mirror of
https://github.com/freqtrade/freqtrade.git
synced 2024-11-10 10:21:59 +00:00
299 lines
11 KiB
Python
299 lines
11 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 copy import deepcopy
|
|
from datetime import datetime, timedelta, timezone
|
|
from pathlib import Path
|
|
|
|
import pytest
|
|
|
|
from freqtrade.enums import CandleType
|
|
from freqtrade.exchange import timeframe_to_minutes, timeframe_to_prev_date
|
|
from freqtrade.resolvers.exchange_resolver import ExchangeResolver
|
|
from tests.conftest import get_default_conf_usdt
|
|
|
|
|
|
# Exchanges that should be tested
|
|
EXCHANGES = {
|
|
'bittrex': {
|
|
'pair': 'BTC/USDT',
|
|
'stake_currency': 'USDT',
|
|
'hasQuoteVolume': False,
|
|
'timeframe': '1h',
|
|
},
|
|
'binance': {
|
|
'pair': 'BTC/USDT',
|
|
'stake_currency': 'USDT',
|
|
'hasQuoteVolume': True,
|
|
'timeframe': '5m',
|
|
'futures': True,
|
|
},
|
|
'kraken': {
|
|
'pair': 'BTC/USDT',
|
|
'stake_currency': 'USDT',
|
|
'hasQuoteVolume': True,
|
|
'timeframe': '5m',
|
|
},
|
|
'ftx': {
|
|
'pair': 'BTC/USD',
|
|
'stake_currency': 'USD',
|
|
'hasQuoteVolume': True,
|
|
'timeframe': '5m',
|
|
'futures_pair': 'BTC/USD:USD',
|
|
'futures': True,
|
|
},
|
|
'kucoin': {
|
|
'pair': 'BTC/USDT',
|
|
'stake_currency': 'USDT',
|
|
'hasQuoteVolume': True,
|
|
'timeframe': '5m',
|
|
},
|
|
'gateio': {
|
|
'pair': 'BTC/USDT',
|
|
'stake_currency': 'USDT',
|
|
'hasQuoteVolume': True,
|
|
'timeframe': '5m',
|
|
'futures': True,
|
|
'futures_pair': 'BTC/USDT:USDT',
|
|
},
|
|
'okex': {
|
|
'pair': 'BTC/USDT',
|
|
'stake_currency': 'USDT',
|
|
'hasQuoteVolume': True,
|
|
'timeframe': '5m',
|
|
'futures_pair': 'BTC/USDT:USDT',
|
|
'futures': True,
|
|
},
|
|
'bitvavo': {
|
|
'pair': 'BTC/EUR',
|
|
'stake_currency': 'EUR',
|
|
'hasQuoteVolume': True,
|
|
'timeframe': '5m',
|
|
},
|
|
}
|
|
|
|
|
|
@pytest.fixture(scope="class")
|
|
def exchange_conf():
|
|
config = get_default_conf_usdt((Path(__file__).parent / "testdata").resolve())
|
|
config['exchange']['pair_whitelist'] = []
|
|
config['exchange']['key'] = ''
|
|
config['exchange']['secret'] = ''
|
|
config['dry_run'] = False
|
|
return config
|
|
|
|
|
|
@pytest.fixture(params=EXCHANGES, scope="class")
|
|
def exchange(request, exchange_conf):
|
|
exchange_conf['exchange']['name'] = request.param
|
|
exchange_conf['stake_currency'] = EXCHANGES[request.param]['stake_currency']
|
|
exchange = ExchangeResolver.load_exchange(request.param, exchange_conf, validate=True)
|
|
|
|
yield exchange, request.param
|
|
|
|
|
|
@pytest.fixture(params=EXCHANGES, scope="class")
|
|
def exchange_futures(request, exchange_conf, class_mocker):
|
|
if not EXCHANGES[request.param].get('futures') is True:
|
|
yield None, request.param
|
|
else:
|
|
exchange_conf = deepcopy(exchange_conf)
|
|
exchange_conf['exchange']['name'] = request.param
|
|
exchange_conf['trading_mode'] = 'futures'
|
|
exchange_conf['collateral'] = 'cross'
|
|
exchange_conf['stake_currency'] = EXCHANGES[request.param]['stake_currency']
|
|
|
|
# TODO-lev: This mock should no longer be necessary once futures are enabled.
|
|
class_mocker.patch(
|
|
'freqtrade.exchange.exchange.Exchange.validate_trading_mode_and_collateral')
|
|
class_mocker.patch(
|
|
'freqtrade.exchange.binance.Binance.fill_leverage_brackets')
|
|
|
|
exchange = ExchangeResolver.load_exchange(request.param, exchange_conf, validate=True)
|
|
|
|
yield exchange, request.param
|
|
|
|
|
|
@pytest.mark.longrun
|
|
class TestCCXTExchange():
|
|
|
|
def test_load_markets(self, exchange):
|
|
exchange, exchangename = exchange
|
|
pair = EXCHANGES[exchangename]['pair']
|
|
markets = exchange.markets
|
|
assert pair in markets
|
|
assert isinstance(markets[pair], dict)
|
|
assert exchange.market_is_spot(markets[pair])
|
|
|
|
def test_load_markets_futures(self, exchange_futures):
|
|
exchange, exchangename = exchange_futures
|
|
if not exchange:
|
|
# exchange_futures only returns values for supported exchanges
|
|
return
|
|
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_fetch_tickers(self, exchange):
|
|
exchange, exchangename = exchange
|
|
pair = EXCHANGES[exchangename]['pair']
|
|
|
|
tickers = exchange.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_ticker(self, exchange):
|
|
exchange, exchangename = exchange
|
|
pair = EXCHANGES[exchangename]['pair']
|
|
|
|
ticker = exchange.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, exchangename = exchange
|
|
pair = EXCHANGES[exchangename]['pair']
|
|
l2 = exchange.fetch_l2_order_book(pair)
|
|
assert 'asks' in l2
|
|
assert 'bids' in l2
|
|
l2_limit_range = exchange._ft_has['l2_limit_range']
|
|
l2_limit_range_required = exchange._ft_has['l2_limit_range_required']
|
|
for val in [1, 2, 5, 25, 100]:
|
|
l2 = exchange.fetch_l2_order_book(pair, val)
|
|
if not l2_limit_range or val in l2_limit_range:
|
|
assert len(l2['asks']) == val
|
|
assert len(l2['bids']) == val
|
|
else:
|
|
next_limit = exchange.get_next_limit_in_list(
|
|
val, l2_limit_range, l2_limit_range_required)
|
|
if next_limit is None or 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_fetch_ohlcv(self, exchange):
|
|
exchange, exchangename = exchange
|
|
pair = EXCHANGES[exchangename]['pair']
|
|
timeframe = EXCHANGES[exchangename]['timeframe']
|
|
|
|
pair_tf = (pair, timeframe, CandleType.SPOT)
|
|
|
|
ohlcv = exchange.refresh_latest_ohlcv([pair_tf])
|
|
assert isinstance(ohlcv, dict)
|
|
assert len(ohlcv[pair_tf]) == len(exchange.klines(pair_tf))
|
|
# assert len(exchange.klines(pair_tf)) > 200
|
|
# Assume 90% uptime ...
|
|
assert len(exchange.klines(pair_tf)) > exchange.ohlcv_candle_limit(timeframe) * 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 exchange.klines(pair_tf).iloc[-1]['date'] >= timeframe_to_prev_date(timeframe, now)
|
|
|
|
def test_ccxt_fetch_funding_rate_history(self, exchange_futures):
|
|
exchange, exchangename = exchange_futures
|
|
if not exchange:
|
|
# exchange_futures only returns values for supported exchanges
|
|
return
|
|
|
|
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, exchangename = exchange_futures
|
|
if not exchange:
|
|
# exchange_futures only returns values for supported exchanges
|
|
return
|
|
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, exchangename = exchange_futures
|
|
if not exchange:
|
|
# exchange_futures only returns values for supported exchanges
|
|
return
|
|
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
|
|
|
|
# TODO: tests fetch_trades (?)
|
|
|
|
def test_ccxt_get_fee(self, exchange):
|
|
exchange, exchangename = exchange
|
|
pair = EXCHANGES[exchangename]['pair']
|
|
threshold = 0.01
|
|
assert 0 < exchange.get_fee(pair, 'limit', 'buy') < threshold
|
|
assert 0 < exchange.get_fee(pair, 'limit', 'sell') < threshold
|
|
assert 0 < exchange.get_fee(pair, 'market', 'buy') < threshold
|
|
assert 0 < exchange.get_fee(pair, 'market', 'sell') < threshold
|