@ -10,10 +10,11 @@ import numpy as np
import pytest
from pandas import DataFrame , to_datetime
from freqtrade import OperationalException
from freqtrade . data . converter import parse_ticker_dataframe
from freqtrade . edge import Edge , PairInfo
from freqtrade . strategy . interface import SellType
from freqtrade . tests . conftest import get_patched_freqtradebot
from freqtrade . tests . conftest import get_patched_freqtradebot , log_has
from freqtrade . tests . optimize import ( BTContainer , BTrade ,
_build_backtest_dataframe ,
_get_frame_time_from_offset )
@ -30,7 +31,50 @@ ticker_start_time = arrow.get(2018, 10, 3)
ticker_interval_in_minute = 60
_ohlc = { ' date ' : 0 , ' buy ' : 1 , ' open ' : 2 , ' high ' : 3 , ' low ' : 4 , ' close ' : 5 , ' sell ' : 6 , ' volume ' : 7 }
# Helpers for this test file
def _validate_ohlc ( buy_ohlc_sell_matrice ) :
for index , ohlc in enumerate ( buy_ohlc_sell_matrice ) :
# if not high < open < low or not high < close < low
if not ohlc [ 3 ] > = ohlc [ 2 ] > = ohlc [ 4 ] or not ohlc [ 3 ] > = ohlc [ 5 ] > = ohlc [ 4 ] :
raise Exception ( ' Line ' + str ( index + 1 ) + ' of ohlc has invalid values! ' )
return True
def _build_dataframe ( buy_ohlc_sell_matrice ) :
_validate_ohlc ( buy_ohlc_sell_matrice )
tickers = [ ]
for ohlc in buy_ohlc_sell_matrice :
ticker = {
' date ' : ticker_start_time . shift (
minutes = (
ohlc [ 0 ] *
ticker_interval_in_minute ) ) . timestamp *
1000 ,
' buy ' : ohlc [ 1 ] ,
' open ' : ohlc [ 2 ] ,
' high ' : ohlc [ 3 ] ,
' low ' : ohlc [ 4 ] ,
' close ' : ohlc [ 5 ] ,
' sell ' : ohlc [ 6 ] }
tickers . append ( ticker )
frame = DataFrame ( tickers )
frame [ ' date ' ] = to_datetime ( frame [ ' date ' ] ,
unit = ' ms ' ,
utc = True ,
infer_datetime_format = True )
return frame
def _time_on_candle ( number ) :
return np . datetime64 ( ticker_start_time . shift (
minutes = ( number * ticker_interval_in_minute ) ) . timestamp * 1000 , ' ms ' )
# End helper functions
# Open trade should be removed from the end
tc0 = BTContainer ( data = [
# D O H L C V B S
@ -203,46 +247,6 @@ def test_nonexisting_stake_amount(mocker, edge_conf):
assert edge . stake_amount ( ' N/O ' , 1 , 2 , 1 ) == 0.15
def _validate_ohlc ( buy_ohlc_sell_matrice ) :
for index , ohlc in enumerate ( buy_ohlc_sell_matrice ) :
# if not high < open < low or not high < close < low
if not ohlc [ 3 ] > = ohlc [ 2 ] > = ohlc [ 4 ] or not ohlc [ 3 ] > = ohlc [ 5 ] > = ohlc [ 4 ] :
raise Exception ( ' Line ' + str ( index + 1 ) + ' of ohlc has invalid values! ' )
return True
def _build_dataframe ( buy_ohlc_sell_matrice ) :
_validate_ohlc ( buy_ohlc_sell_matrice )
tickers = [ ]
for ohlc in buy_ohlc_sell_matrice :
ticker = {
' date ' : ticker_start_time . shift (
minutes = (
ohlc [ 0 ] *
ticker_interval_in_minute ) ) . timestamp *
1000 ,
' buy ' : ohlc [ 1 ] ,
' open ' : ohlc [ 2 ] ,
' high ' : ohlc [ 3 ] ,
' low ' : ohlc [ 4 ] ,
' close ' : ohlc [ 5 ] ,
' sell ' : ohlc [ 6 ] }
tickers . append ( ticker )
frame = DataFrame ( tickers )
frame [ ' date ' ] = to_datetime ( frame [ ' date ' ] ,
unit = ' ms ' ,
utc = True ,
infer_datetime_format = True )
return frame
def _time_on_candle ( number ) :
return np . datetime64 ( ticker_start_time . shift (
minutes = ( number * ticker_interval_in_minute ) ) . timestamp * 1000 , ' ms ' )
def test_edge_heartbeat_calculate ( mocker , edge_conf ) :
freqtrade = get_patched_freqtradebot ( mocker , edge_conf )
edge = Edge ( edge_conf , freqtrade . exchange , freqtrade . strategy )
@ -298,6 +302,40 @@ def test_edge_process_downloaded_data(mocker, edge_conf):
assert edge . _last_updated < = arrow . utcnow ( ) . timestamp + 2
def test_edge_process_no_data ( mocker , edge_conf , caplog ) :
edge_conf [ ' datadir ' ] = None
freqtrade = get_patched_freqtradebot ( mocker , edge_conf )
mocker . patch ( ' freqtrade.exchange.Exchange.get_fee ' , MagicMock ( return_value = 0.001 ) )
mocker . patch ( ' freqtrade.data.history.load_data ' , MagicMock ( return_value = { } ) )
edge = Edge ( edge_conf , freqtrade . exchange , freqtrade . strategy )
assert not edge . calculate ( )
assert len ( edge . _cached_pairs ) == 0
assert log_has ( " No data found. Edge is stopped ... " , caplog . record_tuples )
assert edge . _last_updated == 0
def test_edge_process_no_trades ( mocker , edge_conf , caplog ) :
edge_conf [ ' datadir ' ] = None
freqtrade = get_patched_freqtradebot ( mocker , edge_conf )
mocker . patch ( ' freqtrade.exchange.Exchange.get_fee ' , MagicMock ( return_value = 0.001 ) )
mocker . patch ( ' freqtrade.data.history.load_data ' , mocked_load_data )
# Return empty
mocker . patch ( ' freqtrade.edge.Edge._find_trades_for_stoploss_range ' , MagicMock ( return_value = [ ] ) )
edge = Edge ( edge_conf , freqtrade . exchange , freqtrade . strategy )
assert not edge . calculate ( )
assert len ( edge . _cached_pairs ) == 0
assert log_has ( " No trades found. " , caplog . record_tuples )
def test_edge_init_error ( mocker , edge_conf , ) :
edge_conf [ ' stake_amount ' ] = 0.5
mocker . patch ( ' freqtrade.exchange.Exchange.get_fee ' , MagicMock ( return_value = 0.001 ) )
with pytest . raises ( OperationalException , match = ' Edge works only with unlimited stake amount ' ) :
get_patched_freqtradebot ( mocker , edge_conf )
def test_process_expectancy ( mocker , edge_conf ) :
edge_conf [ ' edge ' ] [ ' min_trade_number ' ] = 2
freqtrade = get_patched_freqtradebot ( mocker , edge_conf )
@ -360,3 +398,11 @@ def test_process_expectancy(mocker, edge_conf):
assert round ( final [ ' TEST/BTC ' ] . risk_reward_ratio , 10 ) == 306.5384615384
assert round ( final [ ' TEST/BTC ' ] . required_risk_reward , 10 ) == 2.0
assert round ( final [ ' TEST/BTC ' ] . expectancy , 10 ) == 101.5128205128
# Pop last item so no trade is profitable
trades . pop ( )
trades_df = DataFrame ( trades )
trades_df = edge . _fill_calculable_fields ( trades_df )
final = edge . _process_expectancy ( trades_df )
assert len ( final ) == 0
assert isinstance ( final , dict )
Matthias
7 years ago