From c9c0e108ab249df607699c4b8ea066517e664e24 Mon Sep 17 00:00:00 2001 From: Nullart2 Date: Tue, 7 Aug 2018 18:29:37 +0800 Subject: [PATCH] refactor --- freqtrade/exchange/__init__.py | 20 +++++++++---- freqtrade/freqtradebot.py | 15 +++------- freqtrade/tests/test_freqtradebot.py | 43 +++++++++++++++++++++------- 3 files changed, 51 insertions(+), 27 deletions(-) diff --git a/freqtrade/exchange/__init__.py b/freqtrade/exchange/__init__.py index d5be25ba0..4b78283ea 100644 --- a/freqtrade/exchange/__init__.py +++ b/freqtrade/exchange/__init__.py @@ -411,15 +411,23 @@ class Exchange(object): @retrier def get_order_book(self, pair: str, limit: int = 100) -> dict: + """ + get order book level 2 from exchange + + Notes: + 20180619: bittrex doesnt support limits -.- + 20180619: binance support limits but only on specific range + """ try: - # 20180619: bittrex doesnt support limits -.- - # 20180619: binance support limits but only on specific range if self._api.name == 'Binance': limit_range = [5, 10, 20, 50, 100, 500, 1000] - for limitx in limit_range: - if limit <= limitx: - limit = limitx - break + # get next-higher step in the limit_range list + limit = min(list(filter(lambda x: limit <= x, limit_range))) + # above script works like loop below (but with slightly better performance): + # for limitx in limit_range: + # if limit <= limitx: + # limit = limitx + # break return self._api.fetch_l2_order_book(pair, limit) except ccxt.NotSupported as e: diff --git a/freqtrade/freqtradebot.py b/freqtrade/freqtradebot.py index 496ef1168..55b9c577f 100644 --- a/freqtrade/freqtradebot.py +++ b/freqtrade/freqtradebot.py @@ -268,10 +268,6 @@ class FreqtradeBot(object): return used_rate - def _trunc_num(self, f, n): - import math - return math.floor(f * 10 ** n) / 10 ** n - def _get_trade_stake_amount(self) -> Optional[float]: """ Check if stake amount can be fulfilled with the available balance @@ -366,20 +362,18 @@ class FreqtradeBot(object): get('check_depth_of_market', {}) if (experimental_check_depth_of_market.get('enabled', False)) and\ (experimental_check_depth_of_market.get('bids_to_ask_delta', 0) > 0): - if self._check_depth_of_market_buy(_pair): + if self._check_depth_of_market_buy(_pair, experimental_check_depth_of_market): return self.execute_buy(_pair, stake_amount) else: return False return self.execute_buy(_pair, stake_amount) return False - def _check_depth_of_market_buy(self, pair: str) -> bool: + def _check_depth_of_market_buy(self, pair: str, conf: Dict) -> bool: """ Checks depth of market before executing a buy """ - experimental_check_depth_of_market = self.config.get('experimental', {}).\ - get('check_depth_of_market', {}) - conf_bids_to_ask_delta = experimental_check_depth_of_market.get('bids_to_ask_delta', 0) + conf_bids_to_ask_delta = conf.get('bids_to_ask_delta', 0) logger.info('checking depth of market for %s', pair) order_book = self.exchange.get_order_book(pair, 1000) order_book_data_frame = order_book_to_dataframe(order_book['bids'], order_book['asks']) @@ -387,8 +381,7 @@ class FreqtradeBot(object): order_book_asks = order_book_data_frame['a_size'].sum() bids_ask_delta = order_book_bids / order_book_asks logger.info('bids: %s, asks: %s, delta: %s', order_book_bids, - order_book_asks, - order_book_bids / order_book_asks) + order_book_asks, bids_ask_delta) if bids_ask_delta >= conf_bids_to_ask_delta: return True return False diff --git a/freqtrade/tests/test_freqtradebot.py b/freqtrade/tests/test_freqtradebot.py index 6282720d6..4357b573a 100644 --- a/freqtrade/tests/test_freqtradebot.py +++ b/freqtrade/tests/test_freqtradebot.py @@ -159,6 +159,15 @@ def test_gen_pair_whitelist(mocker, default_conf, tickers) -> None: assert whitelist == [] +def test_gen_pair_whitelist_not_supported(mocker, default_conf, tickers) -> None: + freqtrade = get_patched_freqtradebot(mocker, default_conf) + mocker.patch('freqtrade.exchange.Exchange.get_tickers', tickers) + mocker.patch('freqtrade.exchange.Exchange.exchange_has', MagicMock(return_value=False)) + + with pytest.raises(OperationalException): + freqtrade._gen_pair_whitelist(base_currency='BTC') + + @pytest.mark.skip(reason="Test not implemented") def test_refresh_whitelist() -> None: pass @@ -1914,6 +1923,7 @@ def test_order_book_depth_of_market(default_conf, ticker, limit_buy_order, fee, def test_order_book_depth_of_market_high_delta(default_conf, ticker, limit_buy_order, fee, markets, mocker): 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.multiple( @@ -1924,7 +1934,6 @@ def test_order_book_depth_of_market_high_delta(default_conf, ticker, get_fee=fee, get_markets=markets ) - # Save state of current whitelist freqtrade = FreqtradeBot(default_conf) patch_get_signal(freqtrade) @@ -1934,33 +1943,47 @@ def test_order_book_depth_of_market_high_delta(default_conf, ticker, assert trade is None -def test_order_book_bid_strategy(default_conf) -> None: +def test_order_book_bid_strategy1(default_conf) -> None: + """ + test if function get_target_bid will return the order book price + instead of the ask rate + """ 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('BTC/USDT', {'ask': 200000, 'last': 200000}) != 200000 + + +def test_order_book_bid_strategy2(default_conf) -> None: + """ + test if function get_target_bid will return ask rate instead + of the order book rate + """ + default_conf['exchange']['name'] = 'binance' + default_conf['experimental']['bid_strategy']['use_order_book'] = True + default_conf['experimental']['bid_strategy']['order_book_top'] = 1 + default_conf['bid_strategy']['ask_last_balance'] = 0 + default_conf['telegram']['enabled'] = False + freqtrade = FreqtradeBot(default_conf) assert freqtrade.get_target_bid('BTC/USDT', {'ask': 2, 'last': 2}) == 2 -def test_trunc_num(default_conf) -> None: - default_conf['telegram']['enabled'] = False - freqtrade = FreqtradeBot(default_conf) - - assert freqtrade._trunc_num(10.1111, 2) == 10.11 - - def test_check_depth_of_market_buy(default_conf) -> None: default_conf['telegram']['enabled'] = False default_conf['exchange']['name'] = 'binance' default_conf['experimental']['check_depth_of_market']['enabled'] = True + # delta is 100 which is impossible to reach. hence function will return false default_conf['experimental']['check_depth_of_market']['bids_to_ask_delta'] = 100 freqtrade = FreqtradeBot(default_conf) - assert freqtrade._check_depth_of_market_buy('ETH/BTC') is False + conf = default_conf['experimental']['check_depth_of_market'] + assert freqtrade._check_depth_of_market_buy('ETH/BTC', conf) is False def test_order_book_ask_strategy(default_conf, limit_buy_order, limit_sell_order,