""" Tests in this file do NOT mock network calls, so they are expected to be fluky at times. However, these tests should give a good idea to determine if a new exchange is suitable to run with freqtrade. """ from datetime import datetime, timedelta, timezone import pytest from freqtrade.enums import CandleType from freqtrade.exchange import timeframe_to_minutes, timeframe_to_prev_date from freqtrade.exchange.exchange import timeframe_to_msecs from freqtrade.util import dt_floor_day, dt_now, dt_ts from tests.exchange_online.conftest import EXCHANGE_FIXTURE_TYPE, EXCHANGES @pytest.mark.longrun class TestCCXTExchange: def test_load_markets(self, exchange: EXCHANGE_FIXTURE_TYPE): exch, exchangename = exchange pair = EXCHANGES[exchangename]["pair"] markets = exch.markets assert pair in markets assert isinstance(markets[pair], dict) assert exch.market_is_spot(markets[pair]) def test_has_validations(self, exchange: EXCHANGE_FIXTURE_TYPE): exch, exchangename = exchange exch.validate_ordertypes( { "entry": "limit", "exit": "limit", "stoploss": "limit", } ) if exchangename == "gate": # gate doesn't have market orders on spot return exch.validate_ordertypes( { "entry": "market", "exit": "market", "stoploss": "market", } ) def test_load_markets_futures(self, exchange_futures: EXCHANGE_FIXTURE_TYPE): exchange, exchangename = exchange_futures pair = EXCHANGES[exchangename]["pair"] pair = EXCHANGES[exchangename].get("futures_pair", pair) markets = exchange.markets assert pair in markets assert isinstance(markets[pair], dict) assert exchange.market_is_future(markets[pair]) def test_ccxt_order_parse(self, exchange: EXCHANGE_FIXTURE_TYPE): exch, exchange_name = exchange if orders := EXCHANGES[exchange_name].get("sample_order"): pair = "SOL/USDT" for order in orders: market = exch._api.markets[pair] po = exch._api.parse_order(order, market) assert isinstance(po["id"], str) assert po["id"] is not None if len(order.keys()) < 5: # Kucoin case assert po["status"] is None continue assert po["timestamp"] == 1674493798550 assert isinstance(po["datetime"], str) assert isinstance(po["timestamp"], int) assert isinstance(po["price"], float) assert po["price"] == 15.5 if po["status"] == "closed": # Filled orders should have average assigned. assert isinstance(po["average"], float) assert po["average"] == 15.5 assert po["symbol"] == pair assert isinstance(po["amount"], float) assert po["amount"] == 1.1 assert isinstance(po["status"], str) else: pytest.skip(f"No sample order available for exchange {exchange_name}") def test_ccxt_my_trades_parse(self, exchange: EXCHANGE_FIXTURE_TYPE): exch, exchange_name = exchange if trades := EXCHANGES[exchange_name].get("sample_my_trades"): pair = "SOL/USDT" for trade in trades: market = exch._api.markets[pair] po = exch._api.parse_trade(trade) (trade, market) assert isinstance(po["id"], str) assert isinstance(po["side"], str) assert isinstance(po["amount"], float) assert isinstance(po["price"], float) assert isinstance(po["datetime"], str) assert isinstance(po["timestamp"], int) if fees := po.get("fees"): assert isinstance(fees, list) for fee in fees: assert isinstance(fee, dict) assert isinstance(fee["cost"], float) assert isinstance(fee["currency"], str) else: pytest.skip(f"No sample Trades available for exchange {exchange_name}") def test_ccxt_fetch_tickers(self, exchange: EXCHANGE_FIXTURE_TYPE): exch, exchangename = exchange pair = EXCHANGES[exchangename]["pair"] tickers = exch.get_tickers() assert pair in tickers assert "ask" in tickers[pair] assert tickers[pair]["ask"] is not None assert "bid" in tickers[pair] assert tickers[pair]["bid"] is not None assert "quoteVolume" in tickers[pair] if EXCHANGES[exchangename].get("hasQuoteVolume"): assert tickers[pair]["quoteVolume"] is not None def test_ccxt_fetch_tickers_futures(self, exchange_futures: EXCHANGE_FIXTURE_TYPE): exch, exchangename = exchange_futures if not exch or exchangename in ("gate"): # exchange_futures only returns values for supported exchanges return pair = EXCHANGES[exchangename]["pair"] pair = EXCHANGES[exchangename].get("futures_pair", pair) tickers = exch.get_tickers() assert pair in tickers assert "ask" in tickers[pair] assert tickers[pair]["ask"] is not None assert "bid" in tickers[pair] assert tickers[pair]["bid"] is not None assert "quoteVolume" in tickers[pair] if EXCHANGES[exchangename].get("hasQuoteVolumeFutures"): assert tickers[pair]["quoteVolume"] is not None def test_ccxt_fetch_ticker(self, exchange: EXCHANGE_FIXTURE_TYPE): exch, exchangename = exchange pair = EXCHANGES[exchangename]["pair"] ticker = exch.fetch_ticker(pair) assert "ask" in ticker assert ticker["ask"] is not None assert "bid" in ticker assert ticker["bid"] is not None assert "quoteVolume" in ticker if EXCHANGES[exchangename].get("hasQuoteVolume"): assert ticker["quoteVolume"] is not None def test_ccxt_fetch_l2_orderbook(self, exchange: EXCHANGE_FIXTURE_TYPE): exch, exchangename = exchange pair = EXCHANGES[exchangename]["pair"] l2 = exch.fetch_l2_order_book(pair) orderbook_max_entries = EXCHANGES[exchangename].get("orderbook_max_entries") assert "asks" in l2 assert "bids" in l2 assert len(l2["asks"]) >= 1 assert len(l2["bids"]) >= 1 l2_limit_range = exch._ft_has["l2_limit_range"] l2_limit_range_required = exch._ft_has["l2_limit_range_required"] if exchangename == "gate": # TODO: Gate is unstable here at the moment, ignoring the limit partially. return for val in [1, 2, 5, 25, 50, 100]: if orderbook_max_entries and val > orderbook_max_entries: continue l2 = exch.fetch_l2_order_book(pair, val) if not l2_limit_range or val in l2_limit_range: if val > 50: # Orderbooks are not always this deep. assert val - 5 < len(l2["asks"]) <= val assert val - 5 < len(l2["bids"]) <= val else: assert len(l2["asks"]) == val assert len(l2["bids"]) == val else: next_limit = exch.get_next_limit_in_list( val, l2_limit_range, l2_limit_range_required ) if next_limit is None: assert len(l2["asks"]) > 100 assert len(l2["asks"]) > 100 elif next_limit > 200: # Large orderbook sizes can be a problem for some exchanges (bitrex ...) assert len(l2["asks"]) > 200 assert len(l2["asks"]) > 200 else: assert len(l2["asks"]) == next_limit assert len(l2["asks"]) == next_limit def test_ccxt_fetch_ohlcv(self, exchange: EXCHANGE_FIXTURE_TYPE): exch, exchangename = exchange pair = EXCHANGES[exchangename]["pair"] timeframe = EXCHANGES[exchangename]["timeframe"] pair_tf = (pair, timeframe, CandleType.SPOT) ohlcv = exch.refresh_latest_ohlcv([pair_tf]) assert isinstance(ohlcv, dict) assert len(ohlcv[pair_tf]) == len(exch.klines(pair_tf)) # assert len(exch.klines(pair_tf)) > 200 # Assume 90% uptime ... assert ( len(exch.klines(pair_tf)) > exch.ohlcv_candle_limit(timeframe, CandleType.SPOT) * 0.90 ) # Check if last-timeframe is within the last 2 intervals now = datetime.now(timezone.utc) - timedelta(minutes=(timeframe_to_minutes(timeframe) * 2)) assert exch.klines(pair_tf).iloc[-1]["date"] >= timeframe_to_prev_date(timeframe, now) def test_ccxt_fetch_ohlcv_startdate(self, exchange: EXCHANGE_FIXTURE_TYPE): """ Test that pair data starts at the provided startdate """ exch, exchangename = exchange pair = EXCHANGES[exchangename]["pair"] timeframe = "1d" pair_tf = (pair, timeframe, CandleType.SPOT) # last 5 days ... since_ms = dt_ts(dt_floor_day(dt_now()) - timedelta(days=6)) ohlcv = exch.refresh_latest_ohlcv([pair_tf], since_ms=since_ms) assert isinstance(ohlcv, dict) assert len(ohlcv[pair_tf]) == len(exch.klines(pair_tf)) # Check if last-timeframe is within the last 2 intervals now = datetime.now(timezone.utc) - timedelta(minutes=(timeframe_to_minutes(timeframe) * 2)) assert exch.klines(pair_tf).iloc[-1]["date"] >= timeframe_to_prev_date(timeframe, now) assert exch.klines(pair_tf)["date"].astype(int).iloc[0] // 1e6 == since_ms def ccxt__async_get_candle_history( self, exchange, exchangename, pair, timeframe, candle_type, factor=0.9 ): timeframe_ms = timeframe_to_msecs(timeframe) now = timeframe_to_prev_date(timeframe, datetime.now(timezone.utc)) for offset in (360, 120, 30, 10, 5, 2): since = now - timedelta(days=offset) since_ms = int(since.timestamp() * 1000) res = exchange.loop.run_until_complete( exchange._async_get_candle_history( pair=pair, timeframe=timeframe, since_ms=since_ms, candle_type=candle_type ) ) assert res assert res[0] == pair assert res[1] == timeframe assert res[2] == candle_type candles = res[3] candle_count = exchange.ohlcv_candle_limit(timeframe, candle_type, since_ms) * factor candle_count1 = (now.timestamp() * 1000 - since_ms) // timeframe_ms * factor assert len(candles) >= min( candle_count, candle_count1 ), f"{len(candles)} < {candle_count} in {timeframe}, Offset: {offset} {factor}" # Check if first-timeframe is either the start, or start + 1 assert candles[0][0] == since_ms or (since_ms + timeframe_ms) def test_ccxt__async_get_candle_history(self, exchange: EXCHANGE_FIXTURE_TYPE): exc, exchangename = exchange if not exc._ft_has["ohlcv_has_history"]: pytest.skip("Exchange does not support candle history") pair = EXCHANGES[exchangename]["pair"] timeframe = EXCHANGES[exchangename]["timeframe"] self.ccxt__async_get_candle_history(exc, exchangename, pair, timeframe, CandleType.SPOT) @pytest.mark.parametrize( "candle_type", [ CandleType.FUTURES, CandleType.FUNDING_RATE, CandleType.MARK, ], ) def test_ccxt__async_get_candle_history_futures( self, exchange_futures: EXCHANGE_FIXTURE_TYPE, candle_type ): exchange, exchangename = exchange_futures pair = EXCHANGES[exchangename].get("futures_pair", EXCHANGES[exchangename]["pair"]) timeframe = EXCHANGES[exchangename]["timeframe"] if candle_type == CandleType.FUNDING_RATE: timeframe = exchange._ft_has.get( "funding_fee_timeframe", exchange._ft_has["mark_ohlcv_timeframe"] ) self.ccxt__async_get_candle_history( exchange, exchangename, pair=pair, timeframe=timeframe, candle_type=candle_type, ) def test_ccxt_fetch_funding_rate_history(self, exchange_futures: EXCHANGE_FIXTURE_TYPE): exchange, exchangename = exchange_futures pair = EXCHANGES[exchangename].get("futures_pair", EXCHANGES[exchangename]["pair"]) since = int((datetime.now(timezone.utc) - timedelta(days=5)).timestamp() * 1000) timeframe_ff = exchange._ft_has.get( "funding_fee_timeframe", exchange._ft_has["mark_ohlcv_timeframe"] ) pair_tf = (pair, timeframe_ff, CandleType.FUNDING_RATE) funding_ohlcv = exchange.refresh_latest_ohlcv( [pair_tf], since_ms=since, drop_incomplete=False ) assert isinstance(funding_ohlcv, dict) rate = funding_ohlcv[pair_tf] this_hour = timeframe_to_prev_date(timeframe_ff) hour1 = timeframe_to_prev_date(timeframe_ff, this_hour - timedelta(minutes=1)) hour2 = timeframe_to_prev_date(timeframe_ff, hour1 - timedelta(minutes=1)) hour3 = timeframe_to_prev_date(timeframe_ff, hour2 - timedelta(minutes=1)) val0 = rate[rate["date"] == this_hour].iloc[0]["open"] val1 = rate[rate["date"] == hour1].iloc[0]["open"] val2 = rate[rate["date"] == hour2].iloc[0]["open"] val3 = rate[rate["date"] == hour3].iloc[0]["open"] # Test For last 4 hours # Avoids random test-failure when funding-fees are 0 for a few hours. assert val0 != 0.0 or val1 != 0.0 or val2 != 0.0 or val3 != 0.0 # We expect funding rates to be different from 0.0 - or moving around. assert ( rate["open"].max() != 0.0 or rate["open"].min() != 0.0 or (rate["open"].min() != rate["open"].max()) ) def test_ccxt_fetch_mark_price_history(self, exchange_futures: EXCHANGE_FIXTURE_TYPE): exchange, exchangename = exchange_futures pair = EXCHANGES[exchangename].get("futures_pair", EXCHANGES[exchangename]["pair"]) since = int((datetime.now(timezone.utc) - timedelta(days=5)).timestamp() * 1000) pair_tf = (pair, "1h", CandleType.MARK) mark_ohlcv = exchange.refresh_latest_ohlcv([pair_tf], since_ms=since, drop_incomplete=False) assert isinstance(mark_ohlcv, dict) expected_tf = "1h" mark_candles = mark_ohlcv[pair_tf] this_hour = timeframe_to_prev_date(expected_tf) prev_hour = timeframe_to_prev_date(expected_tf, this_hour - timedelta(minutes=1)) assert mark_candles[mark_candles["date"] == prev_hour].iloc[0]["open"] != 0.0 assert mark_candles[mark_candles["date"] == this_hour].iloc[0]["open"] != 0.0 def test_ccxt__calculate_funding_fees(self, exchange_futures: EXCHANGE_FIXTURE_TYPE): exchange, exchangename = exchange_futures pair = EXCHANGES[exchangename].get("futures_pair", EXCHANGES[exchangename]["pair"]) since = datetime.now(timezone.utc) - timedelta(days=5) funding_fee = exchange._fetch_and_calculate_funding_fees( pair, 20, is_short=False, open_date=since ) assert isinstance(funding_fee, float) # assert funding_fee > 0 def test_ccxt__async_get_trade_history(self, exchange: EXCHANGE_FIXTURE_TYPE): exch, exchangename = exchange if not (lookback := EXCHANGES[exchangename].get("trades_lookback_hours")): pytest.skip("test_fetch_trades not enabled for this exchange") pair = EXCHANGES[exchangename]["pair"] since = int((datetime.now(timezone.utc) - timedelta(hours=lookback)).timestamp() * 1000) res = exch.loop.run_until_complete(exch._async_get_trade_history(pair, since, None, None)) assert len(res) == 2 res_pair, res_trades = res assert res_pair == pair assert isinstance(res_trades, list) assert res_trades[0][0] >= since assert len(res_trades) > 1200 def test_ccxt_get_fee(self, exchange: EXCHANGE_FIXTURE_TYPE): exch, exchangename = exchange pair = EXCHANGES[exchangename]["pair"] threshold = 0.01 assert 0 < exch.get_fee(pair, "limit", "buy") < threshold assert 0 < exch.get_fee(pair, "limit", "sell") < threshold assert 0 < exch.get_fee(pair, "market", "buy") < threshold assert 0 < exch.get_fee(pair, "market", "sell") < threshold def test_ccxt_get_max_leverage_spot(self, exchange: EXCHANGE_FIXTURE_TYPE): spot, spot_name = exchange if spot: leverage_in_market_spot = EXCHANGES[spot_name].get("leverage_in_spot_market") if leverage_in_market_spot: spot_pair = EXCHANGES[spot_name].get("pair", EXCHANGES[spot_name]["pair"]) spot_leverage = spot.get_max_leverage(spot_pair, 20) assert isinstance(spot_leverage, float) or isinstance(spot_leverage, int) assert spot_leverage >= 1.0 def test_ccxt_get_max_leverage_futures(self, exchange_futures: EXCHANGE_FIXTURE_TYPE): futures, futures_name = exchange_futures leverage_tiers_public = EXCHANGES[futures_name].get("leverage_tiers_public") if leverage_tiers_public: futures_pair = EXCHANGES[futures_name].get( "futures_pair", EXCHANGES[futures_name]["pair"] ) futures_leverage = futures.get_max_leverage(futures_pair, 20) assert isinstance(futures_leverage, float) or isinstance(futures_leverage, int) assert futures_leverage >= 1.0 def test_ccxt_get_contract_size(self, exchange_futures: EXCHANGE_FIXTURE_TYPE): futures, futures_name = exchange_futures futures_pair = EXCHANGES[futures_name].get("futures_pair", EXCHANGES[futures_name]["pair"]) contract_size = futures.get_contract_size(futures_pair) assert isinstance(contract_size, float) or isinstance(contract_size, int) assert contract_size >= 0.0 def test_ccxt_load_leverage_tiers(self, exchange_futures: EXCHANGE_FIXTURE_TYPE): futures, futures_name = exchange_futures if EXCHANGES[futures_name].get("leverage_tiers_public"): leverage_tiers = futures.load_leverage_tiers() futures_pair = EXCHANGES[futures_name].get( "futures_pair", EXCHANGES[futures_name]["pair"] ) assert isinstance(leverage_tiers, dict) assert futures_pair in leverage_tiers pair_tiers = leverage_tiers[futures_pair] assert len(pair_tiers) > 0 oldLeverage = float("inf") oldMaintenanceMarginRate = oldminNotional = oldmaxNotional = -1 for tier in pair_tiers: for key in ["maintenanceMarginRate", "minNotional", "maxNotional", "maxLeverage"]: assert key in tier assert tier[key] >= 0.0 assert tier["maxNotional"] > tier["minNotional"] assert tier["maxLeverage"] <= oldLeverage assert tier["maintenanceMarginRate"] >= oldMaintenanceMarginRate assert tier["minNotional"] > oldminNotional assert tier["maxNotional"] > oldmaxNotional oldLeverage = tier["maxLeverage"] oldMaintenanceMarginRate = tier["maintenanceMarginRate"] oldminNotional = tier["minNotional"] oldmaxNotional = tier["maxNotional"] def test_ccxt_dry_run_liquidation_price(self, exchange_futures: EXCHANGE_FIXTURE_TYPE): futures, futures_name = exchange_futures if EXCHANGES[futures_name].get("leverage_tiers_public"): futures_pair = EXCHANGES[futures_name].get( "futures_pair", EXCHANGES[futures_name]["pair"] ) liquidation_price = futures.dry_run_liquidation_price( pair=futures_pair, open_rate=40000, is_short=False, amount=100, stake_amount=100, leverage=5, wallet_balance=100, ) assert isinstance(liquidation_price, float) assert liquidation_price >= 0.0 liquidation_price = futures.dry_run_liquidation_price( pair=futures_pair, open_rate=40000, is_short=False, amount=100, stake_amount=100, leverage=5, wallet_balance=100, ) assert isinstance(liquidation_price, float) assert liquidation_price >= 0.0 def test_ccxt_get_max_pair_stake_amount(self, exchange_futures: EXCHANGE_FIXTURE_TYPE): futures, futures_name = exchange_futures futures_pair = EXCHANGES[futures_name].get("futures_pair", EXCHANGES[futures_name]["pair"]) max_stake_amount = futures.get_max_pair_stake_amount(futures_pair, 40000) assert isinstance(max_stake_amount, float) assert max_stake_amount >= 0.0 def test_private_method_presence(self, exchange: EXCHANGE_FIXTURE_TYPE): exch, exchangename = exchange for method in EXCHANGES[exchangename].get("private_methods", []): assert hasattr(exch._api, method)