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Merge branch 'develop' into fix/mutable_defaults

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This commit is contained in:
Matthias
2025-03-02 16:04:30 +01:00
parent 36eeac365e ccfc690281
commit 5e50348150
49 changed files with 2660 additions and 1095 deletions
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tests/commands/test_startup_time.py
+4 -1
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@@ -1,8 +1,10 @@
import subprocess
import time
from tests.conftest import is_arm, is_mac
MAXIMUM_STARTUP_TIME = 0.5
MAXIMUM_STARTUP_TIME = 0.7 if is_mac() and not is_arm() else 0.5
def test_startup_time():
@@ -14,4 +16,5 @@ def test_startup_time():
elapsed = time.time() - start
assert elapsed < MAXIMUM_STARTUP_TIME, (
"The startup time is too long, try to use lazy import in the command entry function"
f" (maximum {MAXIMUM_STARTUP_TIME}s, got {elapsed}s)"
)
tests/data/test_btanalysis.py
+37
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@@ -30,6 +30,7 @@ from freqtrade.data.metrics import (
calculate_max_drawdown,
calculate_sharpe,
calculate_sortino,
calculate_sqn,
calculate_underwater,
combine_dataframes_with_mean,
combined_dataframes_with_rel_mean,
@@ -457,6 +458,42 @@ def test_calculate_calmar(testdatadir):
assert pytest.approx(calmar) == 559.040508
def test_calculate_sqn(testdatadir):
filename = testdatadir / "backtest_results/backtest-result.json"
bt_data = load_backtest_data(filename)
sqn = calculate_sqn(DataFrame(), 0)
assert sqn == 0.0
sqn = calculate_sqn(
bt_data,
0.01,
)
assert isinstance(sqn, float)
assert pytest.approx(sqn) == 3.2991
@pytest.mark.parametrize(
"profits,starting_balance,expected_sqn,description",
[
([1.0, -0.5, 2.0, -1.0, 0.5, 1.5, -0.5, 1.0], 100, 1.3229, "Mixed profits/losses"),
([], 100, 0.0, "Empty dataframe"),
([1.0, 0.5, 2.0, 1.5, 0.8], 100, 4.3657, "All winning trades"),
([-1.0, -0.5, -2.0, -1.5, -0.8], 100, -4.3657, "All losing trades"),
([1.0], 100, -100, "Single trade"),
],
)
def test_calculate_sqn_cases(profits, starting_balance, expected_sqn, description):
"""
Test SQN calculation with various scenarios:
"""
trades = DataFrame({"profit_abs": profits})
sqn = calculate_sqn(trades, starting_balance=starting_balance)
assert isinstance(sqn, float)
assert pytest.approx(sqn, rel=1e-4) == expected_sqn
@pytest.mark.parametrize(
"start,end,days, expected",
[
tests/exchange/test_binance.py
+52
View File
@@ -6,6 +6,7 @@ import ccxt
import pandas as pd
import pytest
from freqtrade.data.converter.trade_converter import trades_dict_to_list
from freqtrade.enums import CandleType, MarginMode, TradingMode
from freqtrade.exceptions import DependencyException, InvalidOrderException, OperationalException
from freqtrade.exchange.exchange_utils_timeframe import timeframe_to_seconds
@@ -1002,6 +1003,7 @@ def test_get_maintenance_ratio_and_amt_binance(
async def test__async_get_trade_history_id_binance(default_conf_usdt, mocker, fetch_trades_result):
default_conf_usdt["exchange"]["only_from_ccxt"] = True
exchange = get_patched_exchange(mocker, default_conf_usdt, exchange="binance")
async def mock_get_trade_hist(pair, *args, **kwargs):
@@ -1056,3 +1058,53 @@ async def test__async_get_trade_history_id_binance(default_conf_usdt, mocker, fe
# Clean up event loop to avoid warnings
exchange.close()
async def test__async_get_trade_history_id_binance_fast(
default_conf_usdt, mocker, fetch_trades_result
):
default_conf_usdt["exchange"]["only_from_ccxt"] = False
exchange = get_patched_exchange(mocker, default_conf_usdt, exchange="binance")
async def mock_get_trade_hist(pair, *args, **kwargs):
if "since" in kwargs:
pass
# older than initial call
# if kwargs["since"] < 1565798399752:
# return []
# else:
# # Don't expect to get here
# raise ValueError("Unexpected call")
# # return fetch_trades_result[:-2]
elif kwargs.get("params", {}).get(exchange._trades_pagination_arg) == "0":
# Return first 3
return fetch_trades_result[:-2]
# elif kwargs.get("params", {}).get(exchange._trades_pagination_arg) in (
# fetch_trades_result[-3]["id"],
# 1565798399752,
# ):
# # Return 2
# return fetch_trades_result[-3:-1]
# else:
# # Return last 2
# return fetch_trades_result[-2:]
pair = "ETH/BTC"
mocker.patch(
"freqtrade.exchange.binance.download_archive_trades",
return_value=(pair, trades_dict_to_list(fetch_trades_result[-2:])),
)
exchange._api_async.fetch_trades = MagicMock(side_effect=mock_get_trade_hist)
ret = await exchange._async_get_trade_history(
pair,
since=fetch_trades_result[0]["timestamp"],
until=fetch_trades_result[-1]["timestamp"] - 1,
)
assert ret[0] == pair
assert isinstance(ret[1], list)
# Clean up event loop to avoid warnings
exchange.close()
tests/exchange/test_binance_public_data.py
+157
View File
@@ -14,11 +14,15 @@ from freqtrade.enums import CandleType
from freqtrade.exchange.binance_public_data import (
BadHttpStatus,
Http404,
binance_vision_trades_zip_url,
binance_vision_zip_name,
download_archive_ohlcv,
download_archive_trades,
get_daily_ohlcv,
get_daily_trades,
)
from freqtrade.util.datetime_helpers import dt_ts, dt_utc
from ft_client.test_client.test_rest_client import log_has_re
@pytest.fixture(scope="module")
@@ -337,3 +341,156 @@ async def test_get_daily_ohlcv(mocker, testdatadir):
with pytest.raises(zipfile.BadZipFile):
df = await get_daily_ohlcv(symbol, timeframe, CandleType.SPOT, date, session)
assert get.call_count == 4 # 1 + 3 default retries
async def test_download_archive_trades(mocker, caplog):
pair = "BTC/USDT"
since_ms = dt_ts(dt_utc(2020, 1, 1))
until_ms = dt_ts(dt_utc(2020, 1, 2))
markets = {"BTC/USDT": {"id": "BTCUSDT"}, "BTC/USDT:USDT": {"id": "BTCUSDT"}}
mocker.patch("freqtrade.exchange.binance_public_data.get_daily_trades", return_value=[[2, 3]])
pair1, res = await download_archive_trades(
CandleType.SPOT, pair, since_ms=since_ms, until_ms=until_ms, markets=markets
)
assert pair1 == pair
assert res == [[2, 3], [2, 3]]
mocker.patch(
"freqtrade.exchange.binance_public_data.get_daily_trades",
side_effect=Http404("xxx", dt_utc(2020, 1, 1), "http://example.com/something"),
)
pair1, res = await download_archive_trades(
CandleType.SPOT, pair, since_ms=since_ms, until_ms=until_ms, markets=markets
)
assert pair1 == pair
assert res == []
# exit on day 1
assert log_has_re("Fast download is unavailable", caplog)
# Test fail on day 2
caplog.clear()
mocker.patch(
"freqtrade.exchange.binance_public_data.get_daily_trades",
side_effect=[
[[2, 3]],
[[2, 3]],
Http404("xxx", dt_utc(2020, 1, 2), "http://example.com/something"),
[[2, 3]],
],
)
# Download 3 days
until_ms = dt_ts(dt_utc(2020, 1, 3))
pair1, res = await download_archive_trades(
CandleType.SPOT, pair, since_ms=since_ms, until_ms=until_ms, markets=markets
)
assert pair1 == pair
assert res == [[2, 3], [2, 3]]
assert log_has_re(r"Binance fast download .*stopped", caplog)
async def test_download_archive_trades_exception(mocker, caplog):
pair = "BTC/USDT"
since_ms = dt_ts(dt_utc(2020, 1, 1))
until_ms = dt_ts(dt_utc(2020, 1, 2))
markets = {"BTC/USDT": {"id": "BTCUSDT"}, "BTC/USDT:USDT": {"id": "BTCUSDT"}}
mocker.patch(
"freqtrade.exchange.binance_public_data.aiohttp.ClientSession.get", side_effect=RuntimeError
)
pair1, res = await download_archive_trades(
CandleType.SPOT, pair, since_ms=since_ms, until_ms=until_ms, markets=markets
)
assert pair1 == pair
assert res == []
mocker.patch(
"freqtrade.exchange.binance_public_data._download_archive_trades", side_effect=RuntimeError
)
await download_archive_trades(
CandleType.SPOT, pair, since_ms=since_ms, until_ms=until_ms, markets=markets
)
assert pair1 == pair
assert res == []
assert log_has_re("An exception occurred during fast trades download", caplog)
async def test_binance_vision_trades_zip_url():
url = binance_vision_trades_zip_url("BTCUSDT", CandleType.SPOT, dt_utc(2023, 10, 27))
assert (
url == "https://data.binance.vision/data/spot/daily/aggTrades/"
"BTCUSDT/BTCUSDT-aggTrades-2023-10-27.zip"
)
url = binance_vision_trades_zip_url("BTCUSDT", CandleType.FUTURES, dt_utc(2023, 10, 28))
assert (
url == "https://data.binance.vision/data/futures/um/daily/aggTrades/"
"BTCUSDT/BTCUSDT-aggTrades-2023-10-28.zip"
)
async def test_get_daily_trades(mocker, testdatadir):
symbol = "PEPEUSDT"
symbol_futures = "APEUSDT"
date = dt_utc(2024, 10, 28).date()
first_date = 1729987202368
last_date = 1730073596350
async with aiohttp.ClientSession() as session:
spot_path = (
testdatadir / "binance/binance_public_data/spot-PEPEUSDT-aggTrades-2024-10-27.zip"
)
get = mocker.patch(
"freqtrade.exchange.binance_public_data.aiohttp.ClientSession.get",
return_value=MockResponse(spot_path.read_bytes(), 200),
)
res = await get_daily_trades(symbol, CandleType.SPOT, date, session)
assert get.call_count == 1
assert res[0][0] == first_date
assert res[-1][0] == last_date
futures_path = (
testdatadir / "binance/binance_public_data/futures-APEUSDT-aggTrades-2024-10-18.zip"
)
get = mocker.patch(
"freqtrade.exchange.binance_public_data.aiohttp.ClientSession.get",
return_value=MockResponse(futures_path.read_bytes(), 200),
)
res_fut = await get_daily_trades(symbol_futures, CandleType.FUTURES, date, session)
assert get.call_count == 1
assert res_fut[0][0] == 1729209603958
assert res_fut[-1][0] == 1729295981272
get = mocker.patch(
"freqtrade.exchange.binance_public_data.aiohttp.ClientSession.get",
return_value=MockResponse(b"", 404),
)
with pytest.raises(Http404):
await get_daily_trades(symbol, CandleType.SPOT, date, session, retry_delay=0)
assert get.call_count == 1
get = mocker.patch(
"freqtrade.exchange.binance_public_data.aiohttp.ClientSession.get",
return_value=MockResponse(b"", 500),
)
mocker.patch("asyncio.sleep")
with pytest.raises(BadHttpStatus):
await get_daily_trades(symbol, CandleType.SPOT, date, session)
assert get.call_count == 4 # 1 + 3 default retries
get = mocker.patch(
"freqtrade.exchange.binance_public_data.aiohttp.ClientSession.get",
return_value=MockResponse(b"nop", 200),
)
with pytest.raises(zipfile.BadZipFile):
await get_daily_trades(symbol, CandleType.SPOT, date, session)
assert get.call_count == 4 # 1 + 3 default retries
tests/exchange/test_exchange.py
+3
View File
@@ -2373,6 +2373,8 @@ def test_refresh_latest_trades(
caplog.set_level(logging.DEBUG)
use_trades_conf = default_conf
use_trades_conf["exchange"]["use_public_trades"] = True
use_trades_conf["exchange"]["only_from_ccxt"] = True
use_trades_conf["datadir"] = tmp_path
use_trades_conf["orderflow"] = {"max_candles": 1500}
exchange = get_patched_exchange(mocker, use_trades_conf)
@@ -3365,6 +3367,7 @@ async def test__async_fetch_trades_contract_size(
async def test__async_get_trade_history_id(
default_conf, mocker, exchange_name, fetch_trades_result
):
default_conf["exchange"]["only_from_ccxt"] = True
exchange = get_patched_exchange(mocker, default_conf, exchange=exchange_name)
if exchange._trades_pagination != "id":
exchange.close()
tests/exchange/test_exchange_utils.py
+7 -4
View File
@@ -1,5 +1,6 @@
# pragma pylint: disable=missing-docstring, protected-access, invalid-name
from datetime import datetime, timedelta, timezone
from math import isnan, nan
import pytest
from ccxt import (
@@ -321,6 +322,7 @@ def test_amount_to_precision(
(2.9977, TICK_SIZE, 0.005, 3.0, ROUND),
(234.24, TICK_SIZE, 0.5, 234.0, ROUND),
(234.26, TICK_SIZE, 0.5, 234.5, ROUND),
(nan, TICK_SIZE, 3, nan, ROUND),
# Tests for TRUNCATTE
(2.34559, DECIMAL_PLACES, 4, 2.3455, TRUNCATE),
(2.34559, DECIMAL_PLACES, 5, 2.34559, TRUNCATE),
@@ -359,10 +361,11 @@ def test_amount_to_precision(
],
)
def test_price_to_precision(price, precision_mode, precision, expected, rounding_mode):
assert (
price_to_precision(price, precision, precision_mode, rounding_mode=rounding_mode)
== expected
)
result = price_to_precision(price, precision, precision_mode, rounding_mode=rounding_mode)
if not isnan(expected):
assert result == expected
else:
assert isnan(result)
@pytest.mark.parametrize(
tests/freqtradebot/test_freqtradebot.py
+9 -1
View File
@@ -3743,8 +3743,9 @@ def test_trailing_stop_loss_positive(
@pytest.mark.parametrize("is_short", [False, True])
def test_disable_ignore_roi_if_entry_signal(
default_conf_usdt, limit_order, limit_order_open, is_short, fee, mocker
default_conf_usdt, limit_order, limit_order_open, is_short, fee, mocker, time_machine
) -> None:
time_machine.move_to("2025-01-10 08:00:16 +00:00")
patch_RPCManager(mocker)
patch_exchange(mocker)
eside = entry_side(is_short)
@@ -3773,6 +3774,13 @@ def test_disable_ignore_roi_if_entry_signal(
patch_get_signal(freqtrade, enter_long=not is_short, enter_short=is_short, exit_short=is_short)
assert freqtrade.handle_trade(trade) is True
# Test if entry-signal is absent
patch_get_signal(freqtrade)
# Signal was evaluated already - no action.
assert freqtrade.handle_trade(trade) is False
# Move to after the candle expired
time_machine.shift(timedelta(hours=5))
# Test if entry-signal is absent
patch_get_signal(freqtrade)
assert freqtrade.handle_trade(trade) is True
tests/freqtradebot/test_integration.py
+21 -1
View File
@@ -436,6 +436,7 @@ def test_dca_order_adjust(default_conf_usdt, ticker_usdt, leverage, fee, mocker)
# Replace new order with diff. order at a lower price
freqtrade.strategy.adjust_entry_price = MagicMock(return_value=1.95)
freqtrade.strategy.adjust_exit_price = MagicMock(side_effect=ValueError)
freqtrade.strategy.adjust_trade_position = MagicMock(return_value=None)
freqtrade.process()
trade = Trade.get_trades().first()
@@ -445,6 +446,8 @@ def test_dca_order_adjust(default_conf_usdt, ticker_usdt, leverage, fee, mocker)
assert pytest.approx(trade.stake_amount) == 60
assert trade.orders[-1].price == 1.95
assert pytest.approx(trade.orders[-1].cost) == 120 * leverage
assert freqtrade.strategy.adjust_entry_price.call_count == 1
assert freqtrade.strategy.adjust_exit_price.call_count == 0
# Fill DCA order
freqtrade.strategy.adjust_trade_position = MagicMock(return_value=None)
@@ -469,6 +472,7 @@ def test_dca_order_adjust(default_conf_usdt, ticker_usdt, leverage, fee, mocker)
mocker.patch(f"{EXMS}._dry_is_price_crossed", return_value=False)
freqtrade.strategy.custom_exit = MagicMock(return_value="Exit now")
freqtrade.strategy.adjust_entry_price = MagicMock(return_value=2.02)
freqtrade.strategy.adjust_exit_price = MagicMock(side_effect=ValueError)
freqtrade.process()
trade = Trade.get_trades().first()
assert len(trade.orders) == 5
@@ -478,8 +482,9 @@ def test_dca_order_adjust(default_conf_usdt, ticker_usdt, leverage, fee, mocker)
assert pytest.approx(trade.amount) == 91.689215 * leverage
assert pytest.approx(trade.orders[-1].amount) == 91.689215 * leverage
assert freqtrade.strategy.adjust_entry_price.call_count == 0
assert freqtrade.strategy.adjust_exit_price.call_count == 0
# Process again, should not adjust entry price
# Process again, should not adjust price
freqtrade.process()
trade = Trade.get_trades().first()
@@ -490,6 +495,21 @@ def test_dca_order_adjust(default_conf_usdt, ticker_usdt, leverage, fee, mocker)
assert trade.orders[-1].price == 2.02
# Adjust entry price cannot be called - this is an exit order
assert freqtrade.strategy.adjust_entry_price.call_count == 0
assert freqtrade.strategy.adjust_exit_price.call_count == 1
freqtrade.strategy.adjust_exit_price = MagicMock(return_value=2.03)
# Process again, should adjust exit price
freqtrade.process()
trade = Trade.get_trades().first()
assert trade.orders[-2].status == "canceled"
assert len(trade.orders) == 6
assert trade.orders[-1].side == trade.exit_side
assert trade.orders[-1].status == "open"
assert trade.orders[-1].price == 2.03
assert freqtrade.strategy.adjust_entry_price.call_count == 0
assert freqtrade.strategy.adjust_exit_price.call_count == 1
@pytest.mark.parametrize("leverage", [1, 2])
tests/optimize/__init__.py
+1
View File
@@ -45,6 +45,7 @@ class BTContainer(NamedTuple):
leverage: float = 1.0
timeout: int | None = None
adjust_entry_price: float | None = None
adjust_exit_price: float | None = None
adjust_trade_position: list[float] | None = None
tests/optimize/test_backtest_detail.py
+44
View File
@@ -1217,6 +1217,46 @@ tc57 = BTContainer(
],
)
# Test 58: Custom-exit-price short - below all candles
tc58 = BTContainer(
data=[
# D O H L C V EL XL ES Xs BT
[0, 5000, 5050, 4950, 5000, 6172, 0, 0, 1, 0],
[1, 5000, 5200, 4951, 5000, 6172, 0, 0, 0, 0], # enter trade (signal on last candle)
[2, 4900, 5250, 4900, 5100, 6172, 0, 0, 0, 1], # Exit - delayed
[3, 5100, 5100, 4650, 4750, 6172, 0, 0, 0, 0], #
[4, 4750, 5100, 4350, 4750, 6172, 0, 0, 0, 0],
],
stop_loss=-0.10,
roi={"0": 1.00},
profit_perc=-0.01,
use_exit_signal=True,
timeout=1000,
custom_exit_price=4300,
adjust_exit_price=5050,
trades=[BTrade(exit_reason=ExitType.EXIT_SIGNAL, open_tick=1, close_tick=4, is_short=True)],
)
# Test 59: Custom-exit-price above all candles - readjust order
tc59 = BTContainer(
data=[
# D O H L C V EL XL ES Xs BT
[0, 5000, 5050, 4950, 5000, 6172, 1, 0],
[1, 5000, 5500, 4951, 5000, 6172, 0, 0],
[2, 4900, 5250, 4500, 5100, 6172, 0, 1], # exit
[3, 5100, 5100, 4650, 4750, 6172, 0, 0], # order readjust
[4, 4750, 4950, 4350, 4750, 6172, 0, 0],
],
stop_loss=-0.2,
roi={"0": 0.10},
profit_perc=-0.02,
use_exit_signal=True,
timeout=1000,
custom_exit_price=5300,
adjust_exit_price=4900,
trades=[BTrade(exit_reason=ExitType.EXIT_SIGNAL, open_tick=1, close_tick=4, is_short=False)],
)
TESTS = [
tc0,
@@ -1277,6 +1317,8 @@ TESTS = [
tc55,
tc56,
tc57,
tc58,
tc59,
]
@@ -1330,6 +1372,8 @@ def test_backtest_results(default_conf, mocker, caplog, data: BTContainer) -> No
)
if data.adjust_entry_price:
backtesting.strategy.adjust_entry_price = MagicMock(return_value=data.adjust_entry_price)
if data.adjust_exit_price:
backtesting.strategy.adjust_exit_price = MagicMock(return_value=data.adjust_exit_price)
backtesting.strategy.use_custom_stoploss = data.use_custom_stoploss
backtesting.strategy.leverage = lambda **kwargs: data.leverage
tests/rpc/test_rpc.py
+4 -3
View File
@@ -577,7 +577,7 @@ def test_rpc_balance_handle(default_conf_usdt, mocker, tickers, proxy_coin, marg
"symbol": "ETH/USDT:USDT",
"timestamp": None,
"datetime": None,
"initialMargin": 0.0,
"initialMargin": 20,
"initialMarginPercentage": None,
"maintenanceMargin": 0.0,
"maintenanceMarginPercentage": 0.005,
@@ -590,8 +590,9 @@ def test_rpc_balance_handle(default_conf_usdt, mocker, tickers, proxy_coin, marg
"marginRatio": None,
"liquidationPrice": 0.0,
"markPrice": 2896.41,
"collateral": 20,
"marginType": "isolated",
# Collateral is in USDT - and can be higher than position size in cross mode
"collateral": 50,
"marginType": "cross",
"side": "short",
"percentage": None,
}
tests/strategy/strats/broken_strats/broken_futures_strategies.py
+34 -1
View File
@@ -21,10 +21,12 @@ class TestStrategyNoImplementSell(TestStrategyNoImplements):
return super().populate_entry_trend(dataframe, metadata)
class TestStrategyImplementCustomSell(TestStrategyNoImplementSell):
class TestStrategyImplementEmptyWorking(TestStrategyNoImplementSell):
def populate_exit_trend(self, dataframe: DataFrame, metadata: dict) -> DataFrame:
return super().populate_exit_trend(dataframe, metadata)
class TestStrategyImplementCustomSell(TestStrategyImplementEmptyWorking):
def custom_sell(
self,
pair: str,
@@ -55,3 +57,34 @@ class TestStrategyImplementSellTimeout(TestStrategyNoImplementSell):
self, pair: str, trade, order: Order, current_time: datetime, **kwargs
) -> bool:
return False
class TestStrategyAdjustOrderPrice(TestStrategyImplementEmptyWorking):
def adjust_entry_price(
self,
trade,
order,
pair,
current_time,
proposed_rate,
current_order_rate,
entry_tag,
side,
**kwargs,
):
return proposed_rate
def adjust_order_price(
self,
trade,
order,
pair,
current_time,
proposed_rate,
current_order_rate,
entry_tag,
side,
is_entry,
**kwargs,
):
return proposed_rate
tests/strategy/test_strategy_loading.py
+4
View File
@@ -460,6 +460,10 @@ def test_missing_implements(default_conf, caplog):
):
StrategyResolver.load_strategy(default_conf)
default_conf["strategy"] = "TestStrategyAdjustOrderPrice"
with pytest.raises(OperationalException, match=r"If you implement `adjust_order_price`.*"):
StrategyResolver.load_strategy(default_conf)
def test_call_deprecated_function(default_conf):
default_location = Path(__file__).parent / "strats/broken_strats/"
tests/testdata/binance/binance_public_data/futures-APEUSDT-aggTrades-2024-10-18.zip
Vendored
BIN
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tests/testdata/binance/binance_public_data/spot-PEPEUSDT-aggTrades-2024-10-27.zip
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