mohammadian7/freqtrade
1
0
Fork 0
Code Issues Pull Requests Actions Packages Projects Releases Wiki Activity

Merge remote-tracking branch 'origin/develop' into pr/Axel-CH/9267

Browse Source
This commit is contained in:
Matthias
2024-01-02 12:11:44 +01:00
parent f0073078e9 fa368a9a4a
commit 7ba9aa9acd
43 changed files with 348 additions and 204 deletions
Download Patch File Download Diff File Expand all files Collapse all files
tests/conftest.py
+22
View File
@@ -11,6 +11,7 @@ from unittest.mock import MagicMock, Mock, PropertyMock
import numpy as np
import pandas as pd
import pytest
from xdist.scheduler.loadscope import LoadScopeScheduling
from freqtrade import constants
from freqtrade.commands import Arguments
@@ -56,6 +57,27 @@ def pytest_configure(config):
setattr(config.option, 'markexpr', 'not longrun')
class FixtureScheduler(LoadScopeScheduling):
# Based on the suggestion in
# https://github.com/pytest-dev/pytest-xdist/issues/18
def _split_scope(self, nodeid):
if 'exchange_online' in nodeid:
try:
# Extract exchange ID from nodeid
exchange_id = nodeid.split('[')[1].split('-')[0].rstrip(']')
return exchange_id
except Exception as e:
print(e)
pass
return nodeid
def pytest_xdist_make_scheduler(config, log):
return FixtureScheduler(config, log)
def log_has(line, logs):
"""Check if line is found on some caplog's message."""
return any(line == message for message in logs.messages)
tests/data/test_dataprovider.py
+12 -39
View File
@@ -508,16 +508,13 @@ def test_dp_get_required_startup(default_conf_usdt):
dp = DataProvider(default_conf_usdt, None)
# No FreqAI config
assert dp.get_required_startup('5m', False) == 0
assert dp.get_required_startup('1h', False) == 0
assert dp.get_required_startup('1d', False) == 0
assert dp.get_required_startup('1d', True) == 0
assert dp.get_required_startup('5m') == 0
assert dp.get_required_startup('1h') == 0
assert dp.get_required_startup('1d') == 0
dp._config['startup_candle_count'] = 20
assert dp.get_required_startup('5m', False) == 20
assert dp.get_required_startup('5m', True) == 20
assert dp.get_required_startup('1h', False) == 20
assert dp.get_required_startup('5m') == 20
assert dp.get_required_startup('1h') == 20
assert dp.get_required_startup('1h') == 20
# With freqAI config
@@ -532,37 +529,19 @@ def test_dp_get_required_startup(default_conf_usdt):
]
}
}
assert dp.get_required_startup('5m', False) == 20
assert dp.get_required_startup('5m', True) == 5780
assert dp.get_required_startup('1h', False) == 20
assert dp.get_required_startup('1h', True) == 500
assert dp.get_required_startup('1d', False) == 20
assert dp.get_required_startup('1d', True) == 40
assert dp.get_required_startup('5m') == 5780
assert dp.get_required_startup('1h') == 500
assert dp.get_required_startup('1d') == 40
# FreqAI kindof ignores startup_candle_count if it's below indicator_periods_candles
dp._config['startup_candle_count'] = 0
assert dp.get_required_startup('5m', False) == 20
assert dp.get_required_startup('5m', True) == 5780
assert dp.get_required_startup('1h', False) == 20
assert dp.get_required_startup('1h', True) == 500
assert dp.get_required_startup('1d', False) == 20
assert dp.get_required_startup('1d', True) == 40
assert dp.get_required_startup('5m') == 5780
assert dp.get_required_startup('1h') == 500
assert dp.get_required_startup('1d') == 40
dp._config['freqai']['feature_parameters']['indicator_periods_candles'][1] = 50
assert dp.get_required_startup('5m', False) == 50
assert dp.get_required_startup('5m', True) == 5810
assert dp.get_required_startup('1h', False) == 50
assert dp.get_required_startup('1h', True) == 530
assert dp.get_required_startup('1d', False) == 50
assert dp.get_required_startup('1d', True) == 70
assert dp.get_required_startup('5m') == 5810
assert dp.get_required_startup('1h') == 530
assert dp.get_required_startup('1d') == 70
# scenario from issue https://github.com/freqtrade/freqtrade/issues/9432
@@ -577,12 +556,6 @@ def test_dp_get_required_startup(default_conf_usdt):
}
}
dp._config['startup_candle_count'] = 40
assert dp.get_required_startup('5m', False) == 40
assert dp.get_required_startup('5m', True) == 51880
assert dp.get_required_startup('1h', False) == 40
assert dp.get_required_startup('1h', True) == 4360
assert dp.get_required_startup('1d', False) == 40
assert dp.get_required_startup('1d', True) == 220
assert dp.get_required_startup('5m') == 51880
assert dp.get_required_startup('1h') == 4360
assert dp.get_required_startup('1d') == 220
tests/exchange/test_exchange.py
+1 -1
View File
@@ -3194,7 +3194,7 @@ def test_cancel_stoploss_order_with_result(default_conf, mocker, exchange_name):
mocker.patch(f'{mock_prefix}.fetch_stoploss_order', side_effect=exc)
co = exchange.cancel_stoploss_order_with_result(order_id='_', pair='TKN/BTC', amount=555)
assert co['amount'] == 555
assert co == {'fee': {}, 'status': 'canceled', 'amount': 555, 'info': {}}
assert co == {'id': '_', 'fee': {}, 'status': 'canceled', 'amount': 555, 'info': {}}
with pytest.raises(InvalidOrderException):
exc = InvalidOrderException("Did not find order")
tests/exchange/test_kraken.py
+9 -38
View File
@@ -13,11 +13,14 @@ STOPLOSS_ORDERTYPE = 'stop-loss'
STOPLOSS_LIMIT_ORDERTYPE = 'stop-loss-limit'
def test_buy_kraken_trading_agreement(default_conf, mocker):
@pytest.mark.parametrize("order_type,time_in_force,expected_params", [
('limit', 'ioc', {'timeInForce': 'IOC', 'trading_agreement': 'agree'}),
('limit', 'PO', {'postOnly': True, 'trading_agreement': 'agree'}),
('market', None, {'trading_agreement': 'agree'})
])
def test_kraken_trading_agreement(default_conf, mocker, order_type, time_in_force, expected_params):
api_mock = MagicMock()
order_id = f'test_prod_buy_{randint(0, 10 ** 6)}'
order_type = 'limit'
time_in_force = 'ioc'
order_id = f'test_prod_{order_type}_{randint(0, 10 ** 6)}'
api_mock.options = {}
api_mock.create_order = MagicMock(return_value={
'id': order_id,
@@ -49,41 +52,9 @@ def test_buy_kraken_trading_agreement(default_conf, mocker):
assert api_mock.create_order.call_args[0][1] == order_type
assert api_mock.create_order.call_args[0][2] == 'buy'
assert api_mock.create_order.call_args[0][3] == 1
assert api_mock.create_order.call_args[0][4] == 200
assert api_mock.create_order.call_args[0][5] == {'timeInForce': 'IOC',
'trading_agreement': 'agree'}
assert api_mock.create_order.call_args[0][4] == (200 if order_type == 'limit' else None)
def test_sell_kraken_trading_agreement(default_conf, mocker):
api_mock = MagicMock()
order_id = f'test_prod_sell_{randint(0, 10 ** 6)}'
order_type = 'market'
api_mock.options = {}
api_mock.create_order = MagicMock(return_value={
'id': order_id,
'symbol': 'ETH/BTC',
'info': {
'foo': 'bar'
}
})
default_conf['dry_run'] = False
mocker.patch(f'{EXMS}.amount_to_precision', lambda s, x, y: y)
mocker.patch(f'{EXMS}.price_to_precision', lambda s, x, y: y)
exchange = get_patched_exchange(mocker, default_conf, api_mock, id="kraken")
order = exchange.create_order(pair='ETH/BTC', ordertype=order_type,
side="sell", amount=1, rate=200, leverage=1.0)
assert 'id' in order
assert 'info' in order
assert order['id'] == order_id
assert api_mock.create_order.call_args[0][0] == 'ETH/BTC'
assert api_mock.create_order.call_args[0][1] == order_type
assert api_mock.create_order.call_args[0][2] == 'sell'
assert api_mock.create_order.call_args[0][3] == 1
assert api_mock.create_order.call_args[0][4] is None
assert api_mock.create_order.call_args[0][5] == {'trading_agreement': 'agree'}
assert api_mock.create_order.call_args[0][5] == expected_params
def test_get_balances_prod(default_conf, mocker):
tests/freqai/conftest.py
+1 -1
View File
@@ -54,7 +54,7 @@ def freqai_conf(default_conf, tmp_path):
"backtest_period_days": 10,
"live_retrain_hours": 0,
"expiration_hours": 1,
"identifier": "uniqe-id100",
"identifier": "unique-id100",
"live_trained_timestamp": 0,
"data_kitchen_thread_count": 2,
"activate_tensorboard": False,
tests/freqai/test_freqai_backtesting.py
+54 -4
View File
@@ -6,11 +6,17 @@ from unittest.mock import PropertyMock
import pytest
from freqtrade.commands.optimize_commands import setup_optimize_configuration
from freqtrade.configuration.timerange import TimeRange
from freqtrade.data import history
from freqtrade.data.dataprovider import DataProvider
from freqtrade.enums import RunMode
from freqtrade.enums.candletype import CandleType
from freqtrade.exceptions import OperationalException
from freqtrade.freqai.data_kitchen import FreqaiDataKitchen
from freqtrade.optimize.backtesting import Backtesting
from tests.conftest import (CURRENT_TEST_STRATEGY, get_args, log_has_re, patch_exchange,
patched_configuration_load_config_file)
from tests.conftest import (CURRENT_TEST_STRATEGY, get_args, get_patched_exchange, log_has_re,
patch_exchange, patched_configuration_load_config_file)
from tests.freqai.conftest import get_patched_freqai_strategy
def test_freqai_backtest_start_backtest_list(freqai_conf, mocker, testdatadir, caplog):
@@ -40,7 +46,16 @@ def test_freqai_backtest_start_backtest_list(freqai_conf, mocker, testdatadir, c
Backtesting.cleanup()
def test_freqai_backtest_load_data(freqai_conf, mocker, caplog):
@pytest.mark.parametrize(
"timeframe, expected_startup_candle_count",
[
("5m", 876),
("15m", 492),
("1d", 302),
],
)
def test_freqai_backtest_load_data(freqai_conf, mocker, caplog,
timeframe, expected_startup_candle_count):
patch_exchange(mocker)
now = datetime.now(timezone.utc)
@@ -48,10 +63,14 @@ def test_freqai_backtest_load_data(freqai_conf, mocker, caplog):
PropertyMock(return_value=['HULUMULU/USDT', 'XRP/USDT']))
mocker.patch('freqtrade.optimize.backtesting.history.load_data')
mocker.patch('freqtrade.optimize.backtesting.history.get_timerange', return_value=(now, now))
freqai_conf['timeframe'] = timeframe
freqai_conf.get('freqai', {}).get('feature_parameters', {}).update({'include_timeframes': []})
backtesting = Backtesting(deepcopy(freqai_conf))
backtesting.load_bt_data()
assert log_has_re('Increasing startup_candle_count for freqai to.*', caplog)
assert log_has_re(f'Increasing startup_candle_count for freqai on {timeframe} '
f'to {expected_startup_candle_count}', caplog)
assert history.load_data.call_args[1]['startup_candles'] == expected_startup_candle_count
Backtesting.cleanup()
@@ -85,3 +104,34 @@ def test_freqai_backtest_live_models_model_not_found(freqai_conf, mocker, testda
Backtesting(bt_config)
Backtesting.cleanup()
def test_freqai_backtest_consistent_timerange(mocker, freqai_conf):
mocker.patch('freqtrade.plugins.pairlistmanager.PairListManager.whitelist',
PropertyMock(return_value=['XRP/USDT:USDT']))
gbs = mocker.patch('freqtrade.optimize.backtesting.generate_backtest_stats')
freqai_conf['candle_type_def'] = CandleType.FUTURES
freqai_conf.get('exchange', {}).update({'pair_whitelist': ['XRP/USDT:USDT']})
freqai_conf.get('freqai', {}).get('feature_parameters', {}).update(
{'include_timeframes': ['5m', '1h'], 'include_corr_pairlist': []})
freqai_conf['timerange'] = '20211120-20211121'
strategy = get_patched_freqai_strategy(mocker, freqai_conf)
exchange = get_patched_exchange(mocker, freqai_conf)
strategy.dp = DataProvider(freqai_conf, exchange)
strategy.freqai_info = freqai_conf.get("freqai", {})
freqai = strategy.freqai
freqai.dk = FreqaiDataKitchen(freqai_conf)
timerange = TimeRange.parse_timerange("20211115-20211122")
freqai.dd.load_all_pair_histories(timerange, freqai.dk)
backtesting = Backtesting(deepcopy(freqai_conf))
backtesting.start()
gbs.call_args[1]['min_date'] == datetime(2021, 11, 20, 0, 0, tzinfo=timezone.utc)
gbs.call_args[1]['max_date'] == datetime(2021, 11, 21, 0, 0, tzinfo=timezone.utc)
Backtesting.cleanup()
tests/freqai/test_freqai_datakitchen.py
+61
View File
@@ -3,6 +3,7 @@ from datetime import datetime, timedelta, timezone
from pathlib import Path
from unittest.mock import MagicMock
import pandas as pd
import pytest
from freqtrade.configuration import TimeRange
@@ -135,3 +136,63 @@ def test_get_full_model_path(mocker, freqai_conf, model):
model_path = freqai.dk.get_full_models_path(freqai_conf)
assert model_path.is_dir() is True
def test_get_pair_data_for_features_with_prealoaded_data(mocker, freqai_conf):
strategy = get_patched_freqai_strategy(mocker, freqai_conf)
exchange = get_patched_exchange(mocker, freqai_conf)
strategy.dp = DataProvider(freqai_conf, exchange)
strategy.freqai_info = freqai_conf.get("freqai", {})
freqai = strategy.freqai
freqai.dk = FreqaiDataKitchen(freqai_conf)
timerange = TimeRange.parse_timerange("20180110-20180130")
freqai.dd.load_all_pair_histories(timerange, freqai.dk)
_, base_df = freqai.dd.get_base_and_corr_dataframes(timerange, "LTC/BTC", freqai.dk)
df = freqai.dk.get_pair_data_for_features("LTC/BTC", "5m", strategy, base_dataframes=base_df)
assert df is base_df["5m"]
assert not df.empty
def test_get_pair_data_for_features_without_preloaded_data(mocker, freqai_conf):
freqai_conf.update({"timerange": "20180115-20180130"})
strategy = get_patched_freqai_strategy(mocker, freqai_conf)
exchange = get_patched_exchange(mocker, freqai_conf)
strategy.dp = DataProvider(freqai_conf, exchange)
strategy.freqai_info = freqai_conf.get("freqai", {})
freqai = strategy.freqai
freqai.dk = FreqaiDataKitchen(freqai_conf)
timerange = TimeRange.parse_timerange("20180110-20180130")
freqai.dd.load_all_pair_histories(timerange, freqai.dk)
base_df = {'5m': pd.DataFrame()}
df = freqai.dk.get_pair_data_for_features("LTC/BTC", "5m", strategy, base_dataframes=base_df)
assert df is not base_df["5m"]
assert not df.empty
assert df.iloc[0]['date'].strftime("%Y-%m-%d %H:%M:%S") == "2018-01-11 23:00:00"
assert df.iloc[-1]['date'].strftime("%Y-%m-%d %H:%M:%S") == "2018-01-30 00:00:00"
def test_populate_features(mocker, freqai_conf):
strategy = get_patched_freqai_strategy(mocker, freqai_conf)
exchange = get_patched_exchange(mocker, freqai_conf)
strategy.dp = DataProvider(freqai_conf, exchange)
strategy.freqai_info = freqai_conf.get("freqai", {})
freqai = strategy.freqai
freqai.dk = FreqaiDataKitchen(freqai_conf)
timerange = TimeRange.parse_timerange("20180115-20180130")
freqai.dd.load_all_pair_histories(timerange, freqai.dk)
corr_df, base_df = freqai.dd.get_base_and_corr_dataframes(timerange, "LTC/BTC", freqai.dk)
mocker.patch.object(strategy, 'feature_engineering_expand_all', return_value=base_df["5m"])
df = freqai.dk.populate_features(base_df["5m"], "LTC/BTC", strategy,
base_dataframes=base_df, corr_dataframes=corr_df)
strategy.feature_engineering_expand_all.assert_called_once()
pd.testing.assert_frame_equal(base_df["5m"],
strategy.feature_engineering_expand_all.call_args[0][0])
assert df.iloc[0]['date'].strftime("%Y-%m-%d %H:%M:%S") == "2018-01-15 00:00:00"
tests/freqai/test_freqai_interface.py
+4 -4
View File
@@ -20,8 +20,8 @@ from tests.freqai.conftest import (get_patched_freqai_strategy, is_mac, make_rl_
mock_pytorch_mlp_model_training_parameters)
def is_py11() -> bool:
return sys.version_info >= (3, 11)
def is_py12() -> bool:
return sys.version_info >= (3, 12)
def is_arm() -> bool:
@@ -523,8 +523,8 @@ def test_get_state_info(mocker, freqai_conf, dp_exists, caplog, tickers):
if is_mac():
pytest.skip("Reinforcement learning module not available on intel based Mac OS")
if is_py11():
pytest.skip("Reinforcement learning currently not available on python 3.11.")
if is_py12():
pytest.skip("Reinforcement learning currently not available on python 3.12.")
freqai_conf.update({"freqaimodel": "ReinforcementLearner"})
freqai_conf.update({"timerange": "20180110-20180130"})
tests/test_freqtradebot.py
+11 -7
View File
@@ -1604,12 +1604,15 @@ def test_create_stoploss_order_insufficient_funds(
])
@pytest.mark.usefixtures("init_persistence")
def test_handle_stoploss_on_exchange_trailing(
mocker, default_conf_usdt, fee, is_short, bid, ask, limit_order, stop_price, hang_price
mocker, default_conf_usdt, fee, is_short, bid, ask, limit_order, stop_price, hang_price,
time_machine,
) -> None:
# When trailing stoploss is set
enter_order = limit_order[entry_side(is_short)]
exit_order = limit_order[exit_side(is_short)]
stoploss = MagicMock(return_value={'id': 13434334, 'status': 'open'})
stoploss = MagicMock(return_value={'id': '13434334', 'status': 'open'})
start_dt = dt_now()
time_machine.move_to(start_dt, tick=False)
patch_RPCManager(mocker)
mocker.patch.multiple(
EXMS,
@@ -1683,6 +1686,8 @@ def test_handle_stoploss_on_exchange_trailing(
assert freqtrade.handle_trade(trade) is False
assert freqtrade.handle_stoploss_on_exchange(trade) is False
assert trade.stoploss_order_id == '13434334'
# price jumped 2x
mocker.patch(
f'{EXMS}.fetch_ticker',
@@ -1704,16 +1709,15 @@ def test_handle_stoploss_on_exchange_trailing(
cancel_order_mock.assert_not_called()
stoploss_order_mock.assert_not_called()
# Move time by 10s ... so stoploss order should be replaced.
time_machine.move_to(start_dt + timedelta(minutes=10), tick=False)
assert freqtrade.handle_trade(trade) is False
assert trade.stop_loss == stop_price[1]
trade.stoploss_order_id = '100'
# setting stoploss_on_exchange_interval to 0 seconds
freqtrade.strategy.order_types['stoploss_on_exchange_interval'] = 0
assert freqtrade.handle_stoploss_on_exchange(trade) is False
cancel_order_mock.assert_called_once_with('100', 'ETH/USDT')
cancel_order_mock.assert_called_once_with('13434334', 'ETH/USDT')
stoploss_order_mock.assert_called_once_with(
amount=30,
pair='ETH/USDT',
tests/test_integration.py
+21 -7
View File
@@ -650,28 +650,42 @@ def test_dca_exiting(default_conf_usdt, ticker_usdt, fee, mocker, caplog, levera
caplog.clear()
# Sell more than what we got (we got ~20 coins left)
# First adjusts the amount to 20 - then rejects.
# Doesn't exit, as the amount is too high.
freqtrade.strategy.adjust_trade_position = MagicMock(return_value=-50)
freqtrade.process()
assert log_has_re("Adjusting amount to trade.amount as it is higher.*", caplog)
assert log_has_re("Remaining amount of 0.0 would be smaller than the minimum of 10.", caplog)
trade = Trade.get_trades().first()
assert len(trade.orders) == 2
# Amount too low...
freqtrade.strategy.adjust_trade_position = MagicMock(return_value=-(trade.stake_amount * 0.99))
freqtrade.process()
trade = Trade.get_trades().first()
assert len(trade.orders) == 2
# Amount exactly comes out as exactly 0
freqtrade.strategy.adjust_trade_position = MagicMock(
return_value=-(trade.amount / trade.leverage * 2.02))
freqtrade.process()
trade = Trade.get_trades().first()
assert len(trade.orders) == 3
assert trade.orders[-1].ft_order_side == 'sell'
assert pytest.approx(trade.stake_amount) == 40.198
assert trade.is_open
assert trade.is_open is False
# use amount that would trunc to 0.0 once selling
mocker.patch(f"{EXMS}.amount_to_contract_precision", lambda s, p, v: round(v, 1))
freqtrade.strategy.adjust_trade_position = MagicMock(return_value=-0.01)
freqtrade.process()
trade = Trade.get_trades().first()
assert len(trade.orders) == 2
assert len(trade.orders) == 3
assert trade.orders[-1].ft_order_side == 'sell'
assert pytest.approx(trade.stake_amount) == 40.198
assert trade.is_open
assert trade.is_open is False
assert log_has_re('Amount to exit is 0.0 due to exchange limits - not exiting.', caplog)
expected_profit = starting_amount - 40.1980 + trade.realized_profit
expected_profit = starting_amount - 60 + trade.realized_profit
assert pytest.approx(freqtrade.wallets.get_free('USDT')) == expected_profit
if spot:
assert pytest.approx(freqtrade.wallets.get_total('USDT')) == expected_profit