strategy']['ask_last_balance'] = 0
default_conf['telegram']['enabled'] = False
freqtrade = FreqtradeBot(default_conf)
assert freqtrade.get_target_bid('ETH/BTC', {'ask': 0.042, 'last': 0.046}) == 0.042
def test_order_book_bid_strategy3(default_conf, mocker, order_book_l2) -> None:
"""
test if function get_target_bid will return ask rate instead
of the order book rate
"""
mocker.patch('freqtrade.exchange.Exchange.get_order_book', order_book_l2)
default_conf['exchange']['name'] = 'binance'
default_conf['experimental']['bid_strategy']['use_order_book'] = True
default_conf['experimental']['bid_strategy']['order_book_top'] = 1
@ -1971,10 +1992,14 @@ def test_order_book_bid_strategy2(default_conf) -> None:
freqtrade = FreqtradeBot(default_conf)
assert freqtrade.get_target_bid('BTC/USDT', {'ask': 2, 'last': 2}) == 2
assert freqtrade.get_target_bid('ETH/BTC', {'ask': 0.03, 'last': 0.029}) == 0.03
def test_check_depth_of_market_buy(default_conf) -> None:
def test_check_depth_of_market_buy(default_conf, mocker, order_book_l2) -> None:
"""
test check depth of market
"""
mocker.patch('freqtrade.exchange.Exchange.get_order_book', order_book_l2)
default_conf['telegram']['enabled'] = False
default_conf['exchange']['name'] = 'binance'
default_conf['experimental']['check_depth_of_market']['enabled'] = True
@ -1987,7 +2012,11 @@ def test_check_depth_of_market_buy(default_conf) -> None:
def test_order_book_ask_strategy(default_conf, limit_buy_order, limit_sell_order,
fee, markets, mocker) -> None:
fee, markets, mocker, order_book_l2) -> None:
"""
test order book ask strategy
"""
mocker.patch('freqtrade.exchange.Exchange.get_order_book', order_book_l2)
default_conf['exchange']['name'] = 'binance'
default_conf['experimental']['ask_strategy']['use_order_book'] = True
default_conf['experimental']['ask_strategy']['order_book_min'] = 1