freqtrade_origin/tests/exchange_online/test_ccxt_compat.py
2024-08-12 09:14:36 +02:00

488 lines
21 KiB
Python

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