freqtrade_origin/tests/conftest.py
2024-05-13 07:10:24 +02:00

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# pragma pylint: disable=missing-docstring
import json
import logging
import re
from copy import deepcopy
from datetime import datetime, timedelta, timezone
from pathlib import Path
from typing import Optional
from unittest.mock import MagicMock, Mock, PropertyMock
import numpy as np
import pandas as pd
import pytest
from xdist.scheduler.loadscope import LoadScopeScheduling
from freqtrade import constants
from freqtrade.commands import Arguments
from freqtrade.data.converter import ohlcv_to_dataframe, trades_list_to_df
from freqtrade.edge import PairInfo
from freqtrade.enums import CandleType, MarginMode, RunMode, SignalDirection, TradingMode
from freqtrade.exchange import Exchange, timeframe_to_minutes, timeframe_to_seconds
from freqtrade.freqtradebot import FreqtradeBot
from freqtrade.persistence import LocalTrade, Order, Trade, init_db
from freqtrade.resolvers import ExchangeResolver
from freqtrade.util import dt_now, dt_ts
from freqtrade.worker import Worker
from tests.conftest_trades import (
leverage_trade,
mock_trade_1,
mock_trade_2,
mock_trade_3,
mock_trade_4,
mock_trade_5,
mock_trade_6,
short_trade,
)
from tests.conftest_trades_usdt import (
mock_trade_usdt_1,
mock_trade_usdt_2,
mock_trade_usdt_3,
mock_trade_usdt_4,
mock_trade_usdt_5,
mock_trade_usdt_6,
mock_trade_usdt_7,
)
logging.getLogger("").setLevel(logging.INFO)
# Do not mask numpy errors as warnings that no one read, raise the exсeption
np.seterr(all="raise")
CURRENT_TEST_STRATEGY = "StrategyTestV3"
TRADE_SIDES = ("long", "short")
EXMS = "freqtrade.exchange.exchange.Exchange"
def pytest_addoption(parser):
parser.addoption(
"--longrun",
action="store_true",
dest="longrun",
default=False,
help="Enable long-run tests (ccxt compat)",
)
def pytest_configure(config):
config.addinivalue_line(
"markers", "longrun: mark test that is running slowly and should not be run regularly"
)
if not config.option.longrun:
config.option.markexpr = "not longrun"
class FixtureScheduler(LoadScopeScheduling):
# Based on the suggestion in
# https://github.com/pytest-dev/pytest-xdist/issues/18
def _split_scope(self, nodeid):
if "exchange_online" in nodeid:
try:
# Extract exchange ID from nodeid
exchange_id = nodeid.split("[")[1].split("-")[0].rstrip("]")
return exchange_id
except Exception as e:
print(e)
pass
return nodeid
def pytest_xdist_make_scheduler(config, log):
return FixtureScheduler(config, log)
def log_has(line, logs):
"""Check if line is found on some caplog's message."""
return any(line == message for message in logs.messages)
def log_has_when(line, logs, when):
"""Check if line is found in caplog's messages during a specified stage"""
return any(line == message.message for message in logs.get_records(when))
def log_has_re(line, logs):
"""Check if line matches some caplog's message."""
return any(re.match(line, message) for message in logs.messages)
def num_log_has(line, logs):
"""Check how many times line is found in caplog's messages."""
return sum(line == message for message in logs.messages)
def num_log_has_re(line, logs):
"""Check how many times line matches caplog's messages."""
return sum(bool(re.match(line, message)) for message in logs.messages)
def get_args(args):
return Arguments(args).get_parsed_arg()
def generate_trades_history(n_rows, start_date: Optional[datetime] = None, days=5):
np.random.seed(42)
if not start_date:
start_date = datetime(2020, 1, 1, tzinfo=timezone.utc)
# Generate random data
end_date = start_date + timedelta(days=days)
_start_timestamp = start_date.timestamp()
_end_timestamp = pd.to_datetime(end_date).timestamp()
random_timestamps_in_seconds = np.random.uniform(_start_timestamp, _end_timestamp, n_rows)
timestamp = pd.to_datetime(random_timestamps_in_seconds, unit="s")
id = [
f"a{np.random.randint(1e6, 1e7 - 1)}cd{np.random.randint(100, 999)}" for _ in range(n_rows)
]
side = np.random.choice(["buy", "sell"], n_rows)
# Initial price and subsequent changes
initial_price = 0.019626
price_changes = np.random.normal(0, initial_price * 0.05, n_rows)
price = np.cumsum(np.concatenate(([initial_price], price_changes)))[:n_rows]
amount = np.random.uniform(0.011, 20, n_rows)
cost = price * amount
# Create DataFrame
df = pd.DataFrame(
{
"timestamp": timestamp,
"id": id,
"type": None,
"side": side,
"price": price,
"amount": amount,
"cost": cost,
}
)
df["date"] = pd.to_datetime(df["timestamp"], unit="ms", utc=True)
df = df.sort_values("timestamp").reset_index(drop=True)
assert list(df.columns) == constants.DEFAULT_TRADES_COLUMNS + ["date"]
return df
def generate_test_data(timeframe: str, size: int, start: str = "2020-07-05", random_seed=42):
np.random.seed(random_seed)
base = np.random.normal(20, 2, size=size)
if timeframe == "1y":
date = pd.date_range(start, periods=size, freq="1YS", tz="UTC")
elif timeframe == "1M":
date = pd.date_range(start, periods=size, freq="1MS", tz="UTC")
elif timeframe == "3M":
date = pd.date_range(start, periods=size, freq="3MS", tz="UTC")
elif timeframe == "1w" or timeframe == "7d":
date = pd.date_range(start, periods=size, freq="1W-MON", tz="UTC")
else:
tf_mins = timeframe_to_minutes(timeframe)
if tf_mins >= 1:
date = pd.date_range(start, periods=size, freq=f"{tf_mins}min", tz="UTC")
else:
tf_secs = timeframe_to_seconds(timeframe)
date = pd.date_range(start, periods=size, freq=f"{tf_secs}s", tz="UTC")
df = pd.DataFrame(
{
"date": date,
"open": base,
"high": base + np.random.normal(2, 1, size=size),
"low": base - np.random.normal(2, 1, size=size),
"close": base + np.random.normal(0, 1, size=size),
"volume": np.random.normal(200, size=size),
}
)
df = df.dropna()
return df
def generate_test_data_raw(timeframe: str, size: int, start: str = "2020-07-05", random_seed=42):
"""Generates data in the ohlcv format used by ccxt"""
df = generate_test_data(timeframe, size, start, random_seed)
df["date"] = df.loc[:, "date"].astype(np.int64) // 1000 // 1000
return list(list(x) for x in zip(*(df[x].values.tolist() for x in df.columns)))
# Source: https://stackoverflow.com/questions/29881236/how-to-mock-asyncio-coroutines
# TODO: This should be replaced with AsyncMock once support for python 3.7 is dropped.
def get_mock_coro(return_value=None, side_effect=None):
async def mock_coro(*args, **kwargs):
if side_effect:
if isinstance(side_effect, list):
effect = side_effect.pop(0)
else:
effect = side_effect
if isinstance(effect, Exception):
raise effect
if callable(effect):
return effect(*args, **kwargs)
return effect
else:
return return_value
return Mock(wraps=mock_coro)
def patched_configuration_load_config_file(mocker, config) -> None:
mocker.patch(
"freqtrade.configuration.load_config.load_config_file", lambda *args, **kwargs: config
)
def patch_exchange(
mocker, api_mock=None, id="binance", mock_markets=True, mock_supported_modes=True
) -> None:
mocker.patch(f"{EXMS}._load_async_markets", return_value={})
mocker.patch(f"{EXMS}.validate_config", MagicMock())
mocker.patch(f"{EXMS}.validate_timeframes", MagicMock())
mocker.patch(f"{EXMS}.id", PropertyMock(return_value=id))
mocker.patch(f"{EXMS}.name", PropertyMock(return_value=id.title()))
mocker.patch(f"{EXMS}.precisionMode", PropertyMock(return_value=2))
# Temporary patch ...
mocker.patch("freqtrade.exchange.bybit.Bybit.cache_leverage_tiers")
if mock_markets:
if isinstance(mock_markets, bool):
mock_markets = get_markets()
mocker.patch(f"{EXMS}.markets", PropertyMock(return_value=mock_markets))
if mock_supported_modes:
mocker.patch(
f"freqtrade.exchange.{id}.{id.capitalize()}._supported_trading_mode_margin_pairs",
PropertyMock(
return_value=[
(TradingMode.MARGIN, MarginMode.CROSS),
(TradingMode.MARGIN, MarginMode.ISOLATED),
(TradingMode.FUTURES, MarginMode.CROSS),
(TradingMode.FUTURES, MarginMode.ISOLATED),
]
),
)
if api_mock:
mocker.patch(f"{EXMS}._init_ccxt", return_value=api_mock)
else:
mocker.patch(f"{EXMS}.get_fee", return_value=0.0025)
mocker.patch(f"{EXMS}._init_ccxt", MagicMock())
mocker.patch(f"{EXMS}.timeframes", PropertyMock(return_value=["5m", "15m", "1h", "1d"]))
def get_patched_exchange(
mocker, config, api_mock=None, id="binance", mock_markets=True, mock_supported_modes=True
) -> Exchange:
patch_exchange(mocker, api_mock, id, mock_markets, mock_supported_modes)
config["exchange"]["name"] = id
try:
exchange = ExchangeResolver.load_exchange(config, load_leverage_tiers=True)
except ImportError:
exchange = Exchange(config)
return exchange
def patch_wallet(mocker, free=999.9) -> None:
mocker.patch("freqtrade.wallets.Wallets.get_free", MagicMock(return_value=free))
def patch_whitelist(mocker, conf) -> None:
mocker.patch(
"freqtrade.freqtradebot.FreqtradeBot._refresh_active_whitelist",
MagicMock(return_value=conf["exchange"]["pair_whitelist"]),
)
def patch_edge(mocker) -> None:
# "ETH/BTC",
# "LTC/BTC",
# "XRP/BTC",
# "NEO/BTC"
mocker.patch(
"freqtrade.edge.Edge._cached_pairs",
mocker.PropertyMock(
return_value={
"NEO/BTC": PairInfo(-0.20, 0.66, 3.71, 0.50, 1.71, 10, 25),
"LTC/BTC": PairInfo(-0.21, 0.66, 3.71, 0.50, 1.71, 11, 20),
}
),
)
mocker.patch("freqtrade.edge.Edge.calculate", MagicMock(return_value=True))
# Functions for recurrent object patching
def patch_freqtradebot(mocker, config) -> None:
"""
This function patch _init_modules() to not call dependencies
:param mocker: a Mocker object to apply patches
:param config: Config to pass to the bot
:return: None
"""
mocker.patch("freqtrade.freqtradebot.RPCManager", MagicMock())
patch_exchange(mocker)
mocker.patch("freqtrade.freqtradebot.RPCManager._init", MagicMock())
mocker.patch("freqtrade.freqtradebot.RPCManager.send_msg", MagicMock())
patch_whitelist(mocker, config)
mocker.patch("freqtrade.freqtradebot.ExternalMessageConsumer")
mocker.patch("freqtrade.configuration.config_validation._validate_consumers")
def get_patched_freqtradebot(mocker, config) -> FreqtradeBot:
"""
This function patches _init_modules() to not call dependencies
:param mocker: a Mocker object to apply patches
:param config: Config to pass to the bot
:return: FreqtradeBot
"""
patch_freqtradebot(mocker, config)
return FreqtradeBot(config)
def get_patched_worker(mocker, config) -> Worker:
"""
This function patches _init_modules() to not call dependencies
:param mocker: a Mocker object to apply patches
:param config: Config to pass to the bot
:return: Worker
"""
patch_freqtradebot(mocker, config)
return Worker(args=None, config=config)
def patch_get_signal(
freqtrade: FreqtradeBot,
enter_long=True,
exit_long=False,
enter_short=False,
exit_short=False,
enter_tag: Optional[str] = None,
exit_tag: Optional[str] = None,
) -> None:
"""
:param mocker: mocker to patch IStrategy class
:return: None
"""
# returns (Signal-direction, signaname)
def patched_get_entry_signal(*args, **kwargs):
direction = None
if enter_long and not any([exit_long, enter_short]):
direction = SignalDirection.LONG
if enter_short and not any([exit_short, enter_long]):
direction = SignalDirection.SHORT
return direction, enter_tag
freqtrade.strategy.get_entry_signal = patched_get_entry_signal
def patched_get_exit_signal(pair, timeframe, dataframe, is_short):
if is_short:
return enter_short, exit_short, exit_tag
else:
return enter_long, exit_long, exit_tag
# returns (enter, exit)
freqtrade.strategy.get_exit_signal = patched_get_exit_signal
freqtrade.exchange.refresh_latest_ohlcv = lambda p: None
def create_mock_trades(fee, is_short: Optional[bool] = False, use_db: bool = True):
"""
Create some fake trades ...
:param is_short: Optional bool, None creates a mix of long and short trades.
"""
def add_trade(trade):
if use_db:
Trade.session.add(trade)
else:
LocalTrade.add_bt_trade(trade)
is_short1 = is_short if is_short is not None else True
is_short2 = is_short if is_short is not None else False
# Simulate dry_run entries
trade = mock_trade_1(fee, is_short1)
add_trade(trade)
trade = mock_trade_2(fee, is_short1)
add_trade(trade)
trade = mock_trade_3(fee, is_short2)
add_trade(trade)
trade = mock_trade_4(fee, is_short2)
add_trade(trade)
trade = mock_trade_5(fee, is_short2)
add_trade(trade)
trade = mock_trade_6(fee, is_short1)
add_trade(trade)
if use_db:
Trade.commit()
def create_mock_trades_with_leverage(fee, use_db: bool = True):
"""
Create some fake trades ...
"""
if use_db:
Trade.session.rollback()
def add_trade(trade):
if use_db:
Trade.session.add(trade)
else:
LocalTrade.add_bt_trade(trade)
# Simulate dry_run entries
trade = mock_trade_1(fee, False)
add_trade(trade)
trade = mock_trade_2(fee, False)
add_trade(trade)
trade = mock_trade_3(fee, False)
add_trade(trade)
trade = mock_trade_4(fee, False)
add_trade(trade)
trade = mock_trade_5(fee, False)
add_trade(trade)
trade = mock_trade_6(fee, False)
add_trade(trade)
trade = short_trade(fee)
add_trade(trade)
trade = leverage_trade(fee)
add_trade(trade)
if use_db:
Trade.session.flush()
def create_mock_trades_usdt(fee, is_short: Optional[bool] = False, use_db: bool = True):
"""
Create some fake trades ...
"""
def add_trade(trade):
if use_db:
Trade.session.add(trade)
else:
LocalTrade.add_bt_trade(trade)
is_short1 = is_short if is_short is not None else True
is_short2 = is_short if is_short is not None else False
# Simulate dry_run entries
trade = mock_trade_usdt_1(fee, is_short1)
add_trade(trade)
trade = mock_trade_usdt_2(fee, is_short1)
add_trade(trade)
trade = mock_trade_usdt_3(fee, is_short1)
add_trade(trade)
trade = mock_trade_usdt_4(fee, is_short2)
add_trade(trade)
trade = mock_trade_usdt_5(fee, is_short2)
add_trade(trade)
trade = mock_trade_usdt_6(fee, is_short1)
add_trade(trade)
trade = mock_trade_usdt_7(fee, is_short1)
add_trade(trade)
if use_db:
Trade.commit()
@pytest.fixture(autouse=True)
def patch_gc(mocker) -> None:
mocker.patch("freqtrade.main.gc_set_threshold")
@pytest.fixture(autouse=True)
def user_dir(mocker, tmp_path) -> Path:
user_dir = tmp_path / "user_data"
mocker.patch("freqtrade.configuration.configuration.create_userdata_dir", return_value=user_dir)
return user_dir
@pytest.fixture(autouse=True)
def patch_coingecko(mocker) -> None:
"""
Mocker to coingecko to speed up tests
:param mocker: mocker to patch coingecko class
:return: None
"""
tickermock = MagicMock(return_value={"bitcoin": {"usd": 12345.0}, "ethereum": {"usd": 12345.0}})
listmock = MagicMock(
return_value=[
{"id": "bitcoin", "name": "Bitcoin", "symbol": "btc", "website_slug": "bitcoin"},
{"id": "ethereum", "name": "Ethereum", "symbol": "eth", "website_slug": "ethereum"},
]
)
mocker.patch.multiple(
"freqtrade.rpc.fiat_convert.CoinGeckoAPI",
get_price=tickermock,
get_coins_list=listmock,
)
@pytest.fixture(scope="function")
def init_persistence(default_conf):
init_db(default_conf["db_url"])
@pytest.fixture(scope="function")
def default_conf(testdatadir):
return get_default_conf(testdatadir)
@pytest.fixture(scope="function")
def default_conf_usdt(testdatadir):
return get_default_conf_usdt(testdatadir)
def get_default_conf(testdatadir):
"""Returns validated configuration suitable for most tests"""
configuration = {
"max_open_trades": 1,
"stake_currency": "BTC",
"stake_amount": 0.001,
"fiat_display_currency": "USD",
"timeframe": "5m",
"dry_run": True,
"cancel_open_orders_on_exit": False,
"minimal_roi": {"40": 0.0, "30": 0.01, "20": 0.02, "0": 0.04},
"dry_run_wallet": 1000,
"stoploss": -0.10,
"unfilledtimeout": {"entry": 10, "exit": 30},
"entry_pricing": {
"price_last_balance": 0.0,
"use_order_book": False,
"order_book_top": 1,
"check_depth_of_market": {"enabled": False, "bids_to_ask_delta": 1},
},
"exit_pricing": {
"use_order_book": False,
"order_book_top": 1,
},
"exchange": {
"name": "binance",
"key": "key",
"secret": "secret",
"pair_whitelist": ["ETH/BTC", "LTC/BTC", "XRP/BTC", "NEO/BTC"],
"pair_blacklist": [
"DOGE/BTC",
"HOT/BTC",
],
},
"pairlists": [{"method": "StaticPairList"}],
"telegram": {
"enabled": False,
"token": "token",
"chat_id": "0",
"notification_settings": {},
},
"datadir": Path(testdatadir),
"initial_state": "running",
"db_url": "sqlite://",
"user_data_dir": Path("user_data"),
"verbosity": 3,
"strategy_path": str(Path(__file__).parent / "strategy" / "strats"),
"strategy": CURRENT_TEST_STRATEGY,
"disableparamexport": True,
"internals": {},
"export": "none",
"dataformat_ohlcv": "feather",
"runmode": "dry_run",
"candle_type_def": CandleType.SPOT,
}
return configuration
def get_default_conf_usdt(testdatadir):
configuration = get_default_conf(testdatadir)
configuration.update(
{
"stake_amount": 60.0,
"stake_currency": "USDT",
"exchange": {
"name": "binance",
"enabled": True,
"key": "key",
"secret": "secret",
"pair_whitelist": [
"ETH/USDT",
"LTC/USDT",
"XRP/USDT",
"NEO/USDT",
"TKN/USDT",
],
"pair_blacklist": [
"DOGE/USDT",
"HOT/USDT",
],
},
}
)
return configuration
@pytest.fixture
def fee():
return MagicMock(return_value=0.0025)
@pytest.fixture
def ticker():
return MagicMock(
return_value={
"bid": 0.00001098,
"ask": 0.00001099,
"last": 0.00001098,
}
)
@pytest.fixture
def ticker_sell_up():
return MagicMock(
return_value={
"bid": 0.00001172,
"ask": 0.00001173,
"last": 0.00001172,
}
)
@pytest.fixture
def ticker_sell_down():
return MagicMock(
return_value={
"bid": 0.00001044,
"ask": 0.00001043,
"last": 0.00001044,
}
)
@pytest.fixture
def ticker_usdt():
return MagicMock(
return_value={
"bid": 2.0,
"ask": 2.02,
"last": 2.0,
}
)
@pytest.fixture
def ticker_usdt_sell_up():
return MagicMock(
return_value={
"bid": 2.2,
"ask": 2.3,
"last": 2.2,
}
)
@pytest.fixture
def ticker_usdt_sell_down():
return MagicMock(
return_value={
"bid": 2.01,
"ask": 2.0,
"last": 2.01,
}
)
@pytest.fixture
def markets():
return get_markets()
def get_markets():
# See get_markets_static() for immutable markets and do not modify them unless absolutely
# necessary!
return {
"ETH/BTC": {
"id": "ethbtc",
"symbol": "ETH/BTC",
"base": "ETH",
"quote": "BTC",
"active": True,
"spot": True,
"swap": False,
"linear": None,
"type": "spot",
"precision": {
"price": 8,
"amount": 8,
"cost": 8,
},
"lot": 0.00000001,
"contractSize": None,
"limits": {
"amount": {
"min": 0.01,
"max": 100000000,
},
"price": {
"min": None,
"max": 500000,
},
"cost": {
"min": 0.0001,
"max": 500000,
},
"leverage": {"min": 1.0, "max": 2.0},
},
},
"TKN/BTC": {
"id": "tknbtc",
"symbol": "TKN/BTC",
"base": "TKN",
"quote": "BTC",
# According to ccxt, markets without active item set are also active
# 'active': True,
"spot": True,
"swap": False,
"linear": None,
"type": "spot",
"precision": {
"price": 8,
"amount": 8,
"cost": 8,
},
"lot": 0.00000001,
"contractSize": None,
"limits": {
"amount": {
"min": 0.01,
"max": 100000000,
},
"price": {
"min": None,
"max": 500000,
},
"cost": {
"min": 0.0001,
"max": 500000,
},
"leverage": {"min": 1.0, "max": 5.0},
},
},
"BLK/BTC": {
"id": "blkbtc",
"symbol": "BLK/BTC",
"base": "BLK",
"quote": "BTC",
"active": True,
"spot": True,
"swap": False,
"linear": None,
"type": "spot",
"precision": {
"price": 8,
"amount": 8,
"cost": 8,
},
"lot": 0.00000001,
"contractSize": None,
"limits": {
"amount": {
"min": 0.01,
"max": 1000,
},
"price": {
"min": None,
"max": 500000,
},
"cost": {
"min": 0.0001,
"max": 500000,
},
"leverage": {"min": 1.0, "max": 3.0},
},
},
"LTC/BTC": {
"id": "ltcbtc",
"symbol": "LTC/BTC",
"base": "LTC",
"quote": "BTC",
"active": True,
"spot": True,
"swap": False,
"linear": None,
"type": "spot",
"precision": {
"price": 8,
"amount": 8,
"cost": 8,
},
"lot": 0.00000001,
"contractSize": None,
"limits": {
"amount": {
"min": 0.01,
"max": 100000000,
},
"price": {
"min": None,
"max": 500000,
},
"cost": {
"min": 0.0001,
"max": 500000,
},
"leverage": {"min": None, "max": None},
},
"info": {},
},
"XRP/BTC": {
"id": "xrpbtc",
"symbol": "XRP/BTC",
"base": "XRP",
"quote": "BTC",
"active": True,
"spot": True,
"swap": False,
"linear": None,
"type": "spot",
"precision": {
"price": 8,
"amount": 8,
"cost": 8,
},
"lot": 0.00000001,
"contractSize": None,
"limits": {
"amount": {
"min": 0.01,
"max": 100000000,
},
"price": {
"min": None,
"max": 500000,
},
"cost": {
"min": 0.0001,
"max": 500000,
},
"leverage": {
"min": None,
"max": None,
},
},
"info": {},
},
"NEO/BTC": {
"id": "neobtc",
"symbol": "NEO/BTC",
"base": "NEO",
"quote": "BTC",
"active": True,
"spot": True,
"swap": False,
"linear": None,
"type": "spot",
"precision": {
"price": 8,
"amount": 8,
"cost": 8,
},
"lot": 0.00000001,
"contractSize": None,
"limits": {
"amount": {
"min": 0.01,
"max": 100000000,
},
"price": {
"min": None,
"max": 500000,
},
"cost": {
"min": 0.0001,
"max": 500000,
},
"leverage": {
"min": None,
"max": None,
},
},
"info": {},
},
"BTT/BTC": {
"id": "BTTBTC",
"symbol": "BTT/BTC",
"base": "BTT",
"quote": "BTC",
"active": False,
"spot": True,
"swap": False,
"linear": None,
"type": "spot",
"contractSize": None,
"precision": {"base": 8, "quote": 8, "amount": 0, "price": 8},
"limits": {
"amount": {"min": 1.0, "max": 90000000.0},
"price": {"min": None, "max": None},
"cost": {"min": 0.0001, "max": None},
"leverage": {
"min": None,
"max": None,
},
},
"info": {},
},
"ETH/USDT": {
"id": "USDT-ETH",
"symbol": "ETH/USDT",
"base": "ETH",
"quote": "USDT",
"settle": None,
"baseId": "ETH",
"quoteId": "USDT",
"settleId": None,
"type": "spot",
"spot": True,
"margin": True,
"swap": True,
"future": True,
"option": False,
"active": True,
"contract": None,
"linear": None,
"inverse": None,
"taker": 0.0006,
"maker": 0.0002,
"contractSize": None,
"expiry": None,
"expiryDateTime": None,
"strike": None,
"optionType": None,
"precision": {
"amount": 8,
"price": 8,
},
"limits": {
"leverage": {
"min": 1,
"max": 100,
},
"amount": {
"min": 0.02214286,
"max": None,
},
"price": {
"min": 1e-08,
"max": None,
},
"cost": {
"min": None,
"max": None,
},
},
"info": {
"maintenance_rate": "0.005",
},
},
"BTC/USDT": {
"id": "USDT-BTC",
"symbol": "BTC/USDT",
"base": "BTC",
"quote": "USDT",
"settle": None,
"baseId": "BTC",
"quoteId": "USDT",
"settleId": None,
"type": "spot",
"spot": True,
"margin": True,
"swap": False,
"future": False,
"option": False,
"active": True,
"contract": None,
"linear": None,
"inverse": None,
"taker": 0.0006,
"maker": 0.0002,
"contractSize": None,
"expiry": None,
"expiryDateTime": None,
"strike": None,
"optionType": None,
"precision": {
"amount": 4,
"price": 4,
},
"limits": {
"leverage": {
"min": 1,
"max": 100,
},
"amount": {
"min": 0.000221,
"max": None,
},
"price": {
"min": 1e-02,
"max": None,
},
"cost": {
"min": None,
"max": None,
},
},
"info": {
"maintenance_rate": "0.005",
},
},
"LTC/USDT": {
"id": "USDT-LTC",
"symbol": "LTC/USDT",
"base": "LTC",
"quote": "USDT",
"active": False,
"spot": True,
"future": True,
"swap": True,
"margin": True,
"linear": None,
"inverse": False,
"type": "spot",
"contractSize": None,
"taker": 0.0006,
"maker": 0.0002,
"precision": {"amount": 8, "price": 8},
"limits": {
"amount": {"min": 0.06646786, "max": None},
"price": {"min": 1e-08, "max": None},
"leverage": {
"min": None,
"max": None,
},
"cost": {
"min": None,
"max": None,
},
},
"info": {},
},
"XRP/USDT": {
"id": "xrpusdt",
"symbol": "XRP/USDT",
"base": "XRP",
"quote": "USDT",
"active": True,
"spot": True,
"swap": False,
"linear": None,
"type": "spot",
"taker": 0.0006,
"maker": 0.0002,
"precision": {
"price": 8,
"amount": 8,
"cost": 8,
},
"lot": 0.00000001,
"contractSize": None,
"limits": {
"amount": {
"min": 0.01,
"max": 1000,
},
"price": {
"min": None,
"max": 500000,
},
"cost": {
"min": 0.0001,
"max": 500000,
},
},
"info": {},
},
"NEO/USDT": {
"id": "neousdt",
"symbol": "NEO/USDT",
"base": "NEO",
"quote": "USDT",
"settle": "",
"baseId": "NEO",
"quoteId": "USDT",
"settleId": "",
"type": "spot",
"spot": True,
"margin": True,
"swap": False,
"futures": False,
"option": False,
"active": True,
"contract": False,
"linear": None,
"inverse": None,
"taker": 0.0006,
"maker": 0.0002,
"contractSize": None,
"expiry": None,
"expiryDatetime": None,
"strike": None,
"optionType": None,
"tierBased": None,
"percentage": None,
"lot": 0.00000001,
"precision": {
"price": 8,
"amount": 8,
"cost": 8,
},
"limits": {
"leverage": {"min": 1, "max": 10},
"amount": {
"min": 0.01,
"max": 1000,
},
"price": {
"min": None,
"max": 500000,
},
"cost": {
"min": 0.0001,
"max": 500000,
},
},
"info": {},
},
"TKN/USDT": {
"id": "tknusdt",
"symbol": "TKN/USDT",
"base": "TKN",
"quote": "USDT",
"active": True,
"spot": True,
"swap": False,
"linear": None,
"type": "spot",
"contractSize": None,
"taker": 0.0006,
"maker": 0.0002,
"precision": {
"price": 8,
"amount": 8,
"cost": 8,
},
"lot": 0.00000001,
"limits": {
"amount": {
"min": 0.01,
"max": 100000000000,
},
"price": {"min": None, "max": 500000},
"cost": {
"min": 0.0001,
"max": 500000,
},
"leverage": {
"min": None,
"max": None,
},
},
"info": {},
},
"LTC/USD": {
"id": "USD-LTC",
"symbol": "LTC/USD",
"base": "LTC",
"quote": "USD",
"active": True,
"spot": True,
"swap": False,
"linear": None,
"type": "spot",
"contractSize": None,
"precision": {"amount": 8, "price": 8},
"limits": {
"amount": {"min": 0.06646786, "max": None},
"price": {"min": 1e-08, "max": None},
"leverage": {
"min": None,
"max": None,
},
"cost": {
"min": None,
"max": None,
},
},
"info": {},
},
"XLTCUSDT": {
"id": "xLTCUSDT",
"symbol": "XLTCUSDT",
"base": "LTC",
"quote": "USDT",
"active": True,
"spot": False,
"type": "swap",
"contractSize": 0.01,
"swap": False,
"linear": False,
"taker": 0.0006,
"maker": 0.0002,
"precision": {"amount": 8, "price": 8},
"limits": {
"leverage": {
"min": None,
"max": None,
},
"amount": {"min": 0.06646786, "max": None},
"price": {"min": 1e-08, "max": None},
"cost": {
"min": None,
"max": None,
},
},
"info": {},
},
"LTC/ETH": {
"id": "LTCETH",
"symbol": "LTC/ETH",
"base": "LTC",
"quote": "ETH",
"active": True,
"spot": True,
"swap": False,
"linear": None,
"type": "spot",
"contractSize": None,
"precision": {"base": 8, "quote": 8, "amount": 3, "price": 5},
"limits": {
"leverage": {
"min": None,
"max": None,
},
"amount": {"min": 0.001, "max": 10000000.0},
"price": {"min": 1e-05, "max": 1000.0},
"cost": {"min": 0.01, "max": None},
},
"info": {},
},
"ETH/USDT:USDT": {
"id": "ETH_USDT",
"symbol": "ETH/USDT:USDT",
"base": "ETH",
"quote": "USDT",
"settle": "USDT",
"baseId": "ETH",
"quoteId": "USDT",
"settleId": "USDT",
"type": "swap",
"spot": False,
"margin": False,
"swap": True,
"future": True, # Binance mode ...
"option": False,
"contract": True,
"linear": True,
"inverse": False,
"tierBased": False,
"percentage": True,
"taker": 0.0006,
"maker": 0.0002,
"contractSize": 10,
"active": True,
"expiry": None,
"expiryDatetime": None,
"strike": None,
"optionType": None,
"limits": {
"leverage": {"min": 1, "max": 100},
"amount": {"min": 1, "max": 300000},
"price": {
"min": None,
"max": None,
},
"cost": {
"min": None,
"max": None,
},
},
"precision": {"price": 0.05, "amount": 1},
"info": {},
},
"ADA/USDT:USDT": {
"limits": {
"leverage": {
"min": 1,
"max": 20,
},
"amount": {
"min": 1,
"max": 1000000,
},
"price": {
"min": 0.52981,
"max": 1.58943,
},
"cost": {
"min": None,
"max": None,
},
},
"precision": {"amount": 1, "price": 0.00001},
"tierBased": True,
"percentage": True,
"taker": 0.0000075,
"maker": -0.0000025,
"feeSide": "get",
"tiers": {
"maker": [
[0, 0.002],
[1.5, 0.00185],
[3, 0.00175],
[6, 0.00165],
[12.5, 0.00155],
[25, 0.00145],
[75, 0.00135],
[200, 0.00125],
[500, 0.00115],
[1250, 0.00105],
[2500, 0.00095],
[3000, 0.00085],
[6000, 0.00075],
[11000, 0.00065],
[20000, 0.00055],
[40000, 0.00055],
[75000, 0.00055],
],
"taker": [
[0, 0.002],
[1.5, 0.00195],
[3, 0.00185],
[6, 0.00175],
[12.5, 0.00165],
[25, 0.00155],
[75, 0.00145],
[200, 0.00135],
[500, 0.00125],
[1250, 0.00115],
[2500, 0.00105],
[3000, 0.00095],
[6000, 0.00085],
[11000, 0.00075],
[20000, 0.00065],
[40000, 0.00065],
[75000, 0.00065],
],
},
"id": "ADA_USDT",
"symbol": "ADA/USDT:USDT",
"base": "ADA",
"quote": "USDT",
"settle": "USDT",
"baseId": "ADA",
"quoteId": "USDT",
"settleId": "usdt",
"type": "swap",
"spot": False,
"margin": False,
"swap": True,
"future": True, # Binance mode ...
"option": False,
"active": True,
"contract": True,
"linear": True,
"inverse": False,
"contractSize": 0.01,
"expiry": None,
"expiryDatetime": None,
"strike": None,
"optionType": None,
"info": {},
},
"SOL/BUSD:BUSD": {
"limits": {
"leverage": {"min": None, "max": None},
"amount": {"min": 1, "max": 1000000},
"price": {"min": 0.04, "max": 100000},
"cost": {"min": 5, "max": None},
"market": {"min": 1, "max": 1500},
},
"precision": {"amount": 0, "price": 2, "base": 8, "quote": 8},
"tierBased": False,
"percentage": True,
"taker": 0.0004,
"maker": 0.0002,
"feeSide": "get",
"id": "SOLBUSD",
"lowercaseId": "solbusd",
"symbol": "SOL/BUSD",
"base": "SOL",
"quote": "BUSD",
"settle": "BUSD",
"baseId": "SOL",
"quoteId": "BUSD",
"settleId": "BUSD",
"type": "future",
"spot": False,
"margin": False,
"future": True,
"delivery": False,
"option": False,
"active": True,
"contract": True,
"linear": True,
"inverse": False,
"contractSize": 1,
"expiry": None,
"expiryDatetime": None,
"strike": None,
"optionType": None,
"info": {
"symbol": "SOLBUSD",
"pair": "SOLBUSD",
"contractType": "PERPETUAL",
"deliveryDate": "4133404800000",
"onboardDate": "1630566000000",
"status": "TRADING",
"maintMarginPercent": "2.5000",
"requiredMarginPercent": "5.0000",
"baseAsset": "SOL",
"quoteAsset": "BUSD",
"marginAsset": "BUSD",
"pricePrecision": "4",
"quantityPrecision": "0",
"baseAssetPrecision": "8",
"quotePrecision": "8",
"underlyingType": "COIN",
"underlyingSubType": [],
"settlePlan": "0",
"triggerProtect": "0.0500",
"liquidationFee": "0.005000",
"marketTakeBound": "0.05",
"filters": [
{
"minPrice": "0.0400",
"maxPrice": "100000",
"filterType": "PRICE_FILTER",
"tickSize": "0.0100",
},
{"stepSize": "1", "filterType": "LOT_SIZE", "maxQty": "1000000", "minQty": "1"},
{
"stepSize": "1",
"filterType": "MARKET_LOT_SIZE",
"maxQty": "1500",
"minQty": "1",
},
{"limit": "200", "filterType": "MAX_NUM_ORDERS"},
{"limit": "10", "filterType": "MAX_NUM_ALGO_ORDERS"},
{"notional": "5", "filterType": "MIN_NOTIONAL"},
{
"multiplierDown": "0.9500",
"multiplierUp": "1.0500",
"multiplierDecimal": "4",
"filterType": "PERCENT_PRICE",
},
],
"orderTypes": [
"LIMIT",
"MARKET",
"STOP",
"STOP_MARKET",
"TAKE_PROFIT",
"TAKE_PROFIT_MARKET",
"TRAILING_STOP_MARKET",
],
"timeInForce": ["GTC", "IOC", "FOK", "GTX"],
},
},
}
@pytest.fixture
def markets_static():
# These markets are used in some tests that would need adaptation should anything change in
# market list. Do not modify this list without a good reason! Do not modify market parameters
# of listed pairs in get_markets() without a good reason either!
static_markets = [
"BLK/BTC",
"BTT/BTC",
"ETH/BTC",
"ETH/USDT",
"LTC/BTC",
"LTC/ETH",
"LTC/USD",
"LTC/USDT",
"NEO/BTC",
"TKN/BTC",
"XLTCUSDT",
"XRP/BTC",
"ADA/USDT:USDT",
"ETH/USDT:USDT",
]
all_markets = get_markets()
return {m: all_markets[m] for m in static_markets}
@pytest.fixture
def shitcoinmarkets(markets_static):
"""
Fixture with shitcoin markets - used to test filters in pairlists
"""
shitmarkets = deepcopy(markets_static)
shitmarkets.update(
{
"HOT/BTC": {
"id": "HOTBTC",
"symbol": "HOT/BTC",
"base": "HOT",
"quote": "BTC",
"active": True,
"spot": True,
"type": "spot",
"precision": {"base": 8, "quote": 8, "amount": 0, "price": 8},
"limits": {
"amount": {"min": 1.0, "max": 90000000.0},
"price": {"min": None, "max": None},
"cost": {"min": 0.001, "max": None},
},
"info": {},
},
"FUEL/BTC": {
"id": "FUELBTC",
"symbol": "FUEL/BTC",
"base": "FUEL",
"quote": "BTC",
"active": True,
"spot": True,
"type": "spot",
"precision": {"base": 8, "quote": 8, "amount": 0, "price": 8},
"limits": {
"amount": {"min": 1.0, "max": 90000000.0},
"price": {"min": 1e-08, "max": 1000.0},
"cost": {"min": 0.001, "max": None},
},
"info": {},
},
"NANO/USDT": {
"percentage": True,
"tierBased": False,
"taker": 0.001,
"maker": 0.001,
"precision": {"base": 8, "quote": 8, "amount": 2, "price": 4},
"limits": {
"leverage": {
"min": None,
"max": None,
},
"amount": {
"min": None,
"max": None,
},
"price": {
"min": None,
"max": None,
},
"cost": {
"min": None,
"max": None,
},
},
"id": "NANOUSDT",
"symbol": "NANO/USDT",
"base": "NANO",
"quote": "USDT",
"baseId": "NANO",
"quoteId": "USDT",
"info": {},
"type": "spot",
"spot": True,
"future": False,
"active": True,
},
"ADAHALF/USDT": {
"percentage": True,
"tierBased": False,
"taker": 0.001,
"maker": 0.001,
"precision": {"base": 8, "quote": 8, "amount": 2, "price": 4},
"limits": {
"leverage": {
"min": None,
"max": None,
},
"amount": {
"min": None,
"max": None,
},
"price": {
"min": None,
"max": None,
},
"cost": {
"min": None,
"max": None,
},
},
"id": "ADAHALFUSDT",
"symbol": "ADAHALF/USDT",
"base": "ADAHALF",
"quote": "USDT",
"baseId": "ADAHALF",
"quoteId": "USDT",
"info": {},
"type": "spot",
"spot": True,
"future": False,
"active": True,
},
"ADADOUBLE/USDT": {
"percentage": True,
"tierBased": False,
"taker": 0.001,
"maker": 0.001,
"precision": {"base": 8, "quote": 8, "amount": 2, "price": 4},
"limits": {
"leverage": {
"min": None,
"max": None,
},
"amount": {
"min": None,
"max": None,
},
"price": {
"min": None,
"max": None,
},
"cost": {
"min": None,
"max": None,
},
},
"id": "ADADOUBLEUSDT",
"symbol": "ADADOUBLE/USDT",
"base": "ADADOUBLE",
"quote": "USDT",
"baseId": "ADADOUBLE",
"quoteId": "USDT",
"info": {},
"type": "spot",
"spot": True,
"future": False,
"active": True,
},
}
)
return shitmarkets
@pytest.fixture
def markets_empty():
return MagicMock(return_value=[])
@pytest.fixture(scope="function")
def limit_buy_order_open():
return {
"id": "mocked_limit_buy",
"type": "limit",
"side": "buy",
"symbol": "mocked",
"timestamp": dt_ts(),
"datetime": dt_now().isoformat(),
"price": 0.00001099,
"average": 0.00001099,
"amount": 90.99181073,
"filled": 0.0,
"cost": 0.0009999,
"remaining": 90.99181073,
"status": "open",
}
@pytest.fixture(scope="function")
def limit_buy_order(limit_buy_order_open):
order = deepcopy(limit_buy_order_open)
order["status"] = "closed"
order["filled"] = order["amount"]
order["remaining"] = 0.0
return order
@pytest.fixture
def limit_buy_order_old():
return {
"id": "mocked_limit_buy_old",
"type": "limit",
"side": "buy",
"symbol": "mocked",
"datetime": (dt_now() - timedelta(minutes=601)).isoformat(),
"timestamp": dt_ts(dt_now() - timedelta(minutes=601)),
"price": 0.00001099,
"amount": 90.99181073,
"filled": 0.0,
"remaining": 90.99181073,
"status": "open",
}
@pytest.fixture
def limit_sell_order_old():
return {
"id": "mocked_limit_sell_old",
"type": "limit",
"side": "sell",
"symbol": "ETH/BTC",
"timestamp": dt_ts(dt_now() - timedelta(minutes=601)),
"datetime": (dt_now() - timedelta(minutes=601)).isoformat(),
"price": 0.00001099,
"amount": 90.99181073,
"filled": 0.0,
"remaining": 90.99181073,
"status": "open",
}
@pytest.fixture
def limit_buy_order_old_partial():
return {
"id": "mocked_limit_buy_old_partial",
"type": "limit",
"side": "buy",
"symbol": "ETH/BTC",
"timestamp": dt_ts(dt_now() - timedelta(minutes=601)),
"datetime": (dt_now() - timedelta(minutes=601)).isoformat(),
"price": 0.00001099,
"amount": 90.99181073,
"filled": 23.0,
"cost": 90.99181073 * 23.0,
"remaining": 67.99181073,
"status": "open",
}
@pytest.fixture
def limit_buy_order_old_partial_canceled(limit_buy_order_old_partial):
res = deepcopy(limit_buy_order_old_partial)
res["status"] = "canceled"
res["fee"] = {"cost": 0.023, "currency": "ETH"}
return res
@pytest.fixture(scope="function")
def limit_buy_order_canceled_empty(request):
# Indirect fixture
# Documentation:
# https://docs.pytest.org/en/latest/example/parametrize.html#apply-indirect-on-particular-arguments
exchange_name = request.param
if exchange_name == "kraken":
return {
"info": {},
"id": "AZNPFF-4AC4N-7MKTAT",
"clientOrderId": None,
"timestamp": dt_ts(dt_now() - timedelta(minutes=601)),
"datetime": (dt_now() - timedelta(minutes=601)).isoformat(),
"lastTradeTimestamp": None,
"status": "canceled",
"symbol": "LTC/USDT",
"type": "limit",
"side": "buy",
"price": 34.3225,
"cost": 0.0,
"amount": 0.55,
"filled": 0.0,
"average": 0.0,
"remaining": 0.55,
"fee": {"cost": 0.0, "rate": None, "currency": "USDT"},
"trades": [],
}
elif exchange_name == "binance":
return {
"info": {},
"id": "1234512345",
"clientOrderId": "alb1234123",
"timestamp": dt_ts(dt_now() - timedelta(minutes=601)),
"datetime": (dt_now() - timedelta(minutes=601)).isoformat(),
"lastTradeTimestamp": None,
"symbol": "LTC/USDT",
"type": "limit",
"side": "buy",
"price": 0.016804,
"amount": 0.55,
"cost": 0.0,
"average": None,
"filled": 0.0,
"remaining": 0.55,
"status": "canceled",
"fee": None,
"trades": None,
}
else:
return {
"info": {},
"id": "1234512345",
"clientOrderId": "alb1234123",
"timestamp": dt_ts(dt_now() - timedelta(minutes=601)),
"datetime": (dt_now() - timedelta(minutes=601)).isoformat(),
"lastTradeTimestamp": None,
"symbol": "LTC/USDT",
"type": "limit",
"side": "buy",
"price": 0.016804,
"amount": 0.55,
"cost": 0.0,
"average": None,
"filled": 0.0,
"remaining": 0.55,
"status": "canceled",
"fee": None,
"trades": None,
}
@pytest.fixture
def limit_sell_order_open():
return {
"id": "mocked_limit_sell",
"type": "limit",
"side": "sell",
"symbol": "mocked",
"datetime": dt_now().isoformat(),
"timestamp": dt_ts(),
"price": 0.00001173,
"amount": 90.99181073,
"filled": 0.0,
"remaining": 90.99181073,
"status": "open",
}
@pytest.fixture
def limit_sell_order(limit_sell_order_open):
order = deepcopy(limit_sell_order_open)
order["remaining"] = 0.0
order["filled"] = order["amount"]
order["status"] = "closed"
return 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 order_book_l2_usd():
return MagicMock(
return_value={
"symbol": "LTC/USDT",
"bids": [
[25.563, 49.269],
[25.562, 83.0],
[25.56, 106.0],
[25.559, 15.381],
[25.558, 29.299],
[25.557, 34.624],
[25.556, 10.0],
[25.555, 14.684],
[25.554, 45.91],
[25.553, 50.0],
],
"asks": [
[25.566, 14.27],
[25.567, 48.484],
[25.568, 92.349],
[25.572, 31.48],
[25.573, 23.0],
[25.574, 20.0],
[25.575, 89.606],
[25.576, 262.016],
[25.577, 178.557],
[25.578, 78.614],
],
"timestamp": None,
"datetime": None,
"nonce": 2372149736,
}
)
@pytest.fixture
def ohlcv_history_list():
return [
[
1511686200000, # unix timestamp ms
8.794e-05, # open
8.948e-05, # high
8.794e-05, # low
8.88e-05, # close
0.0877869, # volume (in quote currency)
],
[
1511686500000,
8.88e-05,
8.942e-05,
8.88e-05,
8.893e-05,
0.05874751,
],
[1511686800000, 8.891e-05, 8.893e-05, 8.875e-05, 8.877e-05, 0.7039405],
]
@pytest.fixture
def ohlcv_history(ohlcv_history_list):
return ohlcv_to_dataframe(
ohlcv_history_list, "5m", pair="UNITTEST/BTC", fill_missing=True, drop_incomplete=False
)
@pytest.fixture
def tickers():
return MagicMock(
return_value={
"ETH/BTC": {
"symbol": "ETH/BTC",
"timestamp": 1522014806207,
"datetime": "2018-03-25T21:53:26.207Z",
"high": 0.061697,
"low": 0.060531,
"bid": 0.061588,
"bidVolume": 3.321,
"ask": 0.061655,
"askVolume": 0.212,
"vwap": 0.06105296,
"open": 0.060809,
"close": 0.060761,
"first": None,
"last": 0.061588,
"change": 1.281,
"percentage": None,
"average": None,
"baseVolume": 111649.001,
"quoteVolume": 6816.50176926,
"info": {},
},
"TKN/BTC": {
"symbol": "TKN/BTC",
"timestamp": 1522014806169,
"datetime": "2018-03-25T21:53:26.169Z",
"high": 0.01885,
"low": 0.018497,
"bid": 0.018799,
"bidVolume": 8.38,
"ask": 0.018802,
"askVolume": 15.0,
"vwap": 0.01869197,
"open": 0.018585,
"close": 0.018573,
"last": 0.018799,
"baseVolume": 81058.66,
"quoteVolume": 2247.48374509,
},
"BLK/BTC": {
"symbol": "BLK/BTC",
"timestamp": 1522014806072,
"datetime": "2018-03-25T21:53:26.072Z",
"high": 0.007745,
"low": 0.007512,
"bid": 0.007729,
"bidVolume": 0.01,
"ask": 0.007743,
"askVolume": 21.37,
"vwap": 0.00761466,
"open": 0.007653,
"close": 0.007652,
"first": None,
"last": 0.007743,
"change": 1.176,
"percentage": None,
"average": None,
"baseVolume": 295152.26,
"quoteVolume": 1515.14631229,
"info": {},
},
"LTC/BTC": {
"symbol": "LTC/BTC",
"timestamp": 1523787258992,
"datetime": "2018-04-15T10:14:19.992Z",
"high": 0.015978,
"low": 0.0157,
"bid": 0.015954,
"bidVolume": 12.83,
"ask": 0.015957,
"askVolume": 0.49,
"vwap": 0.01581636,
"open": 0.015823,
"close": 0.01582,
"first": None,
"last": 0.015951,
"change": 0.809,
"percentage": None,
"average": None,
"baseVolume": 88620.68,
"quoteVolume": 1401.65697943,
"info": {},
},
"BTT/BTC": {
"symbol": "BTT/BTC",
"timestamp": 1550936557206,
"datetime": "2019-02-23T15:42:37.206Z",
"high": 0.00000026,
"low": 0.00000024,
"bid": 0.00000024,
"bidVolume": 2446894197.0,
"ask": 0.00000025,
"askVolume": 2447913837.0,
"vwap": 0.00000025,
"open": 0.00000026,
"close": 0.00000024,
"last": 0.00000024,
"previousClose": 0.00000026,
"change": -0.00000002,
"percentage": -7.692,
"average": None,
"baseVolume": 4886464537.0,
"quoteVolume": 1215.14489611,
"info": {},
},
"HOT/BTC": {
"symbol": "HOT/BTC",
"timestamp": 1572273518661,
"datetime": "2019-10-28T14:38:38.661Z",
"high": 0.00000011,
"low": 0.00000009,
"bid": 0.0000001,
"bidVolume": 1476027288.0,
"ask": 0.00000011,
"askVolume": 820153831.0,
"vwap": 0.0000001,
"open": 0.00000009,
"close": 0.00000011,
"last": 0.00000011,
"previousClose": 0.00000009,
"change": 0.00000002,
"percentage": 22.222,
"average": None,
"baseVolume": 1442290324.0,
"quoteVolume": 143.78311994,
"info": {},
},
"FUEL/BTC": {
"symbol": "FUEL/BTC",
"timestamp": 1572340250771,
"datetime": "2019-10-29T09:10:50.771Z",
"high": 0.00000040,
"low": 0.00000035,
"bid": 0.00000036,
"bidVolume": 8932318.0,
"ask": 0.00000037,
"askVolume": 10140774.0,
"vwap": 0.00000037,
"open": 0.00000039,
"close": 0.00000037,
"last": 0.00000037,
"previousClose": 0.00000038,
"change": -0.00000002,
"percentage": -5.128,
"average": None,
"baseVolume": 168927742.0,
"quoteVolume": 62.68220262,
"info": {},
},
"BTC/USDT": {
"symbol": "BTC/USDT",
"timestamp": 1573758371399,
"datetime": "2019-11-14T19:06:11.399Z",
"high": 8800.0,
"low": 8582.6,
"bid": 8648.16,
"bidVolume": 0.238771,
"ask": 8648.72,
"askVolume": 0.016253,
"vwap": 8683.13647806,
"open": 8759.7,
"close": 8648.72,
"last": 8648.72,
"previousClose": 8759.67,
"change": -110.98,
"percentage": -1.267,
"average": None,
"baseVolume": 35025.943355,
"quoteVolume": 304135046.4242901,
"info": {},
},
"ETH/USDT": {
"symbol": "ETH/USDT",
"timestamp": 1522014804118,
"datetime": "2018-03-25T21:53:24.118Z",
"high": 530.88,
"low": 512.0,
"bid": 529.73,
"bidVolume": 0.2,
"ask": 530.21,
"askVolume": 0.2464,
"vwap": 521.02438405,
"open": 527.27,
"close": 528.42,
"first": None,
"last": 530.21,
"change": 0.558,
"percentage": None,
"average": None,
"baseVolume": 72300.0659,
"quoteVolume": 37670097.3022171,
"info": {},
},
"TKN/USDT": {
"symbol": "TKN/USDT",
"timestamp": 1522014806198,
"datetime": "2018-03-25T21:53:26.198Z",
"high": 8718.0,
"low": 8365.77,
"bid": 8603.64,
"bidVolume": 0.15846,
"ask": 8603.67,
"askVolume": 0.069147,
"vwap": 8536.35621697,
"open": 8680.0,
"close": 8680.0,
"first": None,
"last": 8603.67,
"change": -0.879,
"percentage": None,
"average": None,
"baseVolume": 30414.604298,
"quoteVolume": 259629896.48584127,
"info": {},
},
"BLK/USDT": {
"symbol": "BLK/USDT",
"timestamp": 1522014806145,
"datetime": "2018-03-25T21:53:26.145Z",
"high": 66.95,
"low": 63.38,
"bid": 66.473,
"bidVolume": 4.968,
"ask": 66.54,
"askVolume": 2.704,
"vwap": 65.0526901,
"open": 66.43,
"close": 66.383,
"first": None,
"last": 66.5,
"change": 0.105,
"percentage": None,
"average": None,
"baseVolume": 294106.204,
"quoteVolume": 19132399.743954,
"info": {},
},
"LTC/USDT": {
"symbol": "LTC/USDT",
"timestamp": 1523787257812,
"datetime": "2018-04-15T10:14:18.812Z",
"high": 129.94,
"low": 124.0,
"bid": 129.28,
"bidVolume": 0.03201,
"ask": 129.52,
"askVolume": 0.14529,
"vwap": 126.92838682,
"open": 127.0,
"close": 127.1,
"first": None,
"last": 129.28,
"change": 1.795,
"percentage": None,
"average": None,
"baseVolume": 59698.79897,
"quoteVolume": 29132399.743954,
"info": {},
},
"XRP/BTC": {
"symbol": "XRP/BTC",
"timestamp": 1573758257534,
"datetime": "2019-11-14T19:04:17.534Z",
"high": 3.126e-05,
"low": 3.061e-05,
"bid": 3.093e-05,
"bidVolume": 27901.0,
"ask": 3.095e-05,
"askVolume": 10551.0,
"vwap": 3.091e-05,
"open": 3.119e-05,
"close": 3.094e-05,
"last": 3.094e-05,
"previousClose": 3.117e-05,
"change": -2.5e-07,
"percentage": -0.802,
"average": None,
"baseVolume": 37334921.0,
"quoteVolume": 1154.19266394,
"info": {},
},
"NANO/USDT": {
"symbol": "NANO/USDT",
"timestamp": 1580469388244,
"datetime": "2020-01-31T11:16:28.244Z",
"high": 0.7519,
"low": 0.7154,
"bid": 0.7305,
"bidVolume": 300.3,
"ask": 0.7342,
"askVolume": 15.14,
"vwap": 0.73645591,
"open": 0.7154,
"close": 0.7342,
"last": 0.7342,
"previousClose": 0.7189,
"change": 0.0188,
"percentage": 2.628,
"average": None,
"baseVolume": 439472.44,
"quoteVolume": 323652.075405,
"info": {},
},
# Example of leveraged pair with incomplete info
"ADAHALF/USDT": {
"symbol": "ADAHALF/USDT",
"timestamp": 1580469388244,
"datetime": "2020-01-31T11:16:28.244Z",
"high": None,
"low": None,
"bid": 0.7305,
"bidVolume": None,
"ask": 0.7342,
"askVolume": None,
"vwap": None,
"open": None,
"close": None,
"last": None,
"previousClose": None,
"change": None,
"percentage": 2.628,
"average": None,
"baseVolume": 0.0,
"quoteVolume": 0.0,
"info": {},
},
"ADADOUBLE/USDT": {
"symbol": "ADADOUBLE/USDT",
"timestamp": 1580469388244,
"datetime": "2020-01-31T11:16:28.244Z",
"high": None,
"low": None,
"bid": 0.7305,
"bidVolume": None,
"ask": 0.7342,
"askVolume": None,
"vwap": None,
"open": None,
"close": None,
"last": 0,
"previousClose": None,
"change": None,
"percentage": 2.628,
"average": None,
"baseVolume": 0.0,
"quoteVolume": 0.0,
"info": {},
},
}
)
@pytest.fixture
def dataframe_1m(testdatadir):
with (testdatadir / "UNITTEST_BTC-1m.json").open("r") as data_file:
return ohlcv_to_dataframe(
json.load(data_file), "1m", pair="UNITTEST/BTC", fill_missing=True
)
@pytest.fixture(scope="function")
def trades_for_order():
return [
{
"info": {
"id": 34567,
"orderId": 123456,
"price": "2.0",
"qty": "8.00000000",
"commission": "0.00800000",
"commissionAsset": "LTC",
"time": 1521663363189,
"isBuyer": True,
"isMaker": False,
"isBestMatch": True,
},
"timestamp": 1521663363189,
"datetime": "2018-03-21T20:16:03.189Z",
"symbol": "LTC/USDT",
"id": "34567",
"order": "123456",
"type": None,
"side": "buy",
"price": 2.0,
"cost": 16.0,
"amount": 8.0,
"fee": {"cost": 0.008, "currency": "LTC"},
}
]
@pytest.fixture(scope="function")
def trades_history():
return [
[1565798389463, "12618132aa9", None, "buy", 0.019627, 0.04, 0.00078508],
[1565798399629, "1261813bb30", None, "buy", 0.019627, 0.244, 0.004788987999999999],
[1565798399752, "1261813cc31", None, "sell", 0.019626, 0.011, 0.00021588599999999999],
[1565798399862, "126181cc332", None, "sell", 0.019626, 0.011, 0.00021588599999999999],
[1565798399862, "126181cc333", None, "sell", 0.019626, 0.012, 0.00021588599999999999],
[1565798399872, "1261aa81334", None, "sell", 0.019626, 0.011, 0.00021588599999999999],
]
@pytest.fixture(scope="function")
def trades_history_df(trades_history):
trades = trades_list_to_df(trades_history)
trades["date"] = pd.to_datetime(trades["timestamp"], unit="ms", utc=True)
return trades
@pytest.fixture(scope="function")
def fetch_trades_result():
return [
{
"info": ["0.01962700", "0.04000000", "1565798399.4631551", "b", "m", "", "126181329"],
"timestamp": 1565798399463,
"datetime": "2019-08-14T15:59:59.463Z",
"symbol": "ETH/BTC",
"id": "126181329",
"order": None,
"type": None,
"takerOrMaker": None,
"side": "buy",
"price": 0.019627,
"amount": 0.04,
"cost": 0.00078508,
"fee": None,
},
{
"info": ["0.01962700", "0.24400000", "1565798399.6291551", "b", "m", "", "126181330"],
"timestamp": 1565798399629,
"datetime": "2019-08-14T15:59:59.629Z",
"symbol": "ETH/BTC",
"id": "126181330",
"order": None,
"type": None,
"takerOrMaker": None,
"side": "buy",
"price": 0.019627,
"amount": 0.244,
"cost": 0.004788987999999999,
"fee": None,
},
{
"info": ["0.01962600", "0.01100000", "1565798399.7521551", "s", "m", "", "126181331"],
"timestamp": 1565798399752,
"datetime": "2019-08-14T15:59:59.752Z",
"symbol": "ETH/BTC",
"id": "126181331",
"order": None,
"type": None,
"takerOrMaker": None,
"side": "sell",
"price": 0.019626,
"amount": 0.011,
"cost": 0.00021588599999999999,
"fee": None,
},
{
"info": ["0.01962600", "0.01100000", "1565798399.8621551", "s", "m", "", "126181332"],
"timestamp": 1565798399862,
"datetime": "2019-08-14T15:59:59.862Z",
"symbol": "ETH/BTC",
"id": "126181332",
"order": None,
"type": None,
"takerOrMaker": None,
"side": "sell",
"price": 0.019626,
"amount": 0.011,
"cost": 0.00021588599999999999,
"fee": None,
},
{
"info": [
"0.01952600",
"0.01200000",
"1565798399.8721551",
"s",
"m",
"",
"126181333",
1565798399872512133,
],
"timestamp": 1565798399872,
"datetime": "2019-08-14T15:59:59.872Z",
"symbol": "ETH/BTC",
"id": "126181333",
"order": None,
"type": None,
"takerOrMaker": None,
"side": "sell",
"price": 0.019626,
"amount": 0.011,
"cost": 0.00021588599999999999,
"fee": None,
},
]
@pytest.fixture(scope="function")
def trades_for_order2():
return [
{
"info": {},
"timestamp": 1521663363189,
"datetime": "2018-03-21T20:16:03.189Z",
"symbol": "LTC/ETH",
"id": "34567",
"order": "123456",
"type": None,
"side": "buy",
"price": 0.245441,
"cost": 1.963528,
"amount": 4.0,
"fee": {"cost": 0.004, "currency": "LTC"},
},
{
"info": {},
"timestamp": 1521663363189,
"datetime": "2018-03-21T20:16:03.189Z",
"symbol": "LTC/ETH",
"id": "34567",
"order": "123456",
"type": None,
"side": "buy",
"price": 0.245441,
"cost": 1.963528,
"amount": 4.0,
"fee": {"cost": 0.004, "currency": "LTC"},
},
]
@pytest.fixture
def buy_order_fee():
return {
"id": "mocked_limit_buy_old",
"type": "limit",
"side": "buy",
"symbol": "mocked",
"timestamp": dt_ts(dt_now() - timedelta(minutes=601)),
"datetime": (dt_now() - timedelta(minutes=601)).isoformat(),
"price": 0.245441,
"amount": 8.0,
"cost": 1.963528,
"remaining": 90.99181073,
"status": "closed",
"fee": None,
}
@pytest.fixture(scope="function")
def edge_conf(default_conf):
conf = deepcopy(default_conf)
conf["runmode"] = RunMode.DRY_RUN
conf["max_open_trades"] = -1
conf["tradable_balance_ratio"] = 0.5
conf["stake_amount"] = constants.UNLIMITED_STAKE_AMOUNT
conf["edge"] = {
"enabled": True,
"process_throttle_secs": 1800,
"calculate_since_number_of_days": 14,
"allowed_risk": 0.01,
"stoploss_range_min": -0.01,
"stoploss_range_max": -0.1,
"stoploss_range_step": -0.01,
"maximum_winrate": 0.80,
"minimum_expectancy": 0.20,
"min_trade_number": 15,
"max_trade_duration_minute": 1440,
"remove_pumps": False,
}
return conf
@pytest.fixture
def rpc_balance():
return {
"BTC": {"total": 12.0, "free": 12.0, "used": 0.0},
"ETH": {"total": 0.0, "free": 0.0, "used": 0.0},
"USDT": {"total": 10000.0, "free": 10000.0, "used": 0.0},
"LTC": {"total": 10.0, "free": 10.0, "used": 0.0},
"XRP": {"total": 0.1, "free": 0.01, "used": 0.0},
"EUR": {"total": 10.0, "free": 10.0, "used": 0.0},
}
@pytest.fixture
def testdatadir() -> Path:
"""Return the path where testdata files are stored"""
return (Path(__file__).parent / "testdata").resolve()
@pytest.fixture(scope="function")
def import_fails() -> None:
# Source of this test-method:
# https://stackoverflow.com/questions/2481511/mocking-importerror-in-python
import builtins
realimport = builtins.__import__
def mockedimport(name, *args, **kwargs):
if name in ["filelock", "cysystemd.journal", "uvloop"]:
raise ImportError(f"No module named '{name}'")
return realimport(name, *args, **kwargs)
builtins.__import__ = mockedimport
# Run test - then cleanup
yield
# restore previous importfunction
builtins.__import__ = realimport
@pytest.fixture(scope="function")
def open_trade():
trade = Trade(
pair="ETH/BTC",
open_rate=0.00001099,
exchange="binance",
amount=90.99181073,
fee_open=0.0,
fee_close=0.0,
stake_amount=1,
open_date=dt_now() - timedelta(minutes=601),
is_open=True,
)
trade.orders = [
Order(
ft_order_side="buy",
ft_pair=trade.pair,
ft_is_open=True,
ft_amount=trade.amount,
ft_price=trade.open_rate,
order_id="123456789",
status="closed",
symbol=trade.pair,
order_type="market",
side="buy",
price=trade.open_rate,
average=trade.open_rate,
filled=trade.amount,
remaining=0,
cost=trade.open_rate * trade.amount,
order_date=trade.open_date,
order_filled_date=trade.open_date,
)
]
return trade
@pytest.fixture(scope="function")
def open_trade_usdt():
trade = Trade(
pair="ADA/USDT",
open_rate=2.0,
exchange="binance",
amount=30.0,
fee_open=0.0,
fee_close=0.0,
stake_amount=60.0,
open_date=dt_now() - timedelta(minutes=601),
is_open=True,
)
trade.orders = [
Order(
ft_order_side="buy",
ft_pair=trade.pair,
ft_is_open=False,
ft_amount=trade.amount,
ft_price=trade.open_rate,
order_id="123456789",
status="closed",
symbol=trade.pair,
order_type="market",
side="buy",
price=trade.open_rate,
average=trade.open_rate,
filled=trade.amount,
remaining=0,
cost=trade.open_rate * trade.amount,
order_date=trade.open_date,
order_filled_date=trade.open_date,
),
Order(
ft_order_side="exit",
ft_pair=trade.pair,
ft_is_open=True,
ft_amount=trade.amount,
ft_price=trade.open_rate,
order_id="123456789_exit",
status="open",
symbol=trade.pair,
order_type="limit",
side="sell",
price=trade.open_rate,
average=trade.open_rate,
filled=trade.amount,
remaining=0,
cost=trade.open_rate * trade.amount,
order_date=trade.open_date,
order_filled_date=trade.open_date,
),
]
return trade
@pytest.fixture
def saved_hyperopt_results():
hyperopt_res = [
{
"loss": 0.4366182531161519,
"params_dict": {
"mfi-value": 15,
"fastd-value": 20,
"adx-value": 25,
"rsi-value": 28,
"mfi-enabled": False,
"fastd-enabled": True,
"adx-enabled": True,
"rsi-enabled": True,
"trigger": "macd_cross_signal",
"sell-mfi-value": 88,
"sell-fastd-value": 97,
"sell-adx-value": 51,
"sell-rsi-value": 67,
"sell-mfi-enabled": False,
"sell-fastd-enabled": False,
"sell-adx-enabled": True,
"sell-rsi-enabled": True,
"sell-trigger": "sell-bb_upper",
"roi_t1": 1190,
"roi_t2": 541,
"roi_t3": 408,
"roi_p1": 0.026035863879169705,
"roi_p2": 0.12508730043628782,
"roi_p3": 0.27766427921605896,
"stoploss": -0.2562930402099556,
}, # noqa: E501
"params_details": {
"buy": {
"mfi-value": 15,
"fastd-value": 20,
"adx-value": 25,
"rsi-value": 28,
"mfi-enabled": False,
"fastd-enabled": True,
"adx-enabled": True,
"rsi-enabled": True,
"trigger": "macd_cross_signal",
},
"sell": {
"sell-mfi-value": 88,
"sell-fastd-value": 97,
"sell-adx-value": 51,
"sell-rsi-value": 67,
"sell-mfi-enabled": False,
"sell-fastd-enabled": False,
"sell-adx-enabled": True,
"sell-rsi-enabled": True,
"sell-trigger": "sell-bb_upper",
},
"roi": {
0: 0.4287874435315165,
408: 0.15112316431545753,
949: 0.026035863879169705,
2139: 0,
},
"stoploss": {"stoploss": -0.2562930402099556},
}, # noqa: E501
"results_metrics": {
"total_trades": 2,
"trade_count_long": 2,
"trade_count_short": 0,
"wins": 0,
"draws": 0,
"losses": 2,
"profit_mean": -0.01254995,
"profit_median": -0.012222,
"profit_total": -0.00125625,
"profit_total_abs": -2.50999,
"max_drawdown": 0.23,
"max_drawdown_abs": -0.00125625,
"holding_avg": timedelta(minutes=3930.0),
"stake_currency": "BTC",
"strategy_name": "SampleStrategy",
}, # noqa: E501
"results_explanation": " 2 trades. Avg profit -1.25%. Total profit -0.00125625 BTC ( -2.51Σ%). Avg duration 3930.0 min.", # noqa: E501
"total_profit": -0.00125625,
"current_epoch": 1,
"is_initial_point": True,
"is_random": False,
"is_best": True,
},
{
"loss": 20.0,
"params_dict": {
"mfi-value": 17,
"fastd-value": 38,
"adx-value": 48,
"rsi-value": 22,
"mfi-enabled": True,
"fastd-enabled": False,
"adx-enabled": True,
"rsi-enabled": True,
"trigger": "macd_cross_signal",
"sell-mfi-value": 96,
"sell-fastd-value": 68,
"sell-adx-value": 63,
"sell-rsi-value": 81,
"sell-mfi-enabled": False,
"sell-fastd-enabled": True,
"sell-adx-enabled": True,
"sell-rsi-enabled": True,
"sell-trigger": "sell-sar_reversal",
"roi_t1": 334,
"roi_t2": 683,
"roi_t3": 140,
"roi_p1": 0.06403981740598495,
"roi_p2": 0.055519840060645045,
"roi_p3": 0.3253712811342459,
"stoploss": -0.338070047333259,
}, # noqa: E501
"params_details": {
"buy": {
"mfi-value": 17,
"fastd-value": 38,
"adx-value": 48,
"rsi-value": 22,
"mfi-enabled": True,
"fastd-enabled": False,
"adx-enabled": True,
"rsi-enabled": True,
"trigger": "macd_cross_signal",
}, # noqa: E501
"sell": {
"sell-mfi-value": 96,
"sell-fastd-value": 68,
"sell-adx-value": 63,
"sell-rsi-value": 81,
"sell-mfi-enabled": False,
"sell-fastd-enabled": True,
"sell-adx-enabled": True,
"sell-rsi-enabled": True,
"sell-trigger": "sell-sar_reversal",
}, # noqa: E501
"roi": {
0: 0.4449309386008759,
140: 0.11955965746663,
823: 0.06403981740598495,
1157: 0,
}, # noqa: E501
"stoploss": {"stoploss": -0.338070047333259},
},
"results_metrics": {
"total_trades": 1,
"trade_count_long": 1,
"trade_count_short": 0,
"wins": 0,
"draws": 0,
"losses": 1,
"profit_mean": 0.012357,
"profit_median": -0.012222,
"profit_total": 6.185e-05,
"profit_total_abs": 0.12357,
"max_drawdown": 0.23,
"max_drawdown_abs": -0.00125625,
"holding_avg": timedelta(minutes=1200.0),
}, # noqa: E501
"results_explanation": " 1 trades. Avg profit 0.12%. Total profit 0.00006185 BTC ( 0.12Σ%). Avg duration 1200.0 min.", # noqa: E501
"total_profit": 6.185e-05,
"current_epoch": 2,
"is_initial_point": True,
"is_random": False,
"is_best": False,
},
{
"loss": 14.241196856510731,
"params_dict": {
"mfi-value": 25,
"fastd-value": 16,
"adx-value": 29,
"rsi-value": 20,
"mfi-enabled": False,
"fastd-enabled": False,
"adx-enabled": False,
"rsi-enabled": False,
"trigger": "macd_cross_signal",
"sell-mfi-value": 98,
"sell-fastd-value": 72,
"sell-adx-value": 51,
"sell-rsi-value": 82,
"sell-mfi-enabled": True,
"sell-fastd-enabled": True,
"sell-adx-enabled": True,
"sell-rsi-enabled": True,
"sell-trigger": "sell-macd_cross_signal",
"roi_t1": 889,
"roi_t2": 533,
"roi_t3": 263,
"roi_p1": 0.04759065393663096,
"roi_p2": 0.1488819964638463,
"roi_p3": 0.4102801822104605,
"stoploss": -0.05394588767607611,
}, # noqa: E501
"params_details": {
"buy": {
"mfi-value": 25,
"fastd-value": 16,
"adx-value": 29,
"rsi-value": 20,
"mfi-enabled": False,
"fastd-enabled": False,
"adx-enabled": False,
"rsi-enabled": False,
"trigger": "macd_cross_signal",
},
"sell": {
"sell-mfi-value": 98,
"sell-fastd-value": 72,
"sell-adx-value": 51,
"sell-rsi-value": 82,
"sell-mfi-enabled": True,
"sell-fastd-enabled": True,
"sell-adx-enabled": True,
"sell-rsi-enabled": True,
"sell-trigger": "sell-macd_cross_signal",
},
"roi": {
0: 0.6067528326109377,
263: 0.19647265040047726,
796: 0.04759065393663096,
1685: 0,
},
"stoploss": {"stoploss": -0.05394588767607611},
}, # noqa: E501
"results_metrics": {
"total_trades": 621,
"trade_count_long": 621,
"trade_count_short": 0,
"wins": 320,
"draws": 0,
"losses": 301,
"profit_mean": -0.043883302093397747,
"profit_median": -0.012222,
"profit_total": -0.13639474,
"profit_total_abs": -272.515306,
"max_drawdown": 0.25,
"max_drawdown_abs": -272.515306,
"holding_avg": timedelta(minutes=1691.207729468599),
}, # noqa: E501
"results_explanation": " 621 trades. Avg profit -0.44%. Total profit -0.13639474 BTC (-272.52Σ%). Avg duration 1691.2 min.", # noqa: E501
"total_profit": -0.13639474,
"current_epoch": 3,
"is_initial_point": True,
"is_random": False,
"is_best": False,
},
{
"loss": 100000,
"params_dict": {
"mfi-value": 13,
"fastd-value": 35,
"adx-value": 39,
"rsi-value": 29,
"mfi-enabled": True,
"fastd-enabled": False,
"adx-enabled": False,
"rsi-enabled": True,
"trigger": "macd_cross_signal",
"sell-mfi-value": 87,
"sell-fastd-value": 54,
"sell-adx-value": 63,
"sell-rsi-value": 93,
"sell-mfi-enabled": False,
"sell-fastd-enabled": True,
"sell-adx-enabled": True,
"sell-rsi-enabled": True,
"sell-trigger": "sell-bb_upper",
"roi_t1": 1402,
"roi_t2": 676,
"roi_t3": 215,
"roi_p1": 0.06264755784937427,
"roi_p2": 0.14258587851894644,
"roi_p3": 0.20671291201040828,
"stoploss": -0.11818343570194478,
}, # noqa: E501
"params_details": {
"buy": {
"mfi-value": 13,
"fastd-value": 35,
"adx-value": 39,
"rsi-value": 29,
"mfi-enabled": True,
"fastd-enabled": False,
"adx-enabled": False,
"rsi-enabled": True,
"trigger": "macd_cross_signal",
},
"sell": {
"sell-mfi-value": 87,
"sell-fastd-value": 54,
"sell-adx-value": 63,
"sell-rsi-value": 93,
"sell-mfi-enabled": False,
"sell-fastd-enabled": True,
"sell-adx-enabled": True,
"sell-rsi-enabled": True,
"sell-trigger": "sell-bb_upper",
},
"roi": {
0: 0.411946348378729,
215: 0.2052334363683207,
891: 0.06264755784937427,
2293: 0,
},
"stoploss": {"stoploss": -0.11818343570194478},
}, # noqa: E501
"results_metrics": {
"total_trades": 0,
"trade_count_long": 0,
"trade_count_short": 0,
"wins": 0,
"draws": 0,
"losses": 0,
"profit_mean": None,
"profit_median": None,
"profit_total": 0,
"profit": 0.0,
"holding_avg": timedelta(),
}, # noqa: E501
"results_explanation": " 0 trades. Avg profit nan%. Total profit 0.00000000 BTC ( 0.00Σ%). Avg duration nan min.", # noqa: E501
"total_profit": 0,
"current_epoch": 4,
"is_initial_point": True,
"is_random": False,
"is_best": False, # noqa: E501
},
{
"loss": 0.22195522184191518,
"params_dict": {
"mfi-value": 17,
"fastd-value": 21,
"adx-value": 38,
"rsi-value": 33,
"mfi-enabled": True,
"fastd-enabled": False,
"adx-enabled": True,
"rsi-enabled": False,
"trigger": "macd_cross_signal",
"sell-mfi-value": 87,
"sell-fastd-value": 82,
"sell-adx-value": 78,
"sell-rsi-value": 69,
"sell-mfi-enabled": True,
"sell-fastd-enabled": False,
"sell-adx-enabled": True,
"sell-rsi-enabled": False,
"sell-trigger": "sell-macd_cross_signal",
"roi_t1": 1269,
"roi_t2": 601,
"roi_t3": 444,
"roi_p1": 0.07280999507931168,
"roi_p2": 0.08946698095898986,
"roi_p3": 0.1454876733325284,
"stoploss": -0.18181041180901014,
}, # noqa: E501
"params_details": {
"buy": {
"mfi-value": 17,
"fastd-value": 21,
"adx-value": 38,
"rsi-value": 33,
"mfi-enabled": True,
"fastd-enabled": False,
"adx-enabled": True,
"rsi-enabled": False,
"trigger": "macd_cross_signal",
},
"sell": {
"sell-mfi-value": 87,
"sell-fastd-value": 82,
"sell-adx-value": 78,
"sell-rsi-value": 69,
"sell-mfi-enabled": True,
"sell-fastd-enabled": False,
"sell-adx-enabled": True,
"sell-rsi-enabled": False,
"sell-trigger": "sell-macd_cross_signal",
},
"roi": {
0: 0.3077646493708299,
444: 0.16227697603830155,
1045: 0.07280999507931168,
2314: 0,
},
"stoploss": {"stoploss": -0.18181041180901014},
}, # noqa: E501
"results_metrics": {
"total_trades": 14,
"trade_count_long": 14,
"trade_count_short": 0,
"wins": 6,
"draws": 0,
"losses": 8,
"profit_mean": -0.003539515,
"profit_median": -0.012222,
"profit_total": -0.002480140000000001,
"profit_total_abs": -4.955321,
"max_drawdown": 0.34,
"max_drawdown_abs": -4.955321,
"holding_avg": timedelta(minutes=3402.8571428571427),
}, # noqa: E501
"results_explanation": " 14 trades. Avg profit -0.35%. Total profit -0.00248014 BTC ( -4.96Σ%). Avg duration 3402.9 min.", # noqa: E501
"total_profit": -0.002480140000000001,
"current_epoch": 5,
"is_initial_point": True,
"is_random": False,
"is_best": True,
},
{
"loss": 0.545315889154162,
"params_dict": {
"mfi-value": 22,
"fastd-value": 43,
"adx-value": 46,
"rsi-value": 20,
"mfi-enabled": False,
"fastd-enabled": False,
"adx-enabled": True,
"rsi-enabled": True,
"trigger": "bb_lower",
"sell-mfi-value": 87,
"sell-fastd-value": 65,
"sell-adx-value": 94,
"sell-rsi-value": 63,
"sell-mfi-enabled": False,
"sell-fastd-enabled": True,
"sell-adx-enabled": True,
"sell-rsi-enabled": True,
"sell-trigger": "sell-macd_cross_signal",
"roi_t1": 319,
"roi_t2": 556,
"roi_t3": 216,
"roi_p1": 0.06251955472249589,
"roi_p2": 0.11659519602202795,
"roi_p3": 0.0953744132197762,
"stoploss": -0.024551752215582423,
}, # noqa: E501
"params_details": {
"buy": {
"mfi-value": 22,
"fastd-value": 43,
"adx-value": 46,
"rsi-value": 20,
"mfi-enabled": False,
"fastd-enabled": False,
"adx-enabled": True,
"rsi-enabled": True,
"trigger": "bb_lower",
},
"sell": {
"sell-mfi-value": 87,
"sell-fastd-value": 65,
"sell-adx-value": 94,
"sell-rsi-value": 63,
"sell-mfi-enabled": False,
"sell-fastd-enabled": True,
"sell-adx-enabled": True,
"sell-rsi-enabled": True,
"sell-trigger": "sell-macd_cross_signal",
},
"roi": {
0: 0.2744891639643,
216: 0.17911475074452382,
772: 0.06251955472249589,
1091: 0,
},
"stoploss": {"stoploss": -0.024551752215582423},
}, # noqa: E501
"results_metrics": {
"total_trades": 39,
"trade_count_long": 39,
"trade_count_short": 0,
"wins": 20,
"draws": 0,
"losses": 19,
"profit_mean": -0.0021400679487179478,
"profit_median": -0.012222,
"profit_total": -0.0041773,
"profit_total_abs": -8.346264999999997,
"max_drawdown": 0.45,
"max_drawdown_abs": -4.955321,
"holding_avg": timedelta(minutes=636.9230769230769),
}, # noqa: E501
"results_explanation": " 39 trades. Avg profit -0.21%. Total profit -0.00417730 BTC ( -8.35Σ%). Avg duration 636.9 min.", # noqa: E501
"total_profit": -0.0041773,
"current_epoch": 6,
"is_initial_point": True,
"is_random": False,
"is_best": False,
},
{
"loss": 4.713497421432944,
"params_dict": {
"mfi-value": 13,
"fastd-value": 41,
"adx-value": 21,
"rsi-value": 29,
"mfi-enabled": False,
"fastd-enabled": True,
"adx-enabled": False,
"rsi-enabled": False,
"trigger": "bb_lower",
"sell-mfi-value": 99,
"sell-fastd-value": 60,
"sell-adx-value": 81,
"sell-rsi-value": 69,
"sell-mfi-enabled": True,
"sell-fastd-enabled": True,
"sell-adx-enabled": True,
"sell-rsi-enabled": False,
"sell-trigger": "sell-macd_cross_signal",
"roi_t1": 771,
"roi_t2": 620,
"roi_t3": 145,
"roi_p1": 0.0586919200378493,
"roi_p2": 0.04984118697312542,
"roi_p3": 0.37521058680247044,
"stoploss": -0.14613268022709905,
}, # noqa: E501
"params_details": {
"buy": {
"mfi-value": 13,
"fastd-value": 41,
"adx-value": 21,
"rsi-value": 29,
"mfi-enabled": False,
"fastd-enabled": True,
"adx-enabled": False,
"rsi-enabled": False,
"trigger": "bb_lower",
},
"sell": {
"sell-mfi-value": 99,
"sell-fastd-value": 60,
"sell-adx-value": 81,
"sell-rsi-value": 69,
"sell-mfi-enabled": True,
"sell-fastd-enabled": True,
"sell-adx-enabled": True,
"sell-rsi-enabled": False,
"sell-trigger": "sell-macd_cross_signal",
},
"roi": {
0: 0.4837436938134452,
145: 0.10853310701097472,
765: 0.0586919200378493,
1536: 0,
}, # noqa: E501
"stoploss": {"stoploss": -0.14613268022709905},
}, # noqa: E501
"results_metrics": {
"total_trades": 318,
"trade_count_long": 318,
"trade_count_short": 0,
"wins": 100,
"draws": 0,
"losses": 218,
"profit_mean": -0.0039833954716981146,
"profit_median": -0.012222,
"profit_total": -0.06339929,
"profit_total_abs": -126.67197600000004,
"max_drawdown": 0.50,
"max_drawdown_abs": -200.955321,
"holding_avg": timedelta(minutes=3140.377358490566),
}, # noqa: E501
"results_explanation": " 318 trades. Avg profit -0.40%. Total profit -0.06339929 BTC (-126.67Σ%). Avg duration 3140.4 min.", # noqa: E501
"total_profit": -0.06339929,
"current_epoch": 7,
"is_initial_point": True,
"is_random": False,
"is_best": False,
},
{
"loss": 20.0, # noqa: E501
"params_dict": {
"mfi-value": 24,
"fastd-value": 43,
"adx-value": 33,
"rsi-value": 20,
"mfi-enabled": False,
"fastd-enabled": True,
"adx-enabled": True,
"rsi-enabled": True,
"trigger": "sar_reversal",
"sell-mfi-value": 89,
"sell-fastd-value": 74,
"sell-adx-value": 70,
"sell-rsi-value": 70,
"sell-mfi-enabled": False,
"sell-fastd-enabled": False,
"sell-adx-enabled": False,
"sell-rsi-enabled": True,
"sell-trigger": "sell-sar_reversal",
"roi_t1": 1149,
"roi_t2": 375,
"roi_t3": 289,
"roi_p1": 0.05571820757172588,
"roi_p2": 0.0606240398618907,
"roi_p3": 0.1729012220156157,
"stoploss": -0.1588514289110401,
}, # noqa: E501
"params_details": {
"buy": {
"mfi-value": 24,
"fastd-value": 43,
"adx-value": 33,
"rsi-value": 20,
"mfi-enabled": False,
"fastd-enabled": True,
"adx-enabled": True,
"rsi-enabled": True,
"trigger": "sar_reversal",
},
"sell": {
"sell-mfi-value": 89,
"sell-fastd-value": 74,
"sell-adx-value": 70,
"sell-rsi-value": 70,
"sell-mfi-enabled": False,
"sell-fastd-enabled": False,
"sell-adx-enabled": False,
"sell-rsi-enabled": True,
"sell-trigger": "sell-sar_reversal",
},
"roi": {
0: 0.2892434694492323,
289: 0.11634224743361658,
664: 0.05571820757172588,
1813: 0,
},
"stoploss": {"stoploss": -0.1588514289110401},
}, # noqa: E501
"results_metrics": {
"total_trades": 1,
"trade_count_long": 1,
"trade_count_short": 0,
"wins": 0,
"draws": 1,
"losses": 0,
"profit_mean": 0.0,
"profit_median": 0.0,
"profit_total": 0.0,
"profit_total_abs": 0.0,
"max_drawdown": 0.0,
"max_drawdown_abs": 0.52,
"holding_avg": timedelta(minutes=5340.0),
}, # noqa: E501
"results_explanation": " 1 trades. Avg profit 0.00%. Total profit 0.00000000 BTC ( 0.00Σ%). Avg duration 5340.0 min.", # noqa: E501
"total_profit": 0.0,
"current_epoch": 8,
"is_initial_point": True,
"is_random": False,
"is_best": False,
},
{
"loss": 2.4731817780991223,
"params_dict": {
"mfi-value": 22,
"fastd-value": 20,
"adx-value": 29,
"rsi-value": 40,
"mfi-enabled": False,
"fastd-enabled": False,
"adx-enabled": False,
"rsi-enabled": False,
"trigger": "sar_reversal",
"sell-mfi-value": 97,
"sell-fastd-value": 65,
"sell-adx-value": 81,
"sell-rsi-value": 64,
"sell-mfi-enabled": True,
"sell-fastd-enabled": True,
"sell-adx-enabled": True,
"sell-rsi-enabled": True,
"sell-trigger": "sell-bb_upper",
"roi_t1": 1012,
"roi_t2": 584,
"roi_t3": 422,
"roi_p1": 0.036764323603472565,
"roi_p2": 0.10335480573205287,
"roi_p3": 0.10322347377503042,
"stoploss": -0.2780610808108503,
}, # noqa: E501
"params_details": {
"buy": {
"mfi-value": 22,
"fastd-value": 20,
"adx-value": 29,
"rsi-value": 40,
"mfi-enabled": False,
"fastd-enabled": False,
"adx-enabled": False,
"rsi-enabled": False,
"trigger": "sar_reversal",
},
"sell": {
"sell-mfi-value": 97,
"sell-fastd-value": 65,
"sell-adx-value": 81,
"sell-rsi-value": 64,
"sell-mfi-enabled": True,
"sell-fastd-enabled": True,
"sell-adx-enabled": True,
"sell-rsi-enabled": True,
"sell-trigger": "sell-bb_upper",
},
"roi": {
0: 0.2433426031105559,
422: 0.14011912933552545,
1006: 0.036764323603472565,
2018: 0,
},
"stoploss": {"stoploss": -0.2780610808108503},
}, # noqa: E501
"results_metrics": {
"total_trades": 229,
"trade_count_long": 229,
"trade_count_short": 0,
"wins": 150,
"draws": 0,
"losses": 79,
"profit_mean": -0.0038433433624454144,
"profit_median": -0.012222,
"profit_total": -0.044050070000000004,
"profit_total_abs": -88.01256299999999,
"max_drawdown": 0.41,
"max_drawdown_abs": -150.955321,
"holding_avg": timedelta(minutes=6505.676855895196),
}, # noqa: E501
"results_explanation": " 229 trades. Avg profit -0.38%. Total profit -0.04405007 BTC ( -88.01Σ%). Avg duration 6505.7 min.", # noqa: E501
"total_profit": -0.044050070000000004, # noqa: E501
"current_epoch": 9,
"is_initial_point": True,
"is_random": False,
"is_best": False,
},
{
"loss": -0.2604606005845212, # noqa: E501
"params_dict": {
"mfi-value": 23,
"fastd-value": 24,
"adx-value": 22,
"rsi-value": 24,
"mfi-enabled": False,
"fastd-enabled": False,
"adx-enabled": False,
"rsi-enabled": True,
"trigger": "macd_cross_signal",
"sell-mfi-value": 97,
"sell-fastd-value": 70,
"sell-adx-value": 64,
"sell-rsi-value": 80,
"sell-mfi-enabled": False,
"sell-fastd-enabled": True,
"sell-adx-enabled": True,
"sell-rsi-enabled": True,
"sell-trigger": "sell-sar_reversal",
"roi_t1": 792,
"roi_t2": 464,
"roi_t3": 215,
"roi_p1": 0.04594053535385903,
"roi_p2": 0.09623192684243963,
"roi_p3": 0.04428219070850663,
"stoploss": -0.16992287161634415,
}, # noqa: E501
"params_details": {
"buy": {
"mfi-value": 23,
"fastd-value": 24,
"adx-value": 22,
"rsi-value": 24,
"mfi-enabled": False,
"fastd-enabled": False,
"adx-enabled": False,
"rsi-enabled": True,
"trigger": "macd_cross_signal",
},
"sell": {
"sell-mfi-value": 97,
"sell-fastd-value": 70,
"sell-adx-value": 64,
"sell-rsi-value": 80,
"sell-mfi-enabled": False,
"sell-fastd-enabled": True,
"sell-adx-enabled": True,
"sell-rsi-enabled": True,
"sell-trigger": "sell-sar_reversal",
},
"roi": {
0: 0.18645465290480528,
215: 0.14217246219629864,
679: 0.04594053535385903,
1471: 0,
},
"stoploss": {"stoploss": -0.16992287161634415},
}, # noqa: E501
"results_metrics": {
"total_trades": 4,
"trade_count_long": 4,
"trade_count_short": 0,
"wins": 0,
"draws": 0,
"losses": 4,
"profit_mean": 0.001080385,
"profit_median": -0.012222,
"profit_total": 0.00021629,
"profit_total_abs": 0.432154,
"max_drawdown": 0.13,
"max_drawdown_abs": -4.955321,
"holding_avg": timedelta(minutes=2850.0),
}, # noqa: E501
"results_explanation": " 4 trades. Avg profit 0.11%. Total profit 0.00021629 BTC ( 0.43Σ%). Avg duration 2850.0 min.", # noqa: E501
"total_profit": 0.00021629,
"current_epoch": 10,
"is_initial_point": True,
"is_random": False,
"is_best": True,
},
{
"loss": 4.876465945994304, # noqa: E501
"params_dict": {
"mfi-value": 20,
"fastd-value": 32,
"adx-value": 49,
"rsi-value": 23,
"mfi-enabled": True,
"fastd-enabled": True,
"adx-enabled": False,
"rsi-enabled": False,
"trigger": "bb_lower",
"sell-mfi-value": 75,
"sell-fastd-value": 56,
"sell-adx-value": 61,
"sell-rsi-value": 62,
"sell-mfi-enabled": False,
"sell-fastd-enabled": False,
"sell-adx-enabled": True,
"sell-rsi-enabled": True,
"sell-trigger": "sell-macd_cross_signal",
"roi_t1": 579,
"roi_t2": 614,
"roi_t3": 273,
"roi_p1": 0.05307643172744114,
"roi_p2": 0.1352282078262871,
"roi_p3": 0.1913307406325751,
"stoploss": -0.25728526022513887,
}, # noqa: E501
"params_details": {
"buy": {
"mfi-value": 20,
"fastd-value": 32,
"adx-value": 49,
"rsi-value": 23,
"mfi-enabled": True,
"fastd-enabled": True,
"adx-enabled": False,
"rsi-enabled": False,
"trigger": "bb_lower",
},
"sell": {
"sell-mfi-value": 75,
"sell-fastd-value": 56,
"sell-adx-value": 61,
"sell-rsi-value": 62,
"sell-mfi-enabled": False,
"sell-fastd-enabled": False,
"sell-adx-enabled": True,
"sell-rsi-enabled": True,
"sell-trigger": "sell-macd_cross_signal",
},
"roi": {
0: 0.3796353801863034,
273: 0.18830463955372825,
887: 0.05307643172744114,
1466: 0,
},
"stoploss": {"stoploss": -0.25728526022513887},
}, # noqa: E501
# New Hyperopt mode!
"results_metrics": {
"total_trades": 117,
"trade_count_long": 117,
"trade_count_short": 0,
"wins": 67,
"draws": 0,
"losses": 50,
"profit_mean": -0.012698609145299145,
"profit_median": -0.012222,
"profit_total": -0.07436117,
"profit_total_abs": -148.573727,
"max_drawdown": 0.52,
"max_drawdown_abs": -224.955321,
"holding_avg": timedelta(minutes=4282.5641025641025),
}, # noqa: E501
"results_explanation": " 117 trades. Avg profit -1.27%. Total profit -0.07436117 BTC (-148.57Σ%). Avg duration 4282.6 min.", # noqa: E501
"total_profit": -0.07436117,
"current_epoch": 11,
"is_initial_point": True,
"is_random": False,
"is_best": False,
},
{
"loss": 100000,
"params_dict": {
"mfi-value": 10,
"fastd-value": 36,
"adx-value": 31,
"rsi-value": 22,
"mfi-enabled": True,
"fastd-enabled": True,
"adx-enabled": True,
"rsi-enabled": False,
"trigger": "sar_reversal",
"sell-mfi-value": 80,
"sell-fastd-value": 71,
"sell-adx-value": 60,
"sell-rsi-value": 85,
"sell-mfi-enabled": False,
"sell-fastd-enabled": False,
"sell-adx-enabled": True,
"sell-rsi-enabled": True,
"sell-trigger": "sell-bb_upper",
"roi_t1": 1156,
"roi_t2": 581,
"roi_t3": 408,
"roi_p1": 0.06860454019988212,
"roi_p2": 0.12473718444931989,
"roi_p3": 0.2896360635226823,
"stoploss": -0.30889015124682806,
}, # noqa: E501
"params_details": {
"buy": {
"mfi-value": 10,
"fastd-value": 36,
"adx-value": 31,
"rsi-value": 22,
"mfi-enabled": True,
"fastd-enabled": True,
"adx-enabled": True,
"rsi-enabled": False,
"trigger": "sar_reversal",
},
"sell": {
"sell-mfi-value": 80,
"sell-fastd-value": 71,
"sell-adx-value": 60,
"sell-rsi-value": 85,
"sell-mfi-enabled": False,
"sell-fastd-enabled": False,
"sell-adx-enabled": True,
"sell-rsi-enabled": True,
"sell-trigger": "sell-bb_upper",
},
"roi": {
0: 0.4829777881718843,
408: 0.19334172464920202,
989: 0.06860454019988212,
2145: 0,
},
"stoploss": {"stoploss": -0.30889015124682806},
}, # noqa: E501
"results_metrics": {
"total_trades": 0,
"trade_count_long": 0,
"trade_count_short": 0,
"wins": 0,
"draws": 0,
"losses": 0,
"profit_mean": None,
"profit_median": None,
"profit_total": 0,
"profit_total_abs": 0.0,
"max_drawdown": 0.0,
"max_drawdown_abs": 0.0,
"holding_avg": timedelta(),
}, # noqa: E501
"results_explanation": " 0 trades. Avg profit nan%. Total profit 0.00000000 BTC ( 0.00Σ%). Avg duration nan min.", # noqa: E501
"total_profit": 0,
"current_epoch": 12,
"is_initial_point": True,
"is_random": False,
"is_best": False,
},
]
for res in hyperopt_res:
res["results_metrics"]["holding_avg_s"] = res["results_metrics"][
"holding_avg"
].total_seconds()
return hyperopt_res
@pytest.fixture(scope="function")
def limit_buy_order_usdt_open():
return {
"id": "mocked_limit_buy_usdt",
"type": "limit",
"side": "buy",
"symbol": "mocked",
"datetime": dt_now().isoformat(),
"timestamp": dt_ts(),
"price": 2.00,
"average": 2.00,
"amount": 30.0,
"filled": 0.0,
"cost": 60.0,
"remaining": 30.0,
"status": "open",
}
@pytest.fixture(scope="function")
def limit_buy_order_usdt(limit_buy_order_usdt_open):
order = deepcopy(limit_buy_order_usdt_open)
order["status"] = "closed"
order["filled"] = order["amount"]
order["remaining"] = 0.0
return order
@pytest.fixture
def limit_sell_order_usdt_open():
return {
"id": "mocked_limit_sell_usdt",
"type": "limit",
"side": "sell",
"symbol": "mocked",
"datetime": dt_now().isoformat(),
"timestamp": dt_ts(),
"price": 2.20,
"amount": 30.0,
"cost": 66.0,
"filled": 0.0,
"remaining": 30.0,
"status": "open",
}
@pytest.fixture
def limit_sell_order_usdt(limit_sell_order_usdt_open):
order = deepcopy(limit_sell_order_usdt_open)
order["remaining"] = 0.0
order["filled"] = order["amount"]
order["status"] = "closed"
return order
@pytest.fixture(scope="function")
def market_buy_order_usdt():
return {
"id": "mocked_market_buy",
"type": "market",
"side": "buy",
"symbol": "mocked",
"timestamp": dt_ts(),
"datetime": dt_now().isoformat(),
"price": 2.00,
"amount": 30.0,
"filled": 30.0,
"remaining": 0.0,
"status": "closed",
}
@pytest.fixture
def market_buy_order_usdt_doublefee(market_buy_order_usdt):
order = deepcopy(market_buy_order_usdt)
order["fee"] = None
# Market orders filled with 2 trades can have fees in different currencies
# assuming the account runs out of BNB.
order["fees"] = [
{"cost": 0.00025125, "currency": "BNB"},
{"cost": 0.05030681, "currency": "USDT"},
]
order["trades"] = [
{
"timestamp": None,
"datetime": None,
"symbol": "ETH/USDT",
"id": None,
"order": "123",
"type": "market",
"side": "sell",
"takerOrMaker": None,
"price": 2.01,
"amount": 25.0,
"cost": 50.25,
"fee": {"cost": 0.00025125, "currency": "BNB"},
},
{
"timestamp": None,
"datetime": None,
"symbol": "ETH/USDT",
"id": None,
"order": "123",
"type": "market",
"side": "sell",
"takerOrMaker": None,
"price": 2.0,
"amount": 5,
"cost": 10,
"fee": {"cost": 0.0100306, "currency": "USDT"},
},
]
return order
@pytest.fixture
def market_sell_order_usdt():
return {
"id": "mocked_limit_sell",
"type": "market",
"side": "sell",
"symbol": "mocked",
"timestamp": dt_ts(),
"datetime": dt_now().isoformat(),
"price": 2.20,
"amount": 30.0,
"filled": 30.0,
"remaining": 0.0,
"status": "closed",
}
@pytest.fixture(scope="function")
def limit_order(limit_buy_order_usdt, limit_sell_order_usdt):
return {"buy": limit_buy_order_usdt, "sell": limit_sell_order_usdt}
@pytest.fixture(scope="function")
def limit_order_open(limit_buy_order_usdt_open, limit_sell_order_usdt_open):
return {"buy": limit_buy_order_usdt_open, "sell": limit_sell_order_usdt_open}
@pytest.fixture(scope="function")
def mark_ohlcv():
return [
[1630454400000, 2.77, 2.77, 2.73, 2.73, 0],
[1630458000000, 2.73, 2.76, 2.72, 2.74, 0],
[1630461600000, 2.74, 2.76, 2.74, 2.76, 0],
[1630465200000, 2.76, 2.76, 2.74, 2.76, 0],
[1630468800000, 2.76, 2.77, 2.75, 2.77, 0],
[1630472400000, 2.77, 2.79, 2.75, 2.78, 0],
[1630476000000, 2.78, 2.80, 2.77, 2.77, 0],
[1630479600000, 2.78, 2.79, 2.77, 2.77, 0],
[1630483200000, 2.77, 2.79, 2.77, 2.78, 0],
[1630486800000, 2.77, 2.84, 2.77, 2.84, 0],
[1630490400000, 2.84, 2.85, 2.81, 2.81, 0],
[1630494000000, 2.81, 2.83, 2.81, 2.81, 0],
[1630497600000, 2.81, 2.84, 2.81, 2.82, 0],
[1630501200000, 2.82, 2.83, 2.81, 2.81, 0],
]
@pytest.fixture(scope="function")
def funding_rate_history_hourly():
return [
{
"symbol": "ADA/USDT:USDT",
"fundingRate": -0.000008,
"timestamp": 1630454400000,
"datetime": "2021-09-01T00:00:00.000Z",
},
{
"symbol": "ADA/USDT:USDT",
"fundingRate": -0.000004,
"timestamp": 1630458000000,
"datetime": "2021-09-01T01:00:00.000Z",
},
{
"symbol": "ADA/USDT:USDT",
"fundingRate": 0.000012,
"timestamp": 1630461600000,
"datetime": "2021-09-01T02:00:00.000Z",
},
{
"symbol": "ADA/USDT:USDT",
"fundingRate": -0.000003,
"timestamp": 1630465200000,
"datetime": "2021-09-01T03:00:00.000Z",
},
{
"symbol": "ADA/USDT:USDT",
"fundingRate": -0.000007,
"timestamp": 1630468800000,
"datetime": "2021-09-01T04:00:00.000Z",
},
{
"symbol": "ADA/USDT:USDT",
"fundingRate": 0.000003,
"timestamp": 1630472400000,
"datetime": "2021-09-01T05:00:00.000Z",
},
{
"symbol": "ADA/USDT:USDT",
"fundingRate": 0.000019,
"timestamp": 1630476000000,
"datetime": "2021-09-01T06:00:00.000Z",
},
{
"symbol": "ADA/USDT:USDT",
"fundingRate": 0.000003,
"timestamp": 1630479600000,
"datetime": "2021-09-01T07:00:00.000Z",
},
{
"symbol": "ADA/USDT:USDT",
"fundingRate": -0.000003,
"timestamp": 1630483200000,
"datetime": "2021-09-01T08:00:00.000Z",
},
{
"symbol": "ADA/USDT:USDT",
"fundingRate": 0,
"timestamp": 1630486800000,
"datetime": "2021-09-01T09:00:00.000Z",
},
{
"symbol": "ADA/USDT:USDT",
"fundingRate": 0.000013,
"timestamp": 1630490400000,
"datetime": "2021-09-01T10:00:00.000Z",
},
{
"symbol": "ADA/USDT:USDT",
"fundingRate": 0.000077,
"timestamp": 1630494000000,
"datetime": "2021-09-01T11:00:00.000Z",
},
{
"symbol": "ADA/USDT:USDT",
"fundingRate": 0.000072,
"timestamp": 1630497600000,
"datetime": "2021-09-01T12:00:00.000Z",
},
{
"symbol": "ADA/USDT:USDT",
"fundingRate": 0.000097,
"timestamp": 1630501200000,
"datetime": "2021-09-01T13:00:00.000Z",
},
]
@pytest.fixture(scope="function")
def funding_rate_history_octohourly():
return [
{
"symbol": "ADA/USDT:USDT",
"fundingRate": -0.000008,
"timestamp": 1630454400000,
"datetime": "2021-09-01T00:00:00.000Z",
},
{
"symbol": "ADA/USDT:USDT",
"fundingRate": -0.000003,
"timestamp": 1630483200000,
"datetime": "2021-09-01T08:00:00.000Z",
},
]
@pytest.fixture(scope="function")
def leverage_tiers():
return {
"1000SHIB/USDT:USDT": [
{
"minNotional": 0,
"maxNotional": 50000,
"maintenanceMarginRate": 0.01,
"maxLeverage": 50,
"maintAmt": 0.0,
},
{
"minNotional": 50000,
"maxNotional": 150000,
"maintenanceMarginRate": 0.025,
"maxLeverage": 20,
"maintAmt": 750.0,
},
{
"minNotional": 150000,
"maxNotional": 250000,
"maintenanceMarginRate": 0.05,
"maxLeverage": 10,
"maintAmt": 4500.0,
},
{
"minNotional": 250000,
"maxNotional": 500000,
"maintenanceMarginRate": 0.1,
"maxLeverage": 5,
"maintAmt": 17000.0,
},
{
"minNotional": 500000,
"maxNotional": 1000000,
"maintenanceMarginRate": 0.125,
"maxLeverage": 4,
"maintAmt": 29500.0,
},
{
"minNotional": 1000000,
"maxNotional": 2000000,
"maintenanceMarginRate": 0.25,
"maxLeverage": 2,
"maintAmt": 154500.0,
},
{
"minNotional": 2000000,
"maxNotional": 30000000,
"maintenanceMarginRate": 0.5,
"maxLeverage": 1,
"maintAmt": 654500.0,
},
],
"1INCH/USDT:USDT": [
{
"minNotional": 0,
"maxNotional": 5000,
"maintenanceMarginRate": 0.012,
"maxLeverage": 50,
"maintAmt": 0.0,
},
{
"minNotional": 5000,
"maxNotional": 25000,
"maintenanceMarginRate": 0.025,
"maxLeverage": 20,
"maintAmt": 65.0,
},
{
"minNotional": 25000,
"maxNotional": 100000,
"maintenanceMarginRate": 0.05,
"maxLeverage": 10,
"maintAmt": 690.0,
},
{
"minNotional": 100000,
"maxNotional": 250000,
"maintenanceMarginRate": 0.1,
"maxLeverage": 5,
"maintAmt": 5690.0,
},
{
"minNotional": 250000,
"maxNotional": 1000000,
"maintenanceMarginRate": 0.125,
"maxLeverage": 2,
"maintAmt": 11940.0,
},
{
"minNotional": 1000000,
"maxNotional": 100000000,
"maintenanceMarginRate": 0.5,
"maxLeverage": 1,
"maintAmt": 386940.0,
},
],
"AAVE/USDT:USDT": [
{
"minNotional": 0,
"maxNotional": 5000,
"maintenanceMarginRate": 0.01,
"maxLeverage": 50,
"maintAmt": 0.0,
},
{
"minNotional": 5000,
"maxNotional": 25000,
"maintenanceMarginRate": 0.02,
"maxLeverage": 25,
"maintAmt": 75.0,
},
{
"minNotional": 25000,
"maxNotional": 100000,
"maintenanceMarginRate": 0.05,
"maxLeverage": 10,
"maintAmt": 700.0,
},
{
"minNotional": 100000,
"maxNotional": 250000,
"maintenanceMarginRate": 0.1,
"maxLeverage": 5,
"maintAmt": 5700.0,
},
{
"minNotional": 250000,
"maxNotional": 1000000,
"maintenanceMarginRate": 0.125,
"maxLeverage": 2,
"maintAmt": 11950.0,
},
{
"minNotional": 10000000,
"maxNotional": 50000000,
"maintenanceMarginRate": 0.5,
"maxLeverage": 1,
"maintAmt": 386950.0,
},
],
"ADA/USDT:USDT": [
{
"minNotional": 0,
"maxNotional": 100000,
"maintenanceMarginRate": 0.025,
"maxLeverage": 20,
"maintAmt": 0.0,
},
{
"minNotional": 100000,
"maxNotional": 500000,
"maintenanceMarginRate": 0.05,
"maxLeverage": 10,
"maintAmt": 2500.0,
},
{
"minNotional": 500000,
"maxNotional": 1000000,
"maintenanceMarginRate": 0.1,
"maxLeverage": 5,
"maintAmt": 27500.0,
},
{
"minNotional": 1000000,
"maxNotional": 2000000,
"maintenanceMarginRate": 0.15,
"maxLeverage": 3,
"maintAmt": 77500.0,
},
{
"minNotional": 2000000,
"maxNotional": 5000000,
"maintenanceMarginRate": 0.25,
"maxLeverage": 2,
"maintAmt": 277500.0,
},
{
"minNotional": 5000000,
"maxNotional": 30000000,
"maintenanceMarginRate": 0.5,
"maxLeverage": 1,
"maintAmt": 1527500.0,
},
],
"XRP/USDT:USDT": [
{
"minNotional": 0, # stake(before leverage) = 0
"maxNotional": 100000, # max stake(before leverage) = 5000
"maintenanceMarginRate": 0.025,
"maxLeverage": 20,
"maintAmt": 0.0,
},
{
"minNotional": 100000, # stake = 10000.0
"maxNotional": 500000, # max_stake = 50000.0
"maintenanceMarginRate": 0.05,
"maxLeverage": 10,
"maintAmt": 2500.0,
},
{
"minNotional": 500000, # stake = 100000.0
"maxNotional": 1000000, # max_stake = 200000.0
"maintenanceMarginRate": 0.1,
"maxLeverage": 5,
"maintAmt": 27500.0,
},
{
"minNotional": 1000000, # stake = 333333.3333333333
"maxNotional": 2000000, # max_stake = 666666.6666666666
"maintenanceMarginRate": 0.15,
"maxLeverage": 3,
"maintAmt": 77500.0,
},
{
"minNotional": 2000000, # stake = 1000000.0
"maxNotional": 5000000, # max_stake = 2500000.0
"maintenanceMarginRate": 0.25,
"maxLeverage": 2,
"maintAmt": 277500.0,
},
{
"minNotional": 5000000, # stake = 5000000.0
"maxNotional": 30000000, # max_stake = 30000000.0
"maintenanceMarginRate": 0.5,
"maxLeverage": 1,
"maintAmt": 1527500.0,
},
],
"BNB/USDT:USDT": [
{
"minNotional": 0, # stake = 0.0
"maxNotional": 10000, # max_stake = 133.33333333333334
"maintenanceMarginRate": 0.0065,
"maxLeverage": 75,
"maintAmt": 0.0,
},
{
"minNotional": 10000, # stake = 200.0
"maxNotional": 50000, # max_stake = 1000.0
"maintenanceMarginRate": 0.01,
"maxLeverage": 50,
"maintAmt": 35.0,
},
{
"minNotional": 50000, # stake = 2000.0
"maxNotional": 250000, # max_stake = 10000.0
"maintenanceMarginRate": 0.02,
"maxLeverage": 25,
"maintAmt": 535.0,
},
{
"minNotional": 250000, # stake = 25000.0
"maxNotional": 1000000, # max_stake = 100000.0
"maintenanceMarginRate": 0.05,
"maxLeverage": 10,
"maintAmt": 8035.0,
},
{
"minNotional": 1000000, # stake = 200000.0
"maxNotional": 2000000, # max_stake = 400000.0
"maintenanceMarginRate": 0.1,
"maxLeverage": 5,
"maintAmt": 58035.0,
},
{
"minNotional": 2000000, # stake = 500000.0
"maxNotional": 5000000, # max_stake = 1250000.0
"maintenanceMarginRate": 0.125,
"maxLeverage": 4,
"maintAmt": 108035.0,
},
{
"minNotional": 5000000, # stake = 1666666.6666666667
"maxNotional": 10000000, # max_stake = 3333333.3333333335
"maintenanceMarginRate": 0.15,
"maxLeverage": 3,
"maintAmt": 233035.0,
},
{
"minNotional": 10000000, # stake = 5000000.0
"maxNotional": 20000000, # max_stake = 10000000.0
"maintenanceMarginRate": 0.25,
"maxLeverage": 2,
"maintAmt": 1233035.0,
},
{
"minNotional": 20000000, # stake = 20000000.0
"maxNotional": 50000000, # max_stake = 50000000.0
"maintenanceMarginRate": 0.5,
"maxLeverage": 1,
"maintAmt": 6233035.0,
},
],
"BTC/USDT:USDT": [
{
"minNotional": 0, # stake = 0.0
"maxNotional": 50000, # max_stake = 400.0
"maintenanceMarginRate": 0.004,
"maxLeverage": 125,
"maintAmt": 0.0,
},
{
"minNotional": 50000, # stake = 500.0
"maxNotional": 250000, # max_stake = 2500.0
"maintenanceMarginRate": 0.005,
"maxLeverage": 100,
"maintAmt": 50.0,
},
{
"minNotional": 250000, # stake = 5000.0
"maxNotional": 1000000, # max_stake = 20000.0
"maintenanceMarginRate": 0.01,
"maxLeverage": 50,
"maintAmt": 1300.0,
},
{
"minNotional": 1000000, # stake = 50000.0
"maxNotional": 7500000, # max_stake = 375000.0
"maintenanceMarginRate": 0.025,
"maxLeverage": 20,
"maintAmt": 16300.0,
},
{
"minNotional": 7500000, # stake = 750000.0
"maxNotional": 40000000, # max_stake = 4000000.0
"maintenanceMarginRate": 0.05,
"maxLeverage": 10,
"maintAmt": 203800.0,
},
{
"minNotional": 40000000, # stake = 8000000.0
"maxNotional": 100000000, # max_stake = 20000000.0
"maintenanceMarginRate": 0.1,
"maxLeverage": 5,
"maintAmt": 2203800.0,
},
{
"minNotional": 100000000, # stake = 25000000.0
"maxNotional": 200000000, # max_stake = 50000000.0
"maintenanceMarginRate": 0.125,
"maxLeverage": 4,
"maintAmt": 4703800.0,
},
{
"minNotional": 200000000, # stake = 66666666.666666664
"maxNotional": 400000000, # max_stake = 133333333.33333333
"maintenanceMarginRate": 0.15,
"maxLeverage": 3,
"maintAmt": 9703800.0,
},
{
"minNotional": 400000000, # stake = 200000000.0
"maxNotional": 600000000, # max_stake = 300000000.0
"maintenanceMarginRate": 0.25,
"maxLeverage": 2,
"maintAmt": 4.97038e7,
},
{
"minNotional": 600000000, # stake = 600000000.0
"maxNotional": 1000000000, # max_stake = 1000000000.0
"maintenanceMarginRate": 0.5,
"maxLeverage": 1,
"maintAmt": 1.997038e8,
},
],
"ZEC/USDT:USDT": [
{
"minNotional": 0,
"maxNotional": 50000,
"maintenanceMarginRate": 0.01,
"maxLeverage": 50,
"maintAmt": 0.0,
},
{
"minNotional": 50000,
"maxNotional": 150000,
"maintenanceMarginRate": 0.025,
"maxLeverage": 20,
"maintAmt": 750.0,
},
{
"minNotional": 150000,
"maxNotional": 250000,
"maintenanceMarginRate": 0.05,
"maxLeverage": 10,
"maintAmt": 4500.0,
},
{
"minNotional": 250000,
"maxNotional": 500000,
"maintenanceMarginRate": 0.1,
"maxLeverage": 5,
"maintAmt": 17000.0,
},
{
"minNotional": 500000,
"maxNotional": 1000000,
"maintenanceMarginRate": 0.125,
"maxLeverage": 4,
"maintAmt": 29500.0,
},
{
"minNotional": 1000000,
"maxNotional": 2000000,
"maintenanceMarginRate": 0.25,
"maxLeverage": 2,
"maintAmt": 154500.0,
},
{
"minNotional": 2000000,
"maxNotional": 30000000,
"maintenanceMarginRate": 0.5,
"maxLeverage": 1,
"maintAmt": 654500.0,
},
],
}