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freqtrade_origin/tests/plugins/test_pairlist.py

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# pragma pylint: disable=missing-docstring,C0103,protected-access
import logging
import time
from copy import deepcopy
from datetime import timedelta
from unittest.mock import MagicMock, PropertyMock
import pandas as pd
import pytest
import time_machine
from freqtrade.constants import AVAILABLE_PAIRLISTS
from freqtrade.data.dataprovider import DataProvider
from freqtrade.enums import CandleType, RunMode
from freqtrade.exceptions import OperationalException
from freqtrade.persistence import LocalTrade, Trade
from freqtrade.plugins.pairlist.pairlist_helpers import dynamic_expand_pairlist, expand_pairlist
from freqtrade.plugins.pairlistmanager import PairListManager
from freqtrade.resolvers import PairListResolver
from freqtrade.util.datetime_helpers import dt_now
from tests.conftest import (
EXMS,
create_mock_trades_usdt,
generate_test_data,
get_patched_exchange,
get_patched_freqtradebot,
log_has,
log_has_re,
num_log_has,
)
# Exclude RemotePairList from tests.
# It has a mandatory parameter, and requires special handling, which happens in test_remotepairlist.
TESTABLE_PAIRLISTS = [p for p in AVAILABLE_PAIRLISTS if p not in ["RemotePairList"]]
@pytest.fixture(scope="function")
def whitelist_conf(default_conf):
default_conf["runmode"] = "dry_run"
default_conf["stake_currency"] = "BTC"
default_conf["exchange"]["pair_whitelist"] = [
"ETH/BTC",
"TKN/BTC",
"TRST/BTC",
"SWT/BTC",
"BCC/BTC",
"HOT/BTC",
]
default_conf["exchange"]["pair_blacklist"] = ["BLK/BTC"]
default_conf["pairlists"] = [
{
"method": "VolumePairList",
"number_assets": 5,
"sort_key": "quoteVolume",
},
]
default_conf.update(
{
"external_message_consumer": {
"enabled": True,
"producers": [],
}
}
)
return default_conf
@pytest.fixture(scope="function")
def whitelist_conf_2(default_conf):
default_conf["runmode"] = "dry_run"
default_conf["stake_currency"] = "BTC"
default_conf["exchange"]["pair_whitelist"] = [
"ETH/BTC",
"TKN/BTC",
"BLK/BTC",
"LTC/BTC",
"BTT/BTC",
"HOT/BTC",
"FUEL/BTC",
"XRP/BTC",
]
default_conf["exchange"]["pair_blacklist"] = ["BLK/BTC"]
default_conf["pairlists"] = [
# { "method": "StaticPairList"},
{
"method": "VolumePairList",
"number_assets": 5,
"sort_key": "quoteVolume",
"refresh_period": 0,
},
]
return default_conf
@pytest.fixture(scope="function")
def whitelist_conf_agefilter(default_conf):
default_conf["runmode"] = "dry_run"
default_conf["stake_currency"] = "BTC"
default_conf["exchange"]["pair_whitelist"] = [
"ETH/BTC",
"TKN/BTC",
"BLK/BTC",
"LTC/BTC",
"BTT/BTC",
"HOT/BTC",
"FUEL/BTC",
"XRP/BTC",
]
default_conf["exchange"]["pair_blacklist"] = ["BLK/BTC"]
default_conf["pairlists"] = [
{
"method": "VolumePairList",
"number_assets": 5,
"sort_key": "quoteVolume",
"refresh_period": -1,
},
{"method": "AgeFilter", "min_days_listed": 2, "max_days_listed": 100},
]
return default_conf
@pytest.fixture(scope="function")
def static_pl_conf(whitelist_conf):
whitelist_conf["pairlists"] = [
{
"method": "StaticPairList",
},
]
return whitelist_conf
def test_log_cached(mocker, static_pl_conf, markets, tickers):
mocker.patch.multiple(
EXMS,
markets=PropertyMock(return_value=markets),
exchange_has=MagicMock(return_value=True),
get_tickers=tickers,
)
freqtrade = get_patched_freqtradebot(mocker, static_pl_conf)
logmock = MagicMock()
# Assign starting whitelist
pl = freqtrade.pairlists._pairlist_handlers[0]
pl.log_once("Hello world", logmock)
assert logmock.call_count == 1
pl.log_once("Hello world", logmock)
assert logmock.call_count == 1
assert pl._log_cache.currsize == 1
assert ("Hello world",) in pl._log_cache._Cache__data
pl.log_once("Hello world2", logmock)
assert logmock.call_count == 2
assert pl._log_cache.currsize == 2
def test_load_pairlist_noexist(mocker, markets, default_conf):
freqtrade = get_patched_freqtradebot(mocker, default_conf)
mocker.patch(f"{EXMS}.markets", PropertyMock(return_value=markets))
plm = PairListManager(freqtrade.exchange, default_conf, MagicMock())
with pytest.raises(
OperationalException,
match=r"Impossible to load Pairlist 'NonexistingPairList'. "
r"This class does not exist or contains Python code errors.",
):
PairListResolver.load_pairlist(
"NonexistingPairList", freqtrade.exchange, plm, default_conf, {}, 1
)
def test_load_pairlist_verify_multi(mocker, markets_static, default_conf):
freqtrade = get_patched_freqtradebot(mocker, default_conf)
mocker.patch(f"{EXMS}.markets", PropertyMock(return_value=markets_static))
plm = PairListManager(freqtrade.exchange, default_conf, MagicMock())
# Call different versions one after the other, should always consider what was passed in
# and have no side-effects (therefore the same check multiple times)
assert plm.verify_whitelist(["ETH/BTC", "XRP/BTC"], print) == ["ETH/BTC", "XRP/BTC"]
assert plm.verify_whitelist(["ETH/BTC", "XRP/BTC", "BUUU/BTC"], print) == ["ETH/BTC", "XRP/BTC"]
assert plm.verify_whitelist(["XRP/BTC", "BUUU/BTC"], print) == ["XRP/BTC"]
assert plm.verify_whitelist(["ETH/BTC", "XRP/BTC"], print) == ["ETH/BTC", "XRP/BTC"]
assert plm.verify_whitelist(["ETH/USDT", "XRP/USDT"], print) == ["ETH/USDT"]
assert plm.verify_whitelist(["ETH/BTC", "XRP/BTC"], print) == ["ETH/BTC", "XRP/BTC"]
def test_refresh_market_pair_not_in_whitelist(mocker, markets, static_pl_conf):
freqtrade = get_patched_freqtradebot(mocker, static_pl_conf)
mocker.patch(f"{EXMS}.markets", PropertyMock(return_value=markets))
freqtrade.pairlists.refresh_pairlist()
# List ordered by BaseVolume
whitelist = ["ETH/BTC", "TKN/BTC"]
# Ensure all except those in whitelist are removed
assert set(whitelist) == set(freqtrade.pairlists.whitelist)
# Ensure config dict hasn't been changed
assert (
static_pl_conf["exchange"]["pair_whitelist"]
== freqtrade.config["exchange"]["pair_whitelist"]
)
def test_refresh_static_pairlist(mocker, markets, static_pl_conf):
freqtrade = get_patched_freqtradebot(mocker, static_pl_conf)
mocker.patch.multiple(
EXMS,
exchange_has=MagicMock(return_value=True),
markets=PropertyMock(return_value=markets),
)
freqtrade.pairlists.refresh_pairlist()
# List ordered by BaseVolume
whitelist = ["ETH/BTC", "TKN/BTC"]
# Ensure all except those in whitelist are removed
assert set(whitelist) == set(freqtrade.pairlists.whitelist)
assert static_pl_conf["exchange"]["pair_blacklist"] == freqtrade.pairlists.blacklist
@pytest.mark.parametrize(
"pairs,expected",
[
(
["NOEXIST/BTC", r"\+WHAT/BTC"],
["ETH/BTC", "TKN/BTC", "TRST/BTC", "NOEXIST/BTC", "SWT/BTC", "BCC/BTC", "HOT/BTC"],
),
(
["NOEXIST/BTC", r"*/BTC"], # This is an invalid regex
[],
),
],
)
def test_refresh_static_pairlist_noexist(mocker, markets, static_pl_conf, pairs, expected, caplog):
static_pl_conf["pairlists"][0]["allow_inactive"] = True
static_pl_conf["exchange"]["pair_whitelist"] += pairs
freqtrade = get_patched_freqtradebot(mocker, static_pl_conf)
mocker.patch.multiple(
EXMS,
exchange_has=MagicMock(return_value=True),
markets=PropertyMock(return_value=markets),
)
freqtrade.pairlists.refresh_pairlist()
# Ensure all except those in whitelist are removed
assert set(expected) == set(freqtrade.pairlists.whitelist)
assert static_pl_conf["exchange"]["pair_blacklist"] == freqtrade.pairlists.blacklist
if not expected:
assert log_has_re(r"Pair whitelist contains an invalid Wildcard: Wildcard error.*", caplog)
def test_invalid_blacklist(mocker, markets, static_pl_conf, caplog):
static_pl_conf["exchange"]["pair_blacklist"] = ["*/BTC"]
freqtrade = get_patched_freqtradebot(mocker, static_pl_conf)
mocker.patch.multiple(
EXMS,
exchange_has=MagicMock(return_value=True),
markets=PropertyMock(return_value=markets),
)
freqtrade.pairlists.refresh_pairlist()
whitelist = []
# Ensure all except those in whitelist are removed
assert set(whitelist) == set(freqtrade.pairlists.whitelist)
assert static_pl_conf["exchange"]["pair_blacklist"] == freqtrade.pairlists.blacklist
log_has_re(r"Pair blacklist contains an invalid Wildcard.*", caplog)
def test_remove_logs_for_pairs_already_in_blacklist(mocker, markets, static_pl_conf, caplog):
logger = logging.getLogger(__name__)
freqtrade = get_patched_freqtradebot(mocker, static_pl_conf)
mocker.patch.multiple(
EXMS,
exchange_has=MagicMock(return_value=True),
markets=PropertyMock(return_value=markets),
)
freqtrade.pairlists.refresh_pairlist()
whitelist = ["ETH/BTC", "TKN/BTC"]
caplog.clear()
caplog.set_level(logging.INFO)
# Ensure all except those in whitelist are removed.
assert set(whitelist) == set(freqtrade.pairlists.whitelist)
assert static_pl_conf["exchange"]["pair_blacklist"] == freqtrade.pairlists.blacklist
# Ensure that log message wasn't generated.
assert not log_has("Pair BLK/BTC in your blacklist. Removing it from whitelist...", caplog)
for _ in range(3):
new_whitelist = freqtrade.pairlists.verify_blacklist(
whitelist + ["BLK/BTC"], logger.warning
)
# Ensure that the pair is removed from the white list, and properly logged.
assert set(whitelist) == set(new_whitelist)
assert num_log_has("Pair BLK/BTC in your blacklist. Removing it from whitelist...", caplog) == 1
def test_refresh_pairlist_dynamic(mocker, shitcoinmarkets, tickers, whitelist_conf):
mocker.patch.multiple(
EXMS,
get_tickers=tickers,
exchange_has=MagicMock(return_value=True),
)
freqtrade = get_patched_freqtradebot(mocker, whitelist_conf)
# Remock markets with shitcoinmarkets since get_patched_freqtradebot uses the markets fixture
mocker.patch.multiple(
EXMS,
markets=PropertyMock(return_value=shitcoinmarkets),
)
# argument: use the whitelist dynamically by exchange-volume
whitelist = ["ETH/BTC", "TKN/BTC", "LTC/BTC", "XRP/BTC", "HOT/BTC"]
freqtrade.pairlists.refresh_pairlist()
assert whitelist == freqtrade.pairlists.whitelist
whitelist_conf["pairlists"] = [{"method": "VolumePairList"}]
with pytest.raises(
OperationalException,
match=r"`number_assets` not specified. Please check your configuration "
r'for "pairlist.config.number_assets"',
):
PairListManager(freqtrade.exchange, whitelist_conf, MagicMock())
def test_refresh_pairlist_dynamic_2(mocker, shitcoinmarkets, tickers, whitelist_conf_2):
tickers_dict = tickers()
mocker.patch.multiple(
EXMS,
exchange_has=MagicMock(return_value=True),
)
# Remove caching of ticker data to emulate changing volume by the time of second call
mocker.patch.multiple(
"freqtrade.plugins.pairlistmanager.PairListManager",
_get_cached_tickers=MagicMock(return_value=tickers_dict),
)
freqtrade = get_patched_freqtradebot(mocker, whitelist_conf_2)
# Remock markets with shitcoinmarkets since get_patched_freqtradebot uses the markets fixture
mocker.patch.multiple(
EXMS,
markets=PropertyMock(return_value=shitcoinmarkets),
)
whitelist = ["ETH/BTC", "TKN/BTC", "LTC/BTC", "XRP/BTC", "HOT/BTC"]
freqtrade.pairlists.refresh_pairlist()
assert whitelist == freqtrade.pairlists.whitelist
# Delay to allow 0 TTL cache to expire...
time.sleep(1)
whitelist = ["FUEL/BTC", "ETH/BTC", "TKN/BTC", "LTC/BTC", "XRP/BTC"]
tickers_dict["FUEL/BTC"]["quoteVolume"] = 10000.0
freqtrade.pairlists.refresh_pairlist()
assert whitelist == freqtrade.pairlists.whitelist
def test_VolumePairList_refresh_empty(mocker, markets_empty, whitelist_conf):
mocker.patch.multiple(
EXMS,
exchange_has=MagicMock(return_value=True),
)
freqtrade = get_patched_freqtradebot(mocker, whitelist_conf)
mocker.patch(f"{EXMS}.markets", PropertyMock(return_value=markets_empty))
# argument: use the whitelist dynamically by exchange-volume
whitelist = []
whitelist_conf["exchange"]["pair_whitelist"] = []
freqtrade.pairlists.refresh_pairlist()
pairslist = whitelist_conf["exchange"]["pair_whitelist"]
assert set(whitelist) == set(pairslist)
@pytest.mark.parametrize(
"pairlists,base_currency,whitelist_result",
[
# VolumePairList only
(
[{"method": "VolumePairList", "number_assets": 5, "sort_key": "quoteVolume"}],
"BTC",
["ETH/BTC", "TKN/BTC", "LTC/BTC", "XRP/BTC", "HOT/BTC"],
),
(
[{"method": "VolumePairList", "number_assets": 5, "sort_key": "quoteVolume"}],
"USDT",
["ETH/USDT", "NANO/USDT", "ADAHALF/USDT", "ADADOUBLE/USDT"],
),
# No pair for ETH, VolumePairList
([{"method": "VolumePairList", "number_assets": 5, "sort_key": "quoteVolume"}], "ETH", []),
# No pair for ETH, StaticPairList
([{"method": "StaticPairList"}], "ETH", []),
# No pair for ETH, all handlers
(
[
{"method": "StaticPairList"},
{"method": "VolumePairList", "number_assets": 5, "sort_key": "quoteVolume"},
{"method": "AgeFilter", "min_days_listed": 2, "max_days_listed": None},
{"method": "PrecisionFilter"},
{"method": "PriceFilter", "low_price_ratio": 0.03},
{"method": "SpreadFilter", "max_spread_ratio": 0.005},
{"method": "ShuffleFilter"},
{"method": "PerformanceFilter"},
],
"ETH",
[],
),
# AgeFilter and VolumePairList (require 2 days only, all should pass age test)
(
[
{"method": "VolumePairList", "number_assets": 5, "sort_key": "quoteVolume"},
{"method": "AgeFilter", "min_days_listed": 2, "max_days_listed": 100},
],
"BTC",
["ETH/BTC", "TKN/BTC", "LTC/BTC", "XRP/BTC", "HOT/BTC"],
),
# AgeFilter and VolumePairList (require 10 days, all should fail age test)
(
[
{"method": "VolumePairList", "number_assets": 5, "sort_key": "quoteVolume"},
{"method": "AgeFilter", "min_days_listed": 10, "max_days_listed": None},
],
"BTC",
[],
),
# AgeFilter and VolumePairList (all pair listed > 2, all should fail age test)
(
[
{"method": "VolumePairList", "number_assets": 5, "sort_key": "quoteVolume"},
{"method": "AgeFilter", "min_days_listed": 1, "max_days_listed": 2},
],
"BTC",
[],
),
# AgeFilter and VolumePairList LTC/BTC has 6 candles - removes all
(
[
{"method": "VolumePairList", "number_assets": 5, "sort_key": "quoteVolume"},
{"method": "AgeFilter", "min_days_listed": 4, "max_days_listed": 5},
],
"BTC",
[],
),
# AgeFilter and VolumePairList LTC/BTC has 6 candles - passes
(
[
{"method": "VolumePairList", "number_assets": 5, "sort_key": "quoteVolume"},
{"method": "AgeFilter", "min_days_listed": 4, "max_days_listed": 10},
],
"BTC",
["LTC/BTC"],
),
# Precisionfilter and quote volume
(
[
{"method": "VolumePairList", "number_assets": 5, "sort_key": "quoteVolume"},
{"method": "PrecisionFilter"},
],
"BTC",
["ETH/BTC", "TKN/BTC", "LTC/BTC", "XRP/BTC"],
),
(
[
{"method": "VolumePairList", "number_assets": 5, "sort_key": "quoteVolume"},
{"method": "PrecisionFilter"},
],
"USDT",
["ETH/USDT", "NANO/USDT"],
),
# PriceFilter and VolumePairList
(
[
{"method": "VolumePairList", "number_assets": 5, "sort_key": "quoteVolume"},
{"method": "PriceFilter", "low_price_ratio": 0.03},
],
"BTC",
["ETH/BTC", "TKN/BTC", "LTC/BTC", "XRP/BTC"],
),
# PriceFilter and VolumePairList
(
[
{"method": "VolumePairList", "number_assets": 5, "sort_key": "quoteVolume"},
{"method": "PriceFilter", "low_price_ratio": 0.03},
],
"USDT",
["ETH/USDT", "NANO/USDT"],
),
# Hot is removed by precision_filter, Fuel by low_price_ratio, Ripple by min_price.
(
[
{"method": "VolumePairList", "number_assets": 6, "sort_key": "quoteVolume"},
{"method": "PrecisionFilter"},
{"method": "PriceFilter", "low_price_ratio": 0.02, "min_price": 0.01},
],
"BTC",
["ETH/BTC", "TKN/BTC", "LTC/BTC"],
),
# Hot is removed by precision_filter, Fuel by low_price_ratio, Ethereum by max_price.
(
[
{"method": "VolumePairList", "number_assets": 6, "sort_key": "quoteVolume"},
{"method": "PrecisionFilter"},
{"method": "PriceFilter", "low_price_ratio": 0.02, "max_price": 0.05},
],
"BTC",
["TKN/BTC", "LTC/BTC", "XRP/BTC"],
),
# HOT and XRP are removed because below 1250 quoteVolume
(
[
{
"method": "VolumePairList",
"number_assets": 5,
"sort_key": "quoteVolume",
"min_value": 1250,
}
],
"BTC",
["ETH/BTC", "TKN/BTC", "LTC/BTC"],
),
# HOT, XRP and FUEL whitelisted because they are below 1300 quoteVolume.
(
[
{
"method": "VolumePairList",
"number_assets": 5,
"sort_key": "quoteVolume",
"max_value": 1300,
}
],
"BTC",
["XRP/BTC", "HOT/BTC", "FUEL/BTC"],
),
# HOT, XRP whitelisted because they are between 100 and 1300 quoteVolume.
(
[
{
"method": "VolumePairList",
"number_assets": 5,
"sort_key": "quoteVolume",
"min_value": 100,
"max_value": 1300,
}
],
"BTC",
["XRP/BTC", "HOT/BTC"],
),
# StaticPairlist only
([{"method": "StaticPairList"}], "BTC", ["ETH/BTC", "TKN/BTC", "HOT/BTC"]),
# Static Pairlist before VolumePairList - sorting changes
# SpreadFilter
(
[
{"method": "VolumePairList", "number_assets": 5, "sort_key": "quoteVolume"},
{"method": "SpreadFilter", "max_spread_ratio": 0.005},
],
"USDT",
["ETH/USDT"],
),
# ShuffleFilter
(
[
{"method": "VolumePairList", "number_assets": 5, "sort_key": "quoteVolume"},
{"method": "ShuffleFilter", "seed": 77},
],
"USDT",
["ADADOUBLE/USDT", "ETH/USDT", "NANO/USDT", "ADAHALF/USDT"],
),
# ShuffleFilter, other seed
(
[
{"method": "VolumePairList", "number_assets": 5, "sort_key": "quoteVolume"},
{"method": "ShuffleFilter", "seed": 42},
],
"USDT",
["ADAHALF/USDT", "NANO/USDT", "ADADOUBLE/USDT", "ETH/USDT"],
),
# ShuffleFilter, no seed
(
[
{"method": "VolumePairList", "number_assets": 5, "sort_key": "quoteVolume"},
{"method": "ShuffleFilter"},
],
"USDT",
4,
), # whitelist_result is integer -- check only length of randomized pairlist
# AgeFilter only
(
[{"method": "AgeFilter", "min_days_listed": 2}],
"BTC",
"filter_at_the_beginning",
), # OperationalException expected
# PrecisionFilter after StaticPairList
(
[{"method": "StaticPairList"}, {"method": "PrecisionFilter"}],
"BTC",
["ETH/BTC", "TKN/BTC"],
),
# PrecisionFilter only
(
[{"method": "PrecisionFilter"}],
"BTC",
"filter_at_the_beginning",
), # OperationalException expected
# PriceFilter after StaticPairList
(
[
{"method": "StaticPairList"},
{
"method": "PriceFilter",
"low_price_ratio": 0.02,
"min_price": 0.000001,
"max_price": 0.1,
},
],
"BTC",
["ETH/BTC", "TKN/BTC"],
),
# PriceFilter only
(
[{"method": "PriceFilter", "low_price_ratio": 0.02}],
"BTC",
"filter_at_the_beginning",
), # OperationalException expected
# ShuffleFilter after StaticPairList
(
[{"method": "StaticPairList"}, {"method": "ShuffleFilter", "seed": 42}],
"BTC",
["TKN/BTC", "ETH/BTC", "HOT/BTC"],
),
# ShuffleFilter only
(
[{"method": "ShuffleFilter", "seed": 42}],
"BTC",
"filter_at_the_beginning",
), # OperationalException expected
# PerformanceFilter after StaticPairList
(
[{"method": "StaticPairList"}, {"method": "PerformanceFilter"}],
"BTC",
["ETH/BTC", "TKN/BTC", "HOT/BTC"],
),
# PerformanceFilter only
(
[{"method": "PerformanceFilter"}],
"BTC",
"filter_at_the_beginning",
), # OperationalException expected
# SpreadFilter after StaticPairList
(
[{"method": "StaticPairList"}, {"method": "SpreadFilter", "max_spread_ratio": 0.005}],
"BTC",
["ETH/BTC", "TKN/BTC"],
),
# SpreadFilter only
(
[{"method": "SpreadFilter", "max_spread_ratio": 0.005}],
"BTC",
"filter_at_the_beginning",
), # OperationalException expected
# Static Pairlist after VolumePairList, on a non-first position (appends pairs)
(
[
{"method": "VolumePairList", "number_assets": 2, "sort_key": "quoteVolume"},
{"method": "StaticPairList"},
],
"BTC",
["ETH/BTC", "TKN/BTC", "TRST/BTC", "SWT/BTC", "BCC/BTC", "HOT/BTC"],
),
(
[
{"method": "VolumePairList", "number_assets": 20, "sort_key": "quoteVolume"},
{"method": "PriceFilter", "low_price_ratio": 0.02},
],
"USDT",
["ETH/USDT", "NANO/USDT"],
),
(
[
{"method": "VolumePairList", "number_assets": 20, "sort_key": "quoteVolume"},
{"method": "PriceFilter", "max_value": 0.000001},
],
"USDT",
["NANO/USDT"],
),
(
[
{"method": "StaticPairList"},
{
"method": "RangeStabilityFilter",
"lookback_days": 10,
"min_rate_of_change": 0.01,
"refresh_period": 1440,
},
],
"BTC",
["ETH/BTC", "TKN/BTC", "HOT/BTC"],
),
(
[
{"method": "StaticPairList"},
{
"method": "RangeStabilityFilter",
"lookback_days": 10,
"max_rate_of_change": 0.01,
"refresh_period": 1440,
},
],
"BTC",
[],
), # All removed because of max_rate_of_change being 0.017
(
[
{"method": "StaticPairList"},
{
"method": "RangeStabilityFilter",
"lookback_days": 10,
"min_rate_of_change": 0.018,
"max_rate_of_change": 0.02,
"refresh_period": 1440,
},
],
"BTC",
[],
), # All removed - limits are above the highest change_rate
(
[
{"method": "StaticPairList"},
{
"method": "VolatilityFilter",
"lookback_days": 3,
"min_volatility": 0.002,
"max_volatility": 0.004,
"refresh_period": 1440,
},
],
"BTC",
["ETH/BTC", "TKN/BTC"],
),
# VolumePairList with no offset = unchanged pairlist
(
[
{"method": "VolumePairList", "number_assets": 20, "sort_key": "quoteVolume"},
{"method": "OffsetFilter", "offset": 0, "number_assets": 0},
],
"USDT",
["ETH/USDT", "NANO/USDT", "ADAHALF/USDT", "ADADOUBLE/USDT"],
),
# VolumePairList with offset = 2
(
[
{"method": "VolumePairList", "number_assets": 20, "sort_key": "quoteVolume"},
{"method": "OffsetFilter", "offset": 2},
],
"USDT",
["ADAHALF/USDT", "ADADOUBLE/USDT"],
),
# VolumePairList with offset and limit
(
[
{"method": "VolumePairList", "number_assets": 20, "sort_key": "quoteVolume"},
{"method": "OffsetFilter", "offset": 1, "number_assets": 2},
],
"USDT",
["NANO/USDT", "ADAHALF/USDT"],
),
# VolumePairList with higher offset, than total pairlist
(
[
{"method": "VolumePairList", "number_assets": 20, "sort_key": "quoteVolume"},
{"method": "OffsetFilter", "offset": 100},
],
"USDT",
[],
),
],
)
def test_VolumePairList_whitelist_gen(
mocker,
whitelist_conf,
shitcoinmarkets,
tickers,
ohlcv_history,
pairlists,
base_currency,
whitelist_result,
caplog,
) -> None:
whitelist_conf["runmode"] = "util_exchange"
whitelist_conf["pairlists"] = pairlists
whitelist_conf["stake_currency"] = base_currency
ohlcv_history_high_vola = ohlcv_history.copy()
ohlcv_history_high_vola.loc[ohlcv_history_high_vola.index == 1, "close"] = 0.00090
ohlcv_data = {
("ETH/BTC", "1d", CandleType.SPOT): ohlcv_history,
("TKN/BTC", "1d", CandleType.SPOT): ohlcv_history,
("LTC/BTC", "1d", CandleType.SPOT): pd.concat([ohlcv_history, ohlcv_history]),
("XRP/BTC", "1d", CandleType.SPOT): ohlcv_history,
("HOT/BTC", "1d", CandleType.SPOT): ohlcv_history_high_vola,
}
mocker.patch(f"{EXMS}.exchange_has", MagicMock(return_value=True))
freqtrade = get_patched_freqtradebot(mocker, whitelist_conf)
mocker.patch.multiple(
EXMS, get_tickers=tickers, markets=PropertyMock(return_value=shitcoinmarkets)
)
mocker.patch.multiple(
EXMS,
refresh_latest_ohlcv=MagicMock(return_value=ohlcv_data),
)
# Provide for PerformanceFilter's dependency
mocker.patch.multiple(
"freqtrade.persistence.Trade", get_overall_performance=MagicMock(return_value=[])
)
# Set whitelist_result to None if pairlist is invalid and should produce exception
if whitelist_result == "filter_at_the_beginning":
with pytest.raises(
OperationalException,
match=r"This Pairlist Handler should not be used at the first position "
r"in the list of Pairlist Handlers.",
):
freqtrade.pairlists.refresh_pairlist()
else:
freqtrade.pairlists.refresh_pairlist()
whitelist = freqtrade.pairlists.whitelist
assert isinstance(whitelist, list)
# Verify length of pairlist matches (used for ShuffleFilter without seed)
if isinstance(whitelist_result, list):
assert whitelist == whitelist_result
else:
assert len(whitelist) == whitelist_result
for pairlist in pairlists:
if (
pairlist["method"] == "AgeFilter"
and pairlist["min_days_listed"]
and len(ohlcv_history) < pairlist["min_days_listed"]
):
assert log_has_re(
r"^Removed .* from whitelist, because age .* is less than " r".* day.*", caplog
)
if (
pairlist["method"] == "AgeFilter"
and pairlist["max_days_listed"]
and len(ohlcv_history) > pairlist["max_days_listed"]
):
assert log_has_re(
r"^Removed .* from whitelist, because age .* is less than "
r".* day.* or more than .* day",
caplog,
)
if pairlist["method"] == "PrecisionFilter" and whitelist_result:
assert log_has_re(
r"^Removed .* from whitelist, because stop price .* "
r"would be <= stop limit.*",
caplog,
)
if pairlist["method"] == "PriceFilter" and whitelist_result:
assert (
log_has_re(r"^Removed .* from whitelist, because 1 unit is .*%$", caplog)
or log_has_re(
r"^Removed .* from whitelist, " r"because last price < .*%$", caplog
)
or log_has_re(
r"^Removed .* from whitelist, " r"because last price > .*%$", caplog
)
or log_has_re(
r"^Removed .* from whitelist, " r"because min value change of .*", caplog
)
or log_has_re(
r"^Removed .* from whitelist, because ticker\['last'\] " r"is empty.*",
caplog,
)
)
if pairlist["method"] == "VolumePairList":
logmsg = (
"DEPRECATED: using any key other than quoteVolume for "
"VolumePairList is deprecated."
)
if pairlist["sort_key"] != "quoteVolume":
assert log_has(logmsg, caplog)
else:
assert not log_has(logmsg, caplog)
if pairlist["method"] == "VolatilityFilter":
assert log_has_re(r"^Removed .* from whitelist, because volatility.*$", caplog)
@pytest.mark.parametrize(
"pairlists,base_currency,exchange,volumefilter_result",
[
# default refresh of 1800 to small for daily candle lookback
(
[
{
"method": "VolumePairList",
"number_assets": 5,
"sort_key": "quoteVolume",
"lookback_days": 1,
}
],
"BTC",
"binance",
"default_refresh_too_short",
), # OperationalException expected
# ambiguous configuration with lookback days and period
(
[
{
"method": "VolumePairList",
"number_assets": 5,
"sort_key": "quoteVolume",
"lookback_days": 1,
"lookback_period": 1,
}
],
"BTC",
"binance",
"lookback_days_and_period",
), # OperationalException expected
# negative lookback period
(
[
{
"method": "VolumePairList",
"number_assets": 5,
"sort_key": "quoteVolume",
"lookback_timeframe": "1d",
"lookback_period": -1,
}
],
"BTC",
"binance",
"lookback_period_negative",
), # OperationalException expected
# lookback range exceedes exchange limit
(
[
{
"method": "VolumePairList",
"number_assets": 5,
"sort_key": "quoteVolume",
"lookback_timeframe": "1m",
"lookback_period": 2000,
"refresh_period": 3600,
}
],
"BTC",
"binance",
"lookback_exceeds_exchange_request_size",
), # OperationalException expected
# expecting pairs as given
(
[
{
"method": "VolumePairList",
"number_assets": 5,
"sort_key": "quoteVolume",
"lookback_timeframe": "1d",
"lookback_period": 1,
"refresh_period": 86400,
}
],
"BTC",
"binance",
["LTC/BTC", "ETH/BTC", "TKN/BTC", "XRP/BTC", "HOT/BTC"],
),
# expecting pairs as input, because 1h candles are not available
(
[
{
"method": "VolumePairList",
"number_assets": 5,
"sort_key": "quoteVolume",
"lookback_timeframe": "1h",
"lookback_period": 2,
"refresh_period": 3600,
}
],
"BTC",
"binance",
["ETH/BTC", "LTC/BTC", "NEO/BTC", "TKN/BTC", "XRP/BTC"],
),
# TKN/BTC is removed because it doesn't have enough candles
(
[
{
"method": "VolumePairList",
"number_assets": 5,
"sort_key": "quoteVolume",
"lookback_timeframe": "1d",
"lookback_period": 6,
"refresh_period": 86400,
}
],
"BTC",
"binance",
["LTC/BTC", "XRP/BTC", "ETH/BTC", "HOT/BTC", "NEO/BTC"],
),
# VolumePairlist in range mode as filter.
# TKN/BTC is removed because it doesn't have enough candles
(
[
{"method": "VolumePairList", "number_assets": 5},
{
"method": "VolumePairList",
"number_assets": 5,
"sort_key": "quoteVolume",
"lookback_timeframe": "1d",
"lookback_period": 2,
"refresh_period": 86400,
},
],
"BTC",
"binance",
["LTC/BTC", "XRP/BTC", "ETH/BTC", "TKN/BTC", "HOT/BTC"],
),
# ftx data is already in Quote currency, therefore won't require conversion
# ([{"method": "VolumePairList", "number_assets": 5, "sort_key": "quoteVolume",
# "lookback_timeframe": "1d", "lookback_period": 1, "refresh_period": 86400}],
# "BTC", "ftx", ['HOT/BTC', 'LTC/BTC', 'ETH/BTC', 'TKN/BTC', 'XRP/BTC']),
],
)
def test_VolumePairList_range(
mocker,
whitelist_conf,
shitcoinmarkets,
tickers,
ohlcv_history,
pairlists,
base_currency,
exchange,
volumefilter_result,
time_machine,
) -> None:
whitelist_conf["pairlists"] = pairlists
whitelist_conf["stake_currency"] = base_currency
whitelist_conf["exchange"]["name"] = exchange
# Ensure we have 6 candles
ohlcv_history_long = pd.concat([ohlcv_history, ohlcv_history])
ohlcv_history_high_vola = ohlcv_history_long.copy()
ohlcv_history_high_vola.loc[ohlcv_history_high_vola.index == 1, "close"] = 0.00090
# create candles for medium overall volume with last candle high volume
ohlcv_history_medium_volume = ohlcv_history_long.copy()
ohlcv_history_medium_volume.loc[ohlcv_history_medium_volume.index == 2, "volume"] = 5
# create candles for high volume with all candles high volume, but very low price.
ohlcv_history_high_volume = ohlcv_history_long.copy()
ohlcv_history_high_volume["volume"] = 10
ohlcv_history_high_volume["low"] = ohlcv_history_high_volume.loc[:, "low"] * 0.01
ohlcv_history_high_volume["high"] = ohlcv_history_high_volume.loc[:, "high"] * 0.01
ohlcv_history_high_volume["close"] = ohlcv_history_high_volume.loc[:, "close"] * 0.01
ohlcv_data = {
("ETH/BTC", "1d", CandleType.SPOT): ohlcv_history_long,
("TKN/BTC", "1d", CandleType.SPOT): ohlcv_history,
("LTC/BTC", "1d", CandleType.SPOT): ohlcv_history_medium_volume,
("XRP/BTC", "1d", CandleType.SPOT): ohlcv_history_high_vola,
("HOT/BTC", "1d", CandleType.SPOT): ohlcv_history_high_volume,
}
mocker.patch(f"{EXMS}.exchange_has", MagicMock(return_value=True))
if volumefilter_result == "default_refresh_too_short":
with pytest.raises(
OperationalException,
match=r"Refresh period of [0-9]+ seconds is smaller than one timeframe "
r"of [0-9]+.*\. Please adjust refresh_period to at least [0-9]+ "
r"and restart the bot\.",
):
freqtrade = get_patched_freqtradebot(mocker, whitelist_conf)
return
elif volumefilter_result == "lookback_days_and_period":
with pytest.raises(
OperationalException,
match=r"Ambiguous configuration: lookback_days and lookback_period both "
r"set in pairlist config\..*",
):
freqtrade = get_patched_freqtradebot(mocker, whitelist_conf)
elif volumefilter_result == "lookback_period_negative":
with pytest.raises(
OperationalException, match=r"VolumeFilter requires lookback_period to be >= 0"
):
freqtrade = get_patched_freqtradebot(mocker, whitelist_conf)
elif volumefilter_result == "lookback_exceeds_exchange_request_size":
with pytest.raises(
OperationalException,
match=r"VolumeFilter requires lookback_period to not exceed "
r"exchange max request size \([0-9]+\)",
):
freqtrade = get_patched_freqtradebot(mocker, whitelist_conf)
else:
freqtrade = get_patched_freqtradebot(mocker, whitelist_conf)
mocker.patch.multiple(
EXMS, get_tickers=tickers, markets=PropertyMock(return_value=shitcoinmarkets)
)
start_dt = dt_now()
time_machine.move_to(start_dt)
# remove ohlcv when looback_timeframe != 1d
# to enforce fallback to ticker data
if "lookback_timeframe" in pairlists[0]:
if pairlists[0]["lookback_timeframe"] != "1d":
ohlcv_data = {}
ohclv_mock = mocker.patch(f"{EXMS}.refresh_latest_ohlcv", return_value=ohlcv_data)
freqtrade.pairlists.refresh_pairlist()
whitelist = freqtrade.pairlists.whitelist
assert ohclv_mock.call_count == 1
assert isinstance(whitelist, list)
assert whitelist == volumefilter_result
# Test caching
ohclv_mock.reset_mock()
freqtrade.pairlists.refresh_pairlist()
# in "filter" mode, caching is disabled.
assert ohclv_mock.call_count == 0
whitelist = freqtrade.pairlists.whitelist
assert whitelist == volumefilter_result
time_machine.move_to(start_dt + timedelta(days=2))
ohclv_mock.reset_mock()
freqtrade.pairlists.refresh_pairlist()
assert ohclv_mock.call_count == 1
whitelist = freqtrade.pairlists.whitelist
assert whitelist == volumefilter_result
def test_PrecisionFilter_error(mocker, whitelist_conf) -> None:
whitelist_conf["pairlists"] = [{"method": "StaticPairList"}, {"method": "PrecisionFilter"}]
del whitelist_conf["stoploss"]
mocker.patch(f"{EXMS}.exchange_has", MagicMock(return_value=True))
with pytest.raises(
OperationalException, match=r"PrecisionFilter can only work with stoploss defined\..*"
):
PairListManager(MagicMock, whitelist_conf, MagicMock())
def test_PerformanceFilter_error(mocker, whitelist_conf, caplog) -> None:
whitelist_conf["pairlists"] = [{"method": "StaticPairList"}, {"method": "PerformanceFilter"}]
if hasattr(Trade, "session"):
del Trade.session
mocker.patch(f"{EXMS}.exchange_has", MagicMock(return_value=True))
exchange = get_patched_exchange(mocker, whitelist_conf)
pm = PairListManager(exchange, whitelist_conf, MagicMock())
pm.refresh_pairlist()
assert log_has("PerformanceFilter is not available in this mode.", caplog)
def test_VolatilityFilter_error(mocker, whitelist_conf) -> None:
volatility_filter = {"method": "VolatilityFilter", "lookback_days": -1}
whitelist_conf["pairlists"] = [{"method": "StaticPairList"}, volatility_filter]
mocker.patch(f"{EXMS}.exchange_has", MagicMock(return_value=True))
exchange_mock = MagicMock()
exchange_mock.ohlcv_candle_limit = MagicMock(return_value=1000)
with pytest.raises(
OperationalException, match=r"VolatilityFilter requires lookback_days to be >= 1*"
):
PairListManager(exchange_mock, whitelist_conf, MagicMock())
volatility_filter = {"method": "VolatilityFilter", "lookback_days": 2000}
whitelist_conf["pairlists"] = [{"method": "StaticPairList"}, volatility_filter]
with pytest.raises(
OperationalException,
match=r"VolatilityFilter requires lookback_days to not exceed exchange max",
):
PairListManager(exchange_mock, whitelist_conf, MagicMock())
volatility_filter = {"method": "VolatilityFilter", "sort_direction": "Random"}
whitelist_conf["pairlists"] = [{"method": "StaticPairList"}, volatility_filter]
with pytest.raises(
OperationalException,
match=r"VolatilityFilter requires sort_direction to be either " r"None .*'asc'.*'desc'",
):
PairListManager(exchange_mock, whitelist_conf, MagicMock())
@pytest.mark.parametrize(
"pairlist,expected_pairlist",
[
(
{"method": "VolatilityFilter", "sort_direction": "asc"},
["XRP/BTC", "ETH/BTC", "LTC/BTC", "TKN/BTC"],
),
(
{"method": "VolatilityFilter", "sort_direction": "desc"},
["TKN/BTC", "LTC/BTC", "ETH/BTC", "XRP/BTC"],
),
(
{"method": "VolatilityFilter", "sort_direction": "desc", "min_volatility": 0.4},
["TKN/BTC", "LTC/BTC", "ETH/BTC"],
),
(
{"method": "VolatilityFilter", "sort_direction": "asc", "min_volatility": 0.4},
["ETH/BTC", "LTC/BTC", "TKN/BTC"],
),
(
{"method": "VolatilityFilter", "sort_direction": "desc", "max_volatility": 0.5},
["LTC/BTC", "ETH/BTC", "XRP/BTC"],
),
(
{"method": "VolatilityFilter", "sort_direction": "asc", "max_volatility": 0.5},
["XRP/BTC", "ETH/BTC", "LTC/BTC"],
),
(
{"method": "RangeStabilityFilter", "sort_direction": "asc"},
["ETH/BTC", "XRP/BTC", "LTC/BTC", "TKN/BTC"],
),
(
{"method": "RangeStabilityFilter", "sort_direction": "desc"},
["TKN/BTC", "LTC/BTC", "XRP/BTC", "ETH/BTC"],
),
(
{"method": "RangeStabilityFilter", "sort_direction": "asc", "min_rate_of_change": 0.4},
["XRP/BTC", "LTC/BTC", "TKN/BTC"],
),
(
{"method": "RangeStabilityFilter", "sort_direction": "desc", "min_rate_of_change": 0.4},
["TKN/BTC", "LTC/BTC", "XRP/BTC"],
),
],
)
def test_VolatilityFilter_RangeStabilityFilter_sort(
mocker, whitelist_conf, tickers, time_machine, pairlist, expected_pairlist
) -> None:
whitelist_conf["pairlists"] = [{"method": "VolumePairList", "number_assets": 10}, pairlist]
df1 = generate_test_data("1d", 10, "2022-01-05 00:00:00+00:00", random_seed=42)
df2 = generate_test_data("1d", 10, "2022-01-05 00:00:00+00:00", random_seed=2)
df3 = generate_test_data("1d", 10, "2022-01-05 00:00:00+00:00", random_seed=3)
df4 = generate_test_data("1d", 10, "2022-01-05 00:00:00+00:00", random_seed=4)
df5 = generate_test_data("1d", 10, "2022-01-05 00:00:00+00:00", random_seed=5)
df6 = generate_test_data("1d", 10, "2022-01-05 00:00:00+00:00", random_seed=6)
assert not df1.equals(df2)
time_machine.move_to("2022-01-15 00:00:00+00:00")
ohlcv_data = {
("ETH/BTC", "1d", CandleType.SPOT): df1,
("TKN/BTC", "1d", CandleType.SPOT): df2,
("LTC/BTC", "1d", CandleType.SPOT): df3,
("XRP/BTC", "1d", CandleType.SPOT): df4,
("HOT/BTC", "1d", CandleType.SPOT): df5,
("BLK/BTC", "1d", CandleType.SPOT): df6,
}
ohlcv_mock = MagicMock(return_value=ohlcv_data)
mocker.patch.multiple(
EXMS,
exchange_has=MagicMock(return_value=True),
refresh_latest_ohlcv=ohlcv_mock,
get_tickers=tickers,
)
exchange = get_patched_exchange(mocker, whitelist_conf)
exchange.ohlcv_candle_limit = MagicMock(return_value=1000)
plm = PairListManager(exchange, whitelist_conf, MagicMock())
assert exchange.ohlcv_candle_limit.call_count == 2
plm.refresh_pairlist()
assert ohlcv_mock.call_count == 1
assert exchange.ohlcv_candle_limit.call_count == 2
assert plm.whitelist == expected_pairlist
plm.refresh_pairlist()
assert exchange.ohlcv_candle_limit.call_count == 2
assert ohlcv_mock.call_count == 1
def test_ShuffleFilter_init(mocker, whitelist_conf, caplog) -> None:
whitelist_conf["pairlists"] = [
{"method": "StaticPairList"},
{"method": "ShuffleFilter", "seed": 43},
]
whitelist_conf["runmode"] = "backtest"
exchange = get_patched_exchange(mocker, whitelist_conf)
plm = PairListManager(exchange, whitelist_conf)
assert log_has("Backtesting mode detected, applying seed value: 43", caplog)
with time_machine.travel("2021-09-01 05:01:00 +00:00") as t:
plm.refresh_pairlist()
pl1 = deepcopy(plm.whitelist)
plm.refresh_pairlist()
assert plm.whitelist == pl1
t.shift(timedelta(minutes=10))
plm.refresh_pairlist()
assert plm.whitelist != pl1
caplog.clear()
whitelist_conf["runmode"] = RunMode.DRY_RUN
plm = PairListManager(exchange, whitelist_conf)
assert not log_has("Backtesting mode detected, applying seed value: 42", caplog)
assert log_has("Live mode detected, not applying seed.", caplog)
@pytest.mark.usefixtures("init_persistence")
def test_PerformanceFilter_lookback(mocker, default_conf_usdt, fee, caplog) -> None:
default_conf_usdt["exchange"]["pair_whitelist"].extend(["ADA/USDT", "XRP/USDT", "ETC/USDT"])
default_conf_usdt["pairlists"] = [
{"method": "StaticPairList"},
{"method": "PerformanceFilter", "minutes": 60, "min_profit": 0.01},
]
mocker.patch(f"{EXMS}.exchange_has", MagicMock(return_value=True))
exchange = get_patched_exchange(mocker, default_conf_usdt)
pm = PairListManager(exchange, default_conf_usdt)
pm.refresh_pairlist()
assert pm.whitelist == ["ETH/USDT", "XRP/USDT", "NEO/USDT", "TKN/USDT"]
with time_machine.travel("2021-09-01 05:00:00 +00:00") as t:
create_mock_trades_usdt(fee)
pm.refresh_pairlist()
assert pm.whitelist == ["XRP/USDT", "NEO/USDT"]
assert log_has_re(r"Removing pair .* since .* is below .*", caplog)
# Move to "outside" of lookback window, so original sorting is restored.
t.move_to("2021-09-01 07:00:00 +00:00")
pm.refresh_pairlist()
assert pm.whitelist == ["ETH/USDT", "XRP/USDT", "NEO/USDT", "TKN/USDT"]
@pytest.mark.usefixtures("init_persistence")
def test_PerformanceFilter_keep_mid_order(mocker, default_conf_usdt, fee, caplog) -> None:
default_conf_usdt["exchange"]["pair_whitelist"].extend(["ADA/USDT", "ETC/USDT"])
default_conf_usdt["pairlists"] = [
{"method": "StaticPairList", "allow_inactive": True},
{
"method": "PerformanceFilter",
"minutes": 60,
},
]
mocker.patch(f"{EXMS}.exchange_has", return_value=True)
exchange = get_patched_exchange(mocker, default_conf_usdt)
pm = PairListManager(exchange, default_conf_usdt)
pm.refresh_pairlist()
assert pm.whitelist == [
"ETH/USDT",
"LTC/USDT",
"XRP/USDT",
"NEO/USDT",
"TKN/USDT",
"ADA/USDT",
"ETC/USDT",
]
with time_machine.travel("2021-09-01 05:00:00 +00:00") as t:
create_mock_trades_usdt(fee)
pm.refresh_pairlist()
assert pm.whitelist == [
"XRP/USDT",
"NEO/USDT",
"ETH/USDT",
"LTC/USDT",
"TKN/USDT",
"ADA/USDT",
"ETC/USDT",
]
# assert log_has_re(r'Removing pair .* since .* is below .*', caplog)
# Move to "outside" of lookback window, so original sorting is restored.
t.move_to("2021-09-01 07:00:00 +00:00")
pm.refresh_pairlist()
assert pm.whitelist == [
"ETH/USDT",
"LTC/USDT",
"XRP/USDT",
"NEO/USDT",
"TKN/USDT",
"ADA/USDT",
"ETC/USDT",
]
def test_gen_pair_whitelist_not_supported(mocker, default_conf, tickers) -> None:
default_conf["pairlists"] = [{"method": "VolumePairList", "number_assets": 10}]
mocker.patch.multiple(
EXMS,
get_tickers=tickers,
exchange_has=MagicMock(return_value=False),
)
with pytest.raises(
OperationalException, match=r"Exchange does not support dynamic whitelist.*"
):
get_patched_freqtradebot(mocker, default_conf)
def test_pair_whitelist_not_supported_Spread(mocker, default_conf, tickers) -> None:
default_conf["pairlists"] = [{"method": "StaticPairList"}, {"method": "SpreadFilter"}]
mocker.patch.multiple(
EXMS,
get_tickers=tickers,
exchange_has=MagicMock(return_value=False),
)
with pytest.raises(OperationalException, match=r"Exchange does not support fetchTickers, .*"):
get_patched_freqtradebot(mocker, default_conf)
mocker.patch(f"{EXMS}.exchange_has", MagicMock(return_value=True))
mocker.patch(f"{EXMS}.get_option", MagicMock(return_value=False))
with pytest.raises(OperationalException, match=r".*requires exchange to have bid/ask data"):
get_patched_freqtradebot(mocker, default_conf)
@pytest.mark.parametrize("pairlist", TESTABLE_PAIRLISTS)
def test_pairlist_class(mocker, whitelist_conf, markets, pairlist):
whitelist_conf["pairlists"][0]["method"] = pairlist
mocker.patch.multiple(
EXMS, markets=PropertyMock(return_value=markets), exchange_has=MagicMock(return_value=True)
)
freqtrade = get_patched_freqtradebot(mocker, whitelist_conf)
assert freqtrade.pairlists.name_list == [pairlist]
assert pairlist in str(freqtrade.pairlists.short_desc())
assert isinstance(freqtrade.pairlists.whitelist, list)
assert isinstance(freqtrade.pairlists.blacklist, list)
@pytest.mark.parametrize("pairlist", TESTABLE_PAIRLISTS)
@pytest.mark.parametrize(
"whitelist,log_message",
[
(["ETH/BTC", "TKN/BTC"], ""),
# TRX/ETH not in markets
(["ETH/BTC", "TKN/BTC", "TRX/ETH"], "is not compatible with exchange"),
# wrong stake
(["ETH/BTC", "TKN/BTC", "ETH/USDT"], "is not compatible with your stake currency"),
# BCH/BTC not available
(["ETH/BTC", "TKN/BTC", "BCH/BTC"], "is not compatible with exchange"),
# BTT/BTC is inactive
(["ETH/BTC", "TKN/BTC", "BTT/BTC"], "Market is not active"),
# XLTCUSDT is not a valid pair
(["ETH/BTC", "TKN/BTC", "XLTCUSDT"], "is not tradable with Freqtrade"),
],
)
def test__whitelist_for_active_markets(
mocker, whitelist_conf, markets, pairlist, whitelist, caplog, log_message, tickers
):
whitelist_conf["pairlists"][0]["method"] = pairlist
mocker.patch.multiple(
EXMS,
markets=PropertyMock(return_value=markets),
exchange_has=MagicMock(return_value=True),
get_tickers=tickers,
)
freqtrade = get_patched_freqtradebot(mocker, whitelist_conf)
caplog.clear()
# Assign starting whitelist
pairlist_handler = freqtrade.pairlists._pairlist_handlers[0]
new_whitelist = pairlist_handler._whitelist_for_active_markets(whitelist)
assert set(new_whitelist) == set(["ETH/BTC", "TKN/BTC"])
assert log_message in caplog.text
@pytest.mark.parametrize("pairlist", TESTABLE_PAIRLISTS)
def test__whitelist_for_active_markets_empty(mocker, whitelist_conf, pairlist, tickers):
whitelist_conf["pairlists"][0]["method"] = pairlist
mocker.patch(f"{EXMS}.exchange_has", return_value=True)
freqtrade = get_patched_freqtradebot(mocker, whitelist_conf)
mocker.patch.multiple(EXMS, markets=PropertyMock(return_value=None), get_tickers=tickers)
# Assign starting whitelist
pairlist_handler = freqtrade.pairlists._pairlist_handlers[0]
with pytest.raises(OperationalException, match=r"Markets not loaded.*"):
pairlist_handler._whitelist_for_active_markets(["ETH/BTC"])
def test_volumepairlist_invalid_sortvalue(mocker, whitelist_conf):
whitelist_conf["pairlists"][0].update({"sort_key": "asdf"})
mocker.patch(f"{EXMS}.exchange_has", MagicMock(return_value=True))
with pytest.raises(OperationalException, match=r"key asdf not in .*"):
get_patched_freqtradebot(mocker, whitelist_conf)
def test_volumepairlist_caching(mocker, markets, whitelist_conf, tickers):
mocker.patch.multiple(
EXMS,
markets=PropertyMock(return_value=markets),
exchange_has=MagicMock(return_value=True),
get_tickers=tickers,
)
freqtrade = get_patched_freqtradebot(mocker, whitelist_conf)
assert len(freqtrade.pairlists._pairlist_handlers[0]._pair_cache) == 0
assert tickers.call_count == 0
freqtrade.pairlists.refresh_pairlist()
assert tickers.call_count == 1
assert len(freqtrade.pairlists._pairlist_handlers[0]._pair_cache) == 1
freqtrade.pairlists.refresh_pairlist()
assert tickers.call_count == 1
def test_agefilter_min_days_listed_too_small(mocker, default_conf, markets, tickers):
default_conf["pairlists"] = [
{"method": "VolumePairList", "number_assets": 10},
{"method": "AgeFilter", "min_days_listed": -1},
]
mocker.patch.multiple(
EXMS,
markets=PropertyMock(return_value=markets),
exchange_has=MagicMock(return_value=True),
get_tickers=tickers,
)
with pytest.raises(
OperationalException, match=r"AgeFilter requires min_days_listed to be >= 1"
):
get_patched_freqtradebot(mocker, default_conf)
def test_agefilter_max_days_lower_than_min_days(mocker, default_conf, markets, tickers):
default_conf["pairlists"] = [
{"method": "VolumePairList", "number_assets": 10},
{"method": "AgeFilter", "min_days_listed": 3, "max_days_listed": 2},
]
mocker.patch.multiple(
EXMS,
markets=PropertyMock(return_value=markets),
exchange_has=MagicMock(return_value=True),
get_tickers=tickers,
)
with pytest.raises(
OperationalException, match=r"AgeFilter max_days_listed <= min_days_listed not permitted"
):
get_patched_freqtradebot(mocker, default_conf)
def test_agefilter_min_days_listed_too_large(mocker, default_conf, markets, tickers):
default_conf["pairlists"] = [
{"method": "VolumePairList", "number_assets": 10},
{"method": "AgeFilter", "min_days_listed": 99999},
]
mocker.patch.multiple(
EXMS,
markets=PropertyMock(return_value=markets),
exchange_has=MagicMock(return_value=True),
get_tickers=tickers,
)
with pytest.raises(
OperationalException,
match=r"AgeFilter requires min_days_listed to not exceed "
r"exchange max request size \([0-9]+\)",
):
get_patched_freqtradebot(mocker, default_conf)
def test_agefilter_caching(mocker, markets, whitelist_conf_agefilter, tickers, ohlcv_history):
with time_machine.travel("2021-09-01 05:00:00 +00:00") as t:
ohlcv_data = {
("ETH/BTC", "1d", CandleType.SPOT): ohlcv_history,
("TKN/BTC", "1d", CandleType.SPOT): ohlcv_history,
("LTC/BTC", "1d", CandleType.SPOT): ohlcv_history,
}
mocker.patch.multiple(
EXMS,
markets=PropertyMock(return_value=markets),
exchange_has=MagicMock(return_value=True),
get_tickers=tickers,
refresh_latest_ohlcv=MagicMock(return_value=ohlcv_data),
)
freqtrade = get_patched_freqtradebot(mocker, whitelist_conf_agefilter)
assert freqtrade.exchange.refresh_latest_ohlcv.call_count == 0
freqtrade.pairlists.refresh_pairlist()
assert len(freqtrade.pairlists.whitelist) == 3
assert freqtrade.exchange.refresh_latest_ohlcv.call_count > 0
freqtrade.pairlists.refresh_pairlist()
assert len(freqtrade.pairlists.whitelist) == 3
# Call to XRP/BTC cached
assert freqtrade.exchange.refresh_latest_ohlcv.call_count == 2
ohlcv_data = {
("ETH/BTC", "1d", CandleType.SPOT): ohlcv_history,
("TKN/BTC", "1d", CandleType.SPOT): ohlcv_history,
("LTC/BTC", "1d", CandleType.SPOT): ohlcv_history,
("XRP/BTC", "1d", CandleType.SPOT): ohlcv_history.iloc[[0]],
}
mocker.patch(f"{EXMS}.refresh_latest_ohlcv", return_value=ohlcv_data)
freqtrade.pairlists.refresh_pairlist()
assert len(freqtrade.pairlists.whitelist) == 3
assert freqtrade.exchange.refresh_latest_ohlcv.call_count == 1
# Move to next day
t.move_to("2021-09-02 01:00:00 +00:00")
mocker.patch(f"{EXMS}.refresh_latest_ohlcv", return_value=ohlcv_data)
freqtrade.pairlists.refresh_pairlist()
assert len(freqtrade.pairlists.whitelist) == 3
assert freqtrade.exchange.refresh_latest_ohlcv.call_count == 1
# Move another day with fresh mocks (now the pair is old enough)
t.move_to("2021-09-03 01:00:00 +00:00")
# Called once for XRP/BTC
ohlcv_data = {
("ETH/BTC", "1d", CandleType.SPOT): ohlcv_history,
("TKN/BTC", "1d", CandleType.SPOT): ohlcv_history,
("LTC/BTC", "1d", CandleType.SPOT): ohlcv_history,
("XRP/BTC", "1d", CandleType.SPOT): ohlcv_history,
}
mocker.patch(f"{EXMS}.refresh_latest_ohlcv", return_value=ohlcv_data)
freqtrade.pairlists.refresh_pairlist()
assert len(freqtrade.pairlists.whitelist) == 4
# Called once (only for XRP/BTC)
assert freqtrade.exchange.refresh_latest_ohlcv.call_count == 1
def test_OffsetFilter_error(mocker, whitelist_conf) -> None:
whitelist_conf["pairlists"] = [
{"method": "StaticPairList"},
{"method": "OffsetFilter", "offset": -1},
]
mocker.patch(f"{EXMS}.exchange_has", MagicMock(return_value=True))
with pytest.raises(OperationalException, match=r"OffsetFilter requires offset to be >= 0"):
PairListManager(MagicMock, whitelist_conf)
def test_rangestabilityfilter_checks(mocker, default_conf, markets, tickers):
default_conf["pairlists"] = [
{"method": "VolumePairList", "number_assets": 10},
{"method": "RangeStabilityFilter", "lookback_days": 99999},
]
mocker.patch.multiple(
EXMS,
markets=PropertyMock(return_value=markets),
exchange_has=MagicMock(return_value=True),
get_tickers=tickers,
)
with pytest.raises(
OperationalException,
match=r"RangeStabilityFilter requires lookback_days to not exceed "
r"exchange max request size \([0-9]+\)",
):
get_patched_freqtradebot(mocker, default_conf)
default_conf["pairlists"] = [
{"method": "VolumePairList", "number_assets": 10},
{"method": "RangeStabilityFilter", "lookback_days": 0},
]
with pytest.raises(
OperationalException, match="RangeStabilityFilter requires lookback_days to be >= 1"
):
get_patched_freqtradebot(mocker, default_conf)
default_conf["pairlists"] = [
{"method": "VolumePairList", "number_assets": 10},
{"method": "RangeStabilityFilter", "sort_direction": "something"},
]
with pytest.raises(
OperationalException,
match="RangeStabilityFilter requires sort_direction to be either None.*",
):
get_patched_freqtradebot(mocker, default_conf)
@pytest.mark.parametrize(
"min_rate_of_change,max_rate_of_change,expected_length",
[
(0.01, 0.99, 5),
(0.05, 0.0, 0), # Setting min rate_of_change to 5% removes all pairs from the whitelist.
],
)
def test_rangestabilityfilter_caching(
mocker,
markets,
default_conf,
tickers,
ohlcv_history,
min_rate_of_change,
max_rate_of_change,
expected_length,
):
default_conf["pairlists"] = [
{"method": "VolumePairList", "number_assets": 10},
{
"method": "RangeStabilityFilter",
"lookback_days": 2,
"min_rate_of_change": min_rate_of_change,
"max_rate_of_change": max_rate_of_change,
},
]
mocker.patch.multiple(
EXMS,
markets=PropertyMock(return_value=markets),
exchange_has=MagicMock(return_value=True),
get_tickers=tickers,
)
ohlcv_data = {
("ETH/BTC", "1d", CandleType.SPOT): ohlcv_history,
("TKN/BTC", "1d", CandleType.SPOT): ohlcv_history,
("LTC/BTC", "1d", CandleType.SPOT): ohlcv_history,
("XRP/BTC", "1d", CandleType.SPOT): ohlcv_history,
("HOT/BTC", "1d", CandleType.SPOT): ohlcv_history,
("BLK/BTC", "1d", CandleType.SPOT): ohlcv_history,
}
mocker.patch.multiple(
EXMS,
refresh_latest_ohlcv=MagicMock(return_value=ohlcv_data),
)
freqtrade = get_patched_freqtradebot(mocker, default_conf)
assert freqtrade.exchange.refresh_latest_ohlcv.call_count == 0
freqtrade.pairlists.refresh_pairlist()
assert len(freqtrade.pairlists.whitelist) == expected_length
assert freqtrade.exchange.refresh_latest_ohlcv.call_count > 0
previous_call_count = freqtrade.exchange.refresh_latest_ohlcv.call_count
freqtrade.pairlists.refresh_pairlist()
assert len(freqtrade.pairlists.whitelist) == expected_length
# Should not have increased since first call.
assert freqtrade.exchange.refresh_latest_ohlcv.call_count == previous_call_count
def test_spreadfilter_invalid_data(mocker, default_conf, markets, tickers, caplog):
default_conf["pairlists"] = [
{"method": "VolumePairList", "number_assets": 10},
{"method": "SpreadFilter", "max_spread_ratio": 0.1},
]
mocker.patch.multiple(
EXMS,
markets=PropertyMock(return_value=markets),
exchange_has=MagicMock(return_value=True),
get_tickers=tickers,
)
ftbot = get_patched_freqtradebot(mocker, default_conf)
ftbot.pairlists.refresh_pairlist()
assert len(ftbot.pairlists.whitelist) == 5
tickers.return_value["ETH/BTC"]["ask"] = 0.0
del tickers.return_value["TKN/BTC"]
del tickers.return_value["LTC/BTC"]
mocker.patch.multiple(EXMS, get_tickers=tickers)
ftbot.pairlists.refresh_pairlist()
assert log_has_re(r"Removed .* invalid ticker data.*", caplog)
assert len(ftbot.pairlists.whitelist) == 2
@pytest.mark.parametrize(
"pairlistconfig,desc_expected,exception_expected",
[
(
{
"method": "PriceFilter",
"low_price_ratio": 0.001,
"min_price": 0.00000010,
"max_price": 1.0,
},
"[{'PriceFilter': 'PriceFilter - Filtering pairs priced below "
"0.1% or below 0.00000010 or above 1.00000000.'}]",
None,
),
(
{"method": "PriceFilter", "low_price_ratio": 0.001, "min_price": 0.00000010},
"[{'PriceFilter': 'PriceFilter - Filtering pairs priced below 0.1% "
"or below 0.00000010.'}]",
None,
),
(
{"method": "PriceFilter", "low_price_ratio": 0.001, "max_price": 1.00010000},
"[{'PriceFilter': 'PriceFilter - Filtering pairs priced below 0.1% "
"or above 1.00010000.'}]",
None,
),
(
{"method": "PriceFilter", "min_price": 0.00002000},
"[{'PriceFilter': 'PriceFilter - Filtering pairs priced below 0.00002000.'}]",
None,
),
(
{"method": "PriceFilter", "max_value": 0.00002000},
"[{'PriceFilter': 'PriceFilter - Filtering pairs priced Value above 0.00002000.'}]",
None,
),
(
{"method": "PriceFilter"},
"[{'PriceFilter': 'PriceFilter - No price filters configured.'}]",
None,
),
(
{"method": "PriceFilter", "low_price_ratio": -0.001},
None,
"PriceFilter requires low_price_ratio to be >= 0",
), # OperationalException expected
(
{"method": "PriceFilter", "min_price": -0.00000010},
None,
"PriceFilter requires min_price to be >= 0",
), # OperationalException expected
(
{"method": "PriceFilter", "max_price": -1.00010000},
None,
"PriceFilter requires max_price to be >= 0",
), # OperationalException expected
(
{"method": "PriceFilter", "max_value": -1.00010000},
None,
"PriceFilter requires max_value to be >= 0",
), # OperationalException expected
(
{"method": "RangeStabilityFilter", "lookback_days": 10, "min_rate_of_change": 0.01},
"[{'RangeStabilityFilter': 'RangeStabilityFilter - Filtering pairs with rate "
"of change below 0.01 over the last days.'}]",
None,
),
(
{
"method": "RangeStabilityFilter",
"lookback_days": 10,
"min_rate_of_change": 0.01,
"max_rate_of_change": 0.99,
},
"[{'RangeStabilityFilter': 'RangeStabilityFilter - Filtering pairs with rate "
"of change below 0.01 and above 0.99 over the last days.'}]",
None,
),
(
{"method": "OffsetFilter", "offset": 5, "number_assets": 10},
"[{'OffsetFilter': 'OffsetFilter - Taking 10 Pairs, starting from 5.'}]",
None,
),
(
{"method": "ProducerPairList"},
"[{'ProducerPairList': 'ProducerPairList - default'}]",
None,
),
(
{
"method": "RemotePairList",
"number_assets": 10,
"pairlist_url": "https://example.com",
},
"[{'RemotePairList': 'RemotePairList - 10 pairs from RemotePairlist.'}]",
None,
),
],
)
def test_pricefilter_desc(
mocker, whitelist_conf, markets, pairlistconfig, desc_expected, exception_expected
):
mocker.patch.multiple(
EXMS, markets=PropertyMock(return_value=markets), exchange_has=MagicMock(return_value=True)
)
whitelist_conf["pairlists"] = [pairlistconfig]
if desc_expected is not None:
freqtrade = get_patched_freqtradebot(mocker, whitelist_conf)
short_desc = str(freqtrade.pairlists.short_desc())
assert short_desc == desc_expected
else: # OperationalException expected
with pytest.raises(OperationalException, match=exception_expected):
freqtrade = get_patched_freqtradebot(mocker, whitelist_conf)
def test_pairlistmanager_no_pairlist(mocker, whitelist_conf):
mocker.patch(f"{EXMS}.exchange_has", MagicMock(return_value=True))
whitelist_conf["pairlists"] = []
with pytest.raises(OperationalException, match=r"No Pairlist Handlers defined"):
get_patched_freqtradebot(mocker, whitelist_conf)
@pytest.mark.parametrize(
"pairlists,pair_allowlist,overall_performance,allowlist_result",
[
# No trades yet
(
[{"method": "StaticPairList"}, {"method": "PerformanceFilter"}],
["ETH/BTC", "TKN/BTC", "LTC/BTC"],
[],
["ETH/BTC", "TKN/BTC", "LTC/BTC"],
),
# Happy path: Descending order, all values filled
(
[{"method": "StaticPairList"}, {"method": "PerformanceFilter"}],
["ETH/BTC", "TKN/BTC"],
[
{"pair": "TKN/BTC", "profit_ratio": 0.05, "count": 3},
{"pair": "ETH/BTC", "profit_ratio": 0.04, "count": 2},
],
["TKN/BTC", "ETH/BTC"],
),
# Performance data outside allow list ignored
(
[{"method": "StaticPairList"}, {"method": "PerformanceFilter"}],
["ETH/BTC", "TKN/BTC"],
[
{"pair": "OTHER/BTC", "profit_ratio": 0.05, "count": 3},
{"pair": "ETH/BTC", "profit_ratio": 0.04, "count": 2},
],
["ETH/BTC", "TKN/BTC"],
),
# Partial performance data missing and sorted between positive and negative profit
(
[{"method": "StaticPairList"}, {"method": "PerformanceFilter"}],
["ETH/BTC", "TKN/BTC", "LTC/BTC"],
[
{"pair": "ETH/BTC", "profit_ratio": -0.05, "count": 100},
{"pair": "TKN/BTC", "profit_ratio": 0.04, "count": 2},
],
["TKN/BTC", "LTC/BTC", "ETH/BTC"],
),
# Tie in performance data broken by count (ascending)
(
[{"method": "StaticPairList"}, {"method": "PerformanceFilter"}],
["ETH/BTC", "TKN/BTC", "LTC/BTC"],
[
{"pair": "LTC/BTC", "profit_ratio": -0.0501, "count": 101},
{"pair": "TKN/BTC", "profit_ratio": -0.0501, "count": 2},
{"pair": "ETH/BTC", "profit_ratio": -0.0501, "count": 100},
],
["TKN/BTC", "ETH/BTC", "LTC/BTC"],
),
# Tie in performance and count, broken by prior sorting sort
(
[{"method": "StaticPairList"}, {"method": "PerformanceFilter"}],
["ETH/BTC", "TKN/BTC", "LTC/BTC"],
[
{"pair": "LTC/BTC", "profit_ratio": -0.0501, "count": 1},
{"pair": "TKN/BTC", "profit_ratio": -0.0501, "count": 1},
{"pair": "ETH/BTC", "profit_ratio": -0.0501, "count": 1},
],
["ETH/BTC", "TKN/BTC", "LTC/BTC"],
),
],
)
def test_performance_filter(
mocker,
whitelist_conf,
pairlists,
pair_allowlist,
overall_performance,
allowlist_result,
tickers,
markets,
ohlcv_history_list,
):
allowlist_conf = whitelist_conf
allowlist_conf["pairlists"] = pairlists
allowlist_conf["exchange"]["pair_whitelist"] = pair_allowlist
mocker.patch(f"{EXMS}.exchange_has", MagicMock(return_value=True))
freqtrade = get_patched_freqtradebot(mocker, allowlist_conf)
mocker.patch.multiple(EXMS, get_tickers=tickers, markets=PropertyMock(return_value=markets))
mocker.patch.multiple(
EXMS,
get_historic_ohlcv=MagicMock(return_value=ohlcv_history_list),
)
mocker.patch.multiple(
"freqtrade.persistence.Trade",
get_overall_performance=MagicMock(return_value=overall_performance),
)
freqtrade.pairlists.refresh_pairlist()
allowlist = freqtrade.pairlists.whitelist
assert allowlist == allowlist_result
@pytest.mark.parametrize(
"wildcardlist,pairs,expected",
[
(["BTC/USDT"], ["BTC/USDT"], ["BTC/USDT"]),
(["BTC/USDT", "ETH/USDT"], ["BTC/USDT", "ETH/USDT"], ["BTC/USDT", "ETH/USDT"]),
(["BTC/USDT", "ETH/USDT"], ["BTC/USDT"], ["BTC/USDT"]), # Test one too many
([".*/USDT"], ["BTC/USDT", "ETH/USDT"], ["BTC/USDT", "ETH/USDT"]), # Wildcard simple
(
[".*C/USDT"],
["BTC/USDT", "ETC/USDT", "ETH/USDT"],
["BTC/USDT", "ETC/USDT"],
), # Wildcard exclude one
(
[".*UP/USDT", "BTC/USDT", "ETH/USDT"],
["BTC/USDT", "ETC/USDT", "ETH/USDT", "BTCUP/USDT", "XRPUP/USDT", "XRPDOWN/USDT"],
["BTC/USDT", "ETH/USDT", "BTCUP/USDT", "XRPUP/USDT"],
), # Wildcard exclude one
(
["BTC/.*", "ETH/.*"],
["BTC/USDT", "ETC/USDT", "ETH/USDT", "BTC/USD", "ETH/EUR", "BTC/GBP"],
["BTC/USDT", "ETH/USDT", "BTC/USD", "ETH/EUR", "BTC/GBP"],
), # Wildcard exclude one
(
["*UP/USDT", "BTC/USDT", "ETH/USDT"],
["BTC/USDT", "ETC/USDT", "ETH/USDT", "BTCUP/USDT", "XRPUP/USDT", "XRPDOWN/USDT"],
None,
),
(["BTC/USD"], ["BTC/USD", "BTC/USDT"], ["BTC/USD"]),
],
)
def test_expand_pairlist(wildcardlist, pairs, expected):
if expected is None:
with pytest.raises(ValueError, match=r"Wildcard error in \*UP/USDT,"):
expand_pairlist(wildcardlist, pairs)
else:
assert sorted(expand_pairlist(wildcardlist, pairs)) == sorted(expected)
conf = {
"pairs": wildcardlist,
"freqai": {
"enabled": True,
"feature_parameters": {
"include_corr_pairlist": [
"BTC/USDT:USDT",
"XRP/BUSD",
]
},
},
}
assert sorted(dynamic_expand_pairlist(conf, pairs)) == sorted(
expected
+ [
"BTC/USDT:USDT",
"XRP/BUSD",
]
)
@pytest.mark.parametrize(
"wildcardlist,pairs,expected",
[
(["BTC/USDT"], ["BTC/USDT"], ["BTC/USDT"]),
(["BTC/USDT", "ETH/USDT"], ["BTC/USDT", "ETH/USDT"], ["BTC/USDT", "ETH/USDT"]),
(["BTC/USDT", "ETH/USDT"], ["BTC/USDT"], ["BTC/USDT", "ETH/USDT"]), # Test one too many
([".*/USDT"], ["BTC/USDT", "ETH/USDT"], ["BTC/USDT", "ETH/USDT"]), # Wildcard simple
(
[".*C/USDT"],
["BTC/USDT", "ETC/USDT", "ETH/USDT"],
["BTC/USDT", "ETC/USDT"],
), # Wildcard exclude one
(
[".*UP/USDT", "BTC/USDT", "ETH/USDT"],
["BTC/USDT", "ETC/USDT", "ETH/USDT", "BTCUP/USDT", "XRPUP/USDT", "XRPDOWN/USDT"],
["BTC/USDT", "ETH/USDT", "BTCUP/USDT", "XRPUP/USDT"],
), # Wildcard exclude one
(
["BTC/.*", "ETH/.*"],
["BTC/USDT", "ETC/USDT", "ETH/USDT", "BTC/USD", "ETH/EUR", "BTC/GBP"],
["BTC/USDT", "ETH/USDT", "BTC/USD", "ETH/EUR", "BTC/GBP"],
), # Wildcard exclude one
(
["*UP/USDT", "BTC/USDT", "ETH/USDT"],
["BTC/USDT", "ETC/USDT", "ETH/USDT", "BTCUP/USDT", "XRPUP/USDT", "XRPDOWN/USDT"],
None,
),
(["HELLO/WORLD"], [], ["HELLO/WORLD"]), # Invalid pair kept
(["BTC/USD"], ["BTC/USD", "BTC/USDT"], ["BTC/USD"]),
(["BTC/USDT:USDT"], ["BTC/USDT:USDT", "BTC/USDT"], ["BTC/USDT:USDT"]),
(
["BB_BTC/USDT", "CC_BTC/USDT", "AA_ETH/USDT", "XRP/USDT", "ETH/USDT", "XX_BTC/USDT"],
["BTC/USDT", "ETH/USDT"],
["XRP/USDT", "ETH/USDT"],
),
],
)
def test_expand_pairlist_keep_invalid(wildcardlist, pairs, expected):
if expected is None:
with pytest.raises(ValueError, match=r"Wildcard error in \*UP/USDT,"):
expand_pairlist(wildcardlist, pairs, keep_invalid=True)
else:
assert sorted(expand_pairlist(wildcardlist, pairs, keep_invalid=True)) == sorted(expected)
def test_ProducerPairlist_no_emc(mocker, whitelist_conf):
mocker.patch(f"{EXMS}.exchange_has", MagicMock(return_value=True))
whitelist_conf["pairlists"] = [
{
"method": "ProducerPairList",
"number_assets": 10,
"producer_name": "hello_world",
}
]
del whitelist_conf["external_message_consumer"]
with pytest.raises(
OperationalException,
match=r"ProducerPairList requires external_message_consumer to be enabled.",
):
get_patched_freqtradebot(mocker, whitelist_conf)
def test_ProducerPairlist(mocker, whitelist_conf, markets):
mocker.patch(f"{EXMS}.exchange_has", MagicMock(return_value=True))
mocker.patch.multiple(
EXMS,
markets=PropertyMock(return_value=markets),
exchange_has=MagicMock(return_value=True),
)
whitelist_conf["pairlists"] = [
{
"method": "ProducerPairList",
"number_assets": 2,
"producer_name": "hello_world",
}
]
whitelist_conf.update(
{
"external_message_consumer": {
"enabled": True,
"producers": [
{
"name": "hello_world",
"host": "null",
"port": 9891,
"ws_token": "dummy",
}
],
}
}
)
exchange = get_patched_exchange(mocker, whitelist_conf)
dp = DataProvider(whitelist_conf, exchange, None)
pairs = ["ETH/BTC", "LTC/BTC", "XRP/BTC"]
# different producer
dp._set_producer_pairs(pairs + ["MEEP/USDT"], "default")
pm = PairListManager(exchange, whitelist_conf, dp)
pm.refresh_pairlist()
assert pm.whitelist == []
# proper producer
dp._set_producer_pairs(pairs, "hello_world")
pm.refresh_pairlist()
# Pairlist reduced to 2
assert pm.whitelist == pairs[:2]
assert len(pm.whitelist) == 2
whitelist_conf["exchange"]["pair_whitelist"] = ["TKN/BTC"]
whitelist_conf["pairlists"] = [
{"method": "StaticPairList"},
{
"method": "ProducerPairList",
"producer_name": "hello_world",
},
]
pm = PairListManager(exchange, whitelist_conf, dp)
pm.refresh_pairlist()
assert len(pm.whitelist) == 4
assert pm.whitelist == ["TKN/BTC"] + pairs
@pytest.mark.usefixtures("init_persistence")
def test_FullTradesFilter(mocker, default_conf_usdt, fee, caplog) -> None:
default_conf_usdt["exchange"]["pair_whitelist"].extend(["ADA/USDT", "XRP/USDT", "ETC/USDT"])
default_conf_usdt["pairlists"] = [{"method": "StaticPairList"}, {"method": "FullTradesFilter"}]
default_conf_usdt["max_open_trades"] = -1
mocker.patch(f"{EXMS}.exchange_has", MagicMock(return_value=True))
exchange = get_patched_exchange(mocker, default_conf_usdt)
pm = PairListManager(exchange, default_conf_usdt)
pm.refresh_pairlist()
assert pm.whitelist == ["ETH/USDT", "XRP/USDT", "NEO/USDT", "TKN/USDT"]
with time_machine.travel("2021-09-01 05:00:00 +00:00") as t:
create_mock_trades_usdt(fee)
pm.refresh_pairlist()
# Unlimited max open trades, so no change to whitelist
pm.refresh_pairlist()
assert pm.whitelist == ["ETH/USDT", "XRP/USDT", "NEO/USDT", "TKN/USDT"]
# Set max_open_trades to 4, the filter should empty the whitelist
default_conf_usdt["max_open_trades"] = 4
pm.refresh_pairlist()
assert pm.whitelist == []
assert log_has_re(r"Whitelist with 0 pairs: \[]", caplog)
list_trades = LocalTrade.get_open_trades()
assert len(list_trades) == 4
# Move to 1 hour later, close a trade, so original sorting is restored.
t.move_to("2021-09-01 07:00:00 +00:00")
list_trades[2].close(12)
Trade.commit()
# open trades count below max_open_trades, whitelist restored
list_trades = LocalTrade.get_open_trades()
assert len(list_trades) == 3
pm.refresh_pairlist()
assert pm.whitelist == ["ETH/USDT", "XRP/USDT", "NEO/USDT", "TKN/USDT"]
# Set max_open_trades to 3, the filter should empty the whitelist
default_conf_usdt["max_open_trades"] = 3
pm.refresh_pairlist()
assert pm.whitelist == []
assert log_has_re(r"Whitelist with 0 pairs: \[]", caplog)
@pytest.mark.parametrize(
"pairlists,trade_mode,result",
[
(
[
# Get 2 pairs
{"method": "StaticPairList", "allow_inactive": True},
{"method": "MarketCapPairList", "number_assets": 2},
],
"spot",
["BTC/USDT", "ETH/USDT"],
),
(
[
# Get 6 pairs
{"method": "StaticPairList", "allow_inactive": True},
{"method": "MarketCapPairList", "number_assets": 6},
],
"spot",
["BTC/USDT", "ETH/USDT", "XRP/USDT", "ADA/USDT"],
),
(
[
# Get 3 pairs within top 6 ranks
{"method": "StaticPairList", "allow_inactive": True},
{"method": "MarketCapPairList", "max_rank": 6, "number_assets": 3},
],
"spot",
["BTC/USDT", "ETH/USDT", "XRP/USDT"],
),
(
[
# Get 4 pairs within top 8 ranks
{"method": "StaticPairList", "allow_inactive": True},
{"method": "MarketCapPairList", "max_rank": 8, "number_assets": 4},
],
"spot",
["BTC/USDT", "ETH/USDT", "XRP/USDT"],
),
(
[
# MarketCapPairList as generator
{"method": "MarketCapPairList", "number_assets": 5}
],
"spot",
["BTC/USDT", "ETH/USDT", "XRP/USDT"],
),
(
[
# MarketCapPairList as generator - low max_rank
{"method": "MarketCapPairList", "max_rank": 2, "number_assets": 5}
],
"spot",
["BTC/USDT", "ETH/USDT"],
),
(
[
# MarketCapPairList as generator - futures - low max_rank
{"method": "MarketCapPairList", "max_rank": 2, "number_assets": 5}
],
"futures",
["ETH/USDT:USDT"],
),
(
[
# MarketCapPairList as generator - futures - low number_assets
{"method": "MarketCapPairList", "number_assets": 2}
],
"futures",
["ETH/USDT:USDT", "ADA/USDT:USDT"],
),
],
)
def test_MarketCapPairList_filter(
mocker, default_conf_usdt, trade_mode, markets, pairlists, result
):
test_value = [
{"symbol": "btc"},
{"symbol": "eth"},
{"symbol": "usdt"},
{"symbol": "bnb"},
{"symbol": "sol"},
{"symbol": "xrp"},
{"symbol": "usdc"},
{"symbol": "steth"},
{"symbol": "ada"},
{"symbol": "avax"},
]
default_conf_usdt["trading_mode"] = trade_mode
if trade_mode == "spot":
default_conf_usdt["exchange"]["pair_whitelist"].extend(["BTC/USDT", "ETC/USDT", "ADA/USDT"])
default_conf_usdt["pairlists"] = pairlists
mocker.patch.multiple(
EXMS,
markets=PropertyMock(return_value=markets),
exchange_has=MagicMock(return_value=True),
)
mocker.patch(
"freqtrade.plugins.pairlist.MarketCapPairList.FtCoinGeckoApi.get_coins_markets",
return_value=test_value,
)
exchange = get_patched_exchange(mocker, default_conf_usdt)
pm = PairListManager(exchange, default_conf_usdt)
pm.refresh_pairlist()
assert pm.whitelist == result
def test_MarketCapPairList_timing(mocker, default_conf_usdt, markets, time_machine):
test_value = [
{"symbol": "btc"},
{"symbol": "eth"},
{"symbol": "usdt"},
{"symbol": "bnb"},
{"symbol": "sol"},
{"symbol": "xrp"},
{"symbol": "usdc"},
{"symbol": "steth"},
{"symbol": "ada"},
{"symbol": "avax"},
]
default_conf_usdt["trading_mode"] = "spot"
default_conf_usdt["exchange"]["pair_whitelist"].extend(["BTC/USDT", "ETC/USDT", "ADA/USDT"])
default_conf_usdt["pairlists"] = [{"method": "MarketCapPairList", "number_assets": 2}]
markets_mock = MagicMock(return_value=markets)
mocker.patch.multiple(
EXMS,
get_markets=markets_mock,
exchange_has=MagicMock(return_value=True),
)
mocker.patch(
"freqtrade.plugins.pairlist.MarketCapPairList.FtCoinGeckoApi.get_coins_markets",
return_value=test_value,
)
start_dt = dt_now()
exchange = get_patched_exchange(mocker, default_conf_usdt)
time_machine.move_to(start_dt)
pm = PairListManager(exchange, default_conf_usdt)
markets_mock.reset_mock()
pm.refresh_pairlist()
assert markets_mock.call_count == 3
markets_mock.reset_mock()
time_machine.move_to(start_dt + timedelta(hours=20))
pm.refresh_pairlist()
# Cached pairlist ...
assert markets_mock.call_count == 1
markets_mock.reset_mock()
time_machine.move_to(start_dt + timedelta(days=2))
pm.refresh_pairlist()
# No longer cached pairlist ...
assert markets_mock.call_count == 3
def test_MarketCapPairList_exceptions(mocker, default_conf_usdt):
exchange = get_patched_exchange(mocker, default_conf_usdt)
default_conf_usdt["pairlists"] = [{"method": "MarketCapPairList"}]
with pytest.raises(OperationalException, match=r"`number_assets` not specified.*"):
# No number_assets
PairListManager(exchange, default_conf_usdt)
default_conf_usdt["pairlists"] = [
{"method": "MarketCapPairList", "number_assets": 20, "max_rank": 260}
]
with pytest.raises(
OperationalException, match="This filter only support marketcap rank up to 250."
):
PairListManager(exchange, default_conf_usdt)
@pytest.mark.parametrize(
"pairlists,expected_error,expected_warning",
[
(
[{"method": "StaticPairList"}],
None, # Error
None, # Warning
),
(
[{"method": "VolumePairList", "number_assets": 10}],
"VolumePairList", # Error
None, # Warning
),
(
[{"method": "MarketCapPairList", "number_assets": 10}],
None, # Error
r"MarketCapPairList.*lookahead.*", # Warning
),
(
[{"method": "StaticPairList"}, {"method": "FullTradesFilter"}],
None, # Error
r"FullTradesFilter do not generate.*", # Warning
),
( # combi, fails and warns
[
{"method": "VolumePairList", "number_assets": 10},
{"method": "MarketCapPairList", "number_assets": 10},
],
"VolumePairList", # Error
r"MarketCapPairList.*lookahead.*", # Warning
),
],
)
def test_backtesting_modes(
mocker, default_conf_usdt, pairlists, expected_error, expected_warning, caplog, markets, tickers
):
default_conf_usdt["runmode"] = "dry_run"
default_conf_usdt["pairlists"] = pairlists
mocker.patch.multiple(
EXMS,
markets=PropertyMock(return_value=markets),
exchange_has=MagicMock(return_value=True),
get_tickers=tickers,
)
exchange = get_patched_exchange(mocker, default_conf_usdt)
# Dry run mode - works always
PairListManager(exchange, default_conf_usdt)
default_conf_usdt["runmode"] = "backtest"
if expected_error:
with pytest.raises(OperationalException, match=f"Pairlist Handlers {expected_error}.*"):
PairListManager(exchange, default_conf_usdt)
if not expected_error:
PairListManager(exchange, default_conf_usdt)
if expected_warning:
assert log_has_re(f"Pairlist Handlers {expected_warning}", caplog)
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