import copy import logging from copy import deepcopy from datetime import UTC, datetime, timedelta from random import randint from unittest.mock import MagicMock, Mock, PropertyMock, patch import ccxt import pytest from numpy import nan from pandas import DataFrame, to_datetime from freqtrade.constants import DEFAULT_DATAFRAME_COLUMNS from freqtrade.enums import CandleType, MarginMode, RunMode, TradingMode from freqtrade.exceptions import ( ConfigurationError, DDosProtection, DependencyException, ExchangeError, InsufficientFundsError, InvalidOrderException, OperationalException, PricingError, TemporaryError, ) from freqtrade.exchange import ( Binance, Bybit, Exchange, Kraken, date_minus_candles, market_is_active, timeframe_to_prev_date, ) from freqtrade.exchange.common import ( API_FETCH_ORDER_RETRY_COUNT, API_RETRY_COUNT, calculate_backoff, ) from freqtrade.resolvers.exchange_resolver import ExchangeResolver from freqtrade.util import dt_now, dt_ts from tests.conftest import ( EXMS, generate_test_data_raw, get_mock_coro, get_patched_exchange, log_has, log_has_re, num_log_has_re, ) # Make sure to always keep one exchange here which is NOT subclassed!! EXCHANGES = ["binance", "kraken", "gate", "kucoin", "bybit", "okx"] get_entry_rate_data = [ ("other", 20, 19, 10, 0.0, 20), # Full ask side ("ask", 20, 19, 10, 0.0, 20), # Full ask side ("ask", 20, 19, 10, 1.0, 10), # Full last side ("ask", 20, 19, 10, 0.5, 15), # Between ask and last ("ask", 20, 19, 10, 0.7, 13), # Between ask and last ("ask", 20, 19, 10, 0.3, 17), # Between ask and last ("ask", 5, 6, 10, 1.0, 5), # last bigger than ask ("ask", 5, 6, 10, 0.5, 5), # last bigger than ask ("ask", 20, 19, 10, None, 20), # price_last_balance missing ("ask", 10, 20, None, 0.5, 10), # last not available - uses ask ("ask", 4, 5, None, 0.5, 4), # last not available - uses ask ("ask", 4, 5, None, 1, 4), # last not available - uses ask ("ask", 4, 5, None, 0, 4), # last not available - uses ask ("same", 21, 20, 10, 0.0, 20), # Full bid side ("bid", 21, 20, 10, 0.0, 20), # Full bid side ("bid", 21, 20, 10, 1.0, 10), # Full last side ("bid", 21, 20, 10, 0.5, 15), # Between bid and last ("bid", 21, 20, 10, 0.7, 13), # Between bid and last ("bid", 21, 20, 10, 0.3, 17), # Between bid and last ("bid", 6, 5, 10, 1.0, 5), # last bigger than bid ("bid", 21, 20, 10, None, 20), # price_last_balance missing ("bid", 6, 5, 10, 0.5, 5), # last bigger than bid ("bid", 21, 20, None, 0.5, 20), # last not available - uses bid ("bid", 6, 5, None, 0.5, 5), # last not available - uses bid ("bid", 6, 5, None, 1, 5), # last not available - uses bid ("bid", 6, 5, None, 0, 5), # last not available - uses bid ] get_exit_rate_data = [ ("bid", 12.0, 11.0, 11.5, 0.0, 11.0), # full bid side ("bid", 12.0, 11.0, 11.5, 1.0, 11.5), # full last side ("bid", 12.0, 11.0, 11.5, 0.5, 11.25), # between bid and lat ("bid", 12.0, 11.2, 10.5, 0.0, 11.2), # Last smaller than bid ("bid", 12.0, 11.2, 10.5, 1.0, 11.2), # Last smaller than bid - uses bid ("bid", 12.0, 11.2, 10.5, 0.5, 11.2), # Last smaller than bid - uses bid ("bid", 0.003, 0.002, 0.005, 0.0, 0.002), ("bid", 0.003, 0.002, 0.005, None, 0.002), ("ask", 12.0, 11.0, 12.5, 0.0, 12.0), # full ask side ("ask", 12.0, 11.0, 12.5, 1.0, 12.5), # full last side ("ask", 12.0, 11.0, 12.5, 0.5, 12.25), # between bid and lat ("ask", 12.2, 11.2, 10.5, 0.0, 12.2), # Last smaller than ask ("ask", 12.0, 11.0, 10.5, 1.0, 12.0), # Last smaller than ask - uses ask ("ask", 12.0, 11.2, 10.5, 0.5, 12.0), # Last smaller than ask - uses ask ("ask", 10.0, 11.0, 11.0, 0.0, 10.0), ("ask", 10.11, 11.2, 11.0, 0.0, 10.11), ("ask", 0.001, 0.002, 11.0, 0.0, 0.001), ("ask", 0.006, 1.0, 11.0, 0.0, 0.006), ("ask", 0.006, 1.0, 11.0, None, 0.006), ] def ccxt_exceptionhandlers( mocker, default_conf, api_mock, exchange_name, fun, mock_ccxt_fun, retries=API_RETRY_COUNT + 1, **kwargs, ): with patch("freqtrade.exchange.common.time.sleep"): with pytest.raises(DDosProtection): api_mock.__dict__[mock_ccxt_fun] = MagicMock(side_effect=ccxt.DDoSProtection("DDos")) exchange = get_patched_exchange(mocker, default_conf, api_mock, exchange=exchange_name) getattr(exchange, fun)(**kwargs) assert api_mock.__dict__[mock_ccxt_fun].call_count == retries with pytest.raises(TemporaryError): api_mock.__dict__[mock_ccxt_fun] = MagicMock(side_effect=ccxt.OperationFailed("DeaDBeef")) exchange = get_patched_exchange(mocker, default_conf, api_mock, exchange=exchange_name) getattr(exchange, fun)(**kwargs) assert api_mock.__dict__[mock_ccxt_fun].call_count == retries with pytest.raises(OperationalException): api_mock.__dict__[mock_ccxt_fun] = MagicMock(side_effect=ccxt.BaseError("DeadBeef")) exchange = get_patched_exchange(mocker, default_conf, api_mock, exchange=exchange_name) getattr(exchange, fun)(**kwargs) assert api_mock.__dict__[mock_ccxt_fun].call_count == 1 async def async_ccxt_exception( mocker, default_conf, api_mock, fun, mock_ccxt_fun, retries=API_RETRY_COUNT + 1, **kwargs ): with patch("freqtrade.exchange.common.asyncio.sleep", get_mock_coro(None)): with pytest.raises(DDosProtection): api_mock.__dict__[mock_ccxt_fun] = MagicMock(side_effect=ccxt.DDoSProtection("Dooh")) exchange = get_patched_exchange(mocker, default_conf, api_mock) await getattr(exchange, fun)(**kwargs) assert api_mock.__dict__[mock_ccxt_fun].call_count == retries exchange.close() with pytest.raises(TemporaryError): api_mock.__dict__[mock_ccxt_fun] = MagicMock(side_effect=ccxt.NetworkError("DeadBeef")) exchange = get_patched_exchange(mocker, default_conf, api_mock) await getattr(exchange, fun)(**kwargs) assert api_mock.__dict__[mock_ccxt_fun].call_count == retries exchange.close() with pytest.raises(OperationalException): api_mock.__dict__[mock_ccxt_fun] = MagicMock(side_effect=ccxt.BaseError("DeadBeef")) exchange = get_patched_exchange(mocker, default_conf, api_mock) await getattr(exchange, fun)(**kwargs) assert api_mock.__dict__[mock_ccxt_fun].call_count == 1 exchange.close() def test_init(default_conf, mocker, caplog): caplog.set_level(logging.INFO) get_patched_exchange(mocker, default_conf) assert log_has("Instance is running with dry_run enabled", caplog) def test_init_ccxt_kwargs(default_conf, mocker, caplog): mocker.patch(f"{EXMS}.reload_markets") mocker.patch(f"{EXMS}.validate_stakecurrency") aei_mock = mocker.patch(f"{EXMS}.ft_additional_exchange_init") caplog.set_level(logging.INFO) conf = copy.deepcopy(default_conf) conf["exchange"]["ccxt_async_config"] = {"aiohttp_trust_env": True, "asyncio_loop": True} ex = Exchange(conf) assert log_has( "Applying additional ccxt config: {'aiohttp_trust_env': True, 'asyncio_loop': True}", caplog ) assert ex._api_async.aiohttp_trust_env assert not ex._api.aiohttp_trust_env assert aei_mock.call_count == 1 # Reset logging and config caplog.clear() conf = copy.deepcopy(default_conf) conf["exchange"]["ccxt_config"] = {"TestKWARG": 11} conf["exchange"]["ccxt_sync_config"] = {"TestKWARG44": 11} conf["exchange"]["ccxt_async_config"] = {"asyncio_loop": True} asynclogmsg = "Applying additional ccxt config: {'TestKWARG': 11, 'asyncio_loop': True}" ex = Exchange(conf) assert not ex._api_async.aiohttp_trust_env assert hasattr(ex._api, "TestKWARG") assert ex._api.TestKWARG == 11 # ccxt_config is assigned to both sync and async assert not hasattr(ex._api_async, "TestKWARG44") assert hasattr(ex._api_async, "TestKWARG") assert log_has("Applying additional ccxt config: {'TestKWARG': 11, 'TestKWARG44': 11}", caplog) assert log_has(asynclogmsg, caplog) # Test additional headers case Exchange._ccxt_params = {"hello": "world"} ex = Exchange(conf) assert log_has("Applying additional ccxt config: {'TestKWARG': 11, 'TestKWARG44': 11}", caplog) assert ex._api.hello == "world" assert ex._ccxt_config == {} Exchange._headers = {} def test_destroy(default_conf, mocker, caplog): caplog.set_level(logging.DEBUG) get_patched_exchange(mocker, default_conf) assert log_has("Exchange object destroyed, closing async loop", caplog) def test_init_exception(default_conf, mocker): default_conf["exchange"]["name"] = "wrong_exchange_name" with pytest.raises( OperationalException, match=f"Exchange {default_conf['exchange']['name']} is not supported" ): Exchange(default_conf) default_conf["exchange"]["name"] = "binance" with pytest.raises( OperationalException, match=f"Exchange {default_conf['exchange']['name']} is not supported" ): mocker.patch("ccxt.binance", MagicMock(side_effect=AttributeError)) Exchange(default_conf) with pytest.raises( OperationalException, match=r"Initialization of ccxt failed. Reason: DeadBeef" ): mocker.patch("ccxt.binance", MagicMock(side_effect=ccxt.BaseError("DeadBeef"))) Exchange(default_conf) def test_exchange_resolver(default_conf, mocker, caplog): mocker.patch(f"{EXMS}._init_ccxt", MagicMock(return_value=MagicMock())) mocker.patch(f"{EXMS}._load_async_markets") mocker.patch(f"{EXMS}.validate_timeframes") mocker.patch(f"{EXMS}.validate_stakecurrency") mocker.patch(f"{EXMS}.validate_pricing") default_conf["exchange"]["name"] = "zaif" exchange = ExchangeResolver.load_exchange(default_conf) assert isinstance(exchange, Exchange) assert log_has_re(r"No .* specific subclass found. Using the generic class instead.", caplog) caplog.clear() default_conf["exchange"]["name"] = "Bybit" exchange = ExchangeResolver.load_exchange(default_conf) assert isinstance(exchange, Exchange) assert isinstance(exchange, Bybit) assert not log_has_re( r"No .* specific subclass found. Using the generic class instead.", caplog ) caplog.clear() default_conf["exchange"]["name"] = "kraken" exchange = ExchangeResolver.load_exchange(default_conf) assert isinstance(exchange, Exchange) assert isinstance(exchange, Kraken) assert not isinstance(exchange, Binance) assert not log_has_re( r"No .* specific subclass found. Using the generic class instead.", caplog ) default_conf["exchange"]["name"] = "binance" exchange = ExchangeResolver.load_exchange(default_conf) assert isinstance(exchange, Exchange) assert isinstance(exchange, Binance) assert not isinstance(exchange, Kraken) assert not log_has_re( r"No .* specific subclass found. Using the generic class instead.", caplog ) # Test mapping default_conf["exchange"]["name"] = "binanceus" exchange = ExchangeResolver.load_exchange(default_conf) assert isinstance(exchange, Exchange) assert isinstance(exchange, Binance) assert not isinstance(exchange, Kraken) def test_validate_order_time_in_force(default_conf, mocker, caplog): caplog.set_level(logging.INFO) # explicitly test bybit, exchanges implementing other policies need separate tests ex = get_patched_exchange(mocker, default_conf, exchange="bybit") tif = { "buy": "gtc", "sell": "gtc", } ex.validate_order_time_in_force(tif) tif2 = { "buy": "fok", "sell": "ioc22", } with pytest.raises(OperationalException, match=r"Time in force.*not supported for .*"): ex.validate_order_time_in_force(tif2) tif2 = { "buy": "fok", "sell": "ioc", } # Patch to see if this will pass if the values are in the ft dict ex._ft_has.update({"order_time_in_force": ["GTC", "FOK", "IOC"]}) ex.validate_order_time_in_force(tif2) def test_validate_orderflow(default_conf, mocker, caplog): caplog.set_level(logging.INFO) # Test bybit - as it doesn't support historic trades data. ex = get_patched_exchange(mocker, default_conf, exchange="bybit") mocker.patch(f"{EXMS}.exchange_has", return_value=True) ex.validate_orderflow({"use_public_trades": False}) with pytest.raises(ConfigurationError, match=r"Trade data not available for.*"): ex.validate_orderflow({"use_public_trades": True}) # Binance supports orderflow. ex = get_patched_exchange(mocker, default_conf, exchange="binance") ex.validate_orderflow({"use_public_trades": False}) ex.validate_orderflow({"use_public_trades": True}) def test_validate_freqai_compat(default_conf, mocker, caplog): caplog.set_level(logging.INFO) # Test kraken - as it doesn't support historic trades data. ex = get_patched_exchange(mocker, default_conf, exchange="kraken") mocker.patch(f"{EXMS}.exchange_has", return_value=True) default_conf["freqai"] = {"enabled": False} ex.validate_freqai(default_conf) default_conf["freqai"] = {"enabled": True} with pytest.raises(ConfigurationError, match=r"Historic OHLCV data not available for.*"): ex.validate_freqai(default_conf) # Binance supports historic data. ex = get_patched_exchange(mocker, default_conf, exchange="binance") default_conf["freqai"] = {"enabled": True} ex.validate_freqai(default_conf) default_conf["freqai"] = {"enabled": False} ex.validate_freqai(default_conf) def test_validate_demo_trading(default_conf_usdt, mocker, caplog): # Test - nothing enabled so nothing happens ex = get_patched_exchange(mocker, default_conf_usdt, exchange="kraken") ex.validate_demo_trading(default_conf_usdt["exchange"]) default_conf_usdt["exchange"]["demo_trading"] = True with pytest.raises(ConfigurationError, match=r"Demo trading is not supported for .*"): ex.validate_demo_trading(default_conf_usdt["exchange"]) msg = r"Demo trading enabled for .*" assert not log_has_re(msg, caplog) ex_bybit = get_patched_exchange(mocker, default_conf_usdt, exchange="bybit") ex_bybit.validate_demo_trading(default_conf_usdt["exchange"]) assert log_has_re(msg, caplog) @pytest.mark.parametrize( "price,precision_mode,precision,expected", [ (2.34559, 2, 4, 0.0001), (2.34559, 2, 5, 0.00001), (2.34559, 2, 3, 0.001), (2.9999, 2, 3, 0.001), (200.0511, 2, 3, 0.001), # Tests for Tick_size (2.34559, 4, 0.0001, 0.0001), (2.34559, 4, 0.00001, 0.00001), (2.34559, 4, 0.0025, 0.0025), (2.9909, 4, 0.0025, 0.0025), (234.43, 4, 0.5, 0.5), (234.43, 4, 0.0025, 0.0025), (234.43, 4, 0.00013, 0.00013), ], ) def test_price_get_one_pip(default_conf, mocker, price, precision_mode, precision, expected): markets = PropertyMock(return_value={"ETH/BTC": {"precision": {"price": precision}}}) exchange = get_patched_exchange(mocker, default_conf, exchange="binance") mocker.patch(f"{EXMS}.markets", markets) mocker.patch(f"{EXMS}.precisionMode", PropertyMock(return_value=precision_mode)) mocker.patch(f"{EXMS}.precision_mode_price", PropertyMock(return_value=precision_mode)) pair = "ETH/BTC" assert pytest.approx(exchange.price_get_one_pip(pair, price)) == expected def test__get_stake_amount_limit(mocker, default_conf) -> None: exchange = get_patched_exchange(mocker, default_conf, exchange="binance") stoploss = -0.05 markets = {"ETH/BTC": {"symbol": "ETH/BTC"}} # no pair found mocker.patch(f"{EXMS}.markets", PropertyMock(return_value=markets)) with pytest.raises(ValueError, match=r".*get market information.*"): exchange.get_min_pair_stake_amount("BNB/BTC", 1, stoploss) # no cost/amount Min markets["ETH/BTC"]["limits"] = { "cost": {"min": None, "max": None}, "amount": {"min": None, "max": None}, } mocker.patch(f"{EXMS}.markets", PropertyMock(return_value=markets)) result = exchange.get_min_pair_stake_amount("ETH/BTC", 1, stoploss) assert result is None result = exchange.get_max_pair_stake_amount("ETH/BTC", 1) assert result == float("inf") # min/max cost is set markets["ETH/BTC"]["limits"] = { "cost": {"min": 2, "max": 10000}, "amount": {"min": None, "max": None}, } mocker.patch(f"{EXMS}.markets", PropertyMock(return_value=markets)) # min result = exchange.get_min_pair_stake_amount("ETH/BTC", 1, stoploss) expected_result = 2 * (1 + 0.05) / (1 - abs(stoploss)) assert pytest.approx(result) == expected_result # With Leverage result = exchange.get_min_pair_stake_amount("ETH/BTC", 1, stoploss, 3.0) assert pytest.approx(result) == expected_result / 3 # max result = exchange.get_max_pair_stake_amount("ETH/BTC", 2) assert result == 10000 # min amount is set markets["ETH/BTC"]["limits"] = { "cost": {"min": None, "max": None}, "amount": {"min": 2, "max": 10000}, } mocker.patch(f"{EXMS}.markets", PropertyMock(return_value=markets)) result = exchange.get_min_pair_stake_amount("ETH/BTC", 2, stoploss) expected_result = 2 * 2 * (1 + 0.05) assert pytest.approx(result) == expected_result # With Leverage result = exchange.get_min_pair_stake_amount("ETH/BTC", 2, stoploss, 5.0) assert pytest.approx(result) == expected_result / 5 # max result = exchange.get_max_pair_stake_amount("ETH/BTC", 2) assert result == 20000 # min amount and cost are set (cost is minimal and therefore ignored) markets["ETH/BTC"]["limits"] = { "cost": {"min": 2, "max": None}, "amount": {"min": 2, "max": None}, } mocker.patch(f"{EXMS}.markets", PropertyMock(return_value=markets)) result = exchange.get_min_pair_stake_amount("ETH/BTC", 2, stoploss) expected_result = max(2, 2 * 2) * (1 + 0.05) assert pytest.approx(result) == expected_result # With Leverage result = exchange.get_min_pair_stake_amount("ETH/BTC", 2, stoploss, 10) assert pytest.approx(result) == expected_result / 10 # min amount and cost are set (amount is minial) markets["ETH/BTC"]["limits"] = { "cost": {"min": 8, "max": 10000}, "amount": {"min": 2, "max": 500}, } mocker.patch(f"{EXMS}.markets", PropertyMock(return_value=markets)) result = exchange.get_min_pair_stake_amount("ETH/BTC", 2, stoploss) expected_result = max(8, 2 * 2) * (1 + 0.05) / (1 - abs(stoploss)) assert pytest.approx(result) == expected_result # With Leverage result = exchange.get_min_pair_stake_amount("ETH/BTC", 2, stoploss, 7.0) assert pytest.approx(result) == expected_result / 7.0 # Max result = exchange.get_max_pair_stake_amount("ETH/BTC", 2) assert result == 1000 result = exchange.get_min_pair_stake_amount("ETH/BTC", 2, -0.4) expected_result = max(8, 2 * 2) * 1.5 assert pytest.approx(result) == expected_result # With Leverage result = exchange.get_min_pair_stake_amount("ETH/BTC", 2, -0.4, 8.0) assert pytest.approx(result) == expected_result / 8.0 # Max result = exchange.get_max_pair_stake_amount("ETH/BTC", 2) assert result == 1000 # Really big stoploss result = exchange.get_min_pair_stake_amount("ETH/BTC", 2, -1) expected_result = max(8, 2 * 2) * 1.5 assert pytest.approx(result) == expected_result # With Leverage result = exchange.get_min_pair_stake_amount("ETH/BTC", 2, -1, 12.0) assert pytest.approx(result) == expected_result / 12 # Max result = exchange.get_max_pair_stake_amount("ETH/BTC", 2) assert result == 1000 result = exchange.get_max_pair_stake_amount("ETH/BTC", 2, 12.0) assert result == 1000 / 12 markets["ETH/BTC"]["contractSize"] = "0.01" default_conf["trading_mode"] = "futures" default_conf["margin_mode"] = "isolated" exchange = get_patched_exchange(mocker, default_conf, exchange="binance") mocker.patch(f"{EXMS}.markets", PropertyMock(return_value=markets)) # Contract size 0.01 result = exchange.get_min_pair_stake_amount("ETH/BTC", 2, -1) assert pytest.approx(result) == expected_result * 0.01 # Max result = exchange.get_max_pair_stake_amount("ETH/BTC", 2) assert result == 10 markets["ETH/BTC"]["contractSize"] = "10" mocker.patch(f"{EXMS}.markets", PropertyMock(return_value=markets)) # With Leverage, Contract size 10 result = exchange.get_min_pair_stake_amount("ETH/BTC", 2, -1, 12.0) assert pytest.approx(result) == (expected_result / 12) * 10.0 # Max result = exchange.get_max_pair_stake_amount("ETH/BTC", 2) assert result == 10000 def test_get_min_pair_stake_amount_real_data(mocker, default_conf) -> None: exchange = get_patched_exchange(mocker, default_conf, exchange="binance") stoploss = -0.05 markets = {"ETH/BTC": {"symbol": "ETH/BTC"}} # ~Real Binance data markets["ETH/BTC"]["limits"] = { "cost": {"min": 0.0001, "max": 4000}, "amount": {"min": 0.001, "max": 10000}, } mocker.patch(f"{EXMS}.markets", PropertyMock(return_value=markets)) result = exchange.get_min_pair_stake_amount("ETH/BTC", 0.020405, stoploss) expected_result = max(0.0001, 0.001 * 0.020405) * (1 + 0.05) / (1 - abs(stoploss)) assert round(result, 8) == round(expected_result, 8) # Max result = exchange.get_max_pair_stake_amount("ETH/BTC", 2.0) assert result == 4000 # Leverage result = exchange.get_min_pair_stake_amount("ETH/BTC", 0.020405, stoploss, 3.0) assert round(result, 8) == round(expected_result / 3, 8) # Contract_size markets["ETH/BTC"]["contractSize"] = 0.1 result = exchange.get_min_pair_stake_amount("ETH/BTC", 0.020405, stoploss, 3.0) assert round(result, 8) == round((expected_result / 3), 8) # Max result = exchange.get_max_pair_stake_amount("ETH/BTC", 12.0) assert result == 4000 def test__load_async_markets(default_conf, mocker, caplog): mocker.patch(f"{EXMS}._init_ccxt") mocker.patch(f"{EXMS}.validate_timeframes") mocker.patch(f"{EXMS}.reload_markets") mocker.patch(f"{EXMS}.validate_stakecurrency") mocker.patch(f"{EXMS}.validate_pricing") exchange = Exchange(default_conf) exchange._api_async.load_markets = get_mock_coro(None) exchange._load_async_markets() assert exchange._api_async.load_markets.call_count == 1 caplog.set_level(logging.DEBUG) exchange._api_async.load_markets = get_mock_coro(side_effect=ccxt.BaseError("deadbeef")) with pytest.raises(TemporaryError, match="deadbeef"): exchange._load_async_markets() exchange._api_async.load_markets = get_mock_coro(side_effect=ccxt.DDoSProtection("deadbeef")) with pytest.raises(DDosProtection, match="deadbeef"): exchange._load_async_markets() exchange._api_async.load_markets = get_mock_coro(side_effect=ccxt.OperationFailed("deadbeef")) with pytest.raises(TemporaryError, match="deadbeef"): exchange._load_async_markets() def test__load_markets(default_conf, mocker, caplog): caplog.set_level(logging.INFO) api_mock = MagicMock() api_mock.load_markets = get_mock_coro(side_effect=ccxt.BaseError("SomeError")) mocker.patch(f"{EXMS}._init_ccxt", MagicMock(return_value=api_mock)) mocker.patch(f"{EXMS}.validate_timeframes") mocker.patch(f"{EXMS}.validate_stakecurrency") mocker.patch(f"{EXMS}.validate_pricing") Exchange(default_conf) assert log_has("Could not load markets.", caplog) expected_return = {"ETH/BTC": "available"} api_mock = MagicMock() api_mock.load_markets = get_mock_coro() api_mock.markets = expected_return mocker.patch(f"{EXMS}._init_ccxt", MagicMock(return_value=api_mock)) default_conf["exchange"]["pair_whitelist"] = ["ETH/BTC"] ex = Exchange(default_conf) assert ex.markets == expected_return def test_reload_markets(default_conf, mocker, caplog, time_machine): caplog.set_level(logging.DEBUG) initial_markets = {"ETH/BTC": {}} updated_markets = {"ETH/BTC": {}, "LTC/BTC": {}} start_dt = dt_now() time_machine.move_to(start_dt, tick=False) api_mock = MagicMock() api_mock.load_markets = get_mock_coro(return_value=initial_markets) api_mock.markets = initial_markets default_conf["exchange"]["markets_refresh_interval"] = 10 exchange = get_patched_exchange( mocker, default_conf, api_mock, exchange="binance", mock_markets=False ) lam_spy = mocker.spy(exchange, "_load_async_markets") assert exchange._last_markets_refresh == dt_ts() assert exchange.markets == initial_markets time_machine.move_to(start_dt + timedelta(minutes=8), tick=False) # less than 10 minutes have passed, no reload exchange.reload_markets() assert exchange.markets == initial_markets assert lam_spy.call_count == 0 api_mock.load_markets = get_mock_coro(return_value=updated_markets) # more than 10 minutes have passed, reload is executed time_machine.move_to(start_dt + timedelta(minutes=11), tick=False) api_mock.markets = updated_markets exchange.reload_markets() assert exchange.markets == updated_markets assert lam_spy.call_count == 1 assert log_has("Performing scheduled market reload..", caplog) # Not called again lam_spy.reset_mock() exchange.reload_markets() assert lam_spy.call_count == 0 # Another reload should happen but it fails. time_machine.move_to(start_dt + timedelta(minutes=51), tick=False) api_mock.load_markets = get_mock_coro(side_effect=ccxt.NetworkError("LoadError")) exchange.reload_markets(force=False) assert exchange.markets == updated_markets assert lam_spy.call_count == 1 # Tried once, failed lam_spy.reset_mock() # When forcing (bot startup), it should retry 3 times. exchange.reload_markets(force=True) assert lam_spy.call_count == 4 assert exchange.markets == updated_markets def test_reload_markets_exception(default_conf, mocker, caplog): caplog.set_level(logging.DEBUG) api_mock = MagicMock() api_mock.load_markets = get_mock_coro(side_effect=ccxt.NetworkError("LoadError")) default_conf["exchange"]["markets_refresh_interval"] = 10 exchange = get_patched_exchange( mocker, default_conf, api_mock, exchange="binance", mock_markets=False ) exchange._last_markets_refresh = 2 # less than 10 minutes have passed, no reload exchange.reload_markets() assert exchange._last_markets_refresh == 2 assert log_has_re(r"Could not load markets\..*", caplog) @pytest.mark.parametrize("stake_currency", ["ETH", "BTC", "USDT"]) def test_validate_stakecurrency(default_conf, stake_currency, mocker): default_conf["stake_currency"] = stake_currency api_mock = MagicMock() api_mock.load_markets = get_mock_coro() api_mock.markets = { "ETH/BTC": {"quote": "BTC"}, "LTC/BTC": {"quote": "BTC"}, "XRP/ETH": {"quote": "ETH"}, "NEO/USDT": {"quote": "USDT"}, } mocker.patch(f"{EXMS}._init_ccxt", MagicMock(return_value=api_mock)) mocker.patch(f"{EXMS}.validate_timeframes") mocker.patch(f"{EXMS}.validate_pricing") Exchange(default_conf) def test_validate_stakecurrency_error(default_conf, mocker): default_conf["stake_currency"] = "XRP" api_mock = MagicMock() api_mock.load_markets = get_mock_coro() api_mock.markets = { "ETH/BTC": {"quote": "BTC"}, "LTC/BTC": {"quote": "BTC"}, "XRP/ETH": {"quote": "ETH"}, "NEO/USDT": {"quote": "USDT"}, } mocker.patch(f"{EXMS}._init_ccxt", MagicMock(return_value=api_mock)) mocker.patch(f"{EXMS}.validate_timeframes") with pytest.raises( ConfigurationError, match=r"XRP is not available as stake on .*Available currencies are: BTC, ETH, USDT", ): Exchange(default_conf) api_mock.load_markets = get_mock_coro(side_effect=ccxt.NetworkError("No connection.")) mocker.patch(f"{EXMS}._init_ccxt", MagicMock(return_value=api_mock)) with pytest.raises( OperationalException, match=r"Could not load markets, therefore cannot start\. Please.*" ): Exchange(default_conf) def test_get_quote_currencies(default_conf, mocker): ex = get_patched_exchange(mocker, default_conf) assert set(ex.get_quote_currencies()) == set(["USD", "ETH", "BTC", "USDT", "BUSD"]) @pytest.mark.parametrize( "pair,expected", [ ("XRP/BTC", "BTC"), ("LTC/USD", "USD"), ("ETH/USDT", "USDT"), ("XLTCUSDT", "USDT"), ("XRP/NOCURRENCY", ""), ], ) def test_get_pair_quote_currency(default_conf, mocker, pair, expected): ex = get_patched_exchange(mocker, default_conf) assert ex.get_pair_quote_currency(pair) == expected @pytest.mark.parametrize( "pair,expected", [ ("XRP/BTC", "XRP"), ("LTC/USD", "LTC"), ("ETH/USDT", "ETH"), ("XLTCUSDT", "LTC"), ("XRP/NOCURRENCY", ""), ], ) def test_get_pair_base_currency(default_conf, mocker, pair, expected): ex = get_patched_exchange(mocker, default_conf) assert ex.get_pair_base_currency(pair) == expected @pytest.mark.parametrize("timeframe", [("5m"), ("1m"), ("15m"), ("1h")]) def test_validate_timeframes(default_conf, mocker, timeframe): default_conf["timeframe"] = timeframe api_mock = MagicMock() id_mock = MagicMock(return_value="test_exchange") api_mock.id = id_mock api_mock.options = {} timeframes = {"1m": "1m", "5m": "5m", "15m": "15m", "1h": "1h"} api_mock.timeframes = timeframes mocker.patch(f"{EXMS}._init_ccxt", MagicMock(return_value=api_mock)) mocker.patch(f"{EXMS}.reload_markets") mocker.patch(f"{EXMS}.validate_stakecurrency") mocker.patch(f"{EXMS}.validate_pricing") Exchange(default_conf) def test_validate_timeframes_failed(default_conf, mocker): default_conf["timeframe"] = "3m" api_mock = MagicMock() id_mock = MagicMock(return_value="test_exchange") api_mock.id = id_mock timeframes = {"15s": "15s", "1m": "1m", "5m": "5m", "15m": "15m", "1h": "1h"} api_mock.timeframes = timeframes api_mock.options = {} mocker.patch(f"{EXMS}._init_ccxt", MagicMock(return_value=api_mock)) mocker.patch(f"{EXMS}.reload_markets") mocker.patch(f"{EXMS}.validate_stakecurrency") mocker.patch(f"{EXMS}.validate_pricing") with pytest.raises( ConfigurationError, match=r"Invalid timeframe '3m'. This exchange supports.*" ): Exchange(default_conf) default_conf["timeframe"] = "15s" with pytest.raises( ConfigurationError, match=r"Timeframes < 1m are currently not supported by Freqtrade." ): Exchange(default_conf) # Will not raise an exception in util mode. default_conf["runmode"] = RunMode.UTIL_EXCHANGE Exchange(default_conf) def test_validate_timeframes_emulated_ohlcv_1(default_conf, mocker): default_conf["timeframe"] = "3m" api_mock = MagicMock() id_mock = PropertyMock(return_value="test_exchange") type(api_mock).id = id_mock # delete timeframes so magicmock does not autocreate it del api_mock.timeframes mocker.patch(f"{EXMS}._init_ccxt", MagicMock(return_value=api_mock)) mocker.patch(f"{EXMS}.reload_markets") mocker.patch(f"{EXMS}.validate_stakecurrency") with pytest.raises( OperationalException, match=r"The ccxt library does not provide the list of timeframes " r"for the exchange .* and this exchange " r"is therefore not supported. *", ): Exchange(default_conf) def test_validate_timeframes_emulated_ohlcvi_2(default_conf, mocker): default_conf["timeframe"] = "3m" api_mock = MagicMock() id_mock = PropertyMock(return_value="test_exchange") type(api_mock).id = id_mock # delete timeframes so magicmock does not autocreate it del api_mock.timeframes mocker.patch(f"{EXMS}._init_ccxt", MagicMock(return_value=api_mock)) mocker.patch(f"{EXMS}.reload_markets") mocker.patch(f"{EXMS}.validate_stakecurrency") with pytest.raises( OperationalException, match=r"The ccxt library does not provide the list of timeframes " r"for the exchange .* and this exchange " r"is therefore not supported. *", ): Exchange(default_conf) def test_validate_timeframes_not_in_config(default_conf, mocker): # TODO: this test does not assert ... del default_conf["timeframe"] api_mock = MagicMock() id_mock = PropertyMock(return_value="test_exchange") type(api_mock).id = id_mock timeframes = PropertyMock(return_value={"1m": "1m", "5m": "5m", "15m": "15m", "1h": "1h"}) type(api_mock).timeframes = timeframes mocker.patch(f"{EXMS}._init_ccxt", MagicMock(return_value=api_mock)) mocker.patch(f"{EXMS}.reload_markets") mocker.patch(f"{EXMS}.validate_stakecurrency") mocker.patch(f"{EXMS}.validate_pricing") mocker.patch(f"{EXMS}.validate_required_startup_candles") Exchange(default_conf) def test_validate_pricing(default_conf, mocker): api_mock = MagicMock() has = { "fetchL2OrderBook": True, "fetchTicker": True, } type(api_mock).has = PropertyMock(return_value=has) mocker.patch(f"{EXMS}._init_ccxt", MagicMock(return_value=api_mock)) mocker.patch(f"{EXMS}.reload_markets") mocker.patch(f"{EXMS}.validate_trading_mode_and_margin_mode") mocker.patch(f"{EXMS}.validate_timeframes") mocker.patch(f"{EXMS}.validate_stakecurrency") mocker.patch(f"{EXMS}.name", "Binance") default_conf["exchange"]["name"] = "binance" ExchangeResolver.load_exchange(default_conf) has.update({"fetchTicker": False}) with pytest.raises(OperationalException, match=r"Ticker pricing not available for .*"): ExchangeResolver.load_exchange(default_conf) has.update({"fetchTicker": True}) default_conf["exit_pricing"]["use_order_book"] = True ExchangeResolver.load_exchange(default_conf) has.update({"fetchL2OrderBook": False}) with pytest.raises(OperationalException, match=r"Orderbook not available for .*"): ExchangeResolver.load_exchange(default_conf) has.update({"fetchL2OrderBook": True}) # Binance has no tickers on futures default_conf["trading_mode"] = TradingMode.FUTURES default_conf["margin_mode"] = MarginMode.ISOLATED with pytest.raises(OperationalException, match=r"Ticker pricing not available for .*"): ExchangeResolver.load_exchange(default_conf) def test_validate_ordertypes(default_conf, mocker): api_mock = MagicMock() type(api_mock).has = PropertyMock(return_value={"createMarketOrder": True}) mocker.patch(f"{EXMS}._init_ccxt", MagicMock(return_value=api_mock)) mocker.patch(f"{EXMS}.reload_markets") mocker.patch(f"{EXMS}.validate_timeframes") mocker.patch(f"{EXMS}.validate_stakecurrency") mocker.patch(f"{EXMS}.validate_pricing") default_conf["order_types"] = { "entry": "limit", "exit": "limit", "stoploss": "market", "stoploss_on_exchange": False, } Exchange(default_conf) type(api_mock).has = PropertyMock(return_value={"createMarketOrder": False}) mocker.patch(f"{EXMS}._init_ccxt", MagicMock(return_value=api_mock)) default_conf["order_types"] = { "entry": "limit", "exit": "limit", "stoploss": "market", "stoploss_on_exchange": False, } with pytest.raises(OperationalException, match=r"Exchange .* does not support market orders."): Exchange(default_conf) default_conf["order_types"] = { "entry": "limit", "exit": "limit", "stoploss": "limit", "stoploss_on_exchange": True, } with pytest.raises(OperationalException, match=r"On exchange stoploss is not supported for .*"): Exchange(default_conf) @pytest.mark.parametrize( "exchange_name,stopadv, expected", [ ("binance", "last", True), ("binance", "mark", True), ("binance", "index", False), ("bybit", "last", True), ("bybit", "mark", True), ("bybit", "index", True), ("okx", "last", True), ("okx", "mark", True), ("okx", "index", True), ("gate", "last", True), ("gate", "mark", True), ("gate", "index", True), ], ) def test_validate_ordertypes_stop_advanced(default_conf, mocker, exchange_name, stopadv, expected): api_mock = MagicMock() default_conf["trading_mode"] = TradingMode.FUTURES default_conf["margin_mode"] = MarginMode.ISOLATED type(api_mock).has = PropertyMock(return_value={"createMarketOrder": True}) mocker.patch(f"{EXMS}._init_ccxt", MagicMock(return_value=api_mock)) mocker.patch(f"{EXMS}.reload_markets") mocker.patch(f"{EXMS}.validate_timeframes") mocker.patch(f"{EXMS}.validate_stakecurrency") mocker.patch(f"{EXMS}.validate_pricing") default_conf["order_types"] = { "entry": "limit", "exit": "limit", "stoploss": "limit", "stoploss_on_exchange": True, "stoploss_price_type": stopadv, } default_conf["exchange"]["name"] = exchange_name if expected: ExchangeResolver.load_exchange(default_conf) else: with pytest.raises( OperationalException, match=r"On exchange stoploss price type '.*' is not supported for .*", ): ExchangeResolver.load_exchange(default_conf) def test_validate_order_types_not_in_config(default_conf, mocker): api_mock = MagicMock() mocker.patch(f"{EXMS}._init_ccxt", MagicMock(return_value=api_mock)) mocker.patch(f"{EXMS}.reload_markets") mocker.patch(f"{EXMS}.validate_timeframes") mocker.patch(f"{EXMS}.validate_pricing") mocker.patch(f"{EXMS}.validate_stakecurrency") conf = copy.deepcopy(default_conf) Exchange(conf) def test_validate_required_startup_candles(default_conf, mocker, caplog): api_mock = MagicMock() mocker.patch(f"{EXMS}.name", PropertyMock(return_value="Binance")) mocker.patch(f"{EXMS}._init_ccxt", api_mock) mocker.patch(f"{EXMS}.validate_timeframes") mocker.patch(f"{EXMS}._load_async_markets") mocker.patch(f"{EXMS}.validate_pricing") mocker.patch(f"{EXMS}.validate_stakecurrency") default_conf["startup_candle_count"] = 20 ex = Exchange(default_conf) assert ex # assumption is that the exchange provides 500 candles per call.s assert ex.validate_required_startup_candles(200, "5m") == 1 assert ex.validate_required_startup_candles(499, "5m") == 1 assert ex.validate_required_startup_candles(600, "5m") == 2 assert ex.validate_required_startup_candles(501, "5m") == 2 assert ex.validate_required_startup_candles(499, "5m") == 1 assert ex.validate_required_startup_candles(1000, "5m") == 3 assert ex.validate_required_startup_candles(2499, "5m") == 5 assert log_has_re(r"Using 5 calls to get OHLCV. This.*", caplog) with pytest.raises(OperationalException, match=r"This strategy requires 2500.*"): ex.validate_required_startup_candles(2500, "5m") # Ensure the same also happens on init default_conf["startup_candle_count"] = 6000 with pytest.raises(OperationalException, match=r"This strategy requires 6000.*"): Exchange(default_conf) # Emulate kraken mode ex._ft_has["ohlcv_has_history"] = False with pytest.raises( OperationalException, match=r"This strategy requires 2500.*, " r"which is more than .* the amount", ): ex.validate_required_startup_candles(2500, "5m") def test_exchange_has(default_conf, mocker): exchange = get_patched_exchange(mocker, default_conf) assert not exchange.exchange_has("ASDFASDF") api_mock = MagicMock() type(api_mock).has = PropertyMock(return_value={"deadbeef": True}) exchange = get_patched_exchange(mocker, default_conf, api_mock) assert exchange.exchange_has("deadbeef") type(api_mock).has = PropertyMock(return_value={"deadbeef": False}) exchange = get_patched_exchange(mocker, default_conf, api_mock) assert not exchange.exchange_has("deadbeef") exchange._ft_has["exchange_has_overrides"] = {"deadbeef": True} assert exchange.exchange_has("deadbeef") @pytest.mark.parametrize( "side,leverage", [ ("buy", 1), ("buy", 5), ("sell", 1.0), ("sell", 5.0), ], ) @pytest.mark.parametrize("exchange_name", EXCHANGES) def test_create_dry_run_order(default_conf, mocker, side, exchange_name, leverage): default_conf["dry_run"] = True exchange = get_patched_exchange(mocker, default_conf, exchange=exchange_name) order = exchange.create_dry_run_order( pair="ETH/BTC", ordertype="limit", side=side, amount=1, rate=200, leverage=leverage ) assert "id" in order assert f"dry_run_{side}_" in order["id"] assert order["side"] == side assert order["type"] == "limit" assert order["symbol"] == "ETH/BTC" assert order["amount"] == 1 assert order["cost"] == 1 * 200 @pytest.mark.parametrize( "side,is_short,order_reason", [ ("buy", False, "entry"), ("sell", False, "exit"), ("buy", True, "exit"), ("sell", True, "entry"), ], ) @pytest.mark.parametrize( "order_type,price_side,fee", [ ("limit", "same", 1.0), ("limit", "other", 2.0), ("market", "same", 2.0), ("market", "other", 2.0), ], ) def test_create_dry_run_order_fees( default_conf, mocker, side, order_type, is_short, order_reason, price_side, fee, ): exchange = get_patched_exchange(mocker, default_conf) mocker.patch( f"{EXMS}.get_fee", side_effect=lambda symbol, taker_or_maker: 2.0 if taker_or_maker == "taker" else 1.0, ) mocker.patch(f"{EXMS}._dry_is_price_crossed", return_value=price_side == "other") order = exchange.create_dry_run_order( pair="LTC/USDT", ordertype=order_type, side=side, amount=10, rate=2.0, leverage=1.0 ) if price_side == "other" or order_type == "market": assert order["fee"]["rate"] == fee return else: assert order["fee"] is None mocker.patch(f"{EXMS}._dry_is_price_crossed", return_value=price_side != "other") order1 = exchange.fetch_dry_run_order(order["id"]) assert order1["fee"]["rate"] == fee @pytest.mark.parametrize( "side,limit,offset,is_stop,expected", [ ("buy", 46.0, 0.0, False, True), ("buy", 46.0, 0.0, True, False), ("buy", 26.0, 0.0, False, True), ("buy", 26.0, 0.0, True, False), # Stop - didn't trigger ("buy", 25.55, 0.0, False, False), ("buy", 25.55, 0.0, True, True), # Stop - triggered ("buy", 1, 0.0, False, False), # Very far away ("buy", 1, 0.0, True, True), # Current price is above stop - triggered ("sell", 25.5, 0.0, False, True), ("sell", 50, 0.0, False, False), # Very far away ("sell", 25.58, 0.0, False, False), ("sell", 25.563, 0.01, False, False), ("sell", 25.563, 0.0, True, False), # stop order - Not triggered, best bid ("sell", 25.566, 0.0, True, True), # stop order - triggered ("sell", 26, 0.01, True, True), # stop order - triggered ("sell", 5.563, 0.01, False, True), ("sell", 5.563, 0.0, True, False), # stop order - not triggered ], ) def test__dry_is_price_crossed_with_orderbook( default_conf, mocker, order_book_l2_usd, side, limit, offset, is_stop, expected ): # Best bid 25.563 # Best ask 25.566 exchange = get_patched_exchange(mocker, default_conf) mocker.patch(f"{EXMS}.exchange_has", return_value=True) exchange.fetch_l2_order_book = order_book_l2_usd orderbook = order_book_l2_usd.return_value result = exchange._dry_is_price_crossed( "LTC/USDT", side, limit, orderbook=orderbook, offset=offset, is_stop=is_stop ) assert result is expected assert order_book_l2_usd.call_count == 0 # Test without passing orderbook order_book_l2_usd.reset_mock() result = exchange._dry_is_price_crossed("LTC/USDT", side, limit, offset=offset, is_stop=is_stop) assert result is expected def test__dry_is_price_crossed_empty_orderbook(default_conf, mocker): exchange = get_patched_exchange(mocker, default_conf) mocker.patch(f"{EXMS}.exchange_has", return_value=True) empty_book = {"asks": [], "bids": []} assert not exchange._dry_is_price_crossed("LTC/USDT", "buy", 100.0, orderbook=empty_book) def test__dry_is_price_crossed_fetches_orderbook(default_conf, mocker, order_book_l2_usd): exchange = get_patched_exchange(mocker, default_conf) mocker.patch(f"{EXMS}.exchange_has", return_value=True) exchange.fetch_l2_order_book = order_book_l2_usd assert exchange._dry_is_price_crossed("LTC/USDT", "buy", 26.0) assert order_book_l2_usd.call_count == 1 def test__dry_is_price_crossed_without_orderbook_support(default_conf, mocker): exchange = get_patched_exchange(mocker, default_conf) exchange.fetch_l2_order_book = MagicMock() mocker.patch(f"{EXMS}.exchange_has", return_value=False) assert exchange._dry_is_price_crossed("LTC/USDT", "buy", 1.0) assert exchange._dry_is_price_crossed("LTC/USDT", "sell", 1.0) assert exchange.fetch_l2_order_book.call_count == 0 assert not exchange._dry_is_price_crossed("LTC/USDT", "buy", 1.0, is_stop=True) assert not exchange._dry_is_price_crossed("LTC/USDT", "sell", 1.0, is_stop=True) @pytest.mark.parametrize( "crossed,immediate,side,amount,expected_status,expected_fee_rate,expected_calls,taker_or_maker", [ (True, True, "buy", 2.0, "closed", 0.005, 1, "taker"), (True, False, "sell", 1.5, "closed", 0.005, 1, "maker"), (False, False, "sell", 1.0, "open", None, 0, None), ], ) def test_check_dry_limit_order_filled( default_conf, mocker, crossed, immediate, side, amount, expected_status, expected_fee_rate, expected_calls, taker_or_maker, ): exchange = get_patched_exchange(mocker, default_conf) mocker.patch(f"{EXMS}._dry_is_price_crossed", return_value=crossed) fee_mock = mocker.patch(f"{EXMS}.get_fee", return_value=0.005) order = { "symbol": "LTC/USDT", "status": "open", "type": "limit", "side": side, "price": 25.0, "amount": amount, "filled": 0.0, "remaining": amount, "cost": 25.0 * amount, "fee": None, } result = exchange.check_dry_limit_order_filled(order, immediate=immediate) assert result["status"] == expected_status if crossed: assert result["filled"] == amount assert result["remaining"] == 0.0 assert result["fee"]["rate"] == expected_fee_rate fee_mock.assert_called_once_with("LTC/USDT", taker_or_maker=taker_or_maker) else: assert result["filled"] == 0.0 assert result["remaining"] == amount assert result["fee"] is None assert fee_mock.call_count == expected_calls @pytest.mark.parametrize( "immediate,crossed,expected_status,expected_fee_type", [ (True, True, "closed", "taker"), (False, True, "closed", "maker"), (True, False, "open", None), ], ) def test_check_dry_limit_order_filled_stoploss( default_conf, mocker, immediate, crossed, expected_status, expected_fee_type, order_book_l2_usd ): exchange = get_patched_exchange(mocker, default_conf) mocker.patch.multiple( EXMS, exchange_has=MagicMock(return_value=True), _dry_is_price_crossed=MagicMock(return_value=crossed), fetch_l2_order_book=order_book_l2_usd, ) average_mock = mocker.patch(f"{EXMS}.get_dry_market_fill_price", return_value=24.25) fee_mock = mocker.patch( f"{EXMS}.add_dry_order_fee", autospec=True, side_effect=lambda self, pair, dry_order, taker_or_maker: dry_order, ) amount = 1.75 order = { "symbol": "LTC/USDT", "status": "open", "type": "limit", "side": "sell", "amount": amount, "filled": 0.0, "remaining": amount, "price": 25.0, "average": 0.0, "cost": 0.0, "fee": None, "ft_order_type": "stoploss", "stopLossPrice": 24.5, } if immediate and crossed: with pytest.raises(InvalidOrderException, match=r".*Stoploss would trigger immediately.*"): exchange.check_dry_limit_order_filled(order, immediate=immediate) return result = exchange.check_dry_limit_order_filled(order, immediate=immediate) assert result["status"] == expected_status assert order_book_l2_usd.call_count == 1 if crossed: assert result["filled"] == amount assert result["remaining"] == 0 assert result["average"] == 24.25 assert result["cost"] == pytest.approx(amount * 24.25) assert average_mock.call_count == 1 assert fee_mock.call_count == 1 assert fee_mock.call_args[0][1] == "LTC/USDT" assert fee_mock.call_args[0][3] == expected_fee_type else: assert result["filled"] == 0.0 assert result["remaining"] == amount assert result["average"] == 0.0 assert average_mock.call_count == 0 assert fee_mock.call_count == 0 @pytest.mark.parametrize( "side,price,filled,converted", [ # order_book_l2_usd spread: # best ask: 25.566 # best bid: 25.563 ("buy", 25.563, False, False), ("buy", 25.566, True, False), ("sell", 25.566, False, False), ("sell", 25.563, True, False), ("buy", 29.563, True, True), ("sell", 21.563, True, True), ], ) @pytest.mark.parametrize("leverage", [1, 2, 5]) @pytest.mark.parametrize("exchange_name", EXCHANGES) def test_create_dry_run_order_limit_fill( default_conf, mocker, side, price, filled, caplog, exchange_name, order_book_l2_usd, converted, leverage, ): default_conf["dry_run"] = True exchange = get_patched_exchange(mocker, default_conf, exchange=exchange_name) mocker.patch.multiple( EXMS, exchange_has=MagicMock(return_value=True), fetch_l2_order_book=order_book_l2_usd, ) order = exchange.create_order( pair="LTC/USDT", ordertype="limit", side=side, amount=1, rate=price, leverage=leverage, ) assert order_book_l2_usd.call_count == 1 assert "id" in order assert f"dry_run_{side}_" in order["id"] assert order["side"] == side if not converted: assert order["average"] == price assert order["type"] == "limit" else: # Converted to market order assert order["type"] == "market" assert 25.5 < order["average"] < 25.6 assert log_has_re(r"Converted .* to market order.*", caplog) assert order["symbol"] == "LTC/USDT" assert order["status"] == "open" if not filled else "closed" order_book_l2_usd.reset_mock() # fetch order again... order_closed = exchange.fetch_dry_run_order(order["id"]) assert order_book_l2_usd.call_count == (1 if not filled else 0) assert order_closed["status"] == ("open" if not filled else "closed") assert order_closed["filled"] == (0 if not filled else 1) assert order_closed["cost"] == 1 * order_closed["average"] order_book_l2_usd.reset_mock() # Empty orderbook test mocker.patch(f"{EXMS}.fetch_l2_order_book", return_value={"asks": [], "bids": []}) exchange._dry_run_open_orders[order["id"]]["status"] = "open" order_closed = exchange.fetch_dry_run_order(order["id"]) @pytest.mark.parametrize( "side,price,error", [ # order_book_l2_usd spread: # best ask: 25.566 # best bid: 25.563 ("sell", 22.0, False), ("sell", 25.55, False), ("sell", 26.00, True), ("buy", 30.0, False), ("buy", 25.57, False), ("buy", 22.57, True), ], ) @pytest.mark.parametrize("exchange_name", EXCHANGES) def test_create_dry_run_order_stoploss( default_conf_usdt, mocker, exchange_name, order_book_l2_usd, side, price, error, ): default_conf_usdt["dry_run"] = True exchange = get_patched_exchange(mocker, default_conf_usdt, exchange=exchange_name) if not exchange.get_option("stoploss_on_exchange"): pytest.skip(f"{exchange_name} does not support on exchange stoploss orders") mocker.patch.multiple( EXMS, exchange_has=MagicMock(return_value=True), fetch_l2_order_book=order_book_l2_usd, ) params = { "pair": "LTC/USDT", "amount": 1, "stop_price": price, "order_types": {"stoploss": "limit"}, "side": side, "leverage": 1.0, } if not error: order = exchange.create_stoploss(**params) assert isinstance(order, dict) assert order.get("ft_order_type") == "stoploss" assert order["status"] == "open" # assert order["price"] == price else: with pytest.raises(InvalidOrderException, match=r".*Stoploss would trigger immediately.*"): exchange.create_stoploss(**params) @pytest.mark.parametrize( "side,rate,amount,endprice", [ # spread is 25.263-25.266 ("buy", 25.564, 1, 25.566), ("buy", 25.564, 100, 25.5672), # Requires interpolation ("buy", 25.590, 100, 25.5672), # Price above spread ... average is lower ("buy", 25.564, 1000, 25.575), # More than orderbook return ("buy", 24.000, 100000, 25.200), # Run into max_slippage of 5% ("sell", 25.564, 1, 25.563), ("sell", 25.564, 100, 25.5625), # Requires interpolation ("sell", 25.510, 100, 25.5625), # price below spread - average is higher ("sell", 25.564, 1000, 25.5555), # More than orderbook return ("sell", 27, 10000, 25.65), # max-slippage 5% ], ) @pytest.mark.parametrize("leverage", [1, 2, 5]) @pytest.mark.parametrize("exchange_name", EXCHANGES) def test_create_dry_run_order_market_fill( default_conf, mocker, side, rate, amount, endprice, exchange_name, order_book_l2_usd, leverage ): default_conf["dry_run"] = True exchange = get_patched_exchange(mocker, default_conf, exchange=exchange_name) mocker.patch.multiple( EXMS, exchange_has=MagicMock(return_value=True), fetch_l2_order_book=order_book_l2_usd, ) order = exchange.create_order( pair="LTC/USDT", ordertype="market", side=side, amount=amount, rate=rate, leverage=leverage, ) assert "id" in order assert f"dry_run_{side}_" in order["id"] assert order["side"] == side assert order["type"] == "market" assert order["symbol"] == "LTC/USDT" assert order["status"] == "closed" assert order["filled"] == amount assert order["amount"] == amount assert pytest.approx(order["cost"]) == amount * order["average"] assert round(order["average"], 4) == round(endprice, 4) @pytest.mark.parametrize("side", ["buy", "sell"]) @pytest.mark.parametrize( "ordertype,rate,marketprice", [ ("market", None, None), ("market", 200, True), ("limit", 200, None), ("stop_loss_limit", 200, None), ], ) @pytest.mark.parametrize("exchange_name", EXCHANGES) def test_create_order(default_conf, mocker, side, ordertype, rate, marketprice, exchange_name): api_mock = MagicMock() order_id = f"test_prod_{side}_{randint(0, 10**6)}" api_mock.options = {} if not marketprice else {"createMarketBuyOrderRequiresPrice": True} api_mock.create_order = MagicMock( return_value={"id": order_id, "info": {"foo": "bar"}, "symbol": "XLTCUSDT", "amount": 1} ) default_conf["dry_run"] = False default_conf["margin_mode"] = "isolated" 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, exchange=exchange_name) exchange._set_leverage = MagicMock() exchange.set_margin_mode = MagicMock() # Only applies to gate price_req = exchange._ft_has.get("marketOrderRequiresPrice", False) order = exchange.create_order( pair="XLTCUSDT", ordertype=ordertype, side=side, amount=1, rate=rate, leverage=1.0 ) assert "id" in order assert "info" in order assert order["id"] == order_id assert order["amount"] == 1 assert api_mock.create_order.call_args[0][0] == "XLTCUSDT" assert api_mock.create_order.call_args[0][1] == ordertype assert api_mock.create_order.call_args[0][2] == side assert api_mock.create_order.call_args[0][3] == 1 assert api_mock.create_order.call_args[0][4] == ( rate if price_req or not (bool(marketprice) and side == "sell") else None ) assert exchange._set_leverage.call_count == 0 assert exchange.set_margin_mode.call_count == 0 api_mock.create_order = MagicMock( return_value={ "id": order_id, "info": {"foo": "bar"}, "symbol": "ADA/USDT:USDT", "amount": 1, } ) exchange = get_patched_exchange(mocker, default_conf, api_mock, exchange=exchange_name) exchange.trading_mode = TradingMode.FUTURES exchange._set_leverage = MagicMock() exchange.set_margin_mode = MagicMock() order = exchange.create_order( pair="ADA/USDT:USDT", ordertype=ordertype, side=side, amount=1, rate=200, leverage=3.0 ) if exchange_name != "okx": assert exchange._set_leverage.call_count == 1 assert exchange.set_margin_mode.call_count == 1 else: assert api_mock.set_leverage.call_count == 1 assert order["amount"] == 0.01 @pytest.mark.parametrize("exchange_name", EXCHANGES) def test_buy_dry_run(default_conf, mocker, exchange_name): default_conf["dry_run"] = True exchange = get_patched_exchange(mocker, default_conf, exchange=exchange_name) order = exchange.create_order( pair="ETH/BTC", ordertype="limit", side="buy", amount=1, rate=200, leverage=1.0, time_in_force="gtc", ) assert "id" in order assert "dry_run_buy_" in order["id"] @pytest.mark.parametrize("exchange_name", EXCHANGES) def test_buy_prod(default_conf, mocker, exchange_name): api_mock = MagicMock() order_id = f"test_prod_buy_{randint(0, 10**6)}" order_type = "market" time_in_force = "gtc" 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, exchange=exchange_name) order = exchange.create_order( pair="ETH/BTC", ordertype=order_type, side="buy", amount=1, rate=200, leverage=1.0, time_in_force=time_in_force, ) 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] == "buy" assert api_mock.create_order.call_args[0][3] == 1 if exchange._order_needs_price("buy", order_type): assert api_mock.create_order.call_args[0][4] == 200 else: assert api_mock.create_order.call_args[0][4] is None api_mock.create_order.reset_mock() order_type = "limit" order = exchange.create_order( pair="ETH/BTC", ordertype=order_type, side="buy", amount=1, rate=200, leverage=1.0, time_in_force=time_in_force, ) 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] == "buy" assert api_mock.create_order.call_args[0][3] == 1 assert api_mock.create_order.call_args[0][4] == 200 # test exception handling with pytest.raises(DependencyException): api_mock.create_order = MagicMock(side_effect=ccxt.InsufficientFunds("Not enough funds")) exchange = get_patched_exchange(mocker, default_conf, api_mock, exchange=exchange_name) exchange.create_order( pair="ETH/BTC", ordertype=order_type, side="buy", amount=1, rate=200, leverage=1.0, time_in_force=time_in_force, ) with pytest.raises(DependencyException): api_mock.create_order = MagicMock(side_effect=ccxt.InvalidOrder("Order not found")) exchange = get_patched_exchange(mocker, default_conf, api_mock, exchange=exchange_name) exchange.create_order( pair="ETH/BTC", ordertype="limit", side="buy", amount=1, rate=200, leverage=1.0, time_in_force=time_in_force, ) with pytest.raises(DependencyException): api_mock.create_order = MagicMock(side_effect=ccxt.InvalidOrder("Order not found")) exchange = get_patched_exchange(mocker, default_conf, api_mock, exchange=exchange_name) exchange.create_order( pair="ETH/BTC", ordertype="market", side="buy", amount=1, rate=200, leverage=1.0, time_in_force=time_in_force, ) with pytest.raises(TemporaryError): api_mock.create_order = MagicMock(side_effect=ccxt.NetworkError("Network disconnect")) exchange = get_patched_exchange(mocker, default_conf, api_mock, exchange=exchange_name) exchange.create_order( pair="ETH/BTC", ordertype=order_type, side="buy", amount=1, rate=200, leverage=1.0, time_in_force=time_in_force, ) with pytest.raises(OperationalException): api_mock.create_order = MagicMock(side_effect=ccxt.BaseError("Unknown error")) exchange = get_patched_exchange(mocker, default_conf, api_mock, exchange=exchange_name) exchange.create_order( pair="ETH/BTC", ordertype=order_type, side="buy", amount=1, rate=200, leverage=1.0, time_in_force=time_in_force, ) @pytest.mark.parametrize("exchange_name", EXCHANGES) def test_buy_considers_time_in_force(default_conf, mocker, exchange_name): api_mock = MagicMock() order_id = f"test_prod_buy_{randint(0, 10**6)}" 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, exchange=exchange_name) order_type = "limit" time_in_force = "ioc" order = exchange.create_order( pair="ETH/BTC", ordertype=order_type, side="buy", amount=1, rate=200, leverage=1.0, time_in_force=time_in_force, ) assert "id" in order assert "info" in order assert order["status"] == "open" 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] == "buy" assert api_mock.create_order.call_args[0][3] == 1 assert api_mock.create_order.call_args[0][4] == 200 assert "timeInForce" in api_mock.create_order.call_args[0][5] assert api_mock.create_order.call_args[0][5]["timeInForce"] == time_in_force.upper() order_type = "market" time_in_force = "ioc" order = exchange.create_order( pair="ETH/BTC", ordertype=order_type, side="buy", amount=1, rate=200, leverage=1.0, time_in_force=time_in_force, ) 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] == "buy" assert api_mock.create_order.call_args[0][3] == 1 if exchange._order_needs_price("buy", order_type): assert api_mock.create_order.call_args[0][4] == 200 else: assert api_mock.create_order.call_args[0][4] is None # Market orders should not send timeInForce!! assert "timeInForce" not in api_mock.create_order.call_args[0][5] def test_sell_dry_run(default_conf, mocker): default_conf["dry_run"] = True exchange = get_patched_exchange(mocker, default_conf) order = exchange.create_order( pair="ETH/BTC", ordertype="limit", side="sell", amount=1, rate=200, leverage=1.0 ) assert "id" in order assert "dry_run_sell_" in order["id"] @pytest.mark.parametrize("exchange_name", EXCHANGES) def test_sell_prod(default_conf, mocker, exchange_name): 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, exchange=exchange_name) 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 if exchange._order_needs_price("sell", order_type): assert api_mock.create_order.call_args[0][4] == 200 else: assert api_mock.create_order.call_args[0][4] is None api_mock.create_order.reset_mock() order_type = "limit" order = exchange.create_order( pair="ETH/BTC", ordertype=order_type, side="sell", amount=1, rate=200, leverage=1.0 ) 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] == 200 # test exception handling with pytest.raises(InsufficientFundsError): api_mock.create_order = MagicMock(side_effect=ccxt.InsufficientFunds("0 balance")) exchange = get_patched_exchange(mocker, default_conf, api_mock, exchange=exchange_name) exchange.create_order( pair="ETH/BTC", ordertype=order_type, side="sell", amount=1, rate=200, leverage=1.0 ) with pytest.raises(InvalidOrderException): api_mock.create_order = MagicMock(side_effect=ccxt.InvalidOrder("Order not found")) exchange = get_patched_exchange(mocker, default_conf, api_mock, exchange=exchange_name) exchange.create_order( pair="ETH/BTC", ordertype="limit", side="sell", amount=1, rate=200, leverage=1.0 ) # Market orders don't require price, so the behaviour is slightly different with pytest.raises(DependencyException): api_mock.create_order = MagicMock(side_effect=ccxt.InvalidOrder("Order not found")) exchange = get_patched_exchange(mocker, default_conf, api_mock, exchange=exchange_name) exchange.create_order( pair="ETH/BTC", ordertype="market", side="sell", amount=1, rate=200, leverage=1.0 ) with pytest.raises(TemporaryError): api_mock.create_order = MagicMock(side_effect=ccxt.NetworkError("No Connection")) exchange = get_patched_exchange(mocker, default_conf, api_mock, exchange=exchange_name) exchange.create_order( pair="ETH/BTC", ordertype=order_type, side="sell", amount=1, rate=200, leverage=1.0 ) with pytest.raises(OperationalException): api_mock.create_order = MagicMock(side_effect=ccxt.BaseError("DeadBeef")) exchange = get_patched_exchange(mocker, default_conf, api_mock, exchange=exchange_name) exchange.create_order( pair="ETH/BTC", ordertype=order_type, side="sell", amount=1, rate=200, leverage=1.0 ) @pytest.mark.parametrize("exchange_name", EXCHANGES) def test_sell_considers_time_in_force(default_conf, mocker, exchange_name): api_mock = MagicMock() order_id = f"test_prod_sell_{randint(0, 10**6)}" api_mock.create_order = MagicMock( return_value={"id": order_id, "symbol": "ETH/BTC", "info": {"foo": "bar"}} ) api_mock.options = {} 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, exchange=exchange_name) order_type = "limit" time_in_force = "ioc" order = exchange.create_order( pair="ETH/BTC", ordertype=order_type, side="sell", amount=1, rate=200, leverage=1.0, time_in_force=time_in_force, ) 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] == 200 assert "timeInForce" in api_mock.create_order.call_args[0][5] assert api_mock.create_order.call_args[0][5]["timeInForce"] == time_in_force.upper() order_type = "market" time_in_force = "IOC" order = exchange.create_order( pair="ETH/BTC", ordertype=order_type, side="sell", amount=1, rate=200, leverage=1.0, time_in_force=time_in_force, ) 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 if exchange._order_needs_price("sell", order_type): assert api_mock.create_order.call_args[0][4] == 200 else: assert api_mock.create_order.call_args[0][4] is None # Market orders should not send timeInForce!! assert "timeInForce" not in api_mock.create_order.call_args[0][5] @pytest.mark.parametrize("exchange_name", EXCHANGES) def test_get_balances_prod(default_conf, mocker, exchange_name): balance_item = {"free": 10.0, "total": 10.0, "used": 0.0} api_mock = MagicMock() api_mock.fetch_balance = MagicMock( return_value={"1ST": balance_item, "2ND": balance_item, "3RD": balance_item} ) api_mock.commonCurrencies = {} default_conf["dry_run"] = False exchange = get_patched_exchange(mocker, default_conf, api_mock, exchange=exchange_name) assert len(exchange.get_balances()) == 3 assert exchange.get_balances()["1ST"]["free"] == 10.0 assert exchange.get_balances()["1ST"]["total"] == 10.0 assert exchange.get_balances()["1ST"]["used"] == 0.0 ccxt_exceptionhandlers( mocker, default_conf, api_mock, exchange_name, "get_balances", "fetch_balance" ) @pytest.mark.parametrize("exchange_name", EXCHANGES) def test_fetch_positions(default_conf, mocker, exchange_name): mocker.patch(f"{EXMS}.validate_trading_mode_and_margin_mode") api_mock = MagicMock() api_mock.fetch_positions = MagicMock( return_value=[ {"symbol": "ETH/USDT:USDT", "leverage": 5}, {"symbol": "XRP/USDT:USDT", "leverage": 5}, ] ) exchange = get_patched_exchange(mocker, default_conf, api_mock, exchange=exchange_name) assert exchange.fetch_positions() == [] default_conf["dry_run"] = False default_conf["trading_mode"] = "futures" exchange = get_patched_exchange(mocker, default_conf, api_mock, exchange=exchange_name) res = exchange.fetch_positions() assert len(res) == 2 ccxt_exceptionhandlers( mocker, default_conf, api_mock, exchange_name, "fetch_positions", "fetch_positions" ) @pytest.mark.parametrize("exchange_name", EXCHANGES) def test_fetch_orders(default_conf, mocker, exchange_name, limit_order): api_mock = MagicMock() call_count = 1 def return_value(*args, **kwargs): nonlocal call_count call_count += 2 return [ {**limit_order["buy"], "id": call_count}, {**limit_order["sell"], "id": call_count + 1}, ] api_mock.fetch_orders = MagicMock(side_effect=return_value) api_mock.fetch_open_orders = MagicMock(return_value=[limit_order["buy"]]) api_mock.fetch_canceled_orders = MagicMock(return_value=[]) api_mock.fetch_closed_orders = MagicMock(return_value=[limit_order["buy"]]) mocker.patch(f"{EXMS}.exchange_has", return_value=True) start_time = datetime.now(UTC) - timedelta(days=20) expected = 1 if exchange_name == "bybit": expected = 3 exchange = get_patched_exchange(mocker, default_conf, api_mock, exchange=exchange_name) # Not available in dry-run assert exchange.fetch_orders("mocked", start_time) == [] assert api_mock.fetch_orders.call_count == 0 default_conf["dry_run"] = False exchange = get_patched_exchange(mocker, default_conf, api_mock, exchange=exchange_name) res = exchange.fetch_orders("mocked", start_time) assert api_mock.fetch_orders.call_count == expected assert api_mock.fetch_open_orders.call_count == 0 assert api_mock.fetch_closed_orders.call_count == 0 assert len(res) == 2 * expected res = exchange.fetch_orders("mocked", start_time) api_mock.fetch_orders.reset_mock() def has_resp(_, endpoint): if endpoint == "fetchOrders": return False if endpoint == "fetchClosedOrders": return True if endpoint == "fetchOpenOrders": return True if endpoint == "fetchCanceledOrders": return True if exchange_name == "okx": # Special OKX case is tested separately return mocker.patch(f"{EXMS}.exchange_has", has_resp) # happy path without fetchOrders exchange.fetch_orders("mocked", start_time) assert api_mock.fetch_orders.call_count == 0 assert api_mock.fetch_open_orders.call_count == expected assert api_mock.fetch_closed_orders.call_count == expected assert api_mock.fetch_canceled_orders.call_count == expected mocker.patch(f"{EXMS}.exchange_has", return_value=True) ccxt_exceptionhandlers( mocker, default_conf, api_mock, exchange_name, "fetch_orders", "fetch_orders", retries=1, pair="mocked", since=start_time, ) # Unhappy path - first fetch-orders call fails. api_mock.fetch_orders = MagicMock(side_effect=ccxt.NotSupported()) api_mock.fetch_open_orders.reset_mock() api_mock.fetch_closed_orders.reset_mock() api_mock.fetch_canceled_orders.reset_mock() exchange.fetch_orders("mocked", start_time) assert api_mock.fetch_orders.call_count == expected assert api_mock.fetch_open_orders.call_count == expected assert api_mock.fetch_closed_orders.call_count == expected assert api_mock.fetch_canceled_orders.call_count == expected @pytest.mark.parametrize("exchange_name", [ex for ex in EXCHANGES if ex != "bybit"]) @pytest.mark.parametrize( "call_config, expected", [ # call_config: (fetch_orders, fetch_open, fetch_closed, fetch_canceled) # expected: (fetch_orders_calls, fetch_open_calls, fetch_closed_calls, fetch_canceled_calls) ((True, False, False, False), (1, 0, 0, 0)), ((False, True, True, False), (0, 1, 1, 0)), ((False, True, False, True), (0, 1, 0, 1)), ((False, True, True, True), (0, 1, 1, 1)), ], ) def test_fetch_orders_multi( default_conf, mocker, exchange_name, limit_order, call_config, expected ): default_conf["dry_run"] = False api_mock = MagicMock() call_count = 1 def return_value(*args, **kwargs): nonlocal call_count call_count += 2 return [ {**limit_order["buy"], "id": call_count}, {**limit_order["sell"], "id": call_count + 1}, ] api_mock.fetch_orders = MagicMock(side_effect=return_value) api_mock.fetch_open_orders = MagicMock(return_value=[limit_order["buy"]]) api_mock.fetch_canceled_orders = MagicMock(return_value=[limit_order["sell"]]) api_mock.fetch_closed_orders = MagicMock(return_value=[limit_order["buy"]]) mocker.patch(f"{EXMS}.exchange_has", return_value=True) start_time = datetime.now(UTC) - timedelta(days=20) exchange = get_patched_exchange(mocker, default_conf, api_mock, exchange=exchange_name) def has_resp(_, endpoint): if endpoint == "fetchOrders": return call_config[0] if endpoint == "fetchClosedOrders": return call_config[2] if endpoint == "fetchOpenOrders": return call_config[1] if endpoint == "fetchCanceledOrders": return call_config[3] if exchange_name == "okx": # Special OKX case is tested separately return mocker.patch(f"{EXMS}.exchange_has", has_resp) # resp = exchange.fetch_orders("mocked", start_time) assert api_mock.fetch_orders.call_count == expected[0] assert api_mock.fetch_open_orders.call_count == expected[1] assert api_mock.fetch_closed_orders.call_count == expected[2] assert api_mock.fetch_canceled_orders.call_count == expected[3] assert len(resp) == 2 * expected[0] + expected[1] + expected[2] + expected[3] def test_fetch_trading_fees(default_conf, mocker): api_mock = MagicMock() tick = { "1INCH/USDT:USDT": { "info": { "user_id": "", "taker_fee": "0.0018", "maker_fee": "0.0018", "gt_discount": False, "gt_taker_fee": "0", "gt_maker_fee": "0", "loan_fee": "0.18", "point_type": "1", "futures_taker_fee": "0.0005", "futures_maker_fee": "0", }, "symbol": "1INCH/USDT:USDT", "maker": 0.0, "taker": 0.0005, }, "ETH/USDT:USDT": { "info": { "user_id": "", "taker_fee": "0.0018", "maker_fee": "0.0018", "gt_discount": False, "gt_taker_fee": "0", "gt_maker_fee": "0", "loan_fee": "0.18", "point_type": "1", "futures_taker_fee": "0.0005", "futures_maker_fee": "0", }, "symbol": "ETH/USDT:USDT", "maker": 0.0, "taker": 0.0005, }, } exchange_name = "gate" default_conf["dry_run"] = False default_conf["trading_mode"] = TradingMode.FUTURES default_conf["margin_mode"] = MarginMode.ISOLATED api_mock.fetch_trading_fees = MagicMock(return_value=tick) mocker.patch(f"{EXMS}.exchange_has", return_value=True) exchange = get_patched_exchange(mocker, default_conf, api_mock, exchange=exchange_name) assert "1INCH/USDT:USDT" in exchange._trading_fees assert "ETH/USDT:USDT" in exchange._trading_fees assert api_mock.fetch_trading_fees.call_count == 1 api_mock.fetch_trading_fees.reset_mock() # Reload-markets calls fetch_trading_fees, too - so the explicit calls in the below # exception test would be called twice. mocker.patch(f"{EXMS}.reload_markets") ccxt_exceptionhandlers( mocker, default_conf, api_mock, exchange_name, "fetch_trading_fees", "fetch_trading_fees" ) api_mock.fetch_trading_fees = MagicMock(return_value={}) exchange = get_patched_exchange(mocker, default_conf, api_mock, exchange=exchange_name) exchange.fetch_trading_fees() mocker.patch(f"{EXMS}.exchange_has", return_value=True) assert exchange.fetch_trading_fees() == {} def test_fetch_bids_asks(default_conf, mocker): api_mock = MagicMock() tick = { "ETH/BTC": { "symbol": "ETH/BTC", "bid": 0.5, "ask": 1, "last": 42, }, "BCH/BTC": { "symbol": "BCH/BTC", "bid": 0.6, "ask": 0.5, "last": 41, }, } exchange_name = "binance" api_mock.fetch_bids_asks = MagicMock(return_value=tick) mocker.patch(f"{EXMS}.exchange_has", return_value=True) exchange = get_patched_exchange(mocker, default_conf, api_mock, exchange=exchange_name) # retrieve original ticker bidsasks = exchange.fetch_bids_asks() assert "ETH/BTC" in bidsasks assert "BCH/BTC" in bidsasks assert bidsasks["ETH/BTC"]["bid"] == 0.5 assert bidsasks["ETH/BTC"]["ask"] == 1 assert bidsasks["BCH/BTC"]["bid"] == 0.6 assert bidsasks["BCH/BTC"]["ask"] == 0.5 assert api_mock.fetch_bids_asks.call_count == 1 api_mock.fetch_bids_asks.reset_mock() # Cached ticker should not call api again tickers2 = exchange.fetch_bids_asks(cached=True) assert tickers2 == bidsasks assert api_mock.fetch_bids_asks.call_count == 0 tickers2 = exchange.fetch_bids_asks(cached=False) assert api_mock.fetch_bids_asks.call_count == 1 ccxt_exceptionhandlers( mocker, default_conf, api_mock, exchange_name, "fetch_bids_asks", "fetch_bids_asks" ) with pytest.raises(OperationalException): api_mock.fetch_bids_asks = MagicMock(side_effect=ccxt.NotSupported("DeadBeef")) exchange = get_patched_exchange(mocker, default_conf, api_mock, exchange=exchange_name) exchange.fetch_bids_asks() api_mock.fetch_bids_asks = MagicMock(return_value={}) exchange = get_patched_exchange(mocker, default_conf, api_mock, exchange=exchange_name) exchange.fetch_bids_asks() mocker.patch(f"{EXMS}.exchange_has", return_value=True) assert exchange.fetch_bids_asks() == {} @pytest.mark.parametrize("exchange_name", EXCHANGES) def test_get_tickers(default_conf, mocker, exchange_name, caplog): api_mock = MagicMock() tick = { "ETH/BTC": { "symbol": "ETH/BTC", "bid": 0.5, "ask": 1, "last": 42, }, "BCH/BTC": { "symbol": "BCH/BTC", "bid": 0.6, "ask": 0.5, "last": 41, }, } mocker.patch(f"{EXMS}.exchange_has", return_value=True) api_mock.fetch_tickers = MagicMock(return_value=tick) api_mock.fetch_bids_asks = MagicMock(return_value={}) exchange = get_patched_exchange(mocker, default_conf, api_mock, exchange=exchange_name) # retrieve original ticker tickers = exchange.get_tickers() assert "ETH/BTC" in tickers assert "BCH/BTC" in tickers assert tickers["ETH/BTC"]["bid"] == 0.5 assert tickers["ETH/BTC"]["ask"] == 1 assert tickers["BCH/BTC"]["bid"] == 0.6 assert tickers["BCH/BTC"]["ask"] == 0.5 assert api_mock.fetch_tickers.call_count == 1 assert api_mock.fetch_bids_asks.call_count == 0 api_mock.fetch_tickers.reset_mock() # Cached ticker should not call api again tickers2 = exchange.get_tickers(cached=True) assert tickers2 == tickers assert api_mock.fetch_tickers.call_count == 0 assert api_mock.fetch_bids_asks.call_count == 0 tickers2 = exchange.get_tickers(cached=False) assert api_mock.fetch_tickers.call_count == 1 assert api_mock.fetch_bids_asks.call_count == 0 ccxt_exceptionhandlers( mocker, default_conf, api_mock, exchange_name, "get_tickers", "fetch_tickers" ) with pytest.raises(OperationalException): api_mock.fetch_tickers = MagicMock(side_effect=ccxt.NotSupported("DeadBeef")) exchange = get_patched_exchange(mocker, default_conf, api_mock, exchange=exchange_name) exchange.get_tickers() caplog.clear() api_mock.fetch_tickers = MagicMock(side_effect=[ccxt.BadSymbol("SomeSymbol"), []]) exchange = get_patched_exchange(mocker, default_conf, api_mock, exchange=exchange_name) x = exchange.get_tickers() assert x == [] assert log_has_re(r"Could not load tickers due to BadSymbol\..*SomeSymbol", caplog) caplog.clear() api_mock.fetch_tickers = MagicMock(return_value={}) exchange = get_patched_exchange(mocker, default_conf, api_mock, exchange=exchange_name) exchange.get_tickers() api_mock.fetch_tickers.reset_mock() api_mock.fetch_bids_asks.reset_mock() default_conf["trading_mode"] = TradingMode.FUTURES default_conf["margin_mode"] = MarginMode.ISOLATED mocker.patch(f"{EXMS}.exchange_has", return_value=True) exchange = get_patched_exchange(mocker, default_conf, api_mock, exchange=exchange_name) exchange.get_tickers() assert api_mock.fetch_tickers.call_count == 1 assert api_mock.fetch_bids_asks.call_count == (1 if exchange_name == "binance" else 0) api_mock.fetch_tickers.reset_mock() api_mock.fetch_bids_asks.reset_mock() mocker.patch(f"{EXMS}.exchange_has", return_value=False) assert exchange.get_tickers() == {} @pytest.mark.parametrize("exchange_name", EXCHANGES) def test_get_conversion_rate(default_conf_usdt, mocker, exchange_name): api_mock = MagicMock() tick = { "ETH/USDT": { "last": 42, }, "BCH/USDT": { "last": 41, }, "ETH/BTC": { "last": 250, }, } tick2 = { "ADA/USDT:USDT": { "last": 2.5, } } mocker.patch(f"{EXMS}.exchange_has", return_value=True) api_mock.fetch_tickers = MagicMock(side_effect=[tick, tick2]) api_mock.fetch_bids_asks = MagicMock(return_value={}) default_conf_usdt["trading_mode"] = "futures" exchange = get_patched_exchange(mocker, default_conf_usdt, api_mock, exchange=exchange_name) # retrieve original ticker assert exchange.get_conversion_rate("USDT", "USDT") == 1 assert api_mock.fetch_tickers.call_count == 0 assert exchange.get_conversion_rate("ETH", "USDT") == 42 assert exchange.get_conversion_rate("ETH", "USDC") is None assert exchange.get_conversion_rate("ETH", "BTC") == 250 assert exchange.get_conversion_rate("BTC", "ETH") == 0.004 assert api_mock.fetch_tickers.call_count == 1 api_mock.fetch_tickers.reset_mock() assert exchange.get_conversion_rate("ADA", "USDT") == 2.5 # Only the call to the "others" market assert api_mock.fetch_tickers.call_count == 1 if exchange_name == "binance": # Special binance case of BNFCR matching USDT. assert exchange.get_conversion_rate("BNFCR", "USDT") is None assert exchange.get_conversion_rate("BNFCR", "USDC") == 1 assert exchange.get_conversion_rate("USDT", "BNFCR") is None assert exchange.get_conversion_rate("USDC", "BNFCR") == 1 @pytest.mark.parametrize("exchange_name", EXCHANGES) def test_fetch_ticker(default_conf, mocker, exchange_name): api_mock = MagicMock() tick = { "symbol": "ETH/BTC", "bid": 0.00001098, "ask": 0.00001099, "last": 0.0001, } api_mock.fetch_ticker = MagicMock(return_value=tick) api_mock.markets = {"ETH/BTC": {"active": True}} exchange = get_patched_exchange(mocker, default_conf, api_mock, exchange=exchange_name) # retrieve original ticker ticker = exchange.fetch_ticker(pair="ETH/BTC") assert ticker["bid"] == 0.00001098 assert ticker["ask"] == 0.00001099 # change the ticker tick = { "symbol": "ETH/BTC", "bid": 0.5, "ask": 1, "last": 42, } api_mock.fetch_ticker = MagicMock(return_value=tick) exchange = get_patched_exchange(mocker, default_conf, api_mock, exchange=exchange_name) # if not caching the result we should get the same ticker # if not fetching a new result we should get the cached ticker ticker = exchange.fetch_ticker(pair="ETH/BTC") assert api_mock.fetch_ticker.call_count == 1 assert ticker["bid"] == 0.5 assert ticker["ask"] == 1 ccxt_exceptionhandlers( mocker, default_conf, api_mock, exchange_name, "fetch_ticker", "fetch_ticker", pair="ETH/BTC", ) api_mock.fetch_ticker = MagicMock(return_value={}) exchange = get_patched_exchange(mocker, default_conf, api_mock, exchange=exchange_name) exchange.fetch_ticker(pair="ETH/BTC") with pytest.raises(DependencyException, match=r"Pair XRP/ETH not available"): exchange.fetch_ticker(pair="XRP/ETH") @pytest.mark.parametrize("exchange_name", EXCHANGES) def test___now_is_time_to_refresh(default_conf, mocker, exchange_name, time_machine): exchange = get_patched_exchange(mocker, default_conf, exchange=exchange_name) pair = "BTC/USDT" candle_type = CandleType.SPOT start_dt = datetime(2023, 12, 1, 0, 10, 0, tzinfo=UTC) time_machine.move_to(start_dt, tick=False) assert (pair, "5m", candle_type) not in exchange._pairs_last_refresh_time # not refreshed yet assert exchange._now_is_time_to_refresh(pair, "5m", candle_type) is True last_closed_candle = dt_ts(start_dt - timedelta(minutes=5)) exchange._pairs_last_refresh_time[(pair, "5m", candle_type)] = last_closed_candle # next candle not closed yet time_machine.move_to(start_dt + timedelta(minutes=4, seconds=59), tick=False) assert exchange._now_is_time_to_refresh(pair, "5m", candle_type) is False # next candle closed time_machine.move_to(start_dt + timedelta(minutes=5, seconds=0), tick=False) assert exchange._now_is_time_to_refresh(pair, "5m", candle_type) is True # 1 second later (last_refresh_time didn't change) time_machine.move_to(start_dt + timedelta(minutes=5, seconds=1), tick=False) assert exchange._now_is_time_to_refresh(pair, "5m", candle_type) is True # Test with 1d data start_day_dt = datetime(2023, 12, 1, 0, 0, 0, tzinfo=UTC) last_closed_candle_1d = dt_ts(start_day_dt - timedelta(days=1)) exchange._pairs_last_refresh_time[(pair, "1d", candle_type)] = last_closed_candle_1d time_machine.move_to(start_day_dt - timedelta(seconds=5), tick=False) assert exchange._now_is_time_to_refresh(pair, "1d", candle_type) is False time_machine.move_to(start_day_dt + timedelta(hours=20, seconds=5), tick=False) assert exchange._now_is_time_to_refresh(pair, "1d", candle_type) is False # Next candle closed - now we refresh. time_machine.move_to(start_day_dt + timedelta(days=1, seconds=0), tick=False) assert exchange._now_is_time_to_refresh(pair, "1d", candle_type) is True @pytest.mark.parametrize("candle_type", ["mark", "spot", "futures"]) @pytest.mark.parametrize("exchange_name", EXCHANGES) def test_get_historic_ohlcv(default_conf, mocker, caplog, exchange_name, candle_type): caplog.set_level(logging.DEBUG) exchange = get_patched_exchange(mocker, default_conf, exchange=exchange_name) pair = "ETH/BTC" calls = 0 now = dt_now() async def mock_candle_hist(pair, timeframe, candle_type, since_ms): nonlocal calls calls += 1 ohlcv = [ [ dt_ts(now + timedelta(minutes=5 * (calls + i))), # unix timestamp ms 1, # open 2, # high 3, # low 4, # close 5, # volume (in quote currency) ] for i in range(2) ] return (pair, timeframe, candle_type, ohlcv, True) exchange._async_get_candle_history = Mock(wraps=mock_candle_hist) # one_call calculation * 1.8 should do 2 calls candle_limit = exchange.ohlcv_candle_limit("5m", candle_type) since = date_minus_candles("5m", candle_limit) ret = exchange.get_historic_ohlcv(pair, "5m", dt_ts(since), candle_type=candle_type) expected = 2 assert exchange._async_get_candle_history.call_count == expected # Returns twice the above OHLCV data after truncating the open candle. assert len(ret) == expected assert log_has_re(r"Downloaded data for .* from ccxt with length .*\.", caplog) caplog.clear() exchange._async_get_candle_history = get_mock_coro(side_effect=TimeoutError()) with pytest.raises(TimeoutError): exchange.get_historic_ohlcv(pair, "5m", dt_ts(since), candle_type=candle_type) assert log_has_re(r"Async code raised an exception: .*", caplog) @pytest.mark.parametrize("exchange_name", EXCHANGES) @pytest.mark.parametrize("candle_type", [CandleType.MARK, CandleType.SPOT]) async def test__async_get_historic_ohlcv(default_conf, mocker, caplog, exchange_name, candle_type): ohlcv = [ [ int((datetime.now(UTC).timestamp() - 1000) * 1000), 1, # open 2, # high 3, # low 4, # close 5, # volume (in quote currency) ] ] exchange = get_patched_exchange(mocker, default_conf, exchange=exchange_name) mocker.patch.object(exchange, "verify_candle_type_support") # Monkey-patch async function exchange._api_async.fetch_ohlcv = get_mock_coro(ohlcv) pair = "ETH/USDT" respair, restf, _, res, _ = await exchange._async_get_historic_ohlcv( pair, "5m", 1500000000000, candle_type=candle_type ) assert respair == pair assert restf == "5m" # Call with very old timestamp - causes tons of requests assert exchange._api_async.fetch_ohlcv.call_count > 200 assert res[0] == ohlcv[0] exchange._api_async.fetch_ohlcv.reset_mock() end_ts = 1_500_500_000_000 start_ts = 1_500_000_000_000 respair, restf, _, res, _ = await exchange._async_get_historic_ohlcv( pair, "5m", since_ms=start_ts, candle_type=candle_type, until_ms=end_ts ) # Required candles candles = (end_ts - start_ts) / 300_000 exp = candles // exchange.ohlcv_candle_limit("5m", candle_type, start_ts) + 1 # Depending on the exchange, this should be called between 1 and 6 times. assert exchange._api_async.fetch_ohlcv.call_count == exp @pytest.mark.parametrize("candle_type", [CandleType.FUTURES, CandleType.MARK, CandleType.SPOT]) def test_refresh_latest_ohlcv(mocker, default_conf_usdt, caplog, candle_type) -> None: ohlcv = [ [ dt_ts(dt_now() - timedelta(minutes=5)), # unix timestamp ms 1, # open 2, # high 3, # low 4, # close 5, # volume (in quote currency) ], [ dt_ts(), # unix timestamp ms 3, # open 1, # high 4, # low 6, # close 5, # volume (in quote currency) ], ] caplog.set_level(logging.DEBUG) exchange = get_patched_exchange(mocker, default_conf_usdt) mocker.patch.object(exchange, "verify_candle_type_support") exchange._api_async.fetch_ohlcv = get_mock_coro(ohlcv) pairs = [("IOTA/USDT", "5m", candle_type), ("XRP/USDT", "5m", candle_type)] # empty dicts assert not exchange._klines res = exchange.refresh_latest_ohlcv(pairs, cache=False) # No caching assert not exchange._klines assert len(res) == len(pairs) assert exchange._api_async.fetch_ohlcv.call_count == 2 exchange._api_async.fetch_ohlcv.reset_mock() exchange.required_candle_call_count = 2 res = exchange.refresh_latest_ohlcv(pairs) assert len(res) == len(pairs) assert log_has(f"Refreshing candle (OHLCV) data for {len(pairs)} pairs", caplog) assert exchange._klines assert exchange._api_async.fetch_ohlcv.call_count == 4 exchange._api_async.fetch_ohlcv.reset_mock() for pair in pairs: assert isinstance(exchange.klines(pair), DataFrame) assert len(exchange.klines(pair)) > 0 # klines function should return a different object on each call # if copy is "True" assert exchange.klines(pair) is not exchange.klines(pair) assert exchange.klines(pair) is not exchange.klines(pair, copy=True) assert exchange.klines(pair, copy=True) is not exchange.klines(pair, copy=True) assert exchange.klines(pair, copy=False) is exchange.klines(pair, copy=False) # test caching res = exchange.refresh_latest_ohlcv( [("IOTA/USDT", "5m", candle_type), ("XRP/USDT", "5m", candle_type)] ) assert len(res) == len(pairs) assert exchange._api_async.fetch_ohlcv.call_count == 0 assert log_has( f"Using cached candle (OHLCV) data for {pairs[0][0]}, {pairs[0][1]}, {candle_type} ...", caplog, ) caplog.clear() # Reset refresh times - must do 2 call per pair as cache is expired exchange._pairs_last_refresh_time = {} res = exchange.refresh_latest_ohlcv( [("IOTA/USDT", "5m", candle_type), ("XRP/USDT", "5m", candle_type)] ) assert len(res) == len(pairs) assert exchange._api_async.fetch_ohlcv.call_count == 4 # cache - but disabled caching exchange._api_async.fetch_ohlcv.reset_mock() exchange.required_candle_call_count = 1 pairlist = [ ("IOTA/USDT", "5m", candle_type), ("XRP/USDT", "5m", candle_type), ("XRP/USDT", "1d", candle_type), ] res = exchange.refresh_latest_ohlcv(pairlist, cache=False) assert len(res) == 3 assert exchange._api_async.fetch_ohlcv.call_count == 3 # Test the same again, should NOT return from cache! exchange._api_async.fetch_ohlcv.reset_mock() res = exchange.refresh_latest_ohlcv(pairlist, cache=False) assert len(res) == 3 assert exchange._api_async.fetch_ohlcv.call_count == 3 exchange._api_async.fetch_ohlcv.reset_mock() caplog.clear() # Call with invalid timeframe res = exchange.refresh_latest_ohlcv([("IOTA/USDT", "3m", candle_type)], cache=False) if candle_type != CandleType.MARK: assert not res assert len(res) == 0 assert log_has_re(r"Cannot download \(IOTA\/USDT, 3m, \S+\).*", caplog) else: assert len(res) == 1 @pytest.mark.parametrize("candle_type", [CandleType.FUTURES, CandleType.SPOT]) def test_refresh_latest_trades( mocker, default_conf, caplog, candle_type, tmp_path, time_machine ) -> None: time_machine.move_to(dt_now(), tick=False) trades = [ { # unix timestamp ms "timestamp": dt_ts(dt_now() - timedelta(minutes=5)), "amount": 16.512, "cost": 10134.07488, "fee": None, "fees": [], "id": "354669639", "order": None, "price": 613.74, "side": "sell", "takerOrMaker": None, "type": None, }, { "timestamp": dt_ts(), # unix timestamp ms "amount": 12.512, "cost": 1000, "fee": None, "fees": [], "id": "354669640", "order": None, "price": 613.84, "side": "buy", "takerOrMaker": None, "type": None, }, ] caplog.set_level(logging.DEBUG) use_trades_conf = default_conf use_trades_conf["exchange"]["use_public_trades"] = True use_trades_conf["exchange"]["only_from_ccxt"] = True use_trades_conf["datadir"] = tmp_path use_trades_conf["orderflow"] = {"max_candles": 1500} exchange = get_patched_exchange(mocker, use_trades_conf) exchange._api_async.fetch_trades = get_mock_coro(trades) exchange._ft_has["exchange_has_overrides"]["fetchTrades"] = True pairs = [("IOTA/USDT:USDT", "5m", candle_type), ("XRP/USDT:USDT", "5m", candle_type)] # empty dicts assert not exchange._trades res = exchange.refresh_latest_trades(pairs, cache=False) # No caching assert not exchange._trades assert len(res) == len(pairs) assert exchange._api_async.fetch_trades.call_count == 4 exchange._api_async.fetch_trades.reset_mock() exchange.required_candle_call_count = 2 res = exchange.refresh_latest_trades(pairs) assert len(res) == len(pairs) assert log_has(f"Refreshing TRADES data for {len(pairs)} pairs", caplog) assert exchange._trades assert exchange._api_async.fetch_trades.call_count == 4 exchange._api_async.fetch_trades.reset_mock() for pair in pairs: assert isinstance(exchange.trades(pair), DataFrame) assert len(exchange.trades(pair)) > 0 # trades function should return a different object on each call # if copy is "True" assert exchange.trades(pair) is not exchange.trades(pair) assert exchange.trades(pair) is not exchange.trades(pair, copy=True) assert exchange.trades(pair, copy=True) is not exchange.trades(pair, copy=True) assert exchange.trades(pair, copy=False) is exchange.trades(pair, copy=False) # test caching ohlcv = [ [ dt_ts(dt_now() - timedelta(minutes=5)), # unix timestamp ms 1, # open 2, # high 3, # low 4, # close 5, # volume (in quote currency) ], [ dt_ts(), # unix timestamp ms 3, # open 1, # high 4, # low 6, # close 5, # volume (in quote currency) ], ] cols = DEFAULT_DATAFRAME_COLUMNS trades_df = DataFrame(ohlcv, columns=cols) trades_df["date"] = to_datetime(trades_df["date"], unit="ms", utc=True) trades_df["date"] = trades_df["date"].apply(lambda date: timeframe_to_prev_date("5m", date)) exchange._klines[pair] = trades_df res = exchange.refresh_latest_trades( [("IOTA/USDT:USDT", "5m", candle_type), ("XRP/USDT:USDT", "5m", candle_type)] ) assert len(res) == 0 assert exchange._api_async.fetch_trades.call_count == 0 caplog.clear() # Reset refresh times for pair in pairs: # test caching with "expired" candle trades = [ { # unix timestamp ms "timestamp": dt_ts(exchange._klines[pair].iloc[-1].date - timedelta(minutes=5)), "amount": 16.512, "cost": 10134.07488, "fee": None, "fees": [], "id": "354669639", "order": None, "price": 613.74, "side": "sell", "takerOrMaker": None, "type": None, } ] trades_df = DataFrame(trades) trades_df["date"] = to_datetime(trades_df["timestamp"], unit="ms", utc=True) exchange._trades[pair] = trades_df res = exchange.refresh_latest_trades( [("IOTA/USDT:USDT", "5m", candle_type), ("XRP/USDT:USDT", "5m", candle_type)] ) assert len(res) == len(pairs) assert exchange._api_async.fetch_trades.call_count == 4 # cache - but disabled caching exchange._api_async.fetch_trades.reset_mock() exchange.required_candle_call_count = 1 pairlist = [ ("IOTA/ETH", "5m", candle_type), ("XRP/ETH", "5m", candle_type), ("XRP/ETH", "1d", candle_type), ] res = exchange.refresh_latest_trades(pairlist, cache=False) assert len(res) == 3 assert exchange._api_async.fetch_trades.call_count == 6 # Test the same again, should NOT return from cache! exchange._api_async.fetch_trades.reset_mock() res = exchange.refresh_latest_trades(pairlist, cache=False) assert len(res) == 3 assert exchange._api_async.fetch_trades.call_count == 6 exchange._api_async.fetch_trades.reset_mock() caplog.clear() @pytest.mark.parametrize("candle_type", [CandleType.FUTURES, CandleType.MARK, CandleType.SPOT]) def test_refresh_latest_ohlcv_cache(mocker, default_conf, candle_type, time_machine) -> None: start = datetime(2021, 8, 1, 0, 0, 0, 0, tzinfo=UTC) ohlcv = generate_test_data_raw("1h", 100, start.strftime("%Y-%m-%d")) time_machine.move_to(start + timedelta(hours=99, minutes=30)) exchange = get_patched_exchange(mocker, default_conf) mocker.patch.object(exchange, "verify_candle_type_support") exchange._set_startup_candle_count(default_conf) mocker.patch(f"{EXMS}.ohlcv_candle_limit", return_value=100) assert exchange._startup_candle_count == 0 exchange._api_async.fetch_ohlcv = get_mock_coro(ohlcv) pair1 = ("IOTA/ETH", "1h", candle_type) pair2 = ("XRP/ETH", "1h", candle_type) pairs = [pair1, pair2] # No caching assert not exchange._klines res = exchange.refresh_latest_ohlcv(pairs, cache=False) assert exchange._api_async.fetch_ohlcv.call_count == 2 assert len(res) == 2 assert len(res[pair1]) == 99 assert len(res[pair2]) == 99 assert not exchange._klines exchange._api_async.fetch_ohlcv.reset_mock() # With caching res = exchange.refresh_latest_ohlcv(pairs) assert exchange._api_async.fetch_ohlcv.call_count == 2 assert len(res) == 2 assert len(res[pair1]) == 99 assert len(res[pair2]) == 99 assert exchange._klines assert exchange._pairs_last_refresh_time[pair1] == ohlcv[-2][0] exchange._api_async.fetch_ohlcv.reset_mock() # Returned from cache res = exchange.refresh_latest_ohlcv(pairs) assert exchange._api_async.fetch_ohlcv.call_count == 0 assert len(res) == 2 assert len(res[pair1]) == 99 assert len(res[pair2]) == 99 assert exchange._pairs_last_refresh_time[pair1] == ohlcv[-2][0] # Move time 1 candle further but result didn't change yet time_machine.move_to(start + timedelta(hours=101)) res = exchange.refresh_latest_ohlcv(pairs) assert exchange._api_async.fetch_ohlcv.call_count == 2 assert len(res) == 2 assert len(res[pair1]) == 99 assert len(res[pair2]) == 99 assert res[pair2].at[0, "open"] assert exchange._pairs_last_refresh_time[pair1] == ohlcv[-2][0] refresh_pior = exchange._pairs_last_refresh_time[pair1] # New candle on exchange - return 100 candles - but skip one candle so we actually get 2 candles # in one go new_startdate = (start + timedelta(hours=2)).strftime("%Y-%m-%d %H:%M") # mocker.patch(f"{EXMS}.ohlcv_candle_limit", return_value=100) ohlcv = generate_test_data_raw("1h", 100, new_startdate) exchange._api_async.fetch_ohlcv = get_mock_coro(ohlcv) res = exchange.refresh_latest_ohlcv(pairs) assert exchange._api_async.fetch_ohlcv.call_count == 2 assert len(res) == 2 assert len(res[pair1]) == 100 assert len(res[pair2]) == 100 # Verify index starts at 0 assert res[pair2].at[0, "open"] assert refresh_pior != exchange._pairs_last_refresh_time[pair1] assert exchange._pairs_last_refresh_time[pair1] == ohlcv[-2][0] assert exchange._pairs_last_refresh_time[pair2] == ohlcv[-2][0] exchange._api_async.fetch_ohlcv.reset_mock() # Retry same call - from cache res = exchange.refresh_latest_ohlcv(pairs) assert exchange._api_async.fetch_ohlcv.call_count == 0 assert len(res) == 2 assert len(res[pair1]) == 100 assert len(res[pair2]) == 100 assert res[pair2].at[0, "open"] # Move to distant future (so a 1 call would cause a hole in the data) time_machine.move_to(start + timedelta(hours=2000)) ohlcv = generate_test_data_raw("1h", 100, start + timedelta(hours=1900)) exchange._api_async.fetch_ohlcv = get_mock_coro(ohlcv) res = exchange.refresh_latest_ohlcv(pairs) assert exchange._api_async.fetch_ohlcv.call_count == 2 assert len(res) == 2 # Cache eviction - new data. assert len(res[pair1]) == 99 assert len(res[pair2]) == 99 assert res[pair2].at[0, "open"] def test_refresh_ohlcv_with_cache(mocker, default_conf, time_machine) -> None: start = datetime(2021, 8, 1, 0, 0, 0, 0, tzinfo=UTC) ohlcv = generate_test_data_raw("1h", 100, start.strftime("%Y-%m-%d")) time_machine.move_to(start, tick=False) pairs = [ ("ETH/BTC", "1d", CandleType.SPOT), ("TKN/BTC", "1d", CandleType.SPOT), ("LTC/BTC", "1d", CandleType.SPOT), ("LTC/BTC", "5m", CandleType.SPOT), ("LTC/BTC", "1h", CandleType.SPOT), ] def ohlcv_side_effect(requested_pairs, *args, **kwargs): return {p: ohlcv for p in requested_pairs} ohlcv_mock = mocker.patch(f"{EXMS}.refresh_latest_ohlcv", side_effect=ohlcv_side_effect) mocker.patch(f"{EXMS}.ohlcv_candle_limit", return_value=100) exchange = get_patched_exchange(mocker, default_conf) assert len(exchange._expiring_candle_cache) == 0 res = exchange.refresh_ohlcv_with_cache(pairs, start.timestamp()) assert ohlcv_mock.call_count == 1 assert ohlcv_mock.call_args_list[0][0][0] == pairs assert len(ohlcv_mock.call_args_list[0][0][0]) == 5 assert len(res) == 5 # length of 3 - as we have 3 different timeframes assert len(exchange._expiring_candle_cache) == 3 ohlcv_mock.reset_mock() res = exchange.refresh_ohlcv_with_cache(pairs, start.timestamp()) assert ohlcv_mock.call_count == 0 assert len(res) == 5 # # re-run with one additional pair res = exchange.refresh_ohlcv_with_cache( pairs + [("NEW/PAIR", "1d", CandleType.SPOT)], start.timestamp() ) assert ohlcv_mock.call_count == 1 assert len(res) == 6 # Expire 5m cache time_machine.move_to(start + timedelta(minutes=6), tick=False) ohlcv_mock.reset_mock() res = exchange.refresh_ohlcv_with_cache(pairs, start.timestamp()) assert ohlcv_mock.call_count == 1 assert len(ohlcv_mock.call_args_list[0][0][0]) == 1 assert len(res) == 5 # Expire 5m and 1h cache time_machine.move_to(start + timedelta(hours=2), tick=False) ohlcv_mock.reset_mock() res = exchange.refresh_ohlcv_with_cache(pairs, start.timestamp()) assert ohlcv_mock.call_count == 1 assert len(ohlcv_mock.call_args_list[0][0][0]) == 2 assert len(res) == 5 # Expire all caches time_machine.move_to(start + timedelta(days=1, hours=2), tick=False) ohlcv_mock.reset_mock() res = exchange.refresh_ohlcv_with_cache(pairs, start.timestamp()) assert ohlcv_mock.call_count == 1 assert len(ohlcv_mock.call_args_list[0][0][0]) == 5 assert ohlcv_mock.call_args_list[0][0][0] == pairs assert len(res) == 5 def test_refresh_latest_ohlcv_funding_rate(mocker, default_conf_usdt, caplog) -> None: ohlcv = generate_test_data_raw("1h", 24, "2025-01-02 12:00:00+00:00") funding_data = [{"timestamp": x[0], "fundingRate": x[1]} for x in ohlcv] caplog.set_level(logging.DEBUG) exchange = get_patched_exchange(mocker, default_conf_usdt) exchange._api_async.fetch_ohlcv = get_mock_coro(ohlcv) exchange._api_async.fetch_funding_rate_history = get_mock_coro(funding_data) pairs = [ ("IOTA/USDT:USDT", "8h", CandleType.FUNDING_RATE), ("XRP/USDT:USDT", "1h", CandleType.FUNDING_RATE), ] # empty dicts assert not exchange._klines res = exchange.refresh_latest_ohlcv(pairs, cache=False) assert len(res) == len(pairs) assert log_has_re(r"Wrong funding rate timeframe 8h for pair IOTA/USDT:USDT", caplog) assert not log_has_re(r"Wrong funding rate timeframe 8h for pair XRP/USDT:USDT", caplog) assert exchange._api_async.fetch_ohlcv.call_count == 0 @pytest.mark.parametrize("exchange_name", EXCHANGES) async def test__async_get_candle_history(default_conf, mocker, caplog, exchange_name): ohlcv = [ [ dt_ts(), # unix timestamp ms 1, # open 2, # high 3, # low 4, # close 5, # volume (in quote currency) ] ] caplog.set_level(logging.DEBUG) exchange = get_patched_exchange(mocker, default_conf, exchange=exchange_name) # Monkey-patch async function exchange._api_async.fetch_ohlcv = get_mock_coro(ohlcv) pair = "ETH/BTC" res = await exchange._async_get_candle_history(pair, "5m", CandleType.SPOT) assert type(res) is tuple assert len(res) == 5 assert res[0] == pair assert res[1] == "5m" assert res[2] == CandleType.SPOT assert res[3] == ohlcv assert exchange._api_async.fetch_ohlcv.call_count == 1 assert not log_has(f"Using cached candle (OHLCV) data for {pair} ...", caplog) exchange.close() # exchange = Exchange(default_conf) await async_ccxt_exception( mocker, default_conf, MagicMock(), "_async_get_candle_history", "fetch_ohlcv", pair="ABCD/BTC", timeframe=default_conf["timeframe"], candle_type=CandleType.SPOT, ) api_mock = MagicMock() with pytest.raises( OperationalException, match=r"Could not fetch historical candle \(OHLCV\) data.*" ): api_mock.fetch_ohlcv = MagicMock(side_effect=ccxt.BaseError("Unknown error")) exchange = get_patched_exchange(mocker, default_conf, api_mock, exchange=exchange_name) await exchange._async_get_candle_history( pair, "5m", CandleType.SPOT, dt_ts(dt_now() - timedelta(seconds=2000)) ) exchange.close() with pytest.raises( OperationalException, match=r"Exchange.* does not support fetching " r"historical candle \(OHLCV\) data\..*", ): api_mock.fetch_ohlcv = MagicMock(side_effect=ccxt.NotSupported("Not supported")) exchange = get_patched_exchange(mocker, default_conf, api_mock, exchange=exchange_name) await exchange._async_get_candle_history( pair, "5m", CandleType.SPOT, dt_ts(dt_now() - timedelta(seconds=2000)) ) exchange.close() async def test__async_kucoin_get_candle_history(default_conf, mocker, caplog): from freqtrade.exchange.common import _reset_logging_mixin _reset_logging_mixin() caplog.set_level(logging.INFO) api_mock = MagicMock() api_mock.fetch_ohlcv = MagicMock( side_effect=ccxt.DDoSProtection( "kucoin GET https://openapi-v2.kucoin.com/api/v1/market/candles?" "symbol=ETH-BTC&type=5min&startAt=1640268735&endAt=1640418735" "429 Too Many Requests" '{"code":"429000","msg":"Too Many Requests"}' ) ) exchange = get_patched_exchange(mocker, default_conf, api_mock, exchange="kucoin") mocker.patch(f"{EXMS}.name", PropertyMock(return_value="KuCoin")) msg = "Kucoin 429 error, avoid triggering DDosProtection backoff delay" assert not num_log_has_re(msg, caplog) for _ in range(3): with pytest.raises(DDosProtection, match=r"429 Too Many Requests"): await exchange._async_get_candle_history( "ETH/BTC", "5m", CandleType.SPOT, since_ms=dt_ts(dt_now() - timedelta(seconds=2000)), count=3, ) assert num_log_has_re(msg, caplog) == 3 caplog.clear() # Test regular non-kucoin message api_mock.fetch_ohlcv = MagicMock( side_effect=ccxt.DDoSProtection( "kucoin GET https://openapi-v2.kucoin.com/api/v1/market/candles?" "symbol=ETH-BTC&type=5min&startAt=1640268735&endAt=1640418735" "429 Too Many Requests" '{"code":"2222222","msg":"Too Many Requests"}' ) ) msg = r"_async_get_candle_history\(\) returned exception: .*" msg2 = r"Applying DDosProtection backoff delay: .*" with patch("freqtrade.exchange.common.asyncio.sleep", get_mock_coro(None)): for _ in range(3): with pytest.raises(DDosProtection, match=r"429 Too Many Requests"): await exchange._async_get_candle_history( "ETH/BTC", "5m", CandleType.SPOT, dt_ts(dt_now() - timedelta(seconds=2000)), count=3, ) # Expect the "returned exception" message 12 times (4 retries * 3 (loop)) assert num_log_has_re(msg, caplog) == 12 assert num_log_has_re(msg2, caplog) == 9 exchange.close() async def test__async_get_candle_history_empty(default_conf, mocker, caplog): """Test empty exchange result""" ohlcv = [] caplog.set_level(logging.DEBUG) exchange = get_patched_exchange(mocker, default_conf) # Monkey-patch async function exchange._api_async.fetch_ohlcv = get_mock_coro([]) exchange = Exchange(default_conf) pair = "ETH/BTC" res = await exchange._async_get_candle_history(pair, "5m", CandleType.SPOT) assert type(res) is tuple assert len(res) == 5 assert res[0] == pair assert res[1] == "5m" assert res[2] == CandleType.SPOT assert res[3] == ohlcv assert exchange._api_async.fetch_ohlcv.call_count == 1 exchange.close() def test_refresh_latest_ohlcv_inv_result(default_conf, mocker, caplog): async def mock_get_candle_hist(pair, *args, **kwargs): if pair == "ETH/BTC": return [[]] else: raise TypeError() exchange = get_patched_exchange(mocker, default_conf) # Monkey-patch async function with empty result exchange._api_async.fetch_ohlcv = MagicMock(side_effect=mock_get_candle_hist) pairs = [("ETH/BTC", "5m", ""), ("XRP/BTC", "5m", "")] res = exchange.refresh_latest_ohlcv(pairs) assert exchange._klines assert exchange._api_async.fetch_ohlcv.call_count == 2 assert isinstance(res, dict) assert len(res) == 1 # Test that each is in list at least once as order is not guaranteed assert log_has("Error loading ETH/BTC. Result was [[]].", caplog) assert log_has("Async code raised an exception: TypeError()", caplog) def test_get_next_limit_in_list(): limit_range = [5, 10, 20, 50, 100, 500, 1000] assert Exchange.get_next_limit_in_list(1, limit_range) == 5 assert Exchange.get_next_limit_in_list(5, limit_range) == 5 assert Exchange.get_next_limit_in_list(6, limit_range) == 10 assert Exchange.get_next_limit_in_list(9, limit_range) == 10 assert Exchange.get_next_limit_in_list(10, limit_range) == 10 assert Exchange.get_next_limit_in_list(11, limit_range) == 20 assert Exchange.get_next_limit_in_list(19, limit_range) == 20 assert Exchange.get_next_limit_in_list(21, limit_range) == 50 assert Exchange.get_next_limit_in_list(51, limit_range) == 100 assert Exchange.get_next_limit_in_list(1000, limit_range) == 1000 # Going over the limit ... assert Exchange.get_next_limit_in_list(1001, limit_range) == 1000 assert Exchange.get_next_limit_in_list(2000, limit_range) == 1000 # Without required range assert Exchange.get_next_limit_in_list(2000, limit_range, False) is None assert Exchange.get_next_limit_in_list(15, limit_range, False) == 20 assert Exchange.get_next_limit_in_list(21, None) == 21 assert Exchange.get_next_limit_in_list(100, None) == 100 assert Exchange.get_next_limit_in_list(1000, None) == 1000 # With upper limit assert Exchange.get_next_limit_in_list(1000, None, upper_limit=None) == 1000 assert Exchange.get_next_limit_in_list(1000, None, upper_limit=500) == 500 # with upper limit and range, limit_range wins assert Exchange.get_next_limit_in_list(1000, limit_range, upper_limit=500) == 1000 @pytest.mark.parametrize("exchange_name", EXCHANGES) def test_fetch_l2_order_book(default_conf, mocker, order_book_l2, exchange_name): default_conf["exchange"]["name"] = exchange_name api_mock = MagicMock() api_mock.fetch_l2_order_book = order_book_l2 exchange = get_patched_exchange(mocker, default_conf, api_mock, exchange=exchange_name) order_book = exchange.fetch_l2_order_book(pair="ETH/BTC", limit=10) assert "bids" in order_book assert "asks" in order_book assert len(order_book["bids"]) == 10 assert len(order_book["asks"]) == 10 assert api_mock.fetch_l2_order_book.call_args_list[0][0][0] == "ETH/BTC" for val in [1, 5, 10, 12, 20, 50, 100]: api_mock.fetch_l2_order_book.reset_mock() order_book = exchange.fetch_l2_order_book(pair="ETH/BTC", limit=val) assert api_mock.fetch_l2_order_book.call_args_list[0][0][0] == "ETH/BTC" # Not all exchanges support all limits for orderbook if not exchange.get_option("l2_limit_range") or val in exchange.get_option( "l2_limit_range" ): assert api_mock.fetch_l2_order_book.call_args_list[0][0][1] == val else: next_limit = exchange.get_next_limit_in_list(val, exchange.get_option("l2_limit_range")) assert api_mock.fetch_l2_order_book.call_args_list[0][0][1] == next_limit @pytest.mark.parametrize("exchange_name", EXCHANGES) def test_fetch_l2_order_book_exception(default_conf, mocker, exchange_name): api_mock = MagicMock() with pytest.raises(OperationalException): api_mock.fetch_l2_order_book = MagicMock(side_effect=ccxt.NotSupported("Not supported")) exchange = get_patched_exchange(mocker, default_conf, api_mock, exchange=exchange_name) exchange.fetch_l2_order_book(pair="ETH/BTC", limit=50) with pytest.raises(TemporaryError): api_mock.fetch_l2_order_book = MagicMock(side_effect=ccxt.NetworkError("DeadBeef")) exchange = get_patched_exchange(mocker, default_conf, api_mock, exchange=exchange_name) exchange.fetch_l2_order_book(pair="ETH/BTC", limit=50) with pytest.raises(OperationalException): api_mock.fetch_l2_order_book = MagicMock(side_effect=ccxt.BaseError("DeadBeef")) exchange = get_patched_exchange(mocker, default_conf, api_mock, exchange=exchange_name) exchange.fetch_l2_order_book(pair="ETH/BTC", limit=50) @pytest.mark.parametrize("side,ask,bid,last,last_ab,expected", get_entry_rate_data) def test_get_entry_rate( mocker, default_conf, caplog, side, ask, bid, last, last_ab, expected, time_machine ) -> None: caplog.set_level(logging.DEBUG) start_dt = datetime(2023, 12, 1, 0, 10, 0, tzinfo=UTC) time_machine.move_to(start_dt, tick=False) if last_ab is None: del default_conf["entry_pricing"]["price_last_balance"] else: default_conf["entry_pricing"]["price_last_balance"] = last_ab default_conf["entry_pricing"]["price_side"] = side exchange = get_patched_exchange(mocker, default_conf) mocker.patch(f"{EXMS}.fetch_ticker", return_value={"ask": ask, "last": last, "bid": bid}) log_msg = "Using cached entry rate for ETH/BTC." assert exchange.get_rate("ETH/BTC", side="entry", is_short=False, refresh=True) == expected assert not log_has(log_msg, caplog) time_machine.move_to(start_dt + timedelta(minutes=4), tick=False) # Running a 2nd time without Refresh! caplog.clear() assert exchange.get_rate("ETH/BTC", side="entry", is_short=False, refresh=False) == expected assert log_has(log_msg, caplog) time_machine.move_to(start_dt + timedelta(minutes=6), tick=False) # Running a 2nd time - forces refresh due to ttl timeout caplog.clear() assert exchange.get_rate("ETH/BTC", side="entry", is_short=False, refresh=False) == expected assert not log_has(log_msg, caplog) # Running a 2nd time with Refresh on! caplog.clear() assert exchange.get_rate("ETH/BTC", side="entry", is_short=False, refresh=True) == expected assert not log_has(log_msg, caplog) @pytest.mark.parametrize("side,ask,bid,last,last_ab,expected", get_exit_rate_data) def test_get_exit_rate( default_conf, mocker, caplog, side, bid, ask, last, last_ab, expected, time_machine ) -> None: caplog.set_level(logging.DEBUG) start_dt = datetime(2023, 12, 1, 0, 10, 0, tzinfo=UTC) time_machine.move_to(start_dt, tick=False) default_conf["exit_pricing"]["price_side"] = side if last_ab is not None: default_conf["exit_pricing"]["price_last_balance"] = last_ab mocker.patch(f"{EXMS}.fetch_ticker", return_value={"ask": ask, "bid": bid, "last": last}) pair = "ETH/BTC" log_msg = "Using cached exit rate for ETH/BTC." # Test regular mode exchange = get_patched_exchange(mocker, default_conf) rate = exchange.get_rate(pair, side="exit", is_short=False, refresh=True) assert not log_has(log_msg, caplog) assert isinstance(rate, float) assert rate == expected # Use caching caplog.clear() assert exchange.get_rate(pair, side="exit", is_short=False, refresh=False) == expected assert log_has(log_msg, caplog) time_machine.move_to(start_dt + timedelta(minutes=4), tick=False) # Caching still active - TTL didn't expire caplog.clear() assert exchange.get_rate(pair, side="exit", is_short=False, refresh=False) == expected assert log_has(log_msg, caplog) time_machine.move_to(start_dt + timedelta(minutes=6), tick=False) # Caching expired - refresh forced caplog.clear() assert exchange.get_rate(pair, side="exit", is_short=False, refresh=False) == expected assert not log_has(log_msg, caplog) @pytest.mark.parametrize( "entry,is_short,side,ask,bid,last,last_ab,expected", [ ("entry", False, "ask", None, 4, 4, 0, 4), # ask not available ("entry", False, "ask", None, None, 4, 0, 4), # ask not available ("entry", False, "bid", 6, None, 4, 0, 5), # bid not available ("entry", False, "bid", None, None, 4, 0, 5), # No rate available ("exit", False, "ask", None, 4, 4, 0, 4), # ask not available ("exit", False, "ask", None, None, 4, 0, 4), # ask not available ("exit", False, "bid", 6, None, 4, 0, 5), # bid not available ("exit", False, "bid", None, None, 4, 0, 5), # bid not available ], ) def test_get_ticker_rate_error( mocker, entry, default_conf, caplog, side, is_short, ask, bid, last, last_ab, expected ) -> None: caplog.set_level(logging.DEBUG) default_conf["entry_pricing"]["price_last_balance"] = last_ab default_conf["entry_pricing"]["price_side"] = side default_conf["exit_pricing"]["price_side"] = side default_conf["exit_pricing"]["price_last_balance"] = last_ab exchange = get_patched_exchange(mocker, default_conf) mocker.patch(f"{EXMS}.fetch_ticker", return_value={"ask": ask, "last": last, "bid": bid}) with pytest.raises(PricingError): exchange.get_rate("ETH/BTC", refresh=True, side=entry, is_short=is_short) @pytest.mark.parametrize( "is_short,side,expected", [ (False, "bid", 0.043936), # Value from order_book_l2 fixture - bids side (False, "ask", 0.043949), # Value from order_book_l2 fixture - asks side (False, "other", 0.043936), # Value from order_book_l2 fixture - bids side (False, "same", 0.043949), # Value from order_book_l2 fixture - asks side (True, "bid", 0.043936), # Value from order_book_l2 fixture - bids side (True, "ask", 0.043949), # Value from order_book_l2 fixture - asks side (True, "other", 0.043949), # Value from order_book_l2 fixture - asks side (True, "same", 0.043936), # Value from order_book_l2 fixture - bids side ], ) def test_get_exit_rate_orderbook( default_conf, mocker, caplog, is_short, side, expected, order_book_l2 ): caplog.set_level(logging.DEBUG) # Test orderbook mode default_conf["exit_pricing"]["price_side"] = side default_conf["exit_pricing"]["use_order_book"] = True default_conf["exit_pricing"]["order_book_top"] = 1 pair = "ETH/BTC" mocker.patch(f"{EXMS}.fetch_l2_order_book", order_book_l2) exchange = get_patched_exchange(mocker, default_conf) rate = exchange.get_rate(pair, refresh=True, side="exit", is_short=is_short) assert not log_has("Using cached exit rate for ETH/BTC.", caplog) assert isinstance(rate, float) assert rate == expected rate = exchange.get_rate(pair, refresh=False, side="exit", is_short=is_short) assert rate == expected assert log_has("Using cached exit rate for ETH/BTC.", caplog) def test_get_exit_rate_orderbook_exception(default_conf, mocker, caplog): # Test orderbook mode default_conf["exit_pricing"]["price_side"] = "ask" default_conf["exit_pricing"]["use_order_book"] = True default_conf["exit_pricing"]["order_book_top"] = 1 pair = "ETH/BTC" # Test What happens if the exchange returns an empty orderbook. mocker.patch(f"{EXMS}.fetch_l2_order_book", return_value={"bids": [[]], "asks": [[]]}) exchange = get_patched_exchange(mocker, default_conf) with pytest.raises(PricingError): exchange.get_rate(pair, refresh=True, side="exit", is_short=False) assert log_has_re( rf"{pair} - Exit Price at location 1 from orderbook " rf"could not be determined\..*", caplog, ) @pytest.mark.parametrize("is_short", [True, False]) def test_get_exit_rate_exception(default_conf, mocker, is_short): # Ticker on one side can be empty in certain circumstances. default_conf["exit_pricing"]["price_side"] = "ask" pair = "ETH/BTC" mocker.patch(f"{EXMS}.fetch_ticker", return_value={"ask": None, "bid": 0.12, "last": None}) exchange = get_patched_exchange(mocker, default_conf) with pytest.raises(PricingError, match=r"Exit-Rate for ETH/BTC was empty."): exchange.get_rate(pair, refresh=True, side="exit", is_short=is_short) exchange._config["exit_pricing"]["price_side"] = "bid" assert exchange.get_rate(pair, refresh=True, side="exit", is_short=is_short) == 0.12 # Reverse sides mocker.patch(f"{EXMS}.fetch_ticker", return_value={"ask": 0.13, "bid": None, "last": None}) with pytest.raises(PricingError, match=r"Exit-Rate for ETH/BTC was empty."): exchange.get_rate(pair, refresh=True, side="exit", is_short=is_short) exchange._config["exit_pricing"]["price_side"] = "ask" assert exchange.get_rate(pair, refresh=True, side="exit", is_short=is_short) == 0.13 @pytest.mark.parametrize("side,ask,bid,last,last_ab,expected", get_entry_rate_data) @pytest.mark.parametrize("side2", ["bid", "ask"]) @pytest.mark.parametrize("use_order_book", [True, False]) def test_get_rates_testing_entry( mocker, default_conf, caplog, side, ask, bid, last, last_ab, expected, side2, use_order_book, order_book_l2, ) -> None: caplog.set_level(logging.DEBUG) if last_ab is None: del default_conf["entry_pricing"]["price_last_balance"] else: default_conf["entry_pricing"]["price_last_balance"] = last_ab default_conf["entry_pricing"]["price_side"] = side default_conf["exit_pricing"]["price_side"] = side2 default_conf["exit_pricing"]["use_order_book"] = use_order_book api_mock = MagicMock() api_mock.fetch_l2_order_book = order_book_l2 api_mock.fetch_ticker = MagicMock(return_value={"ask": ask, "last": last, "bid": bid}) exchange = get_patched_exchange(mocker, default_conf, api_mock) assert exchange.get_rates("ETH/BTC", refresh=True, is_short=False)[0] == expected assert not log_has("Using cached buy rate for ETH/BTC.", caplog) api_mock.fetch_l2_order_book.reset_mock() api_mock.fetch_ticker.reset_mock() assert exchange.get_rates("ETH/BTC", refresh=False, is_short=False)[0] == expected assert log_has("Using cached buy rate for ETH/BTC.", caplog) assert api_mock.fetch_l2_order_book.call_count == 0 assert api_mock.fetch_ticker.call_count == 0 # Running a 2nd time with Refresh on! caplog.clear() assert exchange.get_rates("ETH/BTC", refresh=True, is_short=False)[0] == expected assert not log_has("Using cached buy rate for ETH/BTC.", caplog) assert api_mock.fetch_l2_order_book.call_count == int(use_order_book) assert api_mock.fetch_ticker.call_count == 1 @pytest.mark.parametrize("side,ask,bid,last,last_ab,expected", get_exit_rate_data) @pytest.mark.parametrize("side2", ["bid", "ask"]) @pytest.mark.parametrize("use_order_book", [True, False]) def test_get_rates_testing_exit( default_conf, mocker, caplog, side, bid, ask, last, last_ab, expected, side2, use_order_book, order_book_l2, ) -> None: caplog.set_level(logging.DEBUG) default_conf["exit_pricing"]["price_side"] = side if last_ab is not None: default_conf["exit_pricing"]["price_last_balance"] = last_ab default_conf["entry_pricing"]["price_side"] = side2 default_conf["entry_pricing"]["use_order_book"] = use_order_book api_mock = MagicMock() api_mock.fetch_l2_order_book = order_book_l2 api_mock.fetch_ticker = MagicMock(return_value={"ask": ask, "last": last, "bid": bid}) exchange = get_patched_exchange(mocker, default_conf, api_mock) pair = "ETH/BTC" # Test regular mode rate = exchange.get_rates(pair, refresh=True, is_short=False)[1] assert not log_has("Using cached sell rate for ETH/BTC.", caplog) assert isinstance(rate, float) assert rate == expected # Use caching api_mock.fetch_l2_order_book.reset_mock() api_mock.fetch_ticker.reset_mock() rate = exchange.get_rates(pair, refresh=False, is_short=False)[1] assert rate == expected assert log_has("Using cached sell rate for ETH/BTC.", caplog) assert api_mock.fetch_l2_order_book.call_count == 0 assert api_mock.fetch_ticker.call_count == 0 @pytest.mark.parametrize("exchange_name", EXCHANGES) async def test___async_get_candle_history_sort(default_conf, mocker, exchange_name): def sort_data(data, key): return sorted(data, key=key) # GDAX use-case (real data from GDAX) # This OHLCV data is ordered DESC (newest first, oldest last) ohlcv = [ [1527833100000, 0.07666, 0.07671, 0.07666, 0.07668, 16.65244264], [1527832800000, 0.07662, 0.07666, 0.07662, 0.07666, 1.30051526], [1527832500000, 0.07656, 0.07661, 0.07656, 0.07661, 12.034778840000001], [1527832200000, 0.07658, 0.07658, 0.07655, 0.07656, 0.59780186], [1527831900000, 0.07658, 0.07658, 0.07658, 0.07658, 1.76278136], [1527831600000, 0.07658, 0.07658, 0.07658, 0.07658, 2.22646521], [1527831300000, 0.07655, 0.07657, 0.07655, 0.07657, 1.1753], [1527831000000, 0.07654, 0.07654, 0.07651, 0.07651, 0.8073060299999999], [1527830700000, 0.07652, 0.07652, 0.07651, 0.07652, 10.04822687], [1527830400000, 0.07649, 0.07651, 0.07649, 0.07651, 2.5734867], ] exchange = get_patched_exchange(mocker, default_conf, exchange=exchange_name) exchange._api_async.fetch_ohlcv = get_mock_coro(ohlcv) sort_mock = mocker.patch("freqtrade.exchange.exchange.sorted", MagicMock(side_effect=sort_data)) # Test the OHLCV data sort res = await exchange._async_get_candle_history( "ETH/BTC", default_conf["timeframe"], CandleType.SPOT ) assert res[0] == "ETH/BTC" res_ohlcv = res[3] assert sort_mock.call_count == 1 assert res_ohlcv[0][0] == 1527830400000 assert res_ohlcv[0][1] == 0.07649 assert res_ohlcv[0][2] == 0.07651 assert res_ohlcv[0][3] == 0.07649 assert res_ohlcv[0][4] == 0.07651 assert res_ohlcv[0][5] == 2.5734867 assert res_ohlcv[9][0] == 1527833100000 assert res_ohlcv[9][1] == 0.07666 assert res_ohlcv[9][2] == 0.07671 assert res_ohlcv[9][3] == 0.07666 assert res_ohlcv[9][4] == 0.07668 assert res_ohlcv[9][5] == 16.65244264 # This OHLCV data is ordered ASC (oldest first, newest last) ohlcv = [ [1527827700000, 0.07659999, 0.0766, 0.07627, 0.07657998, 1.85216924], [1527828000000, 0.07657995, 0.07657995, 0.0763, 0.0763, 26.04051037], [1527828300000, 0.0763, 0.07659998, 0.0763, 0.0764, 10.36434124], [1527828600000, 0.0764, 0.0766, 0.0764, 0.0766, 5.71044773], [1527828900000, 0.0764, 0.07666998, 0.0764, 0.07666998, 47.48888565], [1527829200000, 0.0765, 0.07672999, 0.0765, 0.07672999, 3.37640326], [1527829500000, 0.0766, 0.07675, 0.0765, 0.07675, 8.36203831], [1527829800000, 0.07675, 0.07677999, 0.07620002, 0.076695, 119.22963884], [1527830100000, 0.076695, 0.07671, 0.07624171, 0.07671, 1.80689244], [1527830400000, 0.07671, 0.07674399, 0.07629216, 0.07655213, 2.31452783], ] exchange._api_async.fetch_ohlcv = get_mock_coro(ohlcv) # Reset sort mock sort_mock = mocker.patch("freqtrade.exchange.sorted", MagicMock(side_effect=sort_data)) # Test the OHLCV data sort res = await exchange._async_get_candle_history( "ETH/BTC", default_conf["timeframe"], CandleType.SPOT ) assert res[0] == "ETH/BTC" assert res[1] == default_conf["timeframe"] res_ohlcv = res[3] # Sorted not called again - data is already in order assert sort_mock.call_count == 0 assert res_ohlcv[0][0] == 1527827700000 assert res_ohlcv[0][1] == 0.07659999 assert res_ohlcv[0][2] == 0.0766 assert res_ohlcv[0][3] == 0.07627 assert res_ohlcv[0][4] == 0.07657998 assert res_ohlcv[0][5] == 1.85216924 assert res_ohlcv[9][0] == 1527830400000 assert res_ohlcv[9][1] == 0.07671 assert res_ohlcv[9][2] == 0.07674399 assert res_ohlcv[9][3] == 0.07629216 assert res_ohlcv[9][4] == 0.07655213 assert res_ohlcv[9][5] == 2.31452783 @pytest.mark.parametrize("exchange_name", EXCHANGES) async def test__async_fetch_trades( default_conf, mocker, caplog, exchange_name, fetch_trades_result ): caplog.set_level(logging.DEBUG) exchange = get_patched_exchange(mocker, default_conf, exchange=exchange_name) # Monkey-patch async function exchange._api_async.fetch_trades = get_mock_coro(fetch_trades_result) pair = "ETH/BTC" res, pagid = await exchange._async_fetch_trades(pair, since=None, params=None) assert isinstance(res, list) assert isinstance(res[0], list) assert isinstance(res[1], list) if exchange._ft_has["trades_pagination"] == "id": if exchange_name == "kraken": assert pagid == 1565798399872512133 else: assert pagid == "126181333" else: assert pagid == 1565798399872 assert exchange._api_async.fetch_trades.call_count == 1 assert exchange._api_async.fetch_trades.call_args[0][0] == pair assert exchange._api_async.fetch_trades.call_args[1]["limit"] == 1000 assert log_has_re(f"Fetching trades for pair {pair}, since .*", caplog) caplog.clear() exchange._api_async.fetch_trades.reset_mock() res, pagid = await exchange._async_fetch_trades(pair, since=None, params={"from": "123"}) assert exchange._api_async.fetch_trades.call_count == 1 assert exchange._api_async.fetch_trades.call_args[0][0] == pair assert exchange._api_async.fetch_trades.call_args[1]["limit"] == 1000 assert exchange._api_async.fetch_trades.call_args[1]["params"] == {"from": "123"} if exchange._ft_has["trades_pagination"] == "id": if exchange_name == "kraken": assert pagid == 1565798399872512133 else: assert pagid == "126181333" else: assert pagid == 1565798399872 assert log_has_re(f"Fetching trades for pair {pair}, params: .*", caplog) exchange.close() await async_ccxt_exception( mocker, default_conf, MagicMock(), "_async_fetch_trades", "fetch_trades", pair="ABCD/BTC", since=None, ) api_mock = MagicMock() with pytest.raises(OperationalException, match=r"Could not fetch trade data*"): api_mock.fetch_trades = MagicMock(side_effect=ccxt.BaseError("Unknown error")) exchange = get_patched_exchange(mocker, default_conf, api_mock, exchange=exchange_name) await exchange._async_fetch_trades(pair, since=dt_ts(dt_now() - timedelta(seconds=2000))) exchange.close() with pytest.raises( OperationalException, match=r"Exchange.* does not support fetching " r"historical trade data\..*", ): api_mock.fetch_trades = MagicMock(side_effect=ccxt.NotSupported("Not supported")) exchange = get_patched_exchange(mocker, default_conf, api_mock, exchange=exchange_name) await exchange._async_fetch_trades(pair, since=dt_ts(dt_now() - timedelta(seconds=2000))) exchange.close() @pytest.mark.parametrize("exchange_name", EXCHANGES) async def test__async_fetch_trades_contract_size( default_conf, mocker, caplog, exchange_name, fetch_trades_result ): caplog.set_level(logging.DEBUG) default_conf["margin_mode"] = "isolated" default_conf["trading_mode"] = "futures" exchange = get_patched_exchange(mocker, default_conf, exchange=exchange_name) # Monkey-patch async function exchange._api_async.fetch_trades = get_mock_coro( [ { "info": { "a": 126181333, "p": "0.01952600", "q": "0.01200000", "f": 138604158, "l": 138604158, "T": 1565798399872, "m": True, "M": True, }, "timestamp": 1565798399872, "datetime": "2019-08-14T15:59:59.872Z", "symbol": "ETH/USDT:USDT", "id": "126181383", "order": None, "type": None, "takerOrMaker": None, "side": "sell", "price": 2.0, "amount": 30.0, "cost": 60.0, "fee": None, } ] ) pair = "ETH/USDT:USDT" res, pagid = await exchange._async_fetch_trades(pair, since=None, params=None) assert res[0][5] == 300 assert pagid is not None exchange.close() @pytest.mark.parametrize("exchange_name", EXCHANGES) async def test__async_get_trade_history_id( default_conf, mocker, exchange_name, fetch_trades_result ): default_conf["exchange"]["only_from_ccxt"] = True exchange = get_patched_exchange(mocker, default_conf, exchange=exchange_name) if exchange._ft_has["trades_pagination"] != "id": exchange.close() pytest.skip("Exchange does not support pagination by trade id") pagination_arg = exchange._ft_has["trades_pagination_arg"] async def mock_get_trade_hist(pair, *args, **kwargs): if "since" in kwargs: # Return first 3 return fetch_trades_result[:-2] elif kwargs.get("params", {}).get(pagination_arg) in ( fetch_trades_result[-3]["id"], 1565798399752, ): # Return 2 return fetch_trades_result[-3:-1] else: # Return last 2 return fetch_trades_result[-2:] # Monkey-patch async function exchange._api_async.fetch_trades = MagicMock(side_effect=mock_get_trade_hist) pair = "ETH/BTC" ret = await exchange._async_get_trade_history_id( pair, since=fetch_trades_result[0]["timestamp"], until=fetch_trades_result[-1]["timestamp"] - 1, ) assert isinstance(ret, tuple) assert ret[0] == pair assert isinstance(ret[1], list) if exchange_name != "kraken": assert len(ret[1]) == len(fetch_trades_result) assert exchange._api_async.fetch_trades.call_count == 3 fetch_trades_cal = exchange._api_async.fetch_trades.call_args_list # first call (using since, not fromId) assert fetch_trades_cal[0][0][0] == pair assert fetch_trades_cal[0][1]["since"] == fetch_trades_result[0]["timestamp"] # 2nd call assert fetch_trades_cal[1][0][0] == pair assert "params" in fetch_trades_cal[1][1] assert exchange._ft_has["trades_pagination_arg"] in fetch_trades_cal[1][1]["params"] @pytest.mark.parametrize( "trade_id, expected", [ ("1234", True), ("170544369512007228", True), ("1705443695120072285", True), ("170544369512007228555", True), ], ) @pytest.mark.parametrize("exchange_name", EXCHANGES) def test__valid_trade_pagination_id(mocker, default_conf_usdt, exchange_name, trade_id, expected): if exchange_name == "kraken": pytest.skip("Kraken has a different pagination id format, and an explicit test.") exchange = get_patched_exchange(mocker, default_conf_usdt, exchange=exchange_name) assert exchange._valid_trade_pagination_id("XRP/USDT", trade_id) == expected @pytest.mark.parametrize("exchange_name", EXCHANGES) async def test__async_get_trade_history_time( default_conf, mocker, caplog, exchange_name, fetch_trades_result ): caplog.set_level(logging.DEBUG) async def mock_get_trade_hist(pair, *args, **kwargs): if kwargs["since"] == fetch_trades_result[0]["timestamp"]: return fetch_trades_result[:-1] else: return fetch_trades_result[-1:] caplog.set_level(logging.DEBUG) exchange = get_patched_exchange(mocker, default_conf, exchange=exchange_name) if exchange._ft_has["trades_pagination"] != "time": exchange.close() pytest.skip("Exchange does not support pagination by timestamp") # Monkey-patch async function exchange._api_async.fetch_trades = MagicMock(side_effect=mock_get_trade_hist) pair = "ETH/BTC" ret = await exchange._async_get_trade_history_time( pair, since=fetch_trades_result[0]["timestamp"], until=fetch_trades_result[-1]["timestamp"] - 1, ) assert isinstance(ret, tuple) assert ret[0] == pair assert isinstance(ret[1], list) assert len(ret[1]) == len(fetch_trades_result) assert exchange._api_async.fetch_trades.call_count == 2 fetch_trades_cal = exchange._api_async.fetch_trades.call_args_list # first call (using since, not fromId) assert fetch_trades_cal[0][0][0] == pair assert fetch_trades_cal[0][1]["since"] == fetch_trades_result[0]["timestamp"] # 2nd call assert fetch_trades_cal[1][0][0] == pair assert fetch_trades_cal[1][1]["since"] == fetch_trades_result[-2]["timestamp"] assert log_has_re(r"Stopping because until was reached.*", caplog) @pytest.mark.parametrize("exchange_name", EXCHANGES) async def test__async_get_trade_history_time_empty( default_conf, mocker, caplog, exchange_name, trades_history ): caplog.set_level(logging.DEBUG) async def mock_get_trade_hist(pair, *args, **kwargs): if kwargs["since"] == trades_history[0][0]: return trades_history[:-1], trades_history[:-1][-1][0] else: return [], None caplog.set_level(logging.DEBUG) exchange = get_patched_exchange(mocker, default_conf, exchange=exchange_name) # Monkey-patch async function exchange._async_fetch_trades = MagicMock(side_effect=mock_get_trade_hist) pair = "ETH/BTC" ret = await exchange._async_get_trade_history_time( pair, since=trades_history[0][0], until=trades_history[-1][0] - 1 ) assert isinstance(ret, tuple) assert ret[0] == pair assert isinstance(ret[1], list) assert len(ret[1]) == len(trades_history) - 1 assert exchange._async_fetch_trades.call_count == 2 fetch_trades_cal = exchange._async_fetch_trades.call_args_list # first call (using since, not fromId) assert fetch_trades_cal[0][0][0] == pair assert fetch_trades_cal[0][1]["since"] == trades_history[0][0] @pytest.mark.parametrize("exchange_name", EXCHANGES) def test_get_historic_trades(default_conf, mocker, caplog, exchange_name, trades_history): mocker.patch(f"{EXMS}.exchange_has", return_value=True) exchange = get_patched_exchange(mocker, default_conf, exchange=exchange_name) pair = "ETH/BTC" exchange._async_get_trade_history_id = get_mock_coro((pair, trades_history)) exchange._async_get_trade_history_time = get_mock_coro((pair, trades_history)) ret = exchange.get_historic_trades( pair, since=trades_history[0][0], until=trades_history[-1][0] ) # Depending on the exchange, one or the other method should be called assert ( sum( [ exchange._async_get_trade_history_id.call_count, exchange._async_get_trade_history_time.call_count, ] ) == 1 ) assert len(ret) == 2 assert ret[0] == pair assert len(ret[1]) == len(trades_history) @pytest.mark.parametrize("exchange_name", EXCHANGES) def test_get_historic_trades_notsupported( default_conf, mocker, caplog, exchange_name, trades_history ): mocker.patch(f"{EXMS}.exchange_has", return_value=False) exchange = get_patched_exchange(mocker, default_conf, exchange=exchange_name) pair = "ETH/BTC" with pytest.raises( OperationalException, match=r"This exchange does not support downloading Trades\." ): exchange.get_historic_trades(pair, since=trades_history[0][0], until=trades_history[-1][0]) @pytest.mark.usefixtures("init_persistence") @pytest.mark.parametrize("exchange_name", EXCHANGES) def test_cancel_order_dry_run(default_conf, mocker, exchange_name): default_conf["dry_run"] = True exchange = get_patched_exchange(mocker, default_conf, exchange=exchange_name) mocker.patch(f"{EXMS}._dry_is_price_crossed", return_value=True) assert exchange.cancel_order(order_id="123", pair="TKN/BTC") == {} assert exchange.cancel_stoploss_order(order_id="123", pair="TKN/BTC") == {} order = exchange.create_order( pair="ETH/BTC", ordertype="limit", side="buy", amount=5, rate=0.55, time_in_force="gtc", leverage=1.0, ) cancel_order = exchange.cancel_order(order_id=order["id"], pair="ETH/BTC") assert order["id"] == cancel_order["id"] assert order["amount"] == cancel_order["amount"] assert order["symbol"] == cancel_order["symbol"] assert cancel_order["status"] == "canceled" @pytest.mark.parametrize("exchange_name", EXCHANGES) @pytest.mark.parametrize( "order,result", [ ({"status": "closed", "filled": 10}, False), ({"status": "closed", "filled": 0.0}, True), ({"status": "canceled", "filled": 0.0}, True), ({"status": "canceled", "filled": 10.0}, False), ({"status": "unknown", "filled": 10.0}, False), ({"result": "testest123"}, False), ], ) def test_check_order_canceled_empty(mocker, default_conf, exchange_name, order, result): exchange = get_patched_exchange(mocker, default_conf, exchange=exchange_name) assert exchange.check_order_canceled_empty(order) == result @pytest.mark.parametrize("exchange_name", EXCHANGES) @pytest.mark.parametrize( "order,result", [ ({"status": "closed", "amount": 10, "fee": {}}, True), ({"status": "closed", "amount": 0.0, "fee": {}}, True), ({"status": "canceled", "amount": 0.0, "fee": {}}, True), ({"status": "canceled", "amount": 10.0}, False), ({"amount": 10.0, "fee": {}}, False), ({"result": "testest123"}, False), ("hello_world", False), ({"status": "canceled", "amount": None, "fee": None}, False), ({"status": "canceled", "filled": None, "amount": None, "fee": None}, False), ], ) def test_is_cancel_order_result_suitable(mocker, default_conf, exchange_name, order, result): exchange = get_patched_exchange(mocker, default_conf, exchange=exchange_name) assert exchange.is_cancel_order_result_suitable(order) == result @pytest.mark.parametrize("exchange_name", EXCHANGES) @pytest.mark.parametrize( "corder,call_corder,call_forder", [ ({"status": "closed", "amount": 10, "fee": {}}, 1, 0), ({"amount": 10, "fee": {}}, 1, 1), ], ) def test_cancel_order_with_result( default_conf, mocker, exchange_name, corder, call_corder, call_forder ): default_conf["dry_run"] = False mocker.patch(f"{EXMS}.exchange_has", return_value=True) api_mock = MagicMock() api_mock.cancel_order = MagicMock(return_value=corder) api_mock.fetch_order = MagicMock(return_value={"id": "1234"}) exchange = get_patched_exchange(mocker, default_conf, api_mock, exchange=exchange_name) res = exchange.cancel_order_with_result("1234", "ETH/BTC", 1234) assert isinstance(res, dict) assert api_mock.cancel_order.call_count == call_corder assert api_mock.fetch_order.call_count == call_forder @pytest.mark.parametrize("exchange_name", EXCHANGES) def test_cancel_order_with_result_error(default_conf, mocker, exchange_name, caplog): default_conf["dry_run"] = False mocker.patch(f"{EXMS}.exchange_has", return_value=True) api_mock = MagicMock() api_mock.cancel_order = MagicMock(side_effect=ccxt.InvalidOrder("Did not find order")) api_mock.fetch_order = MagicMock(side_effect=ccxt.InvalidOrder("Did not find order")) exchange = get_patched_exchange(mocker, default_conf, api_mock, exchange=exchange_name) res = exchange.cancel_order_with_result("1234", "ETH/BTC", 1541) assert isinstance(res, dict) assert log_has("Could not cancel order 1234 for ETH/BTC.", caplog) assert log_has("Could not fetch cancelled order 1234.", caplog) assert res["amount"] == 1541 # Ensure that if not dry_run, we should call API @pytest.mark.parametrize("exchange_name", EXCHANGES) def test_cancel_order(default_conf, mocker, exchange_name): default_conf["dry_run"] = False api_mock = MagicMock() api_mock.cancel_order = MagicMock(return_value={"id": "123"}) exchange = get_patched_exchange(mocker, default_conf, api_mock, exchange=exchange_name) assert exchange.cancel_order(order_id="_", pair="TKN/BTC") == {"id": "123"} with pytest.raises(InvalidOrderException): api_mock.cancel_order = MagicMock(side_effect=ccxt.InvalidOrder("Did not find order")) exchange = get_patched_exchange(mocker, default_conf, api_mock, exchange=exchange_name) exchange.cancel_order(order_id="_", pair="TKN/BTC") assert api_mock.cancel_order.call_count == 1 ccxt_exceptionhandlers( mocker, default_conf, api_mock, exchange_name, "cancel_order", "cancel_order", order_id="_", pair="TKN/BTC", ) @pytest.mark.parametrize("exchange_name", EXCHANGES) def test_cancel_stoploss_order(default_conf, mocker, exchange_name): default_conf["dry_run"] = False api_mock = MagicMock() api_mock.cancel_order = MagicMock(return_value={"id": "123"}) exchange = get_patched_exchange(mocker, default_conf, api_mock, exchange=exchange_name) assert exchange.cancel_stoploss_order(order_id="_", pair="TKN/BTC") == {"id": "123"} with pytest.raises(InvalidOrderException): api_mock.cancel_order = MagicMock(side_effect=ccxt.InvalidOrder("Did not find order")) exchange = get_patched_exchange(mocker, default_conf, api_mock, exchange=exchange_name) exchange.cancel_stoploss_order(order_id="_", pair="TKN/BTC") assert api_mock.cancel_order.call_count == 1 ccxt_exceptionhandlers( mocker, default_conf, api_mock, exchange_name, "cancel_stoploss_order", "cancel_order", order_id="_", pair="TKN/BTC", ) @pytest.mark.parametrize("exchange_name", EXCHANGES) def test_cancel_stoploss_order_with_result(default_conf, mocker, exchange_name): default_conf["dry_run"] = False exchange = get_patched_exchange(mocker, default_conf, exchange=exchange_name) mocker.patch.object(exchange, "fetch_stoploss_order", return_value={"for": 123}) res = {"fee": {}, "status": "canceled", "amount": 1234} mocker.patch.object(exchange, "cancel_stoploss_order", return_value=res) co = exchange.cancel_stoploss_order_with_result(order_id="_", pair="TKN/BTC", amount=555) assert co == res mocker.patch.object(exchange, "cancel_stoploss_order", return_value="canceled") # Fall back to fetch_stoploss_order co = exchange.cancel_stoploss_order_with_result(order_id="_", pair="TKN/BTC", amount=555) assert co == {"for": 123} exc = InvalidOrderException("") mocker.patch.object(exchange, "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 == {"id": "_", "fee": {}, "status": "canceled", "amount": 555, "info": {}} with pytest.raises(InvalidOrderException): exc = InvalidOrderException("Did not find order") exchange = get_patched_exchange(mocker, default_conf, exchange=exchange_name) mocker.patch.object(exchange, "cancel_stoploss_order", side_effect=exc) exchange.cancel_stoploss_order_with_result(order_id="_", pair="TKN/BTC", amount=123) @pytest.mark.usefixtures("init_persistence") @pytest.mark.parametrize("exchange_name", EXCHANGES) def test_fetch_order(default_conf, mocker, exchange_name, caplog): default_conf["dry_run"] = True default_conf["exchange"]["log_responses"] = True order = MagicMock() order.myid = 123 order.symbol = "TKN/BTC" mocker.patch(f"{EXMS}.exchange_has", return_value=True) exchange = get_patched_exchange(mocker, default_conf, exchange=exchange_name) exchange._dry_run_open_orders["X"] = order assert exchange.fetch_order("X", "TKN/BTC").myid == 123 with pytest.raises(InvalidOrderException, match=r"Tried to get an invalid dry-run-order.*"): exchange.fetch_order("Y", "TKN/BTC") default_conf["dry_run"] = False api_mock = MagicMock() api_mock.fetch_order = MagicMock(return_value={"id": "123", "amount": 2, "symbol": "TKN/BTC"}) exchange = get_patched_exchange(mocker, default_conf, api_mock, exchange=exchange_name) assert exchange.fetch_order("X", "TKN/BTC") == {"id": "123", "amount": 2, "symbol": "TKN/BTC"} assert log_has(("API fetch_order: {'id': '123', 'amount': 2, 'symbol': 'TKN/BTC'}"), caplog) with pytest.raises(InvalidOrderException): api_mock.fetch_order = MagicMock(side_effect=ccxt.InvalidOrder("Order not found")) exchange = get_patched_exchange(mocker, default_conf, api_mock, exchange=exchange_name) exchange.fetch_order(order_id="_", pair="TKN/BTC") assert api_mock.fetch_order.call_count == 1 api_mock.fetch_order = MagicMock(side_effect=ccxt.OrderNotFound("Order not found")) exchange = get_patched_exchange(mocker, default_conf, api_mock, exchange=exchange_name) with patch("freqtrade.exchange.common.time.sleep") as tm: with pytest.raises(InvalidOrderException): exchange.fetch_order(order_id="_", pair="TKN/BTC") # Ensure backoff is called assert tm.call_args_list[0][0][0] == 1 assert tm.call_args_list[1][0][0] == 2 if API_FETCH_ORDER_RETRY_COUNT > 2: assert tm.call_args_list[2][0][0] == 5 if API_FETCH_ORDER_RETRY_COUNT > 3: assert tm.call_args_list[3][0][0] == 10 assert api_mock.fetch_order.call_count == API_FETCH_ORDER_RETRY_COUNT + 1 ccxt_exceptionhandlers( mocker, default_conf, api_mock, exchange_name, "fetch_order", "fetch_order", retries=API_FETCH_ORDER_RETRY_COUNT + 1, order_id="_", pair="TKN/BTC", ) @pytest.mark.usefixtures("init_persistence") @pytest.mark.parametrize("exchange_name", EXCHANGES) def test_fetch_order_emulated(default_conf, mocker, exchange_name, caplog): default_conf["dry_run"] = True default_conf["exchange"]["log_responses"] = True order = MagicMock() order.myid = 123 order.symbol = "TKN/BTC" exchange = get_patched_exchange(mocker, default_conf, exchange=exchange_name) mocker.patch(f"{EXMS}.exchange_has", return_value=False) exchange._dry_run_open_orders["X"] = order # Dry run - regular fetch_order behavior assert exchange.fetch_order("X", "TKN/BTC").myid == 123 with pytest.raises(InvalidOrderException, match=r"Tried to get an invalid dry-run-order.*"): exchange.fetch_order("Y", "TKN/BTC") default_conf["dry_run"] = False mocker.patch(f"{EXMS}.exchange_has", return_value=False) api_mock = MagicMock() api_mock.fetch_open_order = MagicMock( return_value={"id": "123", "amount": 2, "symbol": "TKN/BTC"} ) api_mock.fetch_closed_order = MagicMock( return_value={"id": "123", "amount": 2, "symbol": "TKN/BTC"} ) exchange = get_patched_exchange(mocker, default_conf, api_mock, exchange=exchange_name) assert exchange.fetch_order("X", "TKN/BTC") == {"id": "123", "amount": 2, "symbol": "TKN/BTC"} assert log_has( ("API fetch_open_order: {'id': '123', 'amount': 2, 'symbol': 'TKN/BTC'}"), caplog ) assert api_mock.fetch_open_order.call_count == 1 assert api_mock.fetch_closed_order.call_count == 0 caplog.clear() # open_order doesn't find order api_mock.fetch_open_order = MagicMock(side_effect=ccxt.OrderNotFound("Order not found")) api_mock.fetch_closed_order = MagicMock( return_value={"id": "123", "amount": 2, "symbol": "TKN/BTC"} ) exchange = get_patched_exchange(mocker, default_conf, api_mock, exchange=exchange_name) assert exchange.fetch_order("X", "TKN/BTC") == {"id": "123", "amount": 2, "symbol": "TKN/BTC"} assert log_has( ("API fetch_closed_order: {'id': '123', 'amount': 2, 'symbol': 'TKN/BTC'}"), caplog ) assert api_mock.fetch_open_order.call_count == 1 assert api_mock.fetch_closed_order.call_count == 1 caplog.clear() with pytest.raises(InvalidOrderException): api_mock.fetch_open_order = MagicMock(side_effect=ccxt.InvalidOrder("Order not found")) api_mock.fetch_closed_order = MagicMock(side_effect=ccxt.InvalidOrder("Order not found")) exchange = get_patched_exchange(mocker, default_conf, api_mock, exchange=exchange_name) exchange.fetch_order(order_id="_", pair="TKN/BTC") assert api_mock.fetch_open_order.call_count == 1 api_mock.fetch_open_order = MagicMock(side_effect=ccxt.OrderNotFound("Order not found")) exchange = get_patched_exchange(mocker, default_conf, api_mock, exchange=exchange_name) ccxt_exceptionhandlers( mocker, default_conf, api_mock, exchange_name, "fetch_order_emulated", "fetch_open_order", retries=1, order_id="_", pair="TKN/BTC", params={}, ) @pytest.mark.usefixtures("init_persistence") @pytest.mark.parametrize("exchange_name", EXCHANGES) def test_fetch_stoploss_order(default_conf, mocker, exchange_name): default_conf["dry_run"] = True mocker.patch(f"{EXMS}.exchange_has", return_value=True) order = MagicMock() order.myid = 123 exchange = get_patched_exchange(mocker, default_conf, exchange=exchange_name) exchange._dry_run_open_orders["X"] = order assert exchange.fetch_stoploss_order("X", "TKN/BTC").myid == 123 with pytest.raises(InvalidOrderException, match=r"Tried to get an invalid dry-run-order.*"): exchange.fetch_stoploss_order("Y", "TKN/BTC") default_conf["dry_run"] = False api_mock = MagicMock() api_mock.fetch_order = MagicMock(return_value={"id": "123", "symbol": "TKN/BTC"}) exchange = get_patched_exchange(mocker, default_conf, api_mock, exchange=exchange_name) res = {"id": "123", "symbol": "TKN/BTC"} if exchange_name == "okx": res = {"id": "123", "symbol": "TKN/BTC", "type": "stoploss"} assert exchange.fetch_stoploss_order("X", "TKN/BTC") == res if exchange_name == "okx": # Tested separately. return with pytest.raises(InvalidOrderException): api_mock.fetch_order = MagicMock(side_effect=ccxt.InvalidOrder("Order not found")) exchange = get_patched_exchange(mocker, default_conf, api_mock, exchange=exchange_name) exchange.fetch_stoploss_order(order_id="_", pair="TKN/BTC") assert api_mock.fetch_order.call_count == 1 ccxt_exceptionhandlers( mocker, default_conf, api_mock, exchange_name, "fetch_stoploss_order", "fetch_order", retries=API_FETCH_ORDER_RETRY_COUNT + 1, order_id="_", pair="TKN/BTC", ) def test_fetch_order_or_stoploss_order(default_conf, mocker): exchange = get_patched_exchange(mocker, default_conf, exchange="binance") fetch_order_mock = MagicMock() fetch_stoploss_order_mock = MagicMock() mocker.patch.multiple( exchange, fetch_order=fetch_order_mock, fetch_stoploss_order=fetch_stoploss_order_mock, ) exchange.fetch_order_or_stoploss_order("1234", "ETH/BTC", False) assert fetch_order_mock.call_count == 1 assert fetch_order_mock.call_args_list[0][0][0] == "1234" assert fetch_order_mock.call_args_list[0][0][1] == "ETH/BTC" assert fetch_stoploss_order_mock.call_count == 0 fetch_order_mock.reset_mock() fetch_stoploss_order_mock.reset_mock() exchange.fetch_order_or_stoploss_order("1234", "ETH/BTC", True) assert fetch_order_mock.call_count == 0 assert fetch_stoploss_order_mock.call_count == 1 assert fetch_stoploss_order_mock.call_args_list[0][0][0] == "1234" assert fetch_stoploss_order_mock.call_args_list[0][0][1] == "ETH/BTC" @pytest.mark.parametrize("exchange_name", EXCHANGES) def test_name(default_conf_usdt, mocker, exchange_name): # exchange = get_patched_exchange(mocker, default_conf_usdt, exchange=exchange_name) api_mock = MagicMock() api_mock.name = exchange_name.title() api_mock.id = exchange_name mocker.patch(f"{EXMS}._init_ccxt", MagicMock(return_value=api_mock)) mocker.patch(f"{EXMS}._load_async_markets") # mocker.patch(f"{EXMS}.validate_timeframes") # mocker.patch(f"{EXMS}.validate_stakecurrency") # mocker.patch(f"{EXMS}.validate_pricing") default_conf_usdt["exchange"]["name"] = "exchange_name" exchange = ExchangeResolver.load_exchange(default_conf_usdt, validate=False) assert exchange.name == exchange_name.title() assert exchange.id == exchange_name default_conf_usdt["exchange"]["demo_trading"] = True exchange_demo = ExchangeResolver.load_exchange(default_conf_usdt, validate=False) assert exchange_demo.name == f"{exchange_name.title()} (Demo)" assert exchange_demo.id == f"{exchange_name}_demo" @pytest.mark.parametrize( "trading_mode,amount", [ ("spot", 0.2340606), ("futures", 2.340606), ], ) @pytest.mark.parametrize("exchange_name", EXCHANGES) def test_get_trades_for_order(default_conf, mocker, exchange_name, trading_mode, amount): order_id = "ABCD-ABCD" since = datetime(2018, 5, 5, 0, 0, 0) default_conf["dry_run"] = False default_conf["trading_mode"] = trading_mode default_conf["margin_mode"] = "isolated" mocker.patch(f"{EXMS}.exchange_has", return_value=True) api_mock = MagicMock() api_mock.fetch_my_trades = MagicMock( return_value=[ { "id": "TTR67E-3PFBD-76IISV", "order": "ABCD-ABCD", "info": { "pair": "XLTCZBTC", "time": 1519860024.4388, "type": "buy", "ordertype": "limit", "price": "20.00000", "cost": "38.62000", "fee": "0.06179", "vol": "5", "id": "ABCD-ABCD", }, "timestamp": 1519860024438, "datetime": "2018-02-28T23:20:24.438Z", "symbol": "ETH/USDT:USDT", "type": "limit", "side": "buy", "price": 165.0, "amount": 0.2340606, "fee": {"cost": 0.06179, "currency": "BTC"}, } ] ) exchange = get_patched_exchange(mocker, default_conf, api_mock, exchange=exchange_name) orders = exchange.get_trades_for_order(order_id, "ETH/USDT:USDT", since) assert len(orders) == 1 assert orders[0]["price"] == 165 assert pytest.approx(orders[0]["amount"]) == amount assert api_mock.fetch_my_trades.call_count == 1 # since argument should be assert isinstance(api_mock.fetch_my_trades.call_args[0][1], int) assert api_mock.fetch_my_trades.call_args[0][0] == "ETH/USDT:USDT" # Same test twice, hardcoded number and doing the same calculation assert api_mock.fetch_my_trades.call_args[0][1] == 1525478395000 assert ( api_mock.fetch_my_trades.call_args[0][1] == int(since.replace(tzinfo=UTC).timestamp() - 5) * 1000 ) ccxt_exceptionhandlers( mocker, default_conf, api_mock, exchange_name, "get_trades_for_order", "fetch_my_trades", order_id=order_id, pair="ETH/USDT:USDT", since=since, ) mocker.patch(f"{EXMS}.exchange_has", MagicMock(return_value=False)) assert exchange.get_trades_for_order(order_id, "ETH/USDT:USDT", since) == [] @pytest.mark.parametrize("exchange_name", EXCHANGES) def test_get_fee(default_conf, mocker, exchange_name): api_mock = MagicMock() api_mock.calculate_fee = MagicMock( return_value={"type": "taker", "currency": "BTC", "rate": 0.025, "cost": 0.05} ) exchange = get_patched_exchange(mocker, default_conf, api_mock, exchange=exchange_name) exchange._config.pop("fee", None) assert exchange.get_fee("ETH/BTC") == 0.025 assert api_mock.calculate_fee.call_count == 1 ccxt_exceptionhandlers( mocker, default_conf, api_mock, exchange_name, "get_fee", "calculate_fee", symbol="ETH/BTC" ) api_mock.calculate_fee.reset_mock() exchange._config["fee"] = 0.001 assert exchange.get_fee("ETH/BTC") == 0.001 assert api_mock.calculate_fee.call_count == 0 def test_stoploss_order_unsupported_exchange(default_conf, mocker): exchange = get_patched_exchange(mocker, default_conf, exchange="bitpanda") with pytest.raises(OperationalException, match=r"stoploss is not implemented .*"): exchange.create_stoploss( pair="ETH/BTC", amount=1, stop_price=220, order_types={}, side="sell", leverage=1.0 ) with pytest.raises(OperationalException, match=r"stoploss is not implemented .*"): exchange.stoploss_adjust(1, {}, side="sell") @pytest.mark.parametrize( "side,ratio,expected", [ ("sell", 0.99, 99.0), # Default ("sell", 0.999, 99.9), ("sell", 1, 100), ("sell", 1.1, InvalidOrderException), ("buy", 0.99, 101.0), # Default ("buy", 0.999, 100.1), ("buy", 1, 100), ("buy", 1.1, InvalidOrderException), ], ) def test__get_stop_limit_rate(default_conf_usdt, mocker, side, ratio, expected): exchange = get_patched_exchange(mocker, default_conf_usdt, exchange="binance") order_types = {"stoploss_on_exchange_limit_ratio": ratio} if isinstance(expected, type) and issubclass(expected, Exception): with pytest.raises(expected): exchange._get_stop_limit_rate(100, order_types, side) else: assert exchange._get_stop_limit_rate(100, order_types, side) == expected def test_merge_ft_has_dict(default_conf, mocker): mocker.patch.multiple( EXMS, _init_ccxt=MagicMock(return_value=MagicMock()), _load_async_markets=MagicMock(), validate_timeframes=MagicMock(), validate_stakecurrency=MagicMock(), validate_pricing=MagicMock(), ) ex = Exchange(default_conf) assert ex._ft_has == Exchange._ft_has_default ex = Kraken(default_conf) assert ex._ft_has != Exchange._ft_has_default assert ex.get_option("trades_pagination") == "id" assert ex.get_option("trades_pagination_arg") == "since" # Binance defines different values ex = Binance(default_conf) assert ex._ft_has != Exchange._ft_has_default assert ex.get_option("stoploss_on_exchange") assert ex.get_option("order_time_in_force") == ["GTC", "FOK", "IOC", "PO"] assert ex.get_option("trades_pagination") == "id" assert ex.get_option("trades_pagination_arg") == "fromId" conf = copy.deepcopy(default_conf) conf["exchange"]["_ft_has_params"] = {"DeadBeef": 20, "stoploss_on_exchange": False} # Use settings from configuration (overriding stoploss_on_exchange) ex = Binance(conf) assert ex._ft_has != Exchange._ft_has_default assert not ex._ft_has["stoploss_on_exchange"] assert ex._ft_has["DeadBeef"] == 20 def test_get_valid_pair_combination(default_conf, mocker, markets): mocker.patch.multiple( EXMS, _init_ccxt=MagicMock(return_value=MagicMock()), _load_async_markets=MagicMock(), validate_timeframes=MagicMock(), validate_pricing=MagicMock(), markets=PropertyMock(return_value=markets), ) ex = Exchange(default_conf) assert next(ex.get_valid_pair_combination("ETH", "BTC")) == "ETH/BTC" assert next(ex.get_valid_pair_combination("BTC", "ETH")) == "ETH/BTC" multicombs = list(ex.get_valid_pair_combination("ETH", "USDT")) assert len(multicombs) == 2 assert "ETH/USDT" in multicombs assert "ETH/USDT:USDT" in multicombs with pytest.raises(ValueError, match=r"Could not combine.* to get a valid pair."): for x in ex.get_valid_pair_combination("NOPAIR", "ETH"): pass @pytest.mark.parametrize( "base_currencies,quote_currencies,tradable_only,active_only,spot_only," "futures_only,expected_keys,test_comment", [ # Testing markets (in conftest.py): # 'BLK/BTC': 'active': True # 'BTT/BTC': 'active': True # 'ETH/BTC': 'active': True # 'ETH/USDT': 'active': True # 'LTC/BTC': 'active': False # 'LTC/ETH': 'active': True # 'LTC/USD': 'active': True # 'LTC/USDT': 'active': True # 'NEO/BTC': 'active': False # 'TKN/BTC': 'active' not set # 'XLTCUSDT': 'active': True, not a pair # 'XRP/BTC': 'active': False ( [], [], False, False, False, False, [ "BLK/BTC", "BTT/BTC", "ETH/BTC", "ETH/USDT", "LTC/BTC", "LTC/ETH", "LTC/USD", "LTC/USDT", "NEO/BTC", "TKN/BTC", "XLTCUSDT", "XRP/BTC", "ADA/USDT:USDT", "ETH/USDT:USDT", ], "all markets", ), ( [], [], False, False, True, False, [ "BLK/BTC", "BTT/BTC", "ETH/BTC", "ETH/USDT", "LTC/BTC", "LTC/ETH", "LTC/USD", "LTC/USDT", "NEO/BTC", "TKN/BTC", "XRP/BTC", ], "all markets, only spot pairs", ), ( [], [], False, True, False, False, [ "BLK/BTC", "ETH/BTC", "ETH/USDT", "LTC/BTC", "LTC/ETH", "LTC/USD", "NEO/BTC", "TKN/BTC", "XLTCUSDT", "XRP/BTC", "ADA/USDT:USDT", "ETH/USDT:USDT", ], "active markets", ), ( [], [], True, False, False, False, [ "BLK/BTC", "BTT/BTC", "ETH/BTC", "ETH/USDT", "LTC/BTC", "LTC/ETH", "LTC/USD", "LTC/USDT", "NEO/BTC", "TKN/BTC", "XRP/BTC", ], "all pairs", ), ( [], [], True, True, False, False, [ "BLK/BTC", "ETH/BTC", "ETH/USDT", "LTC/BTC", "LTC/ETH", "LTC/USD", "NEO/BTC", "TKN/BTC", "XRP/BTC", ], "active pairs", ), ( ["ETH", "LTC"], [], False, False, False, False, [ "ETH/BTC", "ETH/USDT", "LTC/BTC", "LTC/ETH", "LTC/USD", "LTC/USDT", "XLTCUSDT", "ETH/USDT:USDT", ], "all markets, base=ETH, LTC", ), ( ["LTC"], [], False, False, False, False, ["LTC/BTC", "LTC/ETH", "LTC/USD", "LTC/USDT", "XLTCUSDT"], "all markets, base=LTC", ), ( ["LTC"], [], False, False, True, False, ["LTC/BTC", "LTC/ETH", "LTC/USD", "LTC/USDT"], "spot markets, base=LTC", ), ( [], ["USDT"], False, False, False, False, ["ETH/USDT", "LTC/USDT", "XLTCUSDT", "ADA/USDT:USDT", "ETH/USDT:USDT"], "all markets, quote=USDT", ), ( [], ["USDT"], False, False, False, True, ["ADA/USDT:USDT", "ETH/USDT:USDT"], "Futures markets, quote=USDT", ), ( [], ["USDT", "USD"], False, False, False, False, ["ETH/USDT", "LTC/USD", "LTC/USDT", "XLTCUSDT", "ADA/USDT:USDT", "ETH/USDT:USDT"], "all markets, quote=USDT, USD", ), ( [], ["USDT", "USD"], False, False, True, False, ["ETH/USDT", "LTC/USD", "LTC/USDT"], "spot markets, quote=USDT, USD", ), ( ["LTC"], ["USDT"], False, False, False, False, ["LTC/USDT", "XLTCUSDT"], "all markets, base=LTC, quote=USDT", ), ( ["LTC"], ["USDT"], True, False, False, False, ["LTC/USDT"], "all pairs, base=LTC, quote=USDT", ), ( ["LTC"], ["USDT", "NONEXISTENT"], False, False, False, False, ["LTC/USDT", "XLTCUSDT"], "all markets, base=LTC, quote=USDT, NONEXISTENT", ), ( ["LTC"], ["NONEXISTENT"], False, False, False, False, [], "all markets, base=LTC, quote=NONEXISTENT", ), ], ) def test_get_markets( default_conf, mocker, markets_static, base_currencies, quote_currencies, tradable_only, active_only, spot_only, futures_only, expected_keys, test_comment, # Here for debugging purposes (Not used within method) ): mocker.patch.multiple( EXMS, _init_ccxt=MagicMock(return_value=MagicMock()), _load_async_markets=MagicMock(), validate_timeframes=MagicMock(), validate_pricing=MagicMock(), markets=PropertyMock(return_value=markets_static), ) ex = Exchange(default_conf) pairs = ex.get_markets( base_currencies, quote_currencies, tradable_only=tradable_only, spot_only=spot_only, futures_only=futures_only, active_only=active_only, ) assert sorted(pairs.keys()) == sorted(expected_keys) def test_get_markets_error(default_conf, mocker): ex = get_patched_exchange(mocker, default_conf) mocker.patch(f"{EXMS}.markets", PropertyMock(return_value=None)) with pytest.raises(OperationalException, match=r"Markets were not loaded\."): ex.get_markets("LTC", "USDT", True, False) @pytest.mark.parametrize("exchange_name", EXCHANGES) def test_ohlcv_candle_limit(default_conf, mocker, exchange_name): if exchange_name == "okx": pytest.skip("Tested separately for okx") exchange = get_patched_exchange(mocker, default_conf, exchange=exchange_name) timeframes = ("1m", "5m", "1h") expected = exchange._ft_has.get("ohlcv_candle_limit", 500) for timeframe in timeframes: # if 'ohlcv_candle_limit_per_timeframe' in exchange._ft_has: # expected = exchange._ft_has['ohlcv_candle_limit_per_timeframe'][timeframe] # This should only run for htx assert exchange.ohlcv_candle_limit(timeframe, CandleType.SPOT) == expected @pytest.mark.parametrize( "market_symbol,base,quote,exchange,spot,margin,futures,trademode,add_dict,expected_result", [ ("BTC/USDT", "BTC", "USDT", "binance", True, False, False, "spot", {}, True), ("USDT/BTC", "USDT", "BTC", "binance", True, False, False, "spot", {}, True), # No separating / ("BTCUSDT", "BTC", "USDT", "binance", True, False, False, "spot", {}, True), ("BTCUSDT", None, "USDT", "binance", True, False, False, "spot", {}, False), ("USDT/BTC", "BTC", None, "binance", True, False, False, "spot", {}, False), ("BTCUSDT", "BTC", None, "binance", True, False, False, "spot", {}, False), ("BTC/USDT", "BTC", "USDT", "binance", True, False, False, "spot", {}, True), # Futures mode, spot pair ("BTC/USDT", "BTC", "USDT", "binance", True, False, False, "futures", {}, False), ("BTC/USDT", "BTC", "USDT", "binance", True, False, False, "margin", {}, False), ("BTC/USDT", "BTC", "USDT", "binance", True, True, True, "margin", {}, True), ("BTC/USDT", "BTC", "USDT", "binance", False, True, False, "margin", {}, True), # Futures mode, futures pair ("BTC/USDT", "BTC", "USDT", "binance", False, False, True, "futures", {}, True), # Futures market ("BTC/UNK", "BTC", "UNK", "binance", False, False, True, "spot", {}, False), ("BTC/EUR", "BTC", "EUR", "kraken", True, False, False, "spot", {"darkpool": False}, True), ("EUR/BTC", "EUR", "BTC", "kraken", True, False, False, "spot", {"darkpool": False}, True), # no darkpools ("BTC/EUR", "BTC", "EUR", "kraken", True, False, False, "spot", {"darkpool": True}, False), # no darkpools ( "BTC/EUR.d", "BTC", "EUR", "kraken", True, False, False, "spot", {"darkpool": True}, False, ), ("BTC/USDT:USDT", "BTC", "USD", "okx", False, False, True, "spot", {}, False), ("BTC/USDT:USDT", "BTC", "USD", "okx", False, False, True, "margin", {}, False), ("BTC/USDT:USDT", "BTC", "USD", "okx", False, False, True, "futures", {}, True), ], ) def test_market_is_tradable( mocker, default_conf, market_symbol, base, quote, spot, margin, futures, trademode, add_dict, exchange, expected_result, ) -> None: default_conf["trading_mode"] = trademode mocker.patch(f"{EXMS}.validate_trading_mode_and_margin_mode") ex = get_patched_exchange(mocker, default_conf, exchange=exchange) market = { "symbol": market_symbol, "type": "swap", "base": base, "quote": quote, "spot": spot, "future": futures, "swap": futures, "margin": margin, "linear": True, **(add_dict), } assert ex.market_is_tradable(market) == expected_result @pytest.mark.parametrize( "market,expected_result", [ ({"symbol": "ETH/BTC", "active": True}, True), ({"symbol": "ETH/BTC", "active": False}, False), ( { "symbol": "ETH/BTC", }, True, ), ], ) def test_market_is_active(market, expected_result) -> None: assert market_is_active(market) == expected_result @pytest.mark.parametrize( "order,expected", [ ([{"fee"}], False), ({"fee": None}, False), ({"fee": {"currency": "ETH/BTC"}}, False), ({"fee": {"currency": "ETH/BTC", "cost": None}}, False), ({"fee": {"currency": "ETH/BTC", "cost": 0.01}}, True), ], ) def test_order_has_fee(order, expected) -> None: assert Exchange.order_has_fee(order) == expected @pytest.mark.parametrize( "order,expected", [ ({"symbol": "ETH/BTC", "fee": {"currency": "ETH", "cost": 0.43}}, (0.43, "ETH", 0.01)), ({"symbol": "ETH/USDT", "fee": {"currency": "USDT", "cost": 0.01}}, (0.01, "USDT", 0.01)), ( {"symbol": "BTC/USDT", "fee": {"currency": "USDT", "cost": 0.34, "rate": 0.01}}, (0.34, "USDT", 0.01), ), ], ) def test_extract_cost_curr_rate(mocker, default_conf, order, expected) -> None: mocker.patch(f"{EXMS}.calculate_fee_rate", MagicMock(return_value=0.01)) ex = get_patched_exchange(mocker, default_conf) assert ex.extract_cost_curr_rate(order["fee"], order["symbol"], cost=20, amount=1) == expected @pytest.mark.parametrize( "order,unknown_fee_rate,expected", [ # Using base-currency ( { "symbol": "ETH/BTC", "amount": 0.04, "cost": 0.05, "fee": {"currency": "ETH", "cost": 0.004, "rate": None}, }, None, 0.1, ), ( { "symbol": "ETH/BTC", "amount": 0.05, "cost": 0.05, "fee": {"currency": "ETH", "cost": 0.004, "rate": None}, }, None, 0.08, ), # Using quote currency ( { "symbol": "ETH/BTC", "amount": 0.04, "cost": 0.05, "fee": {"currency": "BTC", "cost": 0.005}, }, None, 0.1, ), ( { "symbol": "ETH/BTC", "amount": 0.04, "cost": 0.05, "fee": {"currency": "BTC", "cost": 0.002, "rate": None}, }, None, 0.04, ), # Using foreign currency ( { "symbol": "ETH/BTC", "amount": 0.04, "cost": 0.05, "fee": {"currency": "NEO", "cost": 0.0012}, }, None, 0.001944, ), ( { "symbol": "ETH/BTC", "amount": 2.21, "cost": 0.02992561, "fee": {"currency": "NEO", "cost": 0.00027452}, }, None, 0.00074305, ), # Rate included in return - return as is ( { "symbol": "ETH/BTC", "amount": 0.04, "cost": 0.05, "fee": {"currency": "USDT", "cost": 0.34, "rate": 0.01}, }, None, 0.01, ), ( { "symbol": "ETH/BTC", "amount": 0.04, "cost": 0.05, "fee": {"currency": "USDT", "cost": 0.34, "rate": 0.005}, }, None, 0.005, ), # 0.1% filled - no costs (kraken - #3431) ( { "symbol": "ETH/BTC", "amount": 0.04, "cost": 0.0, "fee": {"currency": "BTC", "cost": 0.0, "rate": None}, }, None, None, ), ( { "symbol": "ETH/BTC", "amount": 0.04, "cost": 0.0, "fee": {"currency": "ETH", "cost": 0.0, "rate": None}, }, None, 0.0, ), ( { "symbol": "ETH/BTC", "amount": 0.04, "cost": 0.0, "fee": {"currency": "NEO", "cost": 0.0, "rate": None}, }, None, None, ), # Invalid pair combination - POINT/BTC is not a pair ( { "symbol": "POINT/BTC", "amount": 0.04, "cost": 0.5, "fee": {"currency": "POINT", "cost": 2.0, "rate": None}, }, None, None, ), ( { "symbol": "POINT/BTC", "amount": 0.04, "cost": 0.5, "fee": {"currency": "POINT", "cost": 2.0, "rate": None}, }, 1, 4.0, ), ( { "symbol": "POINT/BTC", "amount": 0.04, "cost": 0.5, "fee": {"currency": "POINT", "cost": 2.0, "rate": None}, }, 2, 8.0, ), # Missing currency ( { "symbol": "ETH/BTC", "amount": 0.04, "cost": 0.05, "fee": {"currency": None, "cost": 0.005}, }, None, None, ), ], ) def test_calculate_fee_rate(mocker, default_conf, order, expected, unknown_fee_rate) -> None: mocker.patch(f"{EXMS}.get_tickers", return_value={"NEO/BTC": {"last": 0.081}}) if unknown_fee_rate: default_conf["exchange"]["unknown_fee_rate"] = unknown_fee_rate ex = get_patched_exchange(mocker, default_conf) assert ( ex.calculate_fee_rate( order["fee"], order["symbol"], cost=order["cost"], amount=order["amount"] ) == expected ) @pytest.mark.parametrize( "retrycount,max_retries,expected", [ (0, 3, 10), (1, 3, 5), (2, 3, 2), (3, 3, 1), (0, 1, 2), (1, 1, 1), (0, 4, 17), (1, 4, 10), (2, 4, 5), (3, 4, 2), (4, 4, 1), (0, 5, 26), (1, 5, 17), (2, 5, 10), (3, 5, 5), (4, 5, 2), (5, 5, 1), ], ) def test_calculate_backoff(retrycount, max_retries, expected): assert calculate_backoff(retrycount, max_retries) == expected @pytest.mark.parametrize("exchange_name", EXCHANGES) def test_get_funding_fees(default_conf_usdt, mocker, exchange_name, caplog): now = datetime.now(UTC) default_conf_usdt["trading_mode"] = "futures" default_conf_usdt["margin_mode"] = "isolated" exchange = get_patched_exchange(mocker, default_conf_usdt, exchange=exchange_name) exchange._fetch_and_calculate_funding_fees = MagicMock(side_effect=ExchangeError) assert exchange.get_funding_fees("BTC/USDT:USDT", 1, False, now) == 0.0 assert exchange._fetch_and_calculate_funding_fees.call_count == 1 assert log_has("Could not update funding fees for BTC/USDT:USDT.", caplog) @pytest.mark.parametrize("exchange_name", ["binance"]) def test__get_funding_fees_from_exchange(default_conf, mocker, exchange_name): api_mock = MagicMock() api_mock.fetch_funding_history = MagicMock( return_value=[ { "amount": 0.14542, "code": "USDT", "datetime": "2021-09-01T08:00:01.000Z", "id": "485478", "info": { "asset": "USDT", "income": "0.14542", "incomeType": "FUNDING_FEE", "info": "FUNDING_FEE", "symbol": "XRPUSDT", "time": "1630382001000", "tradeId": "", "tranId": "993203", }, "symbol": "XRP/USDT", "timestamp": 1630382001000, }, { "amount": -0.14642, "code": "USDT", "datetime": "2021-09-01T16:00:01.000Z", "id": "485479", "info": { "asset": "USDT", "income": "-0.14642", "incomeType": "FUNDING_FEE", "info": "FUNDING_FEE", "symbol": "XRPUSDT", "time": "1630314001000", "tradeId": "", "tranId": "993204", }, "symbol": "XRP/USDT", "timestamp": 1630314001000, }, ] ) type(api_mock).has = PropertyMock(return_value={"fetchFundingHistory": True}) # mocker.patch(f'{EXMS}.get_funding_fees', lambda pair, since: y) exchange = get_patched_exchange(mocker, default_conf, api_mock, exchange=exchange_name) date_time = datetime.strptime("2021-09-01T00:00:01.000Z", "%Y-%m-%dT%H:%M:%S.%fZ") unix_time = int(date_time.timestamp()) expected_fees = -0.001 # 0.14542341 + -0.14642341 fees_from_datetime = exchange._get_funding_fees_from_exchange(pair="XRP/USDT", since=date_time) fees_from_unix_time = exchange._get_funding_fees_from_exchange(pair="XRP/USDT", since=unix_time) assert pytest.approx(expected_fees) == fees_from_datetime assert pytest.approx(expected_fees) == fees_from_unix_time ccxt_exceptionhandlers( mocker, default_conf, api_mock, exchange_name, "_get_funding_fees_from_exchange", "fetch_funding_history", pair="XRP/USDT", since=unix_time, ) @pytest.mark.parametrize("exchange", ["binance", "kraken"]) @pytest.mark.parametrize( "stake_amount,leverage,min_stake_with_lev", [(9.0, 3.0, 3.0), (20.0, 5.0, 4.0), (100.0, 100.0, 1.0)], ) def test_get_stake_amount_considering_leverage( exchange, stake_amount, leverage, min_stake_with_lev, mocker, default_conf ): exchange = get_patched_exchange(mocker, default_conf, exchange=exchange) assert ( exchange._get_stake_amount_considering_leverage(stake_amount, leverage) == min_stake_with_lev ) @pytest.mark.parametrize("margin_mode", [(MarginMode.CROSS), (MarginMode.ISOLATED)]) def test_set_margin_mode(mocker, default_conf, margin_mode): api_mock = MagicMock() api_mock.set_margin_mode = MagicMock() type(api_mock).has = PropertyMock(return_value={"setMarginMode": True}) default_conf["dry_run"] = False ccxt_exceptionhandlers( mocker, default_conf, api_mock, "binance", "set_margin_mode", "set_margin_mode", pair="XRP/USDT", margin_mode=margin_mode, ) @pytest.mark.parametrize( "exchange_name, trading_mode, margin_mode, allow_none_margin_mode, exception_thrown", [ ("binance", TradingMode.SPOT, None, False, False), ("binance", TradingMode.MARGIN, MarginMode.ISOLATED, False, True), ("kraken", TradingMode.SPOT, None, False, False), ("kraken", TradingMode.MARGIN, MarginMode.ISOLATED, False, True), ("kraken", TradingMode.FUTURES, MarginMode.ISOLATED, False, True), ("bitmart", TradingMode.SPOT, None, False, False), ("bitmart", TradingMode.MARGIN, MarginMode.CROSS, False, True), ("bitmart", TradingMode.MARGIN, MarginMode.ISOLATED, False, True), ("bitmart", TradingMode.FUTURES, MarginMode.CROSS, False, True), ("bitmart", TradingMode.FUTURES, MarginMode.ISOLATED, False, True), ("gate", TradingMode.MARGIN, MarginMode.ISOLATED, False, True), ("okx", TradingMode.SPOT, None, False, False), ("okx", TradingMode.MARGIN, MarginMode.CROSS, False, True), ("okx", TradingMode.MARGIN, MarginMode.ISOLATED, False, True), ("okx", TradingMode.FUTURES, MarginMode.CROSS, False, True), ("binance", TradingMode.FUTURES, MarginMode.ISOLATED, False, False), ("gate", TradingMode.FUTURES, MarginMode.ISOLATED, False, False), ("okx", TradingMode.FUTURES, MarginMode.ISOLATED, False, False), # * Remove once implemented ("binance", TradingMode.MARGIN, MarginMode.CROSS, False, True), ("binance", TradingMode.FUTURES, MarginMode.CROSS, False, False), ("binance", TradingMode.FUTURES, None, False, True), # Validate without margin mode ("binance", TradingMode.FUTURES, None, True, False), ("kraken", TradingMode.MARGIN, MarginMode.CROSS, False, True), ("kraken", TradingMode.FUTURES, MarginMode.CROSS, False, True), ("gate", TradingMode.MARGIN, MarginMode.CROSS, False, True), ("gate", TradingMode.FUTURES, MarginMode.CROSS, False, True), # * Uncomment once implemented # ("binance", TradingMode.MARGIN, MarginMode.CROSS, False, False), # ("binance", TradingMode.FUTURES, MarginMode.CROSS, False, False), # ("kraken", TradingMode.MARGIN, MarginMode.CROSS, False, False), # ("kraken", TradingMode.FUTURES, MarginMode.CROSS, False, False), # ("gate", TradingMode.MARGIN, MarginMode.CROSS, False, False), # ("gate", TradingMode.FUTURES, MarginMode.CROSS, False, False), ], ) def test_validate_trading_mode_and_margin_mode( default_conf, mocker, exchange_name, trading_mode, margin_mode, allow_none_margin_mode, exception_thrown, ): exchange = get_patched_exchange( mocker, default_conf, exchange=exchange_name, mock_supported_modes=False ) if exception_thrown: with pytest.raises(OperationalException): exchange.validate_trading_mode_and_margin_mode( trading_mode, margin_mode, allow_none_margin_mode ) else: exchange.validate_trading_mode_and_margin_mode( trading_mode, margin_mode, allow_none_margin_mode ) @pytest.mark.parametrize( "exchange_name,trading_mode,ccxt_config", [ ("binance", "spot", {}), ("binance", "margin", {"options": {"defaultType": "margin"}}), ("binance", "futures", {"options": {"defaultType": "swap"}}), ("bybit", "spot", {"options": {"defaultType": "spot"}}), ("bybit", "futures", {"options": {"defaultType": "swap", "defaultSettle": "USDT"}}), ("gate", "futures", {"options": {"defaultType": "swap"}}), ("hitbtc", "futures", {"options": {"defaultType": "swap"}}), ("kraken", "futures", {"options": {"defaultType": "swap"}}), ("kucoin", "futures", {"options": {"defaultType": "swap"}}), ("okx", "futures", {"options": {"defaultType": "swap"}}), ], ) def test__ccxt_config(default_conf_usdt, mocker, exchange_name, trading_mode, ccxt_config): default_conf_usdt["trading_mode"] = trading_mode default_conf_usdt["margin_mode"] = "isolated" exchange = get_patched_exchange(mocker, default_conf_usdt, exchange=exchange_name) assert exchange._ccxt_config == ccxt_config @pytest.mark.parametrize( "pair,nominal_value,max_lev", [ ("ETH/BTC", 0.0, 2.0), ("TKN/BTC", 100.0, 5.0), ("BLK/BTC", 173.31, 3.0), ("LTC/BTC", 0.0, 1.0), ("TKN/USDT", 210.30, 1.0), ], ) def test_get_max_leverage_from_margin(default_conf, mocker, pair, nominal_value, max_lev): default_conf["trading_mode"] = "margin" default_conf["margin_mode"] = "isolated" api_mock = MagicMock() type(api_mock).has = PropertyMock(return_value={"fetchLeverageTiers": False}) exchange = get_patched_exchange(mocker, default_conf, api_mock, exchange="gate") assert exchange.get_max_leverage(pair, nominal_value) == max_lev @pytest.mark.parametrize( "size,funding_rate,mark_price,funding_fee", [ (10, 0.0001, 2.0, 0.002), (10, 0.0002, 2.0, 0.004), (10, 0.0002, 2.5, 0.005), (10, 0.0002, nan, 0.0), ], ) def test_calculate_funding_fees(default_conf, mocker, size, funding_rate, mark_price, funding_fee): exchange = get_patched_exchange(mocker, default_conf) prior_date = timeframe_to_prev_date("1h", datetime.now(UTC) - timedelta(hours=1)) trade_date = timeframe_to_prev_date("1h", datetime.now(UTC)) funding_rates = DataFrame( [ {"date": prior_date, "open": funding_rate}, # Line not used. {"date": trade_date, "open": funding_rate}, ] ) mark_rates = DataFrame( [ {"date": prior_date, "open": mark_price}, {"date": trade_date, "open": mark_price}, ] ) df = exchange.combine_funding_and_mark(funding_rates, mark_rates) assert ( exchange.calculate_funding_fees( df, amount=size, is_short=True, open_date=trade_date, close_date=trade_date, ) == funding_fee ) @pytest.mark.parametrize( "mark_price,funding_rate,futures_funding_rate", [ (1000, 0.001, None), (1000, 0.001, 0.01), (1000, 0.001, 0.0), (1000, 0.001, -0.01), ], ) def test_combine_funding_and_mark( default_conf, mocker, funding_rate, mark_price, futures_funding_rate, ): exchange = get_patched_exchange(mocker, default_conf) prior2_date = timeframe_to_prev_date("1h", datetime.now(UTC) - timedelta(hours=2)) prior_date = timeframe_to_prev_date("1h", datetime.now(UTC) - timedelta(hours=1)) trade_date = timeframe_to_prev_date("1h", datetime.now(UTC)) funding_rates = DataFrame( [ {"date": prior2_date, "open": funding_rate}, {"date": prior_date, "open": funding_rate}, {"date": trade_date, "open": funding_rate}, ] ) mark_rates = DataFrame( [ {"date": prior2_date, "open": mark_price}, {"date": prior_date, "open": mark_price}, {"date": trade_date, "open": mark_price}, ] ) df = exchange.combine_funding_and_mark(funding_rates, mark_rates, futures_funding_rate) assert "open_mark" in df.columns assert "open_fund" in df.columns assert len(df) == 3 funding_rates = DataFrame( [ {"date": trade_date, "open": funding_rate}, ] ) mark_rates = DataFrame( [ {"date": prior2_date, "open": mark_price}, {"date": prior_date, "open": mark_price}, {"date": trade_date, "open": mark_price}, ] ) # Test fallback to futures funding rate for missing funding rates df = exchange.combine_funding_and_mark(funding_rates, mark_rates, futures_funding_rate) if futures_funding_rate is not None: assert len(df) == 3 assert df.iloc[0]["open_fund"] == futures_funding_rate assert df.iloc[1]["open_fund"] == futures_funding_rate assert df.iloc[2]["open_fund"] == funding_rate else: assert len(df) == 1 # Empty funding rates funding_rates2 = DataFrame([], columns=["date", "open"]) df = exchange.combine_funding_and_mark(funding_rates2, mark_rates, futures_funding_rate) if futures_funding_rate is not None: assert len(df) == 3 assert df.iloc[0]["open_fund"] == futures_funding_rate assert df.iloc[1]["open_fund"] == futures_funding_rate assert df.iloc[2]["open_fund"] == futures_funding_rate else: assert len(df) == 0 # Empty mark candles mark_candles = DataFrame([], columns=["date", "open"]) df = exchange.combine_funding_and_mark(funding_rates, mark_candles, futures_funding_rate) assert len(df) == 0 # Test fallback to futures funding rate for middle missing funding rate funding_rates = DataFrame( [ {"date": prior2_date, "open": funding_rate}, # missing 1 hour {"date": trade_date, "open": funding_rate}, ], ) mark_rates = DataFrame( [ {"date": prior2_date, "open": mark_price}, {"date": prior_date, "open": mark_price}, {"date": trade_date, "open": mark_price}, ] ) df = exchange.combine_funding_and_mark(funding_rates, mark_rates, futures_funding_rate) if futures_funding_rate is not None: assert len(df) == 2 assert df.iloc[0]["open_fund"] == funding_rate # assert df.iloc[1]["open_fund"] == futures_funding_rate assert df.iloc[-1]["open_fund"] == funding_rate # Mid-candle is dropped ... assert df["date"].to_list() == [prior2_date, trade_date] else: assert len(df) == 2 assert df["date"].to_list() == [prior2_date, trade_date] @pytest.mark.parametrize( "exchange,rate_start,rate_end,d1,d2,amount,expected_fees", [ ("binance", 0, 2, "2021-09-01 01:00:00", "2021-09-01 04:00:00", 30.0, 0.0), ("binance", 0, 2, "2021-09-01 00:00:00", "2021-09-01 08:00:00", 30.0, -0.00091409999), ("binance", 0, 2, "2021-09-01 00:00:15", "2021-09-01 08:00:00", 30.0, -0.0002493), ("binance", 1, 2, "2021-09-01 01:00:14", "2021-09-01 08:00:00", 30.0, -0.0002493), ("binance", 1, 2, "2021-09-01 00:00:16", "2021-09-01 08:00:00", 30.0, -0.0002493), ("binance", 0, 1, "2021-09-01 00:00:00", "2021-09-01 07:59:59", 30.0, -0.00066479999), ("binance", 0, 2, "2021-09-01 00:00:00", "2021-09-01 12:00:00", 30.0, -0.00091409999), # :01 must be rounded down. ("binance", 0, 2, "2021-09-01 00:00:01", "2021-09-01 08:00:00", 30.0, -0.00091409999), ("binance", 0, 2, "2021-08-31 23:58:00", "2021-09-01 08:00:00", 30.0, -0.00091409999), ("binance", 0, 2, "2021-09-01 00:10:01", "2021-09-01 08:00:00", 30.0, -0.0002493), # TODO: Uncomment once _calculate_funding_fees can pass time_in_ratio to exchange. # ('kraken', "2021-09-01 00:00:00", "2021-09-01 08:00:00", 30.0, -0.0014937), # ('kraken', "2021-09-01 00:00:15", "2021-09-01 08:00:00", 30.0, -0.0008289), # ('kraken', "2021-09-01 01:00:14", "2021-09-01 08:00:00", 30.0, -0.0008289), # ('kraken', "2021-09-01 00:00:00", "2021-09-01 07:59:59", 30.0, -0.0012443999999999999), # ('kraken', "2021-09-01 00:00:00", "2021-09-01 12:00:00", 30.0, 0.0045759), # ('kraken', "2021-09-01 00:00:01", "2021-09-01 08:00:00", 30.0, -0.0008289), ("gate", 0, 2, "2021-09-01 00:10:00", "2021-09-01 04:00:00", 30.0, 0.0), ("gate", 0, 2, "2021-09-01 00:00:00", "2021-09-01 08:00:00", 30.0, -0.0009140999), ("gate", 0, 2, "2021-09-01 00:00:00", "2021-09-01 12:00:00", 30.0, -0.0009140999), ("gate", 1, 2, "2021-09-01 00:00:01", "2021-09-01 08:00:00", 30.0, -0.0002493), ("binance", 0, 2, "2021-09-01 00:00:00", "2021-09-01 08:00:00", 50.0, -0.0015235), # TODO: Uncomment once _calculate_funding_fees can pass time_in_ratio to exchange. # ('kraken', "2021-09-01 00:00:00", "2021-09-01 08:00:00", 50.0, -0.0024895), ], ) def test__fetch_and_calculate_funding_fees( mocker, default_conf, funding_rate_history_hourly, funding_rate_history_octohourly, rate_start, rate_end, mark_ohlcv, exchange, d1, d2, amount, expected_fees, ): """ nominal_value = mark_price * size funding_fee = nominal_value * funding_rate size: 30 time: 0, mark: 2.77, nominal_value: 83.1, fundRate: -0.000008, fundFee: -0.0006648 time: 1, mark: 2.73, nominal_value: 81.9, fundRate: -0.000004, fundFee: -0.0003276 time: 2, mark: 2.74, nominal_value: 82.2, fundRate: 0.000012, fundFee: 0.0009864 time: 3, mark: 2.76, nominal_value: 82.8, fundRate: -0.000003, fundFee: -0.0002484 time: 4, mark: 2.76, nominal_value: 82.8, fundRate: -0.000007, fundFee: -0.0005796 time: 5, mark: 2.77, nominal_value: 83.1, fundRate: 0.000003, fundFee: 0.0002493 time: 6, mark: 2.78, nominal_value: 83.4, fundRate: 0.000019, fundFee: 0.0015846 time: 7, mark: 2.78, nominal_value: 83.4, fundRate: 0.000003, fundFee: 0.0002502 time: 8, mark: 2.77, nominal_value: 83.1, fundRate: -0.000003, fundFee: -0.0002493 time: 9, mark: 2.77, nominal_value: 83.1, fundRate: 0, fundFee: 0.0 time: 10, mark: 2.84, nominal_value: 85.2, fundRate: 0.000013, fundFee: 0.0011076 time: 11, mark: 2.81, nominal_value: 84.3, fundRate: 0.000077, fundFee: 0.0064911 time: 12, mark: 2.81, nominal_value: 84.3, fundRate: 0.000072, fundFee: 0.0060696 time: 13, mark: 2.82, nominal_value: 84.6, fundRate: 0.000097, fundFee: 0.0082062 size: 50 time: 0, mark: 2.77, nominal_value: 138.5, fundRate: -0.000008, fundFee: -0.001108 time: 1, mark: 2.73, nominal_value: 136.5, fundRate: -0.000004, fundFee: -0.000546 time: 2, mark: 2.74, nominal_value: 137.0, fundRate: 0.000012, fundFee: 0.001644 time: 3, mark: 2.76, nominal_value: 138.0, fundRate: -0.000003, fundFee: -0.000414 time: 4, mark: 2.76, nominal_value: 138.0, fundRate: -0.000007, fundFee: -0.000966 time: 5, mark: 2.77, nominal_value: 138.5, fundRate: 0.000003, fundFee: 0.0004155 time: 6, mark: 2.78, nominal_value: 139.0, fundRate: 0.000019, fundFee: 0.002641 time: 7, mark: 2.78, nominal_value: 139.0, fundRate: 0.000003, fundFee: 0.000417 time: 8, mark: 2.77, nominal_value: 138.5, fundRate: -0.000003, fundFee: -0.0004155 time: 9, mark: 2.77, nominal_value: 138.5, fundRate: 0, fundFee: 0.0 time: 10, mark: 2.84, nominal_value: 142.0, fundRate: 0.000013, fundFee: 0.001846 time: 11, mark: 2.81, nominal_value: 140.5, fundRate: 0.000077, fundFee: 0.0108185 time: 12, mark: 2.81, nominal_value: 140.5, fundRate: 0.000072, fundFee: 0.010116 time: 13, mark: 2.82, nominal_value: 141.0, fundRate: 0.000097, fundFee: 0.013677 """ d1 = datetime.strptime(f"{d1} +0000", "%Y-%m-%d %H:%M:%S %z") d2 = datetime.strptime(f"{d2} +0000", "%Y-%m-%d %H:%M:%S %z") funding_rate_history = { "binance": funding_rate_history_octohourly, "gate": funding_rate_history_octohourly, }[exchange][rate_start:rate_end] api_mock = MagicMock() api_mock.fetch_funding_rate_history = get_mock_coro(return_value=funding_rate_history) api_mock.fetch_ohlcv = get_mock_coro(return_value=mark_ohlcv) type(api_mock).has = PropertyMock( return_value={ "fetchFundingRateHistory": True, "fetchMarkOHLCV": True, "fetchOHLCV": True, } ) ex = get_patched_exchange(mocker, default_conf, api_mock, exchange=exchange) mocker.patch(f"{EXMS}.timeframes", PropertyMock(return_value=["1h", "4h", "8h"])) funding_fees = ex._fetch_and_calculate_funding_fees( pair="ADA/USDT:USDT", amount=amount, is_short=True, open_date=d1, close_date=d2 ) assert pytest.approx(funding_fees) == expected_fees # Fees for Longs are inverted funding_fees = ex._fetch_and_calculate_funding_fees( pair="ADA/USDT:USDT", amount=amount, is_short=False, open_date=d1, close_date=d2 ) assert pytest.approx(funding_fees) == -expected_fees # Return empty "refresh_latest" mocker.patch(f"{EXMS}.refresh_latest_ohlcv", return_value={}) ex = get_patched_exchange(mocker, default_conf, api_mock, exchange=exchange) with pytest.raises(ExchangeError, match=r"Could not find funding rates\."): ex._fetch_and_calculate_funding_fees( pair="ADA/USDT:USDT", amount=amount, is_short=False, open_date=d1, close_date=d2 ) @pytest.mark.parametrize( "exchange,expected_fees", [ ("binance", -0.0009140999999999999), ("gate", -0.0009140999999999999), ], ) def test__fetch_and_calculate_funding_fees_datetime_called( mocker, default_conf, funding_rate_history_octohourly, mark_ohlcv, exchange, time_machine, expected_fees, ): api_mock = MagicMock() api_mock.fetch_ohlcv = get_mock_coro(return_value=mark_ohlcv) api_mock.fetch_funding_rate_history = get_mock_coro( return_value=funding_rate_history_octohourly ) type(api_mock).has = PropertyMock( return_value={ "fetchFundingRateHistory": True, "fetchMarkOHLCV": True, "fetchOHLCV": True, } ) mocker.patch(f"{EXMS}.timeframes", PropertyMock(return_value=["4h", "8h"])) exchange = get_patched_exchange(mocker, default_conf, api_mock, exchange=exchange) d1 = datetime.strptime("2021-08-31 23:00:01 +0000", "%Y-%m-%d %H:%M:%S %z") time_machine.move_to("2021-09-01 08:00:00 +00:00") funding_fees = exchange._fetch_and_calculate_funding_fees("ADA/USDT", 30.0, True, d1) assert funding_fees == expected_fees funding_fees = exchange._fetch_and_calculate_funding_fees("ADA/USDT", 30.0, False, d1) assert funding_fees == 0 - expected_fees @pytest.mark.parametrize( "pair,expected_size,trading_mode", [ ("XLTCUSDT", 1, "spot"), ("LTC/USD", 1, "futures"), ("XLTCUSDT", 0.01, "futures"), ("ETH/USDT:USDT", 10, "futures"), ("TORN/USDT:USDT", None, "futures"), # Don't fail for unavailable pairs. ], ) def test__get_contract_size(mocker, default_conf, pair, expected_size, trading_mode): api_mock = MagicMock() default_conf["trading_mode"] = trading_mode default_conf["margin_mode"] = "isolated" exchange = get_patched_exchange(mocker, default_conf, api_mock) mocker.patch( f"{EXMS}.markets", { "LTC/USD": { "symbol": "LTC/USD", "contractSize": None, }, "XLTCUSDT": { "symbol": "XLTCUSDT", "contractSize": "0.01", }, "ETH/USDT:USDT": { "symbol": "ETH/USDT:USDT", "contractSize": "10", }, }, ) size = exchange.get_contract_size(pair) assert expected_size == size @pytest.mark.parametrize( "pair,contract_size,trading_mode", [ ("XLTCUSDT", 1, "spot"), ("LTC/USD", 1, "futures"), ("ADA/USDT:USDT", 0.01, "futures"), ("LTC/ETH", 1, "futures"), ("ETH/USDT:USDT", 10, "futures"), ], ) def test__order_contracts_to_amount( mocker, default_conf, markets, pair, contract_size, trading_mode, ): api_mock = MagicMock() default_conf["trading_mode"] = trading_mode default_conf["margin_mode"] = "isolated" mocker.patch(f"{EXMS}.markets", markets) exchange = get_patched_exchange(mocker, default_conf, api_mock) orders = [ { "id": "123456320", "clientOrderId": "12345632018", "timestamp": 1640124992000, "datetime": "Tue 21 Dec 2021 22:16:32 UTC", "lastTradeTimestamp": 1640124911000, "status": "active", "symbol": pair, "type": "limit", "timeInForce": "gtc", "postOnly": None, "side": "buy", "price": 2.0, "stopPrice": None, "average": None, "amount": 30.0, "cost": 60.0, "filled": None, "remaining": 30.0, "fee": { "currency": "USDT", "cost": 0.06, }, "fees": [ { "currency": "USDT", "cost": 0.06, } ], "trades": None, "info": {}, }, { "id": "123456380", "clientOrderId": "12345638203", "timestamp": 1640124992000, "datetime": "Tue 21 Dec 2021 22:16:32 UTC", "lastTradeTimestamp": 1640124911000, "status": "active", "symbol": pair, "type": "limit", "timeInForce": "gtc", "postOnly": None, "side": "sell", "price": 2.2, "stopPrice": None, "average": None, "amount": 40.0, "cost": 80.0, "filled": None, "remaining": 40.0, "fee": { "currency": "USDT", "cost": 0.08, }, "fees": [ { "currency": "USDT", "cost": 0.08, } ], "trades": None, "info": {}, }, { # Realistic stoploss order on gate. "id": "123456380", "clientOrderId": "12345638203", "timestamp": None, "datetime": None, "lastTradeTimestamp": None, "status": None, "symbol": None, "type": None, "timeInForce": None, "postOnly": None, "side": None, "price": None, "stopPrice": None, "average": None, "amount": None, "cost": None, "filled": None, "remaining": None, "fee": None, "fees": [], "trades": None, "info": {}, }, ] order1_bef = orders[0] order2_bef = orders[1] order1 = exchange._order_contracts_to_amount(deepcopy(order1_bef)) order2 = exchange._order_contracts_to_amount(deepcopy(order2_bef)) assert order1["amount"] == order1_bef["amount"] * contract_size assert order1["cost"] == order1_bef["cost"] * contract_size assert order2["amount"] == order2_bef["amount"] * contract_size assert order2["cost"] == order2_bef["cost"] * contract_size # Don't fail exchange._order_contracts_to_amount(orders[2]) @pytest.mark.parametrize( "pair,contract_size,trading_mode", [ ("XLTCUSDT", 1, "spot"), ("LTC/USD", 1, "futures"), ("ADA/USDT:USDT", 0.01, "futures"), ("LTC/ETH", 1, "futures"), ("ETH/USDT:USDT", 10, "futures"), ], ) def test__trades_contracts_to_amount( mocker, default_conf, markets, pair, contract_size, trading_mode, ): api_mock = MagicMock() default_conf["trading_mode"] = trading_mode default_conf["margin_mode"] = "isolated" mocker.patch(f"{EXMS}.markets", markets) exchange = get_patched_exchange(mocker, default_conf, api_mock) trades = [ { "symbol": pair, "amount": 30.0, }, { "symbol": pair, "amount": 40.0, }, ] new_amount_trades = exchange._trades_contracts_to_amount(trades) assert new_amount_trades[0]["amount"] == 30.0 * contract_size assert new_amount_trades[1]["amount"] == 40.0 * contract_size @pytest.mark.parametrize( "pair,param_amount,param_size", [ ("ADA/USDT:USDT", 40, 4000), ("LTC/ETH", 30, 30), ("LTC/USD", 30, 30), ("ETH/USDT:USDT", 10, 1), ], ) def test__amount_to_contracts(mocker, default_conf, pair, param_amount, param_size): api_mock = MagicMock() default_conf["trading_mode"] = "spot" default_conf["margin_mode"] = "isolated" exchange = get_patched_exchange(mocker, default_conf, api_mock) mocker.patch( f"{EXMS}.markets", { "LTC/USD": { "symbol": "LTC/USD", "contractSize": None, }, "XLTCUSDT": { "symbol": "XLTCUSDT", "contractSize": "0.01", }, "LTC/ETH": { "symbol": "LTC/ETH", }, "ETH/USDT:USDT": { "symbol": "ETH/USDT:USDT", "contractSize": "10", }, }, ) result_size = exchange._amount_to_contracts(pair, param_amount) assert result_size == param_amount result_amount = exchange._contracts_to_amount(pair, param_size) assert result_amount == param_size default_conf["trading_mode"] = "futures" exchange = get_patched_exchange(mocker, default_conf, api_mock) result_size = exchange._amount_to_contracts(pair, param_amount) assert result_size == param_size result_amount = exchange._contracts_to_amount(pair, param_size) assert result_amount == param_amount @pytest.mark.parametrize( "pair,amount,expected_spot,expected_fut", [ # Contract size of 0.01 ("ADA/USDT:USDT", 40, 40, 40), ("ADA/USDT:USDT", 10.4445555, 10.4, 10.444), ("LTC/ETH", 30, 30, 30), ("LTC/USD", 30, 30, 30), ("ADA/USDT:USDT", 1.17, 1.1, 1.17), # contract size of 10 ("ETH/USDT:USDT", 10.111, 10.1, 10), ("ETH/USDT:USDT", 10.188, 10.1, 10), ("ETH/USDT:USDT", 10.988, 10.9, 10), ], ) def test_amount_to_contract_precision( mocker, default_conf, pair, amount, expected_spot, expected_fut, ): api_mock = MagicMock() default_conf["trading_mode"] = "spot" default_conf["margin_mode"] = "isolated" exchange = get_patched_exchange(mocker, default_conf, api_mock) result_size = exchange.amount_to_contract_precision(pair, amount) assert result_size == expected_spot default_conf["trading_mode"] = "futures" exchange = get_patched_exchange(mocker, default_conf, api_mock) result_size = exchange.amount_to_contract_precision(pair, amount) assert result_size == expected_fut @pytest.mark.parametrize( "exchange_name,open_rate,is_short,trading_mode,margin_mode", [ # Bybit ("bybit", 2.0, False, "spot", None), ("bybit", 2.0, False, "spot", "cross"), ("bybit", 2.0, True, "spot", "isolated"), # Binance ("binance", 2.0, False, "spot", None), ("binance", 2.0, False, "spot", "cross"), ("binance", 2.0, True, "spot", "isolated"), ], ) def test_liquidation_price_is_none( mocker, default_conf, exchange_name, open_rate, is_short, trading_mode, margin_mode ): default_conf["trading_mode"] = trading_mode default_conf["margin_mode"] = margin_mode exchange = get_patched_exchange(mocker, default_conf, exchange=exchange_name) assert ( exchange.get_liquidation_price( pair="DOGE/USDT", open_rate=open_rate, is_short=is_short, amount=71200.81144, stake_amount=open_rate * 71200.81144, leverage=5, wallet_balance=-56354.57, ) is None ) def test_get_max_pair_stake_amount( mocker, default_conf, leverage_tiers, ): api_mock = MagicMock() default_conf["margin_mode"] = "isolated" default_conf["trading_mode"] = "futures" exchange = get_patched_exchange(mocker, default_conf, api_mock) exchange._leverage_tiers = leverage_tiers markets = { "XRP/USDT:USDT": { "limits": { "amount": {"min": 0.001, "max": 10000}, "cost": {"min": 5, "max": None}, }, "contractSize": None, "spot": False, }, "LTC/USDT:USDT": { "limits": { "amount": {"min": 0.001, "max": None}, "cost": {"min": 5, "max": None}, }, "contractSize": 0.01, "spot": False, }, "ETH/USDT:USDT": { "limits": { "amount": {"min": 0.001, "max": 10000}, "cost": { "min": 5, "max": 30000, }, }, "contractSize": 0.01, "spot": False, }, "BTC/USDT": { "limits": { "amount": {"min": 0.001, "max": 10000}, "cost": {"min": 5, "max": None}, }, "contractSize": 0.01, "spot": True, }, "ADA/USDT": { "limits": { "amount": {"min": 0.001, "max": 10000}, "cost": { "min": 5, "max": 500, }, }, "contractSize": 0.01, "spot": True, }, "DOGE/USDT:USDT": { "limits": { "amount": {"min": 0.001, "max": 10000}, "cost": {"min": 5, "max": 500}, }, "contractSize": None, "spot": False, }, "LUNA/USDT:USDT": { "limits": { "amount": {"min": 0.001, "max": 10000}, "cost": {"min": 5, "max": 500}, }, "contractSize": 0.01, "spot": False, }, "ZEC/USDT:USDT": { "limits": { "amount": {"min": 0.001, "max": None}, "cost": {"min": 5, "max": None}, }, "contractSize": 1, "spot": False, }, } mocker.patch(f"{EXMS}.markets", markets) assert exchange.get_max_pair_stake_amount("XRP/USDT:USDT", 2.0) == 20000 assert exchange.get_max_pair_stake_amount("XRP/USDT:USDT", 2.0, 5) == 4000 # limit leverage tiers assert exchange.get_max_pair_stake_amount("ZEC/USDT:USDT", 2.0, 5) == 100_000 assert exchange.get_max_pair_stake_amount("ZEC/USDT:USDT", 2.0, 50) == 1000 assert exchange.get_max_pair_stake_amount("LTC/USDT:USDT", 2.0) == float("inf") assert exchange.get_max_pair_stake_amount("ETH/USDT:USDT", 2.0) == 200 assert exchange.get_max_pair_stake_amount("DOGE/USDT:USDT", 2.0) == 500 assert exchange.get_max_pair_stake_amount("LUNA/USDT:USDT", 2.0) == 5.0 default_conf["trading_mode"] = "spot" exchange = get_patched_exchange(mocker, default_conf, api_mock) mocker.patch(f"{EXMS}.markets", markets) assert exchange.get_max_pair_stake_amount("BTC/USDT", 2.0) == 20000 assert exchange.get_max_pair_stake_amount("ADA/USDT", 2.0) == 500 @pytest.mark.parametrize("exchange_name", EXCHANGES) def test_load_leverage_tiers(mocker, default_conf, exchange_name): if exchange_name == "bybit": # TODO: remove once get_leverage_tiers workaround has been removed. pytest.skip("Currently skipping") api_mock = MagicMock() api_mock.fetch_leverage_tiers = MagicMock() type(api_mock).has = PropertyMock(return_value={"fetchLeverageTiers": True}) default_conf["dry_run"] = False mocker.patch(f"{EXMS}.validate_trading_mode_and_margin_mode") api_mock.fetch_leverage_tiers = MagicMock( return_value={ "ADA/USDT:USDT": [ { "tier": 1, "minNotional": 0, "maxNotional": 500, "maintenanceMarginRate": 0.02, "maxLeverage": 75, "info": { "baseMaxLoan": "", "imr": "0.013", "instId": "", "maxLever": "75", "maxSz": "500", "minSz": "0", "mmr": "0.01", "optMgnFactor": "0", "quoteMaxLoan": "", "tier": "1", "uly": "ADA-USDT", }, }, ] } ) # SPOT exchange = get_patched_exchange(mocker, default_conf, api_mock, exchange=exchange_name) assert exchange.load_leverage_tiers() == {} default_conf["trading_mode"] = "futures" default_conf["margin_mode"] = "isolated" if exchange_name != "binance": # FUTURES has.fetchLeverageTiers == False type(api_mock).has = PropertyMock(return_value={"fetchLeverageTiers": False}) exchange = get_patched_exchange(mocker, default_conf, api_mock, exchange=exchange_name) assert exchange.load_leverage_tiers() == {} # FUTURES regular type(api_mock).has = PropertyMock(return_value={"fetchLeverageTiers": True}) exchange = get_patched_exchange(mocker, default_conf, api_mock, exchange=exchange_name) assert exchange.load_leverage_tiers() == { "ADA/USDT:USDT": [ { "tier": 1, "minNotional": 0, "maxNotional": 500, "maintenanceMarginRate": 0.02, "maxLeverage": 75, "info": { "baseMaxLoan": "", "imr": "0.013", "instId": "", "maxLever": "75", "maxSz": "500", "minSz": "0", "mmr": "0.01", "optMgnFactor": "0", "quoteMaxLoan": "", "tier": "1", "uly": "ADA-USDT", }, }, ] } ccxt_exceptionhandlers( mocker, default_conf, api_mock, exchange_name, "load_leverage_tiers", "fetch_leverage_tiers", ) @pytest.mark.parametrize("exchange_name", EXCHANGES) async def test_get_market_leverage_tiers(mocker, default_conf, exchange_name): default_conf["exchange"]["name"] = exchange_name await async_ccxt_exception( mocker, default_conf, MagicMock(), "get_market_leverage_tiers", "fetch_market_leverage_tiers", symbol="BTC/USDT:USDT", ) def test_parse_leverage_tier(mocker, default_conf): exchange = get_patched_exchange(mocker, default_conf) tier = { "tier": 1, "minNotional": 0, "maxNotional": 100000, "maintenanceMarginRate": 0.025, "maxLeverage": 20, "info": { "bracket": "1", "initialLeverage": "20", "maxNotional": "100000", "minNotional": "0", "maintMarginRatio": "0.025", "cum": "0.0", }, } assert exchange.parse_leverage_tier(tier) == { "minNotional": 0, "maxNotional": 100000, "maintenanceMarginRate": 0.025, "maxLeverage": 20, "maintAmt": 0.0, } tier2 = { "tier": 1, "minNotional": 0, "maxNotional": 2000, "maintenanceMarginRate": 0.01, "maxLeverage": 75, "info": { "baseMaxLoan": "", "imr": "0.013", "instId": "", "maxLever": "75", "maxSz": "2000", "minSz": "0", "mmr": "0.01", "optMgnFactor": "0", "quoteMaxLoan": "", "tier": "1", "uly": "SHIB-USDT", }, } assert exchange.parse_leverage_tier(tier2) == { "minNotional": 0, "maxNotional": 2000, "maintenanceMarginRate": 0.01, "maxLeverage": 75, "maintAmt": None, } def test_get_maintenance_ratio_and_amt_exceptions(mocker, default_conf, leverage_tiers): api_mock = MagicMock() default_conf["trading_mode"] = "futures" default_conf["margin_mode"] = "isolated" mocker.patch(f"{EXMS}.exchange_has", return_value=True) exchange = get_patched_exchange(mocker, default_conf, api_mock) exchange._leverage_tiers = leverage_tiers with pytest.raises( DependencyException, match="nominal value can not be lower than 0", ): exchange.get_maintenance_ratio_and_amt("1000SHIB/USDT:USDT", -1) exchange._leverage_tiers = {} with pytest.raises( InvalidOrderException, match="Maintenance margin rate for 1000SHIB/USDT:USDT is unavailable for", ): exchange.get_maintenance_ratio_and_amt("1000SHIB/USDT:USDT", 10000) @pytest.mark.parametrize( "pair,value,mmr,maintAmt", [ ("ADA/USDT:USDT", 500, 0.025, 0.0), ("ADA/USDT:USDT", 20000000, 0.5, 1527500.0), ("ZEC/USDT:USDT", 500, 0.01, 0.0), ("ZEC/USDT:USDT", 20000000, 0.5, 654500.0), ], ) def test_get_maintenance_ratio_and_amt( mocker, default_conf, leverage_tiers, pair, value, mmr, maintAmt ): api_mock = MagicMock() default_conf["trading_mode"] = "futures" default_conf["margin_mode"] = "isolated" mocker.patch(f"{EXMS}.exchange_has", return_value=True) exchange = get_patched_exchange(mocker, default_conf, api_mock) exchange._leverage_tiers = leverage_tiers assert exchange.get_maintenance_ratio_and_amt(pair, value) == (mmr, maintAmt) def test_get_max_leverage_futures(default_conf, mocker, leverage_tiers): # Test Spot exchange = get_patched_exchange(mocker, default_conf, exchange="binance") assert exchange.get_max_leverage("BNB/USDT", 100.0) == 1.0 # Test Futures default_conf["trading_mode"] = "futures" default_conf["margin_mode"] = "isolated" exchange = get_patched_exchange(mocker, default_conf, exchange="binance") exchange._leverage_tiers = leverage_tiers assert exchange.get_max_leverage("XRP/USDT:USDT", 1.0) == 20.0 assert exchange.get_max_leverage("BNB/USDT:USDT", 100.0) == 75.0 assert exchange.get_max_leverage("BTC/USDT:USDT", 170.30) == 125.0 assert pytest.approx(exchange.get_max_leverage("XRP/USDT:USDT", 99999.9)) == 5 assert pytest.approx(exchange.get_max_leverage("BNB/USDT:USDT", 1500)) == 25 assert exchange.get_max_leverage("BTC/USDT:USDT", 300000000) == 2.0 assert exchange.get_max_leverage("BTC/USDT:USDT", 600000000) == 1.0 # Last tier # Test ADA - last maxNotional is None assert exchange.get_max_leverage("ADA/USDT:USDT", 2500000) == 2.0 # Second last tier assert exchange.get_max_leverage("ADA/USDT:USDT", 6000000) == 1.0 # Last tier, open maxNotional assert exchange.get_max_leverage("SPONGE/USDT:USDT", 200) == 1.0 # Pair not in leverage_tiers assert exchange.get_max_leverage("BTC/USDT:USDT", 0.0) == 125.0 # No stake amount with pytest.raises( InvalidOrderException, match=r"Stake amount 1000000000.01 too high for BTC/USDT:USDT" ): exchange.get_max_leverage("BTC/USDT:USDT", 1000000000.01) assert exchange.get_max_leverage("TIA/USDT:USDT", 130) == 50 assert exchange.get_max_leverage("TIA/USDT:USDT", 131) == 40 assert exchange.get_max_leverage("TIA/USDT:USDT", 130.008) == 40 @pytest.mark.parametrize( "exchange_name, add_params_spot, add_params_futures", [ ("binance", {}, {}), ("kraken", {}, {"leverage": 3.0}), ("gate", {}, {}), ("okx", {}, {"tdMode": "isolated", "posSide": "net"}), ("bybit", {}, {"position_idx": 0}), ("bitget", {}, {"marginMode": "isolated"}), ], ) def test__get_params(mocker, default_conf, exchange_name, add_params_spot, add_params_futures): api_mock = MagicMock() mocker.patch(f"{EXMS}.exchange_has", return_value=True) exchange = get_patched_exchange(mocker, default_conf, api_mock, exchange=exchange_name) exchange._params = {"test": True} params1 = {"test": True} params1.update(add_params_spot) params_fut = { "test": True, "timeInForce": "IOC", "reduceOnly": True, } params_fut.update(add_params_futures) assert ( exchange._get_params( side="buy", ordertype="market", reduceOnly=False, time_in_force="GTC", leverage=1.0, ) == params1 ) assert ( exchange._get_params( side="buy", ordertype="market", reduceOnly=False, time_in_force="IOC", leverage=1.0, ) == params1 ) assert ( exchange._get_params( side="buy", ordertype="limit", reduceOnly=False, time_in_force="GTC", leverage=1.0, ) == params1 ) default_conf["trading_mode"] = "futures" default_conf["margin_mode"] = "isolated" exchange = get_patched_exchange(mocker, default_conf, api_mock, exchange=exchange_name) exchange._params = {"test": True} assert ( exchange._get_params( side="buy", ordertype="limit", reduceOnly=True, time_in_force="IOC", leverage=3.0, ) == params_fut ) def test_get_liquidation_price1(mocker, default_conf): api_mock = MagicMock() leverage = 9.97 positions = [ { "info": {}, "symbol": "NEAR/USDT:USDT", "timestamp": 1642164737148, "datetime": "2022-01-14T12:52:17.148Z", "initialMargin": 1.51072, "initialMarginPercentage": 0.1, "maintenanceMargin": 0.38916147, "maintenanceMarginPercentage": 0.025, "entryPrice": 18.884, "notional": 15.1072, "leverage": leverage, "unrealizedPnl": 0.0048, "contracts": 8, "contractSize": 0.1, "marginRatio": None, "liquidationPrice": 17.47, "markPrice": 18.89, "margin_mode": 1.52549075, "marginType": "isolated", "side": "buy", "percentage": 0.003177292946409658, } ] api_mock.fetch_positions = MagicMock(return_value=positions) mocker.patch.multiple( EXMS, exchange_has=MagicMock(return_value=True), ) default_conf["dry_run"] = False default_conf["trading_mode"] = "futures" default_conf["margin_mode"] = "isolated" default_conf["liquidation_buffer"] = 0.0 exchange = get_patched_exchange(mocker, default_conf, api_mock) liq_price = exchange.get_liquidation_price( pair="NEAR/USDT:USDT", open_rate=18.884, is_short=False, amount=0.8, stake_amount=18.884 * 0.8, leverage=leverage, wallet_balance=18.884 * 0.8, ) assert liq_price == 17.47 default_conf["liquidation_buffer"] = 0.05 exchange = get_patched_exchange(mocker, default_conf, api_mock) liq_price = exchange.get_liquidation_price( pair="NEAR/USDT:USDT", open_rate=18.884, is_short=False, amount=0.8, stake_amount=18.884 * 0.8, leverage=leverage, wallet_balance=18.884 * 0.8, ) assert liq_price == 17.540699999999998 api_mock.fetch_positions = MagicMock(return_value=[]) exchange = get_patched_exchange(mocker, default_conf, api_mock) liq_price = exchange.get_liquidation_price( pair="NEAR/USDT:USDT", open_rate=18.884, is_short=False, amount=0.8, stake_amount=18.884 * 0.8, leverage=leverage, wallet_balance=18.884 * 0.8, ) assert liq_price is None default_conf["trading_mode"] = "margin" exchange = get_patched_exchange(mocker, default_conf, api_mock) with pytest.raises(OperationalException, match=r".*does not support .* margin"): exchange.get_liquidation_price( pair="NEAR/USDT:USDT", open_rate=18.884, is_short=False, amount=0.8, stake_amount=18.884 * 0.8, leverage=leverage, wallet_balance=18.884 * 0.8, open_trades=[], ) @pytest.mark.parametrize("liquidation_buffer", [0.0]) @pytest.mark.parametrize( "is_short,trading_mode,exchange_name,margin_mode,leverage,open_rate,amount,mramt,expected_liq", [ (False, "spot", "binance", "", 5.0, 10.0, 1.0, (0.01, 0.01), None), (True, "spot", "binance", "", 5.0, 10.0, 1.0, (0.01, 0.01), None), (False, "spot", "gate", "", 5.0, 10.0, 1.0, (0.01, 0.01), None), (True, "spot", "gate", "", 5.0, 10.0, 1.0, (0.01, 0.01), None), (False, "spot", "okx", "", 5.0, 10.0, 1.0, (0.01, 0.01), None), (True, "spot", "okx", "", 5.0, 10.0, 1.0, (0.01, 0.01), None), # Binance, short (True, "futures", "binance", "isolated", 5.0, 10.0, 1.0, (0.01, 0.01), 11.89108910891089), (True, "futures", "binance", "isolated", 3.0, 10.0, 1.0, (0.01, 0.01), 13.211221122079207), (True, "futures", "binance", "isolated", 5.0, 8.0, 1.0, (0.01, 0.01), 9.514851485148514), (True, "futures", "binance", "isolated", 5.0, 10.0, 0.6, (0.01, 0.01), 11.897689768976898), # Binance, long (False, "futures", "binance", "isolated", 5, 10, 1.0, (0.01, 0.01), 8.070707070707071), (False, "futures", "binance", "isolated", 5, 8, 1.0, (0.01, 0.01), 6.454545454545454), (False, "futures", "binance", "isolated", 3, 10, 1.0, (0.01, 0.01), 6.723905723905723), (False, "futures", "binance", "isolated", 5, 10, 0.6, (0.01, 0.01), 8.063973063973064), # Gate/okx, short (True, "futures", "gate", "isolated", 5, 10, 1.0, (0.01, 0.01), 11.87413417771621), (True, "futures", "gate", "isolated", 5, 10, 2.0, (0.01, 0.01), 11.87413417771621), (True, "futures", "gate", "isolated", 3, 10, 1.0, (0.01, 0.01), 13.193482419684678), (True, "futures", "gate", "isolated", 5, 8, 1.0, (0.01, 0.01), 9.499307342172967), (True, "futures", "okx", "isolated", 3, 10, 1.0, (0.01, 0.01), 13.193482419684678), # Gate/okx, long (False, "futures", "gate", "isolated", 5.0, 10.0, 1.0, (0.01, 0.01), 8.085708510208207), (False, "futures", "gate", "isolated", 3.0, 10.0, 1.0, (0.01, 0.01), 6.738090425173506), (False, "futures", "okx", "isolated", 3.0, 10.0, 1.0, (0.01, 0.01), 6.738090425173506), # bybit, long (False, "futures", "bybit", "isolated", 1.0, 10.0, 1.0, (0.01, 0.01), 0.1), (False, "futures", "bybit", "isolated", 3.0, 10.0, 1.0, (0.01, 0.01), 6.7666666), (False, "futures", "bybit", "isolated", 5.0, 10.0, 1.0, (0.01, 0.01), 8.1), (False, "futures", "bybit", "isolated", 10.0, 10.0, 1.0, (0.01, 0.01), 9.1), # From the bybit example - without additional margin (False, "futures", "bybit", "isolated", 50.0, 40000.0, 1.0, (0.005, None), 39400), (False, "futures", "bybit", "isolated", 50.0, 20000.0, 1.0, (0.005, None), 19700), # bybit, short (True, "futures", "bybit", "isolated", 1.0, 10.0, 1.0, (0.01, 0.01), 19.9), (True, "futures", "bybit", "isolated", 3.0, 10.0, 1.0, (0.01, 0.01), 13.233333), (True, "futures", "bybit", "isolated", 5.0, 10.0, 1.0, (0.01, 0.01), 11.9), (True, "futures", "bybit", "isolated", 10.0, 10.0, 1.0, (0.01, 0.01), 10.9), ], ) def test_get_liquidation_price( mocker, default_conf_usdt, is_short, trading_mode, exchange_name, margin_mode, leverage, open_rate, amount, mramt, expected_liq, liquidation_buffer, ): """ position = 0.2 * 5 wb: wallet balance (stake_amount if isolated) cum_b: maintenance amount side_1: -1 if is_short else 1 ep1: entry price mmr_b: maintenance margin ratio Binance, Short leverage = 5, open_rate = 10, amount = 1.0 ((wb + cum_b) - (side_1 * position * ep1)) / ((position * mmr_b) - (side_1 * position)) ((2 + 0.01) - ((-1) * 1 * 10)) / ((1 * 0.01) - ((-1) * 1)) = 11.89108910891089 leverage = 3, open_rate = 10, amount = 1.0 ((3.3333333333 + 0.01) - ((-1) * 1.0 * 10)) / ((1.0 * 0.01) - ((-1) * 1.0)) = 13.2112211220 leverage = 5, open_rate = 8, amount = 1.0 ((1.6 + 0.01) - ((-1) * 1 * 8)) / ((1 * 0.01) - ((-1) * 1)) = 9.514851485148514 leverage = 5, open_rate = 10, amount = 0.6 ((1.6 + 0.01) - ((-1) * 0.6 * 10)) / ((0.6 * 0.01) - ((-1) * 0.6)) = 12.557755775577558 Binance, Long leverage = 5, open_rate = 10, amount = 1.0 ((wb + cum_b) - (side_1 * position * ep1)) / ((position * mmr_b) - (side_1 * position)) ((2 + 0.01) - (1 * 1 * 10)) / ((1 * 0.01) - (1 * 1)) = 8.070707070707071 leverage = 5, open_rate = 8, amount = 1.0 ((1.6 + 0.01) - (1 * 1 * 8)) / ((1 * 0.01) - (1 * 1)) = 6.454545454545454 leverage = 3, open_rate = 10, amount = 1.0 ((2 + 0.01) - (1 * 0.6 * 10)) / ((0.6 * 0.01) - (1 * 0.6)) = 6.717171717171718 leverage = 5, open_rate = 10, amount = 0.6 ((1.6 + 0.01) - (1 * 0.6 * 10)) / ((0.6 * 0.01) - (1 * 0.6)) = 7.39057239057239 Gate/Okx, Short leverage = 5, open_rate = 10, amount = 1.0 (open_rate + (wallet_balance / position)) / (1 + (mm_ratio + taker_fee_rate)) (10 + (2 / 1.0)) / (1 + (0.01 + 0.0006)) = 11.87413417771621 leverage = 5, open_rate = 10, amount = 2.0 (10 + (4 / 2.0)) / (1 + (0.01 + 0.0006)) = 11.87413417771621 leverage = 3, open_rate = 10, amount = 1.0 (10 + (3.3333333333333 / 1.0)) / (1 - (0.01 + 0.0006)) = 13.476180850346978 leverage = 5, open_rate = 8, amount = 1.0 (8 + (1.6 / 1.0)) / (1 + (0.01 + 0.0006)) = 9.499307342172967 Gate/Okx, Long leverage = 5, open_rate = 10, amount = 1.0 (open_rate - (wallet_balance / position)) / (1 - (mm_ratio + taker_fee_rate)) (10 - (2 / 1)) / (1 - (0.01 + 0.0006)) = 8.085708510208207 leverage = 5, open_rate = 10, amount = 2.0 (10 - (4 / 2.0)) / (1 + (0.01 + 0.0006)) = 7.916089451810806 leverage = 3, open_rate = 10, amount = 1.0 (10 - (3.333333333333333333 / 1.0)) / (1 - (0.01 + 0.0006)) = 6.738090425173506 leverage = 5, open_rate = 8, amount = 1.0 (8 - (1.6 / 1.0)) / (1 + (0.01 + 0.0006)) = 6.332871561448645 """ default_conf_usdt["liquidation_buffer"] = liquidation_buffer default_conf_usdt["trading_mode"] = trading_mode default_conf_usdt["exchange"]["name"] = exchange_name default_conf_usdt["margin_mode"] = margin_mode mocker.patch("freqtrade.exchange.gate.Gate.validate_ordertypes") mocker.patch(f"{EXMS}.price_to_precision", lambda s, x, y, **kwargs: y) exchange = get_patched_exchange(mocker, default_conf_usdt, exchange=exchange_name) exchange.get_maintenance_ratio_and_amt = MagicMock(return_value=mramt) exchange.name = exchange_name # default_conf_usdt.update({ # "dry_run": False, # }) liq = exchange.get_liquidation_price( pair="ETH/USDT:USDT", open_rate=open_rate, amount=amount, stake_amount=amount * open_rate / leverage, wallet_balance=amount * open_rate / leverage, leverage=leverage, is_short=is_short, open_trades=[], ) if expected_liq is None: assert liq is None else: buffer_amount = liquidation_buffer * abs(open_rate - expected_liq) expected_liq = expected_liq - buffer_amount if is_short else expected_liq + buffer_amount assert pytest.approx(expected_liq) == liq @pytest.mark.parametrize( "contract_size,order_amount", [ (10, 10), (0.01, 10000), ], ) def test_stoploss_contract_size(mocker, default_conf, contract_size, order_amount): api_mock = MagicMock() order_id = f"test_prod_buy_{randint(0, 10**6)}" api_mock.create_order = MagicMock( return_value={ "id": order_id, "info": {"foo": "bar"}, "amount": order_amount, "cost": order_amount, "filled": order_amount, "remaining": order_amount, "symbol": "ETH/BTC", } ) 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, **kwargs: y) exchange = get_patched_exchange(mocker, default_conf, api_mock) exchange.get_contract_size = MagicMock(return_value=contract_size) api_mock.create_order.reset_mock() order = exchange.create_stoploss( pair="ETH/BTC", amount=100, stop_price=220, order_types={}, side="buy", leverage=1.0 ) assert api_mock.create_order.call_args_list[0][1]["amount"] == order_amount assert order["amount"] == 100 assert order["cost"] == order_amount assert order["filled"] == 100 assert order["remaining"] == 100 def test_price_to_precision_with_default_conf(default_conf, mocker): conf = copy.deepcopy(default_conf) patched_ex = get_patched_exchange(mocker, conf) prec_price = patched_ex.price_to_precision("XRP/USDT", 1.0000000101) assert prec_price == 1.00000001 assert prec_price == 1.00000001 def test_exchange_features(default_conf, mocker): conf = copy.deepcopy(default_conf) exchange = get_patched_exchange(mocker, conf) exchange._api_async.features = { "spot": { "fetchOHLCV": { "limit": 995, } }, "swap": { "linear": { "fetchOHLCV": { "limit": 997, } } }, } assert exchange.features("spot", "fetchOHLCV", "limit", 500) == 995 assert exchange.features("futures", "fetchOHLCV", "limit", 500) == 997 # Fall back to default assert exchange.features("futures", "fetchOHLCV_else", "limit", 601) == 601 @pytest.mark.parametrize("exchange_name", EXCHANGES) def test_fetch_funding_rate(default_conf, mocker, exchange_name): api_mock = MagicMock() funding_rate = { "symbol": "ETH/BTC", "fundingRate": 5.652e-05, "fundingTimestamp": 1757174400000, "fundingDatetime": "2025-09-06T16:00:00.000Z", } api_mock.fetch_funding_rate = MagicMock(return_value=funding_rate) api_mock.markets = {"ETH/BTC": {"active": True}} exchange = get_patched_exchange(mocker, default_conf, api_mock, exchange=exchange_name) # retrieve original funding rate funding_rate = exchange.fetch_funding_rate(pair="ETH/BTC") assert funding_rate["fundingRate"] == funding_rate["fundingRate"] assert funding_rate["fundingTimestamp"] == funding_rate["fundingTimestamp"] assert funding_rate["fundingDatetime"] == funding_rate["fundingDatetime"] ccxt_exceptionhandlers( mocker, default_conf, api_mock, exchange_name, "fetch_funding_rate", "fetch_funding_rate", pair="ETH/BTC", ) api_mock.fetch_funding_rate = MagicMock(return_value={}) exchange = get_patched_exchange(mocker, default_conf, api_mock, exchange=exchange_name) exchange.fetch_funding_rate(pair="ETH/BTC") with pytest.raises(DependencyException, match=r"Pair XRP/ETH not available"): exchange.fetch_funding_rate(pair="XRP/ETH") def test_verify_candle_type_support(default_conf, mocker): api_mock = MagicMock() type(api_mock).has = PropertyMock( return_value={ "fetchFundingRateHistory": True, "fetchIndexOHLCV": True, "fetchMarkOHLCV": True, "fetchPremiumIndexOHLCV": False, } ) exchange = get_patched_exchange(mocker, default_conf, api_mock) # Should pass exchange.verify_candle_type_support("futures") exchange.verify_candle_type_support(CandleType.FUTURES) exchange.verify_candle_type_support(CandleType.FUNDING_RATE) exchange.verify_candle_type_support(CandleType.SPOT) exchange.verify_candle_type_support(CandleType.MARK) # Should fail: with pytest.raises( OperationalException, match=r"Exchange .* does not support fetching premiumIndex candles\.", ): exchange.verify_candle_type_support(CandleType.PREMIUMINDEX) type(api_mock).has = PropertyMock( return_value={ "fetchFundingRateHistory": False, "fetchIndexOHLCV": False, "fetchMarkOHLCV": False, "fetchPremiumIndexOHLCV": True, } ) for candle_type in [ CandleType.FUNDING_RATE, CandleType.INDEX, CandleType.MARK, ]: with pytest.raises( OperationalException, match=rf"Exchange .* does not support fetching {candle_type.value} candles\.", ): exchange.verify_candle_type_support(candle_type) exchange.verify_candle_type_support(CandleType.PREMIUMINDEX)