Merge remote-tracking branch 'upstream/develop' into feature/fetch-public-trades
This commit is contained in:
Joe Schr
+322
-257
@@ -17,19 +17,31 @@ from freqtrade.constants import DATETIME_PRINT_FORMAT
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from freqtrade.data.converter import ohlcv_to_dataframe
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from freqtrade.data.history import get_datahandler
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from freqtrade.data.history.datahandlers.jsondatahandler import JsonDataHandler, JsonGzDataHandler
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from freqtrade.data.history.history_utils import (_download_pair_history, _download_trades_history,
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_load_cached_data_for_updating, get_timerange,
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load_data, load_pair_history,
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refresh_backtest_ohlcv_data,
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refresh_backtest_trades_data, refresh_data,
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validate_backtest_data)
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from freqtrade.data.history.history_utils import (
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_download_pair_history,
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_download_trades_history,
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_load_cached_data_for_updating,
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get_timerange,
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load_data,
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load_pair_history,
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refresh_backtest_ohlcv_data,
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refresh_backtest_trades_data,
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refresh_data,
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validate_backtest_data,
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)
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from freqtrade.enums import CandleType, TradingMode
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from freqtrade.exchange import timeframe_to_minutes
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from freqtrade.misc import file_dump_json
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from freqtrade.resolvers import StrategyResolver
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from freqtrade.util import dt_ts, dt_utc
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from tests.conftest import (CURRENT_TEST_STRATEGY, EXMS, get_patched_exchange, log_has, log_has_re,
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patch_exchange)
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from tests.conftest import (
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CURRENT_TEST_STRATEGY,
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EXMS,
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get_patched_exchange,
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log_has,
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log_has_re,
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patch_exchange,
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)
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def _clean_test_file(file: Path) -> None:
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@@ -38,7 +50,7 @@ def _clean_test_file(file: Path) -> None:
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:param file: complete path to the file
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:return: None
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"""
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file_swp = Path(str(file) + '.swp')
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file_swp = Path(str(file) + ".swp")
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# 1. Delete file from the test
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if file.is_file():
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file.unlink()
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@@ -49,181 +61,197 @@ def _clean_test_file(file: Path) -> None:
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def test_load_data_30min_timeframe(caplog, testdatadir) -> None:
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ld = load_pair_history(pair='UNITTEST/BTC', timeframe='30m', datadir=testdatadir)
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ld = load_pair_history(pair="UNITTEST/BTC", timeframe="30m", datadir=testdatadir)
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assert isinstance(ld, DataFrame)
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assert not log_has(
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'Download history data for pair: "UNITTEST/BTC", timeframe: 30m '
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'and store in None.', caplog
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'Download history data for pair: "UNITTEST/BTC", timeframe: 30m ' "and store in None.",
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caplog,
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)
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def test_load_data_7min_timeframe(caplog, testdatadir) -> None:
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ld = load_pair_history(pair='UNITTEST/BTC', timeframe='7m', datadir=testdatadir)
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ld = load_pair_history(pair="UNITTEST/BTC", timeframe="7m", datadir=testdatadir)
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assert isinstance(ld, DataFrame)
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assert ld.empty
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assert log_has(
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'No history for UNITTEST/BTC, spot, 7m found. '
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'Use `freqtrade download-data` to download the data', caplog
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"No history for UNITTEST/BTC, spot, 7m found. "
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"Use `freqtrade download-data` to download the data",
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caplog,
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)
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def test_load_data_1min_timeframe(ohlcv_history, mocker, caplog, testdatadir) -> None:
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mocker.patch(f'{EXMS}.get_historic_ohlcv', return_value=ohlcv_history)
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file = testdatadir / 'UNITTEST_BTC-1m.feather'
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load_data(datadir=testdatadir, timeframe='1m', pairs=['UNITTEST/BTC'])
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mocker.patch(f"{EXMS}.get_historic_ohlcv", return_value=ohlcv_history)
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file = testdatadir / "UNITTEST_BTC-1m.feather"
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load_data(datadir=testdatadir, timeframe="1m", pairs=["UNITTEST/BTC"])
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assert file.is_file()
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assert not log_has(
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'Download history data for pair: "UNITTEST/BTC", interval: 1m '
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'and store in None.', caplog
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'Download history data for pair: "UNITTEST/BTC", interval: 1m ' "and store in None.", caplog
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)
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def test_load_data_mark(ohlcv_history, mocker, caplog, testdatadir) -> None:
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mocker.patch(f'{EXMS}.get_historic_ohlcv', return_value=ohlcv_history)
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file = testdatadir / 'futures/UNITTEST_USDT_USDT-1h-mark.feather'
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load_data(datadir=testdatadir, timeframe='1h', pairs=['UNITTEST/BTC'], candle_type='mark')
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mocker.patch(f"{EXMS}.get_historic_ohlcv", return_value=ohlcv_history)
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file = testdatadir / "futures/UNITTEST_USDT_USDT-1h-mark.feather"
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load_data(datadir=testdatadir, timeframe="1h", pairs=["UNITTEST/BTC"], candle_type="mark")
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assert file.is_file()
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assert not log_has(
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'Download history data for pair: "UNITTEST/USDT:USDT", interval: 1m '
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'and store in None.', caplog
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'Download history data for pair: "UNITTEST/USDT:USDT", interval: 1m ' "and store in None.",
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caplog,
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)
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def test_load_data_startup_candles(mocker, testdatadir) -> None:
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ltfmock = mocker.patch(
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'freqtrade.data.history.datahandlers.featherdatahandler.FeatherDataHandler._ohlcv_load',
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MagicMock(return_value=DataFrame()))
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timerange = TimeRange('date', None, 1510639620, 0)
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load_pair_history(pair='UNITTEST/BTC', timeframe='1m',
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datadir=testdatadir, timerange=timerange,
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startup_candles=20,)
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"freqtrade.data.history.datahandlers.featherdatahandler.FeatherDataHandler._ohlcv_load",
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MagicMock(return_value=DataFrame()),
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)
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timerange = TimeRange("date", None, 1510639620, 0)
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load_pair_history(
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pair="UNITTEST/BTC",
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timeframe="1m",
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datadir=testdatadir,
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timerange=timerange,
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startup_candles=20,
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)
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assert ltfmock.call_count == 1
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assert ltfmock.call_args_list[0][1]['timerange'] != timerange
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assert ltfmock.call_args_list[0][1]["timerange"] != timerange
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# startts is 20 minutes earlier
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assert ltfmock.call_args_list[0][1]['timerange'].startts == timerange.startts - 20 * 60
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assert ltfmock.call_args_list[0][1]["timerange"].startts == timerange.startts - 20 * 60
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@pytest.mark.parametrize('candle_type', ['mark', ''])
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def test_load_data_with_new_pair_1min(ohlcv_history_list, mocker, caplog,
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default_conf, tmp_path, candle_type) -> None:
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@pytest.mark.parametrize("candle_type", ["mark", ""])
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def test_load_data_with_new_pair_1min(
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ohlcv_history_list, mocker, caplog, default_conf, tmp_path, candle_type
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) -> None:
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"""
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Test load_pair_history() with 1 min timeframe
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"""
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mocker.patch(f'{EXMS}.get_historic_ohlcv', return_value=ohlcv_history_list)
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mocker.patch(f"{EXMS}.get_historic_ohlcv", return_value=ohlcv_history_list)
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exchange = get_patched_exchange(mocker, default_conf)
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file = tmp_path / 'MEME_BTC-1m.feather'
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file = tmp_path / "MEME_BTC-1m.feather"
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# do not download a new pair if refresh_pairs isn't set
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load_pair_history(datadir=tmp_path, timeframe='1m', pair='MEME/BTC', candle_type=candle_type)
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load_pair_history(datadir=tmp_path, timeframe="1m", pair="MEME/BTC", candle_type=candle_type)
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assert not file.is_file()
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assert log_has(
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f"No history for MEME/BTC, {candle_type}, 1m found. "
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"Use `freqtrade download-data` to download the data", caplog
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"Use `freqtrade download-data` to download the data",
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caplog,
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)
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# download a new pair if refresh_pairs is set
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refresh_data(datadir=tmp_path, timeframe='1m', pairs=['MEME/BTC'],
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exchange=exchange, candle_type=CandleType.SPOT
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)
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load_pair_history(datadir=tmp_path, timeframe='1m', pair='MEME/BTC', candle_type=candle_type)
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refresh_data(
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datadir=tmp_path,
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timeframe="1m",
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pairs=["MEME/BTC"],
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exchange=exchange,
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candle_type=CandleType.SPOT,
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)
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load_pair_history(datadir=tmp_path, timeframe="1m", pair="MEME/BTC", candle_type=candle_type)
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assert file.is_file()
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assert log_has_re(
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r'\(0/1\) - Download history data for "MEME/BTC", 1m, '
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r'spot and store in .*', caplog
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r'\(0/1\) - Download history data for "MEME/BTC", 1m, ' r"spot and store in .*", caplog
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)
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def test_testdata_path(testdatadir) -> None:
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assert str(Path('tests') / 'testdata') in str(testdatadir)
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assert str(Path("tests") / "testdata") in str(testdatadir)
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@pytest.mark.parametrize("pair,timeframe,expected_result,candle_type", [
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("ETH/BTC", "5m", "freqtrade/hello/world/ETH_BTC-5m.json", ""),
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("ETH/USDT", "1M", "freqtrade/hello/world/ETH_USDT-1Mo.json", ""),
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("Fabric Token/ETH", "5m", "freqtrade/hello/world/Fabric_Token_ETH-5m.json", ""),
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("ETHH20", "5m", "freqtrade/hello/world/ETHH20-5m.json", ""),
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(".XBTBON2H", "5m", "freqtrade/hello/world/_XBTBON2H-5m.json", ""),
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("ETHUSD.d", "5m", "freqtrade/hello/world/ETHUSD_d-5m.json", ""),
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("ACC_OLD/BTC", "5m", "freqtrade/hello/world/ACC_OLD_BTC-5m.json", ""),
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("ETH/BTC", "5m", "freqtrade/hello/world/futures/ETH_BTC-5m-mark.json", "mark"),
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("ACC_OLD/BTC", "5m", "freqtrade/hello/world/futures/ACC_OLD_BTC-5m-index.json", "index"),
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])
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@pytest.mark.parametrize(
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"pair,timeframe,expected_result,candle_type",
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[
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("ETH/BTC", "5m", "freqtrade/hello/world/ETH_BTC-5m.json", ""),
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("ETH/USDT", "1M", "freqtrade/hello/world/ETH_USDT-1Mo.json", ""),
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("Fabric Token/ETH", "5m", "freqtrade/hello/world/Fabric_Token_ETH-5m.json", ""),
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("ETHH20", "5m", "freqtrade/hello/world/ETHH20-5m.json", ""),
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(".XBTBON2H", "5m", "freqtrade/hello/world/_XBTBON2H-5m.json", ""),
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("ETHUSD.d", "5m", "freqtrade/hello/world/ETHUSD_d-5m.json", ""),
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("ACC_OLD/BTC", "5m", "freqtrade/hello/world/ACC_OLD_BTC-5m.json", ""),
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("ETH/BTC", "5m", "freqtrade/hello/world/futures/ETH_BTC-5m-mark.json", "mark"),
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("ACC_OLD/BTC", "5m", "freqtrade/hello/world/futures/ACC_OLD_BTC-5m-index.json", "index"),
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],
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)
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def test_json_pair_data_filename(pair, timeframe, expected_result, candle_type):
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fn = JsonDataHandler._pair_data_filename(
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Path('freqtrade/hello/world'),
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pair,
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timeframe,
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CandleType.from_string(candle_type)
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Path("freqtrade/hello/world"), pair, timeframe, CandleType.from_string(candle_type)
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)
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assert isinstance(fn, Path)
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assert fn == Path(expected_result)
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fn = JsonGzDataHandler._pair_data_filename(
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Path('freqtrade/hello/world'),
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Path("freqtrade/hello/world"),
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pair,
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timeframe,
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candle_type=CandleType.from_string(candle_type)
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candle_type=CandleType.from_string(candle_type),
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)
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assert isinstance(fn, Path)
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assert fn == Path(expected_result + '.gz')
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assert fn == Path(expected_result + ".gz")
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@pytest.mark.parametrize("pair,trading_mode,expected_result", [
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("ETH/BTC", '', 'freqtrade/hello/world/ETH_BTC-trades.json'),
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("ETH/USDT:USDT", 'futures', 'freqtrade/hello/world/futures/ETH_USDT_USDT-trades.json'),
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("Fabric Token/ETH", '', 'freqtrade/hello/world/Fabric_Token_ETH-trades.json'),
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("ETHH20", '', 'freqtrade/hello/world/ETHH20-trades.json'),
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(".XBTBON2H", '', 'freqtrade/hello/world/_XBTBON2H-trades.json'),
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("ETHUSD.d", '', 'freqtrade/hello/world/ETHUSD_d-trades.json'),
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("ACC_OLD_BTC", '', 'freqtrade/hello/world/ACC_OLD_BTC-trades.json'),
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])
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@pytest.mark.parametrize(
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"pair,trading_mode,expected_result",
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[
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("ETH/BTC", "", "freqtrade/hello/world/ETH_BTC-trades.json"),
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("ETH/USDT:USDT", "futures", "freqtrade/hello/world/futures/ETH_USDT_USDT-trades.json"),
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("Fabric Token/ETH", "", "freqtrade/hello/world/Fabric_Token_ETH-trades.json"),
|
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("ETHH20", "", "freqtrade/hello/world/ETHH20-trades.json"),
|
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(".XBTBON2H", "", "freqtrade/hello/world/_XBTBON2H-trades.json"),
|
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("ETHUSD.d", "", "freqtrade/hello/world/ETHUSD_d-trades.json"),
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("ACC_OLD_BTC", "", "freqtrade/hello/world/ACC_OLD_BTC-trades.json"),
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],
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)
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def test_json_pair_trades_filename(pair, trading_mode, expected_result):
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fn = JsonDataHandler._pair_trades_filename(Path('freqtrade/hello/world'), pair, trading_mode)
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fn = JsonDataHandler._pair_trades_filename(Path("freqtrade/hello/world"), pair, trading_mode)
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assert isinstance(fn, Path)
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assert fn == Path(expected_result)
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fn = JsonGzDataHandler._pair_trades_filename(Path('freqtrade/hello/world'), pair, trading_mode)
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fn = JsonGzDataHandler._pair_trades_filename(Path("freqtrade/hello/world"), pair, trading_mode)
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assert isinstance(fn, Path)
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assert fn == Path(expected_result + '.gz')
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assert fn == Path(expected_result + ".gz")
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def test_load_cached_data_for_updating(mocker, testdatadir) -> None:
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||||
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data_handler = get_datahandler(testdatadir, 'json')
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data_handler = get_datahandler(testdatadir, "json")
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test_data = None
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test_filename = testdatadir.joinpath('UNITTEST_BTC-1m.json')
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test_filename = testdatadir.joinpath("UNITTEST_BTC-1m.json")
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with test_filename.open("rt") as file:
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test_data = json.load(file)
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test_data_df = ohlcv_to_dataframe(test_data, '1m', 'UNITTEST/BTC',
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fill_missing=False, drop_incomplete=False)
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test_data_df = ohlcv_to_dataframe(
|
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test_data, "1m", "UNITTEST/BTC", fill_missing=False, drop_incomplete=False
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||||
)
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||||
# now = last cached item + 1 hour
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||||
now_ts = test_data[-1][0] / 1000 + 60 * 60
|
||||
|
||||
# timeframe starts earlier than the cached data
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||||
# should fully update data
|
||||
timerange = TimeRange('date', None, test_data[0][0] / 1000 - 1, 0)
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||||
timerange = TimeRange("date", None, test_data[0][0] / 1000 - 1, 0)
|
||||
data, start_ts, end_ts = _load_cached_data_for_updating(
|
||||
'UNITTEST/BTC', '1m', timerange, data_handler, CandleType.SPOT)
|
||||
"UNITTEST/BTC", "1m", timerange, data_handler, CandleType.SPOT
|
||||
)
|
||||
assert data.empty
|
||||
assert start_ts == test_data[0][0] - 1000
|
||||
assert end_ts is None
|
||||
|
||||
# timeframe starts earlier than the cached data - prepending
|
||||
|
||||
timerange = TimeRange('date', None, test_data[0][0] / 1000 - 1, 0)
|
||||
timerange = TimeRange("date", None, test_data[0][0] / 1000 - 1, 0)
|
||||
data, start_ts, end_ts = _load_cached_data_for_updating(
|
||||
'UNITTEST/BTC', '1m', timerange, data_handler, CandleType.SPOT, True)
|
||||
"UNITTEST/BTC", "1m", timerange, data_handler, CandleType.SPOT, True
|
||||
)
|
||||
assert_frame_equal(data, test_data_df.iloc[:-1])
|
||||
assert start_ts == test_data[0][0] - 1000
|
||||
assert end_ts == test_data[0][0]
|
||||
|
||||
# timeframe starts in the center of the cached data
|
||||
# should return the cached data w/o the last item
|
||||
timerange = TimeRange('date', None, test_data[0][0] / 1000 + 1, 0)
|
||||
timerange = TimeRange("date", None, test_data[0][0] / 1000 + 1, 0)
|
||||
data, start_ts, end_ts = _load_cached_data_for_updating(
|
||||
'UNITTEST/BTC', '1m', timerange, data_handler, CandleType.SPOT)
|
||||
"UNITTEST/BTC", "1m", timerange, data_handler, CandleType.SPOT
|
||||
)
|
||||
|
||||
assert_frame_equal(data, test_data_df.iloc[:-1])
|
||||
assert test_data[-2][0] <= start_ts < test_data[-1][0]
|
||||
@@ -231,27 +259,30 @@ def test_load_cached_data_for_updating(mocker, testdatadir) -> None:
|
||||
|
||||
# timeframe starts after the cached data
|
||||
# should return the cached data w/o the last item
|
||||
timerange = TimeRange('date', None, test_data[-1][0] / 1000 + 100, 0)
|
||||
timerange = TimeRange("date", None, test_data[-1][0] / 1000 + 100, 0)
|
||||
data, start_ts, end_ts = _load_cached_data_for_updating(
|
||||
'UNITTEST/BTC', '1m', timerange, data_handler, CandleType.SPOT)
|
||||
"UNITTEST/BTC", "1m", timerange, data_handler, CandleType.SPOT
|
||||
)
|
||||
assert_frame_equal(data, test_data_df.iloc[:-1])
|
||||
assert test_data[-2][0] <= start_ts < test_data[-1][0]
|
||||
assert end_ts is None
|
||||
|
||||
# no datafile exist
|
||||
# should return timestamp start time
|
||||
timerange = TimeRange('date', None, now_ts - 10000, 0)
|
||||
timerange = TimeRange("date", None, now_ts - 10000, 0)
|
||||
data, start_ts, end_ts = _load_cached_data_for_updating(
|
||||
'NONEXIST/BTC', '1m', timerange, data_handler, CandleType.SPOT)
|
||||
"NONEXIST/BTC", "1m", timerange, data_handler, CandleType.SPOT
|
||||
)
|
||||
assert data.empty
|
||||
assert start_ts == (now_ts - 10000) * 1000
|
||||
assert end_ts is None
|
||||
|
||||
# no datafile exist
|
||||
# should return timestamp start and end time time
|
||||
timerange = TimeRange('date', 'date', now_ts - 1000000, now_ts - 100000)
|
||||
timerange = TimeRange("date", "date", now_ts - 1000000, now_ts - 100000)
|
||||
data, start_ts, end_ts = _load_cached_data_for_updating(
|
||||
'NONEXIST/BTC', '1m', timerange, data_handler, CandleType.SPOT)
|
||||
"NONEXIST/BTC", "1m", timerange, data_handler, CandleType.SPOT
|
||||
)
|
||||
assert data.empty
|
||||
assert start_ts == (now_ts - 1000000) * 1000
|
||||
assert end_ts == (now_ts - 100000) * 1000
|
||||
@@ -259,43 +290,43 @@ def test_load_cached_data_for_updating(mocker, testdatadir) -> None:
|
||||
# no datafile exist, no timeframe is set
|
||||
# should return an empty array and None
|
||||
data, start_ts, end_ts = _load_cached_data_for_updating(
|
||||
'NONEXIST/BTC', '1m', None, data_handler, CandleType.SPOT)
|
||||
"NONEXIST/BTC", "1m", None, data_handler, CandleType.SPOT
|
||||
)
|
||||
assert data.empty
|
||||
assert start_ts is None
|
||||
assert end_ts is None
|
||||
|
||||
|
||||
@pytest.mark.parametrize('candle_type,subdir,file_tail', [
|
||||
('mark', 'futures/', '-mark'),
|
||||
('spot', '', ''),
|
||||
])
|
||||
@pytest.mark.parametrize(
|
||||
"candle_type,subdir,file_tail",
|
||||
[
|
||||
("mark", "futures/", "-mark"),
|
||||
("spot", "", ""),
|
||||
],
|
||||
)
|
||||
def test_download_pair_history(
|
||||
ohlcv_history_list,
|
||||
mocker,
|
||||
default_conf,
|
||||
tmp_path,
|
||||
candle_type,
|
||||
subdir,
|
||||
file_tail
|
||||
ohlcv_history_list, mocker, default_conf, tmp_path, candle_type, subdir, file_tail
|
||||
) -> None:
|
||||
mocker.patch(f'{EXMS}.get_historic_ohlcv', return_value=ohlcv_history_list)
|
||||
mocker.patch(f"{EXMS}.get_historic_ohlcv", return_value=ohlcv_history_list)
|
||||
exchange = get_patched_exchange(mocker, default_conf)
|
||||
file1_1 = tmp_path / f'{subdir}MEME_BTC-1m{file_tail}.feather'
|
||||
file1_5 = tmp_path / f'{subdir}MEME_BTC-5m{file_tail}.feather'
|
||||
file2_1 = tmp_path / f'{subdir}CFI_BTC-1m{file_tail}.feather'
|
||||
file2_5 = tmp_path / f'{subdir}CFI_BTC-5m{file_tail}.feather'
|
||||
file1_1 = tmp_path / f"{subdir}MEME_BTC-1m{file_tail}.feather"
|
||||
file1_5 = tmp_path / f"{subdir}MEME_BTC-5m{file_tail}.feather"
|
||||
file2_1 = tmp_path / f"{subdir}CFI_BTC-1m{file_tail}.feather"
|
||||
file2_5 = tmp_path / f"{subdir}CFI_BTC-5m{file_tail}.feather"
|
||||
|
||||
assert not file1_1.is_file()
|
||||
assert not file2_1.is_file()
|
||||
|
||||
assert _download_pair_history(datadir=tmp_path, exchange=exchange,
|
||||
pair='MEME/BTC',
|
||||
timeframe='1m',
|
||||
candle_type=candle_type)
|
||||
assert _download_pair_history(datadir=tmp_path, exchange=exchange,
|
||||
pair='CFI/BTC',
|
||||
timeframe='1m',
|
||||
candle_type=candle_type)
|
||||
assert _download_pair_history(
|
||||
datadir=tmp_path,
|
||||
exchange=exchange,
|
||||
pair="MEME/BTC",
|
||||
timeframe="1m",
|
||||
candle_type=candle_type,
|
||||
)
|
||||
assert _download_pair_history(
|
||||
datadir=tmp_path, exchange=exchange, pair="CFI/BTC", timeframe="1m", candle_type=candle_type
|
||||
)
|
||||
assert not exchange._pairs_last_refresh_time
|
||||
assert file1_1.is_file()
|
||||
assert file2_1.is_file()
|
||||
@@ -307,14 +338,16 @@ def test_download_pair_history(
|
||||
assert not file1_5.is_file()
|
||||
assert not file2_5.is_file()
|
||||
|
||||
assert _download_pair_history(datadir=tmp_path, exchange=exchange,
|
||||
pair='MEME/BTC',
|
||||
timeframe='5m',
|
||||
candle_type=candle_type)
|
||||
assert _download_pair_history(datadir=tmp_path, exchange=exchange,
|
||||
pair='CFI/BTC',
|
||||
timeframe='5m',
|
||||
candle_type=candle_type)
|
||||
assert _download_pair_history(
|
||||
datadir=tmp_path,
|
||||
exchange=exchange,
|
||||
pair="MEME/BTC",
|
||||
timeframe="5m",
|
||||
candle_type=candle_type,
|
||||
)
|
||||
assert _download_pair_history(
|
||||
datadir=tmp_path, exchange=exchange, pair="CFI/BTC", timeframe="5m", candle_type=candle_type
|
||||
)
|
||||
assert not exchange._pairs_last_refresh_time
|
||||
assert file1_5.is_file()
|
||||
assert file2_5.is_file()
|
||||
@@ -323,30 +356,45 @@ def test_download_pair_history(
|
||||
def test_download_pair_history2(mocker, default_conf, testdatadir) -> None:
|
||||
tick = [
|
||||
[1509836520000, 0.00162008, 0.00162008, 0.00162008, 0.00162008, 108.14853839],
|
||||
[1509836580000, 0.00161, 0.00161, 0.00161, 0.00161, 82.390199]
|
||||
[1509836580000, 0.00161, 0.00161, 0.00161, 0.00161, 82.390199],
|
||||
]
|
||||
json_dump_mock = mocker.patch(
|
||||
'freqtrade.data.history.datahandlers.featherdatahandler.FeatherDataHandler.ohlcv_store',
|
||||
return_value=None)
|
||||
mocker.patch(f'{EXMS}.get_historic_ohlcv', return_value=tick)
|
||||
"freqtrade.data.history.datahandlers.featherdatahandler.FeatherDataHandler.ohlcv_store",
|
||||
return_value=None,
|
||||
)
|
||||
mocker.patch(f"{EXMS}.get_historic_ohlcv", return_value=tick)
|
||||
exchange = get_patched_exchange(mocker, default_conf)
|
||||
_download_pair_history(datadir=testdatadir, exchange=exchange, pair="UNITTEST/BTC",
|
||||
timeframe='1m', candle_type='spot')
|
||||
_download_pair_history(datadir=testdatadir, exchange=exchange, pair="UNITTEST/BTC",
|
||||
timeframe='3m', candle_type='spot')
|
||||
_download_pair_history(datadir=testdatadir, exchange=exchange, pair="UNITTEST/USDT",
|
||||
timeframe='1h', candle_type='mark')
|
||||
_download_pair_history(
|
||||
datadir=testdatadir,
|
||||
exchange=exchange,
|
||||
pair="UNITTEST/BTC",
|
||||
timeframe="1m",
|
||||
candle_type="spot",
|
||||
)
|
||||
_download_pair_history(
|
||||
datadir=testdatadir,
|
||||
exchange=exchange,
|
||||
pair="UNITTEST/BTC",
|
||||
timeframe="3m",
|
||||
candle_type="spot",
|
||||
)
|
||||
_download_pair_history(
|
||||
datadir=testdatadir,
|
||||
exchange=exchange,
|
||||
pair="UNITTEST/USDT",
|
||||
timeframe="1h",
|
||||
candle_type="mark",
|
||||
)
|
||||
assert json_dump_mock.call_count == 3
|
||||
|
||||
|
||||
def test_download_backtesting_data_exception(mocker, caplog, default_conf, tmp_path) -> None:
|
||||
mocker.patch(f'{EXMS}.get_historic_ohlcv',
|
||||
side_effect=Exception('File Error'))
|
||||
mocker.patch(f"{EXMS}.get_historic_ohlcv", side_effect=Exception("File Error"))
|
||||
exchange = get_patched_exchange(mocker, default_conf)
|
||||
|
||||
assert not _download_pair_history(datadir=tmp_path, exchange=exchange,
|
||||
pair='MEME/BTC',
|
||||
timeframe='1m', candle_type='spot')
|
||||
assert not _download_pair_history(
|
||||
datadir=tmp_path, exchange=exchange, pair="MEME/BTC", timeframe="1m", candle_type="spot"
|
||||
)
|
||||
assert log_has('Failed to download history data for pair: "MEME/BTC", timeframe: 1m.', caplog)
|
||||
|
||||
|
||||
@@ -354,41 +402,46 @@ def test_load_partial_missing(testdatadir, caplog) -> None:
|
||||
# Make sure we start fresh - test missing data at start
|
||||
start = dt_utc(2018, 1, 1)
|
||||
end = dt_utc(2018, 1, 11)
|
||||
data = load_data(testdatadir, '5m', ['UNITTEST/BTC'], startup_candles=20,
|
||||
timerange=TimeRange('date', 'date', start.timestamp(), end.timestamp()))
|
||||
assert log_has(
|
||||
'Using indicator startup period: 20 ...', caplog
|
||||
data = load_data(
|
||||
testdatadir,
|
||||
"5m",
|
||||
["UNITTEST/BTC"],
|
||||
startup_candles=20,
|
||||
timerange=TimeRange("date", "date", start.timestamp(), end.timestamp()),
|
||||
)
|
||||
assert log_has("Using indicator startup period: 20 ...", caplog)
|
||||
# timedifference in 5 minutes
|
||||
td = ((end - start).total_seconds() // 60 // 5) + 1
|
||||
assert td != len(data['UNITTEST/BTC'])
|
||||
start_real = data['UNITTEST/BTC'].iloc[0, 0]
|
||||
assert log_has(f'UNITTEST/BTC, spot, 5m, '
|
||||
f'data starts at {start_real.strftime(DATETIME_PRINT_FORMAT)}',
|
||||
caplog)
|
||||
assert td != len(data["UNITTEST/BTC"])
|
||||
start_real = data["UNITTEST/BTC"].iloc[0, 0]
|
||||
assert log_has(
|
||||
f"UNITTEST/BTC, spot, 5m, data starts at {start_real.strftime(DATETIME_PRINT_FORMAT)}",
|
||||
caplog,
|
||||
)
|
||||
# Make sure we start fresh - test missing data at end
|
||||
caplog.clear()
|
||||
start = dt_utc(2018, 1, 10)
|
||||
end = dt_utc(2018, 2, 20)
|
||||
data = load_data(datadir=testdatadir, timeframe='5m', pairs=['UNITTEST/BTC'],
|
||||
timerange=TimeRange('date', 'date', start.timestamp(), end.timestamp()))
|
||||
data = load_data(
|
||||
datadir=testdatadir,
|
||||
timeframe="5m",
|
||||
pairs=["UNITTEST/BTC"],
|
||||
timerange=TimeRange("date", "date", start.timestamp(), end.timestamp()),
|
||||
)
|
||||
# timedifference in 5 minutes
|
||||
td = ((end - start).total_seconds() // 60 // 5) + 1
|
||||
assert td != len(data['UNITTEST/BTC'])
|
||||
assert td != len(data["UNITTEST/BTC"])
|
||||
|
||||
# Shift endtime with +5
|
||||
end_real = data['UNITTEST/BTC'].iloc[-1, 0].to_pydatetime()
|
||||
assert log_has(f'UNITTEST/BTC, spot, 5m, '
|
||||
f'data ends at {end_real.strftime(DATETIME_PRINT_FORMAT)}',
|
||||
caplog)
|
||||
end_real = data["UNITTEST/BTC"].iloc[-1, 0].to_pydatetime()
|
||||
assert log_has(
|
||||
f"UNITTEST/BTC, spot, 5m, data ends at {end_real.strftime(DATETIME_PRINT_FORMAT)}",
|
||||
caplog,
|
||||
)
|
||||
|
||||
|
||||
def test_init(default_conf) -> None:
|
||||
assert {} == load_data(
|
||||
datadir=Path(),
|
||||
pairs=[],
|
||||
timeframe=default_conf['timeframe']
|
||||
)
|
||||
assert {} == load_data(datadir=Path(), pairs=[], timeframe=default_conf["timeframe"])
|
||||
|
||||
|
||||
def test_init_with_refresh(default_conf, mocker) -> None:
|
||||
@@ -396,20 +449,16 @@ def test_init_with_refresh(default_conf, mocker) -> None:
|
||||
refresh_data(
|
||||
datadir=Path(),
|
||||
pairs=[],
|
||||
timeframe=default_conf['timeframe'],
|
||||
timeframe=default_conf["timeframe"],
|
||||
exchange=exchange,
|
||||
candle_type=CandleType.SPOT
|
||||
)
|
||||
assert {} == load_data(
|
||||
datadir=Path(),
|
||||
pairs=[],
|
||||
timeframe=default_conf['timeframe']
|
||||
candle_type=CandleType.SPOT,
|
||||
)
|
||||
assert {} == load_data(datadir=Path(), pairs=[], timeframe=default_conf["timeframe"])
|
||||
|
||||
|
||||
def test_file_dump_json_tofile(testdatadir) -> None:
|
||||
file = testdatadir / f'test_{uuid.uuid4()}.json'
|
||||
data = {'bar': 'foo'}
|
||||
file = testdatadir / f"test_{uuid.uuid4()}.json"
|
||||
data = {"bar": "foo"}
|
||||
|
||||
# check the file we will create does not exist
|
||||
assert not file.is_file()
|
||||
@@ -424,8 +473,8 @@ def test_file_dump_json_tofile(testdatadir) -> None:
|
||||
with file.open() as data_file:
|
||||
json_from_file = json.load(data_file)
|
||||
|
||||
assert 'bar' in json_from_file
|
||||
assert json_from_file['bar'] == 'foo'
|
||||
assert "bar" in json_from_file
|
||||
assert json_from_file["bar"] == "foo"
|
||||
|
||||
# Remove the file
|
||||
_clean_test_file(file)
|
||||
@@ -434,113 +483,116 @@ def test_file_dump_json_tofile(testdatadir) -> None:
|
||||
def test_get_timerange(default_conf, mocker, testdatadir) -> None:
|
||||
patch_exchange(mocker)
|
||||
|
||||
default_conf.update({'strategy': CURRENT_TEST_STRATEGY})
|
||||
default_conf.update({"strategy": CURRENT_TEST_STRATEGY})
|
||||
strategy = StrategyResolver.load_strategy(default_conf)
|
||||
|
||||
data = strategy.advise_all_indicators(
|
||||
load_data(
|
||||
datadir=testdatadir,
|
||||
timeframe='1m',
|
||||
pairs=['UNITTEST/BTC']
|
||||
)
|
||||
load_data(datadir=testdatadir, timeframe="1m", pairs=["UNITTEST/BTC"])
|
||||
)
|
||||
min_date, max_date = get_timerange(data)
|
||||
assert min_date.isoformat() == '2017-11-04T23:02:00+00:00'
|
||||
assert max_date.isoformat() == '2017-11-14T22:59:00+00:00'
|
||||
assert min_date.isoformat() == "2017-11-04T23:02:00+00:00"
|
||||
assert max_date.isoformat() == "2017-11-14T22:59:00+00:00"
|
||||
|
||||
|
||||
def test_validate_backtest_data_warn(default_conf, mocker, caplog, testdatadir) -> None:
|
||||
patch_exchange(mocker)
|
||||
|
||||
default_conf.update({'strategy': CURRENT_TEST_STRATEGY})
|
||||
default_conf.update({"strategy": CURRENT_TEST_STRATEGY})
|
||||
strategy = StrategyResolver.load_strategy(default_conf)
|
||||
|
||||
data = strategy.advise_all_indicators(
|
||||
load_data(
|
||||
datadir=testdatadir,
|
||||
timeframe='1m',
|
||||
pairs=['UNITTEST/BTC'],
|
||||
fill_up_missing=False
|
||||
datadir=testdatadir, timeframe="1m", pairs=["UNITTEST/BTC"], fill_up_missing=False
|
||||
)
|
||||
)
|
||||
min_date, max_date = get_timerange(data)
|
||||
caplog.clear()
|
||||
assert validate_backtest_data(data['UNITTEST/BTC'], 'UNITTEST/BTC',
|
||||
min_date, max_date, timeframe_to_minutes('1m'))
|
||||
assert validate_backtest_data(
|
||||
data["UNITTEST/BTC"], "UNITTEST/BTC", min_date, max_date, timeframe_to_minutes("1m")
|
||||
)
|
||||
assert len(caplog.record_tuples) == 1
|
||||
assert log_has(
|
||||
"UNITTEST/BTC has missing frames: expected 14397, got 13681, that's 716 missing values",
|
||||
caplog)
|
||||
caplog,
|
||||
)
|
||||
|
||||
|
||||
def test_validate_backtest_data(default_conf, mocker, caplog, testdatadir) -> None:
|
||||
patch_exchange(mocker)
|
||||
|
||||
default_conf.update({'strategy': CURRENT_TEST_STRATEGY})
|
||||
default_conf.update({"strategy": CURRENT_TEST_STRATEGY})
|
||||
strategy = StrategyResolver.load_strategy(default_conf)
|
||||
|
||||
timerange = TimeRange()
|
||||
data = strategy.advise_all_indicators(
|
||||
load_data(
|
||||
datadir=testdatadir,
|
||||
timeframe='5m',
|
||||
pairs=['UNITTEST/BTC'],
|
||||
timerange=timerange
|
||||
)
|
||||
load_data(datadir=testdatadir, timeframe="5m", pairs=["UNITTEST/BTC"], timerange=timerange)
|
||||
)
|
||||
|
||||
min_date, max_date = get_timerange(data)
|
||||
caplog.clear()
|
||||
assert not validate_backtest_data(data['UNITTEST/BTC'], 'UNITTEST/BTC',
|
||||
min_date, max_date, timeframe_to_minutes('5m'))
|
||||
assert not validate_backtest_data(
|
||||
data["UNITTEST/BTC"], "UNITTEST/BTC", min_date, max_date, timeframe_to_minutes("5m")
|
||||
)
|
||||
assert len(caplog.record_tuples) == 0
|
||||
|
||||
|
||||
@pytest.mark.parametrize('trademode,callcount', [
|
||||
('spot', 4),
|
||||
('margin', 4),
|
||||
('futures', 8), # Called 8 times - 4 normal, 2 funding and 2 mark/index calls
|
||||
])
|
||||
@pytest.mark.parametrize(
|
||||
"trademode,callcount",
|
||||
[
|
||||
("spot", 4),
|
||||
("margin", 4),
|
||||
("futures", 8), # Called 8 times - 4 normal, 2 funding and 2 mark/index calls
|
||||
],
|
||||
)
|
||||
def test_refresh_backtest_ohlcv_data(
|
||||
mocker, default_conf, markets, caplog, testdatadir, trademode, callcount):
|
||||
mocker, default_conf, markets, caplog, testdatadir, trademode, callcount
|
||||
):
|
||||
caplog.set_level(logging.DEBUG)
|
||||
dl_mock = mocker.patch('freqtrade.data.history.history_utils._download_pair_history')
|
||||
mocker.patch(f'{EXMS}.markets', PropertyMock(return_value=markets))
|
||||
dl_mock = mocker.patch("freqtrade.data.history.history_utils._download_pair_history")
|
||||
mocker.patch(f"{EXMS}.markets", PropertyMock(return_value=markets))
|
||||
|
||||
mocker.patch.object(Path, "exists", MagicMock(return_value=True))
|
||||
mocker.patch.object(Path, "unlink", MagicMock())
|
||||
default_conf['trading_mode'] = trademode
|
||||
default_conf["trading_mode"] = trademode
|
||||
|
||||
ex = get_patched_exchange(mocker, default_conf, id='bybit')
|
||||
ex = get_patched_exchange(mocker, default_conf, id="bybit")
|
||||
timerange = TimeRange.parse_timerange("20190101-20190102")
|
||||
refresh_backtest_ohlcv_data(exchange=ex, pairs=["ETH/BTC", "XRP/BTC"],
|
||||
timeframes=["1m", "5m"], datadir=testdatadir,
|
||||
timerange=timerange, erase=True,
|
||||
trading_mode=trademode
|
||||
)
|
||||
refresh_backtest_ohlcv_data(
|
||||
exchange=ex,
|
||||
pairs=["ETH/BTC", "XRP/BTC"],
|
||||
timeframes=["1m", "5m"],
|
||||
datadir=testdatadir,
|
||||
timerange=timerange,
|
||||
erase=True,
|
||||
trading_mode=trademode,
|
||||
)
|
||||
|
||||
assert dl_mock.call_count == callcount
|
||||
assert dl_mock.call_args[1]['timerange'].starttype == 'date'
|
||||
assert dl_mock.call_args[1]["timerange"].starttype == "date"
|
||||
|
||||
assert log_has_re(r"Downloading pair ETH/BTC, .* interval 1m\.", caplog)
|
||||
if trademode == 'futures':
|
||||
if trademode == "futures":
|
||||
assert log_has_re(r"Downloading pair ETH/BTC, funding_rate, interval 8h\.", caplog)
|
||||
assert log_has_re(r"Downloading pair ETH/BTC, mark, interval 4h\.", caplog)
|
||||
|
||||
|
||||
def test_download_data_no_markets(mocker, default_conf, caplog, testdatadir):
|
||||
dl_mock = mocker.patch('freqtrade.data.history.history_utils._download_pair_history',
|
||||
MagicMock())
|
||||
dl_mock = mocker.patch(
|
||||
"freqtrade.data.history.history_utils._download_pair_history", MagicMock()
|
||||
)
|
||||
|
||||
ex = get_patched_exchange(mocker, default_conf)
|
||||
mocker.patch(f'{EXMS}.markets', PropertyMock(return_value={}))
|
||||
mocker.patch(f"{EXMS}.markets", PropertyMock(return_value={}))
|
||||
timerange = TimeRange.parse_timerange("20190101-20190102")
|
||||
unav_pairs = refresh_backtest_ohlcv_data(exchange=ex, pairs=["BTT/BTC", "LTC/USDT"],
|
||||
timeframes=["1m", "5m"],
|
||||
datadir=testdatadir,
|
||||
timerange=timerange, erase=False,
|
||||
trading_mode='spot'
|
||||
)
|
||||
unav_pairs = refresh_backtest_ohlcv_data(
|
||||
exchange=ex,
|
||||
pairs=["BTT/BTC", "LTC/USDT"],
|
||||
timeframes=["1m", "5m"],
|
||||
datadir=testdatadir,
|
||||
timerange=timerange,
|
||||
erase=False,
|
||||
trading_mode="spot",
|
||||
)
|
||||
|
||||
assert dl_mock.call_count == 0
|
||||
assert "BTT/BTC" in unav_pairs
|
||||
@@ -549,90 +601,103 @@ def test_download_data_no_markets(mocker, default_conf, caplog, testdatadir):
|
||||
|
||||
|
||||
def test_refresh_backtest_trades_data(mocker, default_conf, markets, caplog, testdatadir):
|
||||
dl_mock = mocker.patch('freqtrade.data.history.history_utils._download_trades_history',
|
||||
MagicMock())
|
||||
mocker.patch(f'{EXMS}.markets', PropertyMock(return_value=markets))
|
||||
dl_mock = mocker.patch(
|
||||
"freqtrade.data.history.history_utils._download_trades_history", MagicMock()
|
||||
)
|
||||
mocker.patch(f"{EXMS}.markets", PropertyMock(return_value=markets))
|
||||
mocker.patch.object(Path, "exists", MagicMock(return_value=True))
|
||||
mocker.patch.object(Path, "unlink", MagicMock())
|
||||
|
||||
ex = get_patched_exchange(mocker, default_conf)
|
||||
timerange = TimeRange.parse_timerange("20190101-20190102")
|
||||
unavailable_pairs = refresh_backtest_trades_data(exchange=ex,
|
||||
pairs=["ETH/BTC", "XRP/BTC", "XRP/ETH"],
|
||||
datadir=testdatadir,
|
||||
timerange=timerange, erase=True,
|
||||
trading_mode=TradingMode.SPOT,
|
||||
)
|
||||
unavailable_pairs = refresh_backtest_trades_data(
|
||||
exchange=ex,
|
||||
pairs=["ETH/BTC", "XRP/BTC", "XRP/ETH"],
|
||||
datadir=testdatadir,
|
||||
timerange=timerange,
|
||||
erase=True,
|
||||
trading_mode=TradingMode.SPOT,
|
||||
)
|
||||
|
||||
assert dl_mock.call_count == 2
|
||||
assert dl_mock.call_args[1]['timerange'].starttype == 'date'
|
||||
assert dl_mock.call_args[1]["timerange"].starttype == "date"
|
||||
|
||||
assert log_has("Downloading trades for pair ETH/BTC.", caplog)
|
||||
assert unavailable_pairs == ["XRP/ETH"]
|
||||
assert log_has("Skipping pair XRP/ETH...", caplog)
|
||||
|
||||
|
||||
def test_download_trades_history(trades_history, mocker, default_conf, testdatadir, caplog,
|
||||
tmp_path, time_machine) -> None:
|
||||
def test_download_trades_history(
|
||||
trades_history, mocker, default_conf, testdatadir, caplog, tmp_path, time_machine
|
||||
) -> None:
|
||||
start_dt = dt_utc(2023, 1, 1)
|
||||
time_machine.move_to(start_dt, tick=False)
|
||||
|
||||
ght_mock = MagicMock(side_effect=lambda pair, *args, **kwargs: (pair, trades_history))
|
||||
mocker.patch(f'{EXMS}.get_historic_trades', ght_mock)
|
||||
mocker.patch(f"{EXMS}.get_historic_trades", ght_mock)
|
||||
exchange = get_patched_exchange(mocker, default_conf)
|
||||
file1 = tmp_path / 'ETH_BTC-trades.json.gz'
|
||||
data_handler = get_datahandler(tmp_path, data_format='jsongz')
|
||||
file1 = tmp_path / "ETH_BTC-trades.json.gz"
|
||||
data_handler = get_datahandler(tmp_path, data_format="jsongz")
|
||||
|
||||
assert not file1.is_file()
|
||||
|
||||
assert _download_trades_history(data_handler=data_handler, exchange=exchange,
|
||||
pair='ETH/BTC', trading_mode=TradingMode.SPOT)
|
||||
assert _download_trades_history(
|
||||
data_handler=data_handler, exchange=exchange, pair="ETH/BTC", trading_mode=TradingMode.SPOT
|
||||
)
|
||||
assert log_has("Current Amount of trades: 0", caplog)
|
||||
assert log_has("New Amount of trades: 6", caplog)
|
||||
assert ght_mock.call_count == 1
|
||||
# Default "since" - 30 days before current day.
|
||||
assert ght_mock.call_args_list[0][1]['since'] == dt_ts(start_dt - timedelta(days=30))
|
||||
assert ght_mock.call_args_list[0][1]["since"] == dt_ts(start_dt - timedelta(days=30))
|
||||
assert file1.is_file()
|
||||
caplog.clear()
|
||||
|
||||
ght_mock.reset_mock()
|
||||
since_time = int(trades_history[-3][0] // 1000)
|
||||
since_time2 = int(trades_history[-1][0] // 1000)
|
||||
timerange = TimeRange('date', None, since_time, 0)
|
||||
timerange = TimeRange("date", None, since_time, 0)
|
||||
assert _download_trades_history(
|
||||
data_handler=data_handler, exchange=exchange, pair='ETH/BTC',
|
||||
timerange=timerange, trading_mode=TradingMode.SPOT)
|
||||
data_handler=data_handler,
|
||||
exchange=exchange,
|
||||
pair="ETH/BTC",
|
||||
timerange=timerange,
|
||||
trading_mode=TradingMode.SPOT,
|
||||
)
|
||||
|
||||
assert ght_mock.call_count == 1
|
||||
# Check this in seconds - since we had to convert to seconds above too.
|
||||
assert int(ght_mock.call_args_list[0][1]['since'] // 1000) == since_time2 - 5
|
||||
assert ght_mock.call_args_list[0][1]['from_id'] is not None
|
||||
assert int(ght_mock.call_args_list[0][1]["since"] // 1000) == since_time2 - 5
|
||||
assert ght_mock.call_args_list[0][1]["from_id"] is not None
|
||||
|
||||
file1.unlink()
|
||||
|
||||
mocker.patch(f'{EXMS}.get_historic_trades', MagicMock(side_effect=ValueError))
|
||||
mocker.patch(f"{EXMS}.get_historic_trades", MagicMock(side_effect=ValueError))
|
||||
caplog.clear()
|
||||
|
||||
assert not _download_trades_history(data_handler=data_handler, exchange=exchange,
|
||||
pair='ETH/BTC', trading_mode=TradingMode.SPOT)
|
||||
assert log_has_re('Failed to download and store historic trades for pair: "ETH/BTC".*', caplog)
|
||||
|
||||
file2 = tmp_path / 'XRP_ETH-trades.json.gz'
|
||||
file2 = tmp_path / "XRP_ETH-trades.json.gz"
|
||||
copyfile(testdatadir / file2.name, file2)
|
||||
|
||||
ght_mock.reset_mock()
|
||||
mocker.patch(f'{EXMS}.get_historic_trades', ght_mock)
|
||||
mocker.patch(f"{EXMS}.get_historic_trades", ght_mock)
|
||||
# Since before first start date
|
||||
since_time = int(trades_history[0][0] // 1000) - 500
|
||||
timerange = TimeRange('date', None, since_time, 0)
|
||||
timerange = TimeRange("date", None, since_time, 0)
|
||||
|
||||
assert _download_trades_history(
|
||||
data_handler=data_handler, exchange=exchange, pair='XRP/ETH',
|
||||
timerange=timerange, trading_mode=TradingMode.SPOT)
|
||||
data_handler=data_handler,
|
||||
exchange=exchange,
|
||||
pair="XRP/ETH",
|
||||
timerange=timerange,
|
||||
trading_mode=TradingMode.SPOT,
|
||||
)
|
||||
|
||||
assert ght_mock.call_count == 1
|
||||
|
||||
assert int(ght_mock.call_args_list[0][1]['since'] // 1000) == since_time
|
||||
assert ght_mock.call_args_list[0][1]['from_id'] is None
|
||||
assert log_has_re(r'Start .* earlier than available data. Redownloading trades for.*', caplog)
|
||||
assert int(ght_mock.call_args_list[0][1]["since"] // 1000) == since_time
|
||||
assert ght_mock.call_args_list[0][1]["from_id"] is None
|
||||
assert log_has_re(r"Start .* earlier than available data. Redownloading trades for.*", caplog)
|
||||
_clean_test_file(file2)
|
||||
|
||||
Reference in New Issue
Block a user