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Test for short exchange.stoploss exchange.stoploss_adjust

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pull/5387/head
Sam Germain 5 years ago
parent 785b71aec1
commit 2c7cf794f5
6 changed files with 105 additions and 57 deletions
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5
freqtrade/exchange/binance.py
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@ -55,7 +55,10 @@ class Binance(Exchange):
:param side: "buy" or "sell"
"""
# Limit price threshold: As limit price should always be below stop-price
limit_price_pct = order_types.get('stoploss_on_exchange_limit_ratio', 0.99)
limit_price_pct = order_types.get(
'stoploss_on_exchange_limit_ratio',
0.99 if side == 'sell' else 1.01
)
rate = stop_price * limit_price_pct
ordertype = "stop_loss_limit"

1
freqtrade/exchange/exchange.py
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@ -624,6 +624,7 @@ class Exchange:
def _apply_leverage_to_stake_amount(self, stake_amount: float, leverage: float):
"""
#TODO-lev: Find out how this works on Kraken and FTX
# * Should be implemented by child classes if leverage affects the stake_amount
Takes the minimum stake amount for a pair with no leverage and returns the minimum
stake amount when leverage is considered

9
freqtrade/exchange/ftx.py
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@ -57,7 +57,10 @@ class Ftx(Exchange):
Limit orders are defined by having orderPrice set, otherwise a market order is used.
"""
limit_price_pct = order_types.get('stoploss_on_exchange_limit_ratio', 0.99)
limit_price_pct = order_types.get(
'stoploss_on_exchange_limit_ratio',
0.99 if side == "sell" else 1.01
)
limit_rate = stop_price * limit_price_pct
ordertype = "stop"
@ -164,10 +167,6 @@ class Ftx(Exchange):
return safe_value_fallback2(order, order, 'id_stop', 'id')
return order['id']
def _apply_leverage_to_stake_amount(self, stake_amount: float, leverage: float):
# TODO-lev: implement
return stake_amount
def fill_leverage_brackets(self):
"""
FTX leverage is static across the account, and doesn't change from pair to pair,

51
tests/exchange/test_binance.py
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@ -9,12 +9,22 @@ from tests.conftest import get_patched_exchange
from tests.exchange.test_exchange import ccxt_exceptionhandlers
@pytest.mark.parametrize('limitratio,expected', [
(None, 220 * 0.99),
(0.99, 220 * 0.99),
(0.98, 220 * 0.98),
@pytest.mark.parametrize('limitratio,exchangelimitratio,expected,side', [
(None, 1.05, 220 * 0.99, "sell"),
(0.99, 1.05, 220 * 0.99, "sell"),
(0.98, 1.05, 220 * 0.98, "sell"),
(None, 0.95, 220 * 1.01, "buy"),
(1.01, 0.95, 220 * 1.01, "buy"),
(1.02, 0.95, 220 * 1.02, "buy"),
])
def test_stoploss_order_binance(default_conf, mocker, limitratio, expected):
def test_stoploss_order_binance(
default_conf,
mocker,
limitratio,
exchangelimitratio,
expected,
side
):
api_mock = MagicMock()
order_id = 'test_prod_buy_{}'.format(randint(0, 10 ** 6))
order_type = 'stop_loss_limit'
@ -32,20 +42,25 @@ def test_stoploss_order_binance(default_conf, mocker, limitratio, expected):
exchange = get_patched_exchange(mocker, default_conf, api_mock, 'binance')
with pytest.raises(OperationalException):
order = exchange.stoploss(pair='ETH/BTC', amount=1, stop_price=190, side="sell",
order_types={'stoploss_on_exchange_limit_ratio': 1.05})
order = exchange.stoploss(
pair='ETH/BTC',
amount=1,
stop_price=190,
side=side,
order_types={'stoploss_on_exchange_limit_ratio': exchangelimitratio}
)
api_mock.create_order.reset_mock()
order_types = {} if limitratio is None else {'stoploss_on_exchange_limit_ratio': limitratio}
order = exchange.stoploss(pair='ETH/BTC', amount=1, stop_price=220,
order_types=order_types, side="sell")
order_types=order_types, side=side)
assert 'id' in order
assert 'info' in order
assert order['id'] == order_id
assert api_mock.create_order.call_args_list[0][1]['symbol'] == 'ETH/BTC'
assert api_mock.create_order.call_args_list[0][1]['type'] == order_type
assert api_mock.create_order.call_args_list[0][1]['side'] == 'sell'
assert api_mock.create_order.call_args_list[0][1]['side'] == side
assert api_mock.create_order.call_args_list[0][1]['amount'] == 1
# Price should be 1% below stopprice
assert api_mock.create_order.call_args_list[0][1]['price'] == expected
@ -55,17 +70,17 @@ def test_stoploss_order_binance(default_conf, mocker, limitratio, expected):
with pytest.raises(DependencyException):
api_mock.create_order = MagicMock(side_effect=ccxt.InsufficientFunds("0 balance"))
exchange = get_patched_exchange(mocker, default_conf, api_mock, 'binance')
exchange.stoploss(pair='ETH/BTC', amount=1, stop_price=220, order_types={}, side="sell")
exchange.stoploss(pair='ETH/BTC', amount=1, stop_price=220, order_types={}, side=side)
with pytest.raises(InvalidOrderException):
api_mock.create_order = MagicMock(
side_effect=ccxt.InvalidOrder("binance Order would trigger immediately."))
exchange = get_patched_exchange(mocker, default_conf, api_mock, 'binance')
exchange.stoploss(pair='ETH/BTC', amount=1, stop_price=220, order_types={}, side="sell")
exchange.stoploss(pair='ETH/BTC', amount=1, stop_price=220, order_types={}, side=side)
ccxt_exceptionhandlers(mocker, default_conf, api_mock, "binance",
"stoploss", "create_order", retries=1,
pair='ETH/BTC', amount=1, stop_price=220, order_types={}, side="sell")
pair='ETH/BTC', amount=1, stop_price=220, order_types={}, side=side)
def test_stoploss_order_dry_run_binance(default_conf, mocker):
@ -94,18 +109,22 @@ def test_stoploss_order_dry_run_binance(default_conf, mocker):
assert order['amount'] == 1
def test_stoploss_adjust_binance(mocker, default_conf):
@pytest.mark.parametrize('sl1,sl2,sl3,side', [
(1501, 1499, 1501, "sell"),
(1499, 1501, 1499, "buy")
])
def test_stoploss_adjust_binance(mocker, default_conf, sl1, sl2, sl3, side):
exchange = get_patched_exchange(mocker, default_conf, id='binance')
order = {
'type': 'stop_loss_limit',
'price': 1500,
'info': {'stopPrice': 1500},
}
assert exchange.stoploss_adjust(1501, order, side="sell")
assert not exchange.stoploss_adjust(1499, order, side="sell")
assert exchange.stoploss_adjust(sl1, order, side=side)
assert not exchange.stoploss_adjust(sl2, order, side=side)
# Test with invalid order case
order['type'] = 'stop_loss'
assert not exchange.stoploss_adjust(1501, order, side="sell")
assert not exchange.stoploss_adjust(sl3, order, side=side)
@pytest.mark.parametrize('pair,nominal_value,max_lev', [

57
tests/exchange/test_ftx.py
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@ -16,7 +16,11 @@ STOPLOSS_ORDERTYPE = 'stop'
# TODO-lev: All these stoploss tests with shorts
def test_stoploss_order_ftx(default_conf, mocker):
@pytest.mark.parametrize('order_price,exchangelimitratio,side', [
(217.8, 1.05, "sell"),
(222.2, 0.95, "buy"),
])
def test_stoploss_order_ftx(default_conf, mocker, order_price, exchangelimitratio, side):
api_mock = MagicMock()
order_id = 'test_prod_buy_{}'.format(randint(0, 10 ** 6))
@ -34,12 +38,12 @@ def test_stoploss_order_ftx(default_conf, mocker):
exchange = get_patched_exchange(mocker, default_conf, api_mock, 'ftx')
# stoploss_on_exchange_limit_ratio is irrelevant for ftx market orders
order = exchange.stoploss(pair='ETH/BTC', amount=1, stop_price=190, side="sell",
order_types={'stoploss_on_exchange_limit_ratio': 1.05})
order = exchange.stoploss(pair='ETH/BTC', amount=1, stop_price=190, side=side,
order_types={'stoploss_on_exchange_limit_ratio': exchangelimitratio})
assert api_mock.create_order.call_args_list[0][1]['symbol'] == 'ETH/BTC'
assert api_mock.create_order.call_args_list[0][1]['type'] == STOPLOSS_ORDERTYPE
assert api_mock.create_order.call_args_list[0][1]['side'] == 'sell'
assert api_mock.create_order.call_args_list[0][1]['side'] == side
assert api_mock.create_order.call_args_list[0][1]['amount'] == 1
assert 'orderPrice' not in api_mock.create_order.call_args_list[0][1]['params']
assert 'stopPrice' in api_mock.create_order.call_args_list[0][1]['params']
@ -49,51 +53,52 @@ def test_stoploss_order_ftx(default_conf, mocker):
api_mock.create_order.reset_mock()
order = exchange.stoploss(pair='ETH/BTC', amount=1, stop_price=220, order_types={}, side="sell")
order = exchange.stoploss(pair='ETH/BTC', amount=1, stop_price=220, order_types={}, side=side)
assert 'id' in order
assert 'info' in order
assert order['id'] == order_id
assert api_mock.create_order.call_args_list[0][1]['symbol'] == 'ETH/BTC'
assert api_mock.create_order.call_args_list[0][1]['type'] == STOPLOSS_ORDERTYPE
assert api_mock.create_order.call_args_list[0][1]['side'] == 'sell'
assert api_mock.create_order.call_args_list[0][1]['side'] == side
assert api_mock.create_order.call_args_list[0][1]['amount'] == 1
assert 'orderPrice' not in api_mock.create_order.call_args_list[0][1]['params']
assert api_mock.create_order.call_args_list[0][1]['params']['stopPrice'] == 220
api_mock.create_order.reset_mock()
order = exchange.stoploss(pair='ETH/BTC', amount=1, stop_price=220,
order_types={'stoploss': 'limit'}, side="sell")
order_types={'stoploss': 'limit'}, side=side)
assert 'id' in order
assert 'info' in order
assert order['id'] == order_id
assert api_mock.create_order.call_args_list[0][1]['symbol'] == 'ETH/BTC'
assert api_mock.create_order.call_args_list[0][1]['type'] == STOPLOSS_ORDERTYPE
assert api_mock.create_order.call_args_list[0][1]['side'] == 'sell'
assert api_mock.create_order.call_args_list[0][1]['side'] == side
assert api_mock.create_order.call_args_list[0][1]['amount'] == 1
assert 'orderPrice' in api_mock.create_order.call_args_list[0][1]['params']
assert api_mock.create_order.call_args_list[0][1]['params']['orderPrice'] == 217.8
assert api_mock.create_order.call_args_list[0][1]['params']['orderPrice'] == order_price
assert api_mock.create_order.call_args_list[0][1]['params']['stopPrice'] == 220
# test exception handling
with pytest.raises(DependencyException):
api_mock.create_order = MagicMock(side_effect=ccxt.InsufficientFunds("0 balance"))
exchange = get_patched_exchange(mocker, default_conf, api_mock, 'ftx')
exchange.stoploss(pair='ETH/BTC', amount=1, stop_price=220, order_types={}, side="sell")
exchange.stoploss(pair='ETH/BTC', amount=1, stop_price=220, order_types={}, side=side)
with pytest.raises(InvalidOrderException):
api_mock.create_order = MagicMock(
side_effect=ccxt.InvalidOrder("ftx Order would trigger immediately."))
exchange = get_patched_exchange(mocker, default_conf, api_mock, 'ftx')
exchange.stoploss(pair='ETH/BTC', amount=1, stop_price=220, order_types={}, side="sell")
exchange.stoploss(pair='ETH/BTC', amount=1, stop_price=220, order_types={}, side=side)
ccxt_exceptionhandlers(mocker, default_conf, api_mock, "ftx",
"stoploss", "create_order", retries=1,
pair='ETH/BTC', amount=1, stop_price=220, order_types={}, side="sell")
pair='ETH/BTC', amount=1, stop_price=220, order_types={}, side=side)
def test_stoploss_order_dry_run_ftx(default_conf, mocker):
@pytest.mark.parametrize('side', [("sell"), ("buy")])
def test_stoploss_order_dry_run_ftx(default_conf, mocker, side):
api_mock = MagicMock()
default_conf['dry_run'] = True
mocker.patch('freqtrade.exchange.Exchange.amount_to_precision', lambda s, x, y: y)
@ -103,7 +108,7 @@ def test_stoploss_order_dry_run_ftx(default_conf, mocker):
api_mock.create_order.reset_mock()
order = exchange.stoploss(pair='ETH/BTC', amount=1, stop_price=220, order_types={}, side="sell")
order = exchange.stoploss(pair='ETH/BTC', amount=1, stop_price=220, order_types={}, side=side)
assert 'id' in order
assert 'info' in order
@ -114,20 +119,24 @@ def test_stoploss_order_dry_run_ftx(default_conf, mocker):
assert order['amount'] == 1
def test_stoploss_adjust_ftx(mocker, default_conf):
@pytest.mark.parametrize('sl1,sl2,sl3,side', [
(1501, 1499, 1501, "sell"),
(1499, 1501, 1499, "buy")
])
def test_stoploss_adjust_ftx(mocker, default_conf, sl1, sl2, sl3, side):
exchange = get_patched_exchange(mocker, default_conf, id='ftx')
order = {
'type': STOPLOSS_ORDERTYPE,
'price': 1500,
}
assert exchange.stoploss_adjust(1501, order, side="sell")
assert not exchange.stoploss_adjust(1499, order, side="sell")
assert exchange.stoploss_adjust(sl1, order, side=side)
assert not exchange.stoploss_adjust(sl2, order, side=side)
# Test with invalid order case ...
order['type'] = 'stop_loss_limit'
assert not exchange.stoploss_adjust(1501, order, side="sell")
assert not exchange.stoploss_adjust(sl3, order, side=side)
def test_fetch_stoploss_order(default_conf, mocker, limit_sell_order):
def test_fetch_stoploss_order(default_conf, mocker, limit_sell_order, limit_buy_order):
default_conf['dry_run'] = True
order = MagicMock()
order.myid = 123
@ -160,6 +169,16 @@ def test_fetch_stoploss_order(default_conf, mocker, limit_sell_order):
assert resp['type'] == 'stop'
assert resp['status_stop'] == 'triggered'
api_mock.fetch_order = MagicMock(return_value=limit_buy_order)
resp = exchange.fetch_stoploss_order('X', 'TKN/BTC')
assert resp
assert api_mock.fetch_order.call_count == 1
assert resp['id_stop'] == 'mocked_limit_buy'
assert resp['id'] == 'X'
assert resp['type'] == 'stop'
assert resp['status_stop'] == 'triggered'
with pytest.raises(InvalidOrderException):
api_mock.fetch_orders = MagicMock(side_effect=ccxt.InvalidOrder("Order not found"))
exchange = get_patched_exchange(mocker, default_conf, api_mock, id='ftx')

39
tests/exchange/test_kraken.py
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@ -164,11 +164,13 @@ def test_get_balances_prod(default_conf, mocker):
ccxt_exceptionhandlers(mocker, default_conf, api_mock, "kraken",
"get_balances", "fetch_balance")
# TODO-lev: All these stoploss tests with shorts
@pytest.mark.parametrize('ordertype', ['market', 'limit'])
def test_stoploss_order_kraken(default_conf, mocker, ordertype):
@pytest.mark.parametrize('side,limitratio,adjustedprice', [
("buy", 0.99, 217.8),
("sell", 1.01, 222.2),
])
def test_stoploss_order_kraken(default_conf, mocker, ordertype, side, limitratio, adjustedprice):
api_mock = MagicMock()
order_id = 'test_prod_buy_{}'.format(randint(0, 10 ** 6))
@ -185,9 +187,9 @@ def test_stoploss_order_kraken(default_conf, mocker, ordertype):
exchange = get_patched_exchange(mocker, default_conf, api_mock, 'kraken')
order = exchange.stoploss(pair='ETH/BTC', amount=1, stop_price=220, side="sell",
order = exchange.stoploss(pair='ETH/BTC', amount=1, stop_price=220, side=side,
order_types={'stoploss': ordertype,
'stoploss_on_exchange_limit_ratio': 0.99
'stoploss_on_exchange_limit_ratio': limitratio
})
assert 'id' in order
@ -197,12 +199,12 @@ def test_stoploss_order_kraken(default_conf, mocker, ordertype):
if ordertype == 'limit':
assert api_mock.create_order.call_args_list[0][1]['type'] == STOPLOSS_LIMIT_ORDERTYPE
assert api_mock.create_order.call_args_list[0][1]['params'] == {
'trading_agreement': 'agree', 'price2': 217.8}
'trading_agreement': 'agree', 'price2': adjustedprice}
else:
assert api_mock.create_order.call_args_list[0][1]['type'] == STOPLOSS_ORDERTYPE
assert api_mock.create_order.call_args_list[0][1]['params'] == {
'trading_agreement': 'agree'}
assert api_mock.create_order.call_args_list[0][1]['side'] == 'sell'
assert api_mock.create_order.call_args_list[0][1]['side'] == side
assert api_mock.create_order.call_args_list[0][1]['amount'] == 1
assert api_mock.create_order.call_args_list[0][1]['price'] == 220
@ -210,20 +212,21 @@ def test_stoploss_order_kraken(default_conf, mocker, ordertype):
with pytest.raises(DependencyException):
api_mock.create_order = MagicMock(side_effect=ccxt.InsufficientFunds("0 balance"))
exchange = get_patched_exchange(mocker, default_conf, api_mock, 'kraken')
exchange.stoploss(pair='ETH/BTC', amount=1, stop_price=220, order_types={}, side="sell")
exchange.stoploss(pair='ETH/BTC', amount=1, stop_price=220, order_types={}, side=side)
with pytest.raises(InvalidOrderException):
api_mock.create_order = MagicMock(
side_effect=ccxt.InvalidOrder("kraken Order would trigger immediately."))
exchange = get_patched_exchange(mocker, default_conf, api_mock, 'kraken')
exchange.stoploss(pair='ETH/BTC', amount=1, stop_price=220, order_types={}, side="sell")
exchange.stoploss(pair='ETH/BTC', amount=1, stop_price=220, order_types={}, side=side)
ccxt_exceptionhandlers(mocker, default_conf, api_mock, "kraken",
"stoploss", "create_order", retries=1,
pair='ETH/BTC', amount=1, stop_price=220, order_types={}, side="sell")
pair='ETH/BTC', amount=1, stop_price=220, order_types={}, side=side)
def test_stoploss_order_dry_run_kraken(default_conf, mocker):
@pytest.mark.parametrize('side', ['buy', 'sell'])
def test_stoploss_order_dry_run_kraken(default_conf, mocker, side):
api_mock = MagicMock()
default_conf['dry_run'] = True
mocker.patch('freqtrade.exchange.Exchange.amount_to_precision', lambda s, x, y: y)
@ -233,7 +236,7 @@ def test_stoploss_order_dry_run_kraken(default_conf, mocker):
api_mock.create_order.reset_mock()
order = exchange.stoploss(pair='ETH/BTC', amount=1, stop_price=220, order_types={}, side="sell")
order = exchange.stoploss(pair='ETH/BTC', amount=1, stop_price=220, order_types={}, side=side)
assert 'id' in order
assert 'info' in order
@ -244,17 +247,21 @@ def test_stoploss_order_dry_run_kraken(default_conf, mocker):
assert order['amount'] == 1
def test_stoploss_adjust_kraken(mocker, default_conf):
@pytest.mark.parametrize('sl1,sl2,sl3,side', [
(1501, 1499, 1501, "sell"),
(1499, 1501, 1499, "buy")
])
def test_stoploss_adjust_kraken(mocker, default_conf, sl1, sl2, sl3, side):
exchange = get_patched_exchange(mocker, default_conf, id='kraken')
order = {
'type': STOPLOSS_ORDERTYPE,
'price': 1500,
}
assert exchange.stoploss_adjust(1501, order, side="sell")
assert not exchange.stoploss_adjust(1499, order, side="sell")
assert exchange.stoploss_adjust(sl1, order, side=side)
assert not exchange.stoploss_adjust(sl2, order, side=side)
# Test with invalid order case ...
order['type'] = 'stop_loss_limit'
assert not exchange.stoploss_adjust(1501, order, side="sell")
assert not exchange.stoploss_adjust(sl3, order, side=side)
@pytest.mark.parametrize('pair,nominal_value,max_lev', [

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