from datetime import datetime, timezone from random import randint from unittest.mock import MagicMock, PropertyMock import ccxt import pytest from freqtrade.enums import MarginMode, TradingMode from freqtrade.exceptions import DependencyException, InvalidOrderException, OperationalException from tests.conftest import get_mock_coro, get_patched_exchange, log_has_re from tests.exchange.test_exchange import ccxt_exceptionhandlers @pytest.mark.parametrize('trademode', [TradingMode.FUTURES, TradingMode.SPOT]) @pytest.mark.parametrize('limitratio,expected,side', [ (None, 220 * 0.99, "sell"), (0.99, 220 * 0.99, "sell"), (0.98, 220 * 0.98, "sell"), (None, 220 * 1.01, "buy"), (0.99, 220 * 1.01, "buy"), (0.98, 220 * 1.02, "buy"), ]) def test_stoploss_order_binance(default_conf, mocker, limitratio, expected, side, trademode): api_mock = MagicMock() order_id = 'test_prod_buy_{}'.format(randint(0, 10 ** 6)) order_type = 'stop_loss_limit' if trademode == TradingMode.SPOT else 'stop' api_mock.create_order = MagicMock(return_value={ 'id': order_id, 'info': { 'foo': 'bar' } }) default_conf['dry_run'] = False default_conf['margin_mode'] = MarginMode.ISOLATED default_conf['trading_mode'] = trademode mocker.patch('freqtrade.exchange.Exchange.amount_to_precision', lambda s, x, y: y) mocker.patch('freqtrade.exchange.Exchange.price_to_precision', lambda s, x, y: y) exchange = get_patched_exchange(mocker, default_conf, api_mock, 'binance') with pytest.raises(OperationalException): order = exchange.stoploss( pair='ETH/BTC', amount=1, stop_price=190, side=side, order_types={'stoploss_on_exchange_limit_ratio': 1.05}, leverage=1.0 ) api_mock.create_order.reset_mock() order_types = {} if limitratio is None else {'stoploss_on_exchange_limit_ratio': limitratio} order = exchange.stoploss( pair='ETH/BTC', amount=1, stop_price=220, order_types=order_types, side=side, leverage=1.0 ) assert 'id' in order assert 'info' in order assert order['id'] == order_id assert api_mock.create_order.call_args_list[0][1]['symbol'] == 'ETH/BTC' assert api_mock.create_order.call_args_list[0][1]['type'] == order_type assert api_mock.create_order.call_args_list[0][1]['side'] == side assert api_mock.create_order.call_args_list[0][1]['amount'] == 1 # Price should be 1% below stopprice assert api_mock.create_order.call_args_list[0][1]['price'] == expected if trademode == TradingMode.SPOT: params_dict = {'stopPrice': 220} else: params_dict = {'stopPrice': 220, 'reduceOnly': True} assert api_mock.create_order.call_args_list[0][1]['params'] == params_dict # test exception handling with pytest.raises(DependencyException): api_mock.create_order = MagicMock(side_effect=ccxt.InsufficientFunds("0 balance")) exchange = get_patched_exchange(mocker, default_conf, api_mock, 'binance') exchange.stoploss( pair='ETH/BTC', amount=1, stop_price=220, order_types={}, side=side, leverage=1.0) with pytest.raises(InvalidOrderException): api_mock.create_order = MagicMock( side_effect=ccxt.InvalidOrder("binance Order would trigger immediately.")) exchange = get_patched_exchange(mocker, default_conf, api_mock, 'binance') exchange.stoploss( pair='ETH/BTC', amount=1, stop_price=220, order_types={}, side=side, leverage=1.0 ) ccxt_exceptionhandlers(mocker, default_conf, api_mock, "binance", "stoploss", "create_order", retries=1, pair='ETH/BTC', amount=1, stop_price=220, order_types={}, side=side, leverage=1.0) def test_stoploss_order_dry_run_binance(default_conf, mocker): api_mock = MagicMock() order_type = 'stop_loss_limit' default_conf['dry_run'] = True mocker.patch('freqtrade.exchange.Exchange.amount_to_precision', lambda s, x, y: y) mocker.patch('freqtrade.exchange.Exchange.price_to_precision', lambda s, x, y: y) exchange = get_patched_exchange(mocker, default_conf, api_mock, 'binance') with pytest.raises(OperationalException): order = exchange.stoploss( pair='ETH/BTC', amount=1, stop_price=190, side="sell", order_types={'stoploss_on_exchange_limit_ratio': 1.05}, leverage=1.0 ) api_mock.create_order.reset_mock() order = exchange.stoploss( pair='ETH/BTC', amount=1, stop_price=220, order_types={}, side="sell", leverage=1.0 ) assert 'id' in order assert 'info' in order assert 'type' in order assert order['type'] == order_type assert order['price'] == 220 assert order['amount'] == 1 @pytest.mark.parametrize('sl1,sl2,sl3,side', [ (1501, 1499, 1501, "sell"), (1499, 1501, 1499, "buy") ]) def test_stoploss_adjust_binance(mocker, default_conf, sl1, sl2, sl3, side): exchange = get_patched_exchange(mocker, default_conf, id='binance') order = { 'type': 'stop_loss_limit', 'price': 1500, 'info': {'stopPrice': 1500}, } assert exchange.stoploss_adjust(sl1, order, side=side) assert not exchange.stoploss_adjust(sl2, order, side=side) # Test with invalid order case order['type'] = 'stop_loss' assert not exchange.stoploss_adjust(sl3, order, side=side) def test_fill_leverage_tiers_binance(default_conf, mocker): api_mock = MagicMock() api_mock.fetch_leverage_tiers = MagicMock(return_value={ 'ADA/BUSD': [ { "tier": 1, "minNotional": 0, "maxNotional": 100000, "maintenanceMarginRate": 0.025, "maxLeverage": 20, "info": { "bracket": "1", "initialLeverage": "20", "maxNotional": "100000", "minNotional": "0", "maintMarginRatio": "0.025", "cum": "0.0" } }, { "tier": 2, "minNotional": 100000, "maxNotional": 500000, "maintenanceMarginRate": 0.05, "maxLeverage": 10, "info": { "bracket": "2", "initialLeverage": "10", "maxNotional": "500000", "minNotional": "100000", "maintMarginRatio": "0.05", "cum": "2500.0" } }, { "tier": 3, "minNotional": 500000, "maxNotional": 1000000, "maintenanceMarginRate": 0.1, "maxLeverage": 5, "info": { "bracket": "3", "initialLeverage": "5", "maxNotional": "1000000", "minNotional": "500000", "maintMarginRatio": "0.1", "cum": "27500.0" } }, { "tier": 4, "minNotional": 1000000, "maxNotional": 2000000, "maintenanceMarginRate": 0.15, "maxLeverage": 3, "info": { "bracket": "4", "initialLeverage": "3", "maxNotional": "2000000", "minNotional": "1000000", "maintMarginRatio": "0.15", "cum": "77500.0" } }, { "tier": 5, "minNotional": 2000000, "maxNotional": 5000000, "maintenanceMarginRate": 0.25, "maxLeverage": 2, "info": { "bracket": "5", "initialLeverage": "2", "maxNotional": "5000000", "minNotional": "2000000", "maintMarginRatio": "0.25", "cum": "277500.0" } }, { "tier": 6, "minNotional": 5000000, "maxNotional": 30000000, "maintenanceMarginRate": 0.5, "maxLeverage": 1, "info": { "bracket": "6", "initialLeverage": "1", "maxNotional": "30000000", "minNotional": "5000000", "maintMarginRatio": "0.5", "cum": "1527500.0" } } ], "ZEC/USDT": [ { "tier": 1, "minNotional": 0, "maxNotional": 50000, "maintenanceMarginRate": 0.01, "maxLeverage": 50, "info": { "bracket": "1", "initialLeverage": "50", "maxNotional": "50000", "minNotional": "0", "maintMarginRatio": "0.01", "cum": "0.0" } }, { "tier": 2, "minNotional": 50000, "maxNotional": 150000, "maintenanceMarginRate": 0.025, "maxLeverage": 20, "info": { "bracket": "2", "initialLeverage": "20", "maxNotional": "150000", "minNotional": "50000", "maintMarginRatio": "0.025", "cum": "750.0" } }, { "tier": 3, "minNotional": 150000, "maxNotional": 250000, "maintenanceMarginRate": 0.05, "maxLeverage": 10, "info": { "bracket": "3", "initialLeverage": "10", "maxNotional": "250000", "minNotional": "150000", "maintMarginRatio": "0.05", "cum": "4500.0" } }, { "tier": 4, "minNotional": 250000, "maxNotional": 500000, "maintenanceMarginRate": 0.1, "maxLeverage": 5, "info": { "bracket": "4", "initialLeverage": "5", "maxNotional": "500000", "minNotional": "250000", "maintMarginRatio": "0.1", "cum": "17000.0" } }, { "tier": 5, "minNotional": 500000, "maxNotional": 1000000, "maintenanceMarginRate": 0.125, "maxLeverage": 4, "info": { "bracket": "5", "initialLeverage": "4", "maxNotional": "1000000", "minNotional": "500000", "maintMarginRatio": "0.125", "cum": "29500.0" } }, { "tier": 6, "minNotional": 1000000, "maxNotional": 2000000, "maintenanceMarginRate": 0.25, "maxLeverage": 2, "info": { "bracket": "6", "initialLeverage": "2", "maxNotional": "2000000", "minNotional": "1000000", "maintMarginRatio": "0.25", "cum": "154500.0" } }, { "tier": 7, "minNotional": 2000000, "maxNotional": 30000000, "maintenanceMarginRate": 0.5, "maxLeverage": 1, "info": { "bracket": "7", "initialLeverage": "1", "maxNotional": "30000000", "minNotional": "2000000", "maintMarginRatio": "0.5", "cum": "654500.0" } } ], }) default_conf['dry_run'] = False default_conf['trading_mode'] = TradingMode.FUTURES default_conf['margin_mode'] = MarginMode.ISOLATED exchange = get_patched_exchange(mocker, default_conf, api_mock, id="binance") exchange.fill_leverage_tiers() assert exchange._leverage_tiers == { 'ADA/BUSD': [ { "min": 0, "max": 100000, "mmr": 0.025, "lev": 20, "maintAmt": 0.0 }, { "min": 100000, "max": 500000, "mmr": 0.05, "lev": 10, "maintAmt": 2500.0 }, { "min": 500000, "max": 1000000, "mmr": 0.1, "lev": 5, "maintAmt": 27500.0 }, { "min": 1000000, "max": 2000000, "mmr": 0.15, "lev": 3, "maintAmt": 77500.0 }, { "min": 2000000, "max": 5000000, "mmr": 0.25, "lev": 2, "maintAmt": 277500.0 }, { "min": 5000000, "max": 30000000, "mmr": 0.5, "lev": 1, "maintAmt": 1527500.0 } ], "ZEC/USDT": [ { 'min': 0, 'max': 50000, 'mmr': 0.01, 'lev': 50, 'maintAmt': 0.0 }, { 'min': 50000, 'max': 150000, 'mmr': 0.025, 'lev': 20, 'maintAmt': 750.0 }, { 'min': 150000, 'max': 250000, 'mmr': 0.05, 'lev': 10, 'maintAmt': 4500.0 }, { 'min': 250000, 'max': 500000, 'mmr': 0.1, 'lev': 5, 'maintAmt': 17000.0 }, { 'min': 500000, 'max': 1000000, 'mmr': 0.125, 'lev': 4, 'maintAmt': 29500.0 }, { 'min': 1000000, 'max': 2000000, 'mmr': 0.25, 'lev': 2, 'maintAmt': 154500.0 }, { 'min': 2000000, 'max': 30000000, 'mmr': 0.5, 'lev': 1, 'maintAmt': 654500.0 }, ] } api_mock = MagicMock() api_mock.load_leverage_tiers = MagicMock() type(api_mock).has = PropertyMock(return_value={'fetchLeverageTiers': True}) ccxt_exceptionhandlers( mocker, default_conf, api_mock, "binance", "fill_leverage_tiers", "fetch_leverage_tiers", ) def test_fill_leverage_tiers_binance_dryrun(default_conf, mocker, leverage_tiers): api_mock = MagicMock() default_conf['trading_mode'] = TradingMode.FUTURES default_conf['margin_mode'] = MarginMode.ISOLATED exchange = get_patched_exchange(mocker, default_conf, api_mock, id="binance") exchange.fill_leverage_tiers() assert len(exchange._leverage_tiers.keys()) > 100 for key, value in leverage_tiers.items(): v = exchange._leverage_tiers[key] assert isinstance(v, list) assert len(v) == len(value) def test__set_leverage_binance(mocker, default_conf): api_mock = MagicMock() api_mock.set_leverage = MagicMock() type(api_mock).has = PropertyMock(return_value={'setLeverage': True}) default_conf['dry_run'] = False exchange = get_patched_exchange(mocker, default_conf, id="binance") exchange._set_leverage(3.0, trading_mode=TradingMode.MARGIN) ccxt_exceptionhandlers( mocker, default_conf, api_mock, "binance", "_set_leverage", "set_leverage", pair="XRP/USDT", leverage=5.0, trading_mode=TradingMode.FUTURES ) @pytest.mark.asyncio @pytest.mark.parametrize('candle_type', ['mark', '']) async def test__async_get_historic_ohlcv_binance(default_conf, mocker, caplog, candle_type): ohlcv = [ [ int((datetime.now(timezone.utc).timestamp() - 1000) * 1000), 1, # open 2, # high 3, # low 4, # close 5, # volume (in quote currency) ] ] exchange = get_patched_exchange(mocker, default_conf, id='binance') # Monkey-patch async function exchange._api_async.fetch_ohlcv = get_mock_coro(ohlcv) pair = 'ETH/BTC' respair, restf, restype, res = await exchange._async_get_historic_ohlcv( pair, "5m", 1500000000000, is_new_pair=False, candle_type=candle_type) assert respair == pair assert restf == '5m' assert restype == candle_type # Call with very old timestamp - causes tons of requests assert exchange._api_async.fetch_ohlcv.call_count > 400 # assert res == ohlcv exchange._api_async.fetch_ohlcv.reset_mock() _, _, _, res = await exchange._async_get_historic_ohlcv( pair, "5m", 1500000000000, is_new_pair=True, candle_type=candle_type) # Called twice - one "init" call - and one to get the actual data. assert exchange._api_async.fetch_ohlcv.call_count == 2 assert res == ohlcv assert log_has_re(r"Candle-data for ETH/BTC available starting with .*", caplog) @pytest.mark.parametrize("trading_mode,margin_mode,config", [ ("spot", "", {}), ("margin", "cross", {"options": {"defaultType": "margin"}}), ("futures", "isolated", {"options": {"defaultType": "future"}}), ]) def test__ccxt_config(default_conf, mocker, trading_mode, margin_mode, config): default_conf['trading_mode'] = trading_mode default_conf['margin_mode'] = margin_mode exchange = get_patched_exchange(mocker, default_conf, id="binance") assert exchange._ccxt_config == config @pytest.mark.parametrize('pair,nominal_value,mm_ratio,amt', [ ("BNB/BUSD", 0.0, 0.025, 0), ("BNB/USDT", 100.0, 0.0065, 0), ("BTC/USDT", 170.30, 0.004, 0), ("BNB/BUSD", 999999.9, 0.1, 27500.0), ("BNB/USDT", 5000000.0, 0.15, 233035.0), ("BTC/USDT", 600000000, 0.5, 1.997038E8), ]) def test_get_maintenance_ratio_and_amt_binance( default_conf, mocker, leverage_tiers, pair, nominal_value, mm_ratio, amt, ): mocker.patch('freqtrade.exchange.Exchange.exchange_has', return_value=True) exchange = get_patched_exchange(mocker, default_conf, id="binance") exchange._leverage_tiers = leverage_tiers (result_ratio, result_amt) = exchange.get_maintenance_ratio_and_amt(pair, nominal_value) assert (round(result_ratio, 8), round(result_amt, 8)) == (mm_ratio, amt)