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freqtrade_origin/tests/plugins/test_pairlist.py
Matthias 30b467906c Delist FTX, following ccxt's delisting.
2022-11-14 19:40:57 +01:00

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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 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 tests.conftest import (create_mock_trades_usdt, get_patched_exchange, get_patched_freqtradebot,
log_has, log_has_re, num_log_has)
@pytest.fixture(scope="function")
def whitelist_conf(default_conf):
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['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['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('freqtrade.exchange.Exchange',
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('freqtrade.exchange.Exchange.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('freqtrade.exchange.Exchange.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('freqtrade.exchange.Exchange.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(
'freqtrade.exchange.Exchange',
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(
'freqtrade.exchange.Exchange',
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(
'freqtrade.exchange.Exchange',
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(
'freqtrade.exchange.Exchange',
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(
'freqtrade.exchange.Exchange',
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(
'freqtrade.exchange.Exchange',
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(
'freqtrade.exchange.Exchange',
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(
'freqtrade.exchange.Exchange',
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(
'freqtrade.exchange.Exchange',
exchange_has=MagicMock(return_value=True),
)
freqtrade = get_patched_freqtradebot(mocker, whitelist_conf)
mocker.patch('freqtrade.exchange.Exchange.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']),
# 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", 3), # 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['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('freqtrade.exchange.Exchange.exchange_has', MagicMock(return_value=True))
freqtrade = get_patched_freqtradebot(mocker, whitelist_conf)
mocker.patch.multiple('freqtrade.exchange.Exchange',
get_tickers=tickers,
markets=PropertyMock(return_value=shitcoinmarkets)
)
mocker.patch.multiple(
'freqtrade.exchange.Exchange',
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 type(whitelist_result) is list:
assert whitelist == whitelist_result
else:
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
# ambigous 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
# expecing 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']),
# 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) -> None:
whitelist_conf['pairlists'] = pairlists
whitelist_conf['stake_currency'] = base_currency
whitelist_conf['exchange']['name'] = exchange
ohlcv_history_high_vola = ohlcv_history.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.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.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,
('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('freqtrade.exchange.Exchange.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'Ambigous 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(
'freqtrade.exchange.Exchange',
get_tickers=tickers,
markets=PropertyMock(return_value=shitcoinmarkets)
)
# 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 = []
mocker.patch.multiple(
'freqtrade.exchange.Exchange',
refresh_latest_ohlcv=MagicMock(return_value=ohlcv_data),
)
freqtrade.pairlists.refresh_pairlist()
whitelist = freqtrade.pairlists.whitelist
assert isinstance(whitelist, list)
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('freqtrade.exchange.Exchange.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, 'query'):
del Trade.query
mocker.patch('freqtrade.exchange.Exchange.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_ShuffleFilter_init(mocker, whitelist_conf, caplog) -> None:
whitelist_conf['pairlists'] = [
{"method": "StaticPairList"},
{"method": "ShuffleFilter", "seed": 43}
]
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('freqtrade.exchange.Exchange.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('freqtrade.exchange.Exchange.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('freqtrade.exchange.Exchange',
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('freqtrade.exchange.Exchange',
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)
@pytest.mark.parametrize("pairlist", AVAILABLE_PAIRLISTS)
def test_pairlist_class(mocker, whitelist_conf, markets, pairlist):
whitelist_conf['pairlists'][0]['method'] = pairlist
mocker.patch.multiple('freqtrade.exchange.Exchange',
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", AVAILABLE_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('freqtrade.exchange.Exchange',
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", AVAILABLE_PAIRLISTS)
def test__whitelist_for_active_markets_empty(mocker, whitelist_conf, pairlist, tickers):
whitelist_conf['pairlists'][0]['method'] = pairlist
mocker.patch('freqtrade.exchange.Exchange.exchange_has', return_value=True)
freqtrade = get_patched_freqtradebot(mocker, whitelist_conf)
mocker.patch.multiple('freqtrade.exchange.Exchange',
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('freqtrade.exchange.Exchange.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('freqtrade.exchange.Exchange',
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('freqtrade.exchange.Exchange',
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('freqtrade.exchange.Exchange',
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('freqtrade.exchange.Exchange',
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(
'freqtrade.exchange.Exchange',
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('freqtrade.exchange.Exchange.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('freqtrade.exchange.Exchange.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('freqtrade.exchange.Exchange.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('freqtrade.exchange.Exchange.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('freqtrade.exchange.Exchange',
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)
@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('freqtrade.exchange.Exchange',
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(
'freqtrade.exchange.Exchange',
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('freqtrade.exchange.Exchange',
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('freqtrade.exchange.Exchange', 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
),
])
def test_pricefilter_desc(mocker, whitelist_conf, markets, pairlistconfig,
desc_expected, exception_expected):
mocker.patch.multiple('freqtrade.exchange.Exchange',
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('freqtrade.exchange.Exchange.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('freqtrade.exchange.Exchange.exchange_has', MagicMock(return_value=True))
freqtrade = get_patched_freqtradebot(mocker, allowlist_conf)
mocker.patch.multiple('freqtrade.exchange.Exchange',
get_tickers=tickers,
markets=PropertyMock(return_value=markets)
)
mocker.patch.multiple('freqtrade.exchange.Exchange',
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']),
])
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('freqtrade.exchange.Exchange.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('freqtrade.exchange.Exchange.exchange_has', MagicMock(return_value=True))
mocker.patch.multiple('freqtrade.exchange.Exchange',
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
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