from copy import deepcopy
from datetime import timedelta
from unittest.mock import ANY, MagicMock
import pytest
from sqlalchemy import select
from freqtrade.enums import ExitCheckTuple, ExitType, RPCMessageType
from freqtrade.exceptions import ExchangeError, InsufficientFundsError, InvalidOrderException
from freqtrade.freqtradebot import FreqtradeBot
from freqtrade.persistence import Order, Trade
from freqtrade.persistence.models import PairLock
from freqtrade.util.datetime_helpers import dt_now
from tests.conftest import (
EXMS,
get_patched_freqtradebot,
log_has,
log_has_re,
patch_exchange,
patch_get_signal,
patch_whitelist,
)
from tests.conftest_trades import entry_side, exit_side
from tests.freqtradebot.test_freqtradebot import patch_RPCManager
@pytest.mark.parametrize("is_short", [False, True])
def test_add_stoploss_on_exchange(mocker, default_conf_usdt, limit_order, is_short, fee) -> None:
patch_RPCManager(mocker)
patch_exchange(mocker)
mocker.patch.multiple(
EXMS,
fetch_ticker=MagicMock(return_value={"bid": 1.9, "ask": 2.2, "last": 1.9}),
create_order=MagicMock(return_value=limit_order[entry_side(is_short)]),
get_fee=fee,
)
order = limit_order[entry_side(is_short)]
mocker.patch("freqtrade.freqtradebot.FreqtradeBot.handle_trade", MagicMock(return_value=True))
mocker.patch(f"{EXMS}.fetch_order", return_value=order)
mocker.patch(f"{EXMS}.get_trades_for_order", return_value=[])
stoploss = MagicMock(return_value={"id": 13434334})
mocker.patch(f"{EXMS}.create_stoploss", stoploss)
freqtrade = FreqtradeBot(default_conf_usdt)
freqtrade.strategy.order_types["stoploss_on_exchange"] = True
patch_get_signal(freqtrade, enter_short=is_short, enter_long=not is_short)
freqtrade.enter_positions()
trade = Trade.session.scalars(select(Trade)).first()
trade.is_short = is_short
trade.is_open = True
trades = [trade]
freqtrade.exit_positions(trades)
assert trade.has_open_sl_orders is True
assert stoploss.call_count == 1
assert trade.is_open is True
@pytest.mark.parametrize("is_short", [False, True])
def test_handle_stoploss_on_exchange(
mocker, default_conf_usdt, fee, caplog, is_short, limit_order
) -> None:
stop_order_dict = {"id": "13434334"}
stoploss = MagicMock(return_value=stop_order_dict)
enter_order = limit_order[entry_side(is_short)]
exit_order = limit_order[exit_side(is_short)]
patch_RPCManager(mocker)
patch_exchange(mocker)
mocker.patch.multiple(
EXMS,
fetch_ticker=MagicMock(return_value={"bid": 1.9, "ask": 2.2, "last": 1.9}),
create_order=MagicMock(
side_effect=[
enter_order,
exit_order,
]
),
get_fee=fee,
create_stoploss=stoploss,
)
freqtrade = FreqtradeBot(default_conf_usdt)
patch_get_signal(freqtrade, enter_short=is_short, enter_long=not is_short)
# First case: when stoploss is not yet set but the order is open
# should get the stoploss order id immediately
# and should return false as no trade actually happened
freqtrade.enter_positions()
trade = Trade.session.scalars(select(Trade)).first()
assert trade.is_short == is_short
assert trade.is_open
assert trade.has_open_sl_orders is False
assert freqtrade.handle_stoploss_on_exchange(trade) is False
assert stoploss.call_count == 1
assert trade.open_sl_orders[-1].order_id == "13434334"
# Second case: when stoploss is set but it is not yet hit
# should do nothing and return false
trade.is_open = True
hanging_stoploss_order = MagicMock(return_value={"id": "13434334", "status": "open"})
mocker.patch.object(freqtrade.exchange, "fetch_stoploss_order", hanging_stoploss_order)
assert freqtrade.handle_stoploss_on_exchange(trade) is False
hanging_stoploss_order.assert_called_once_with("13434334", trade.pair)
assert len(trade.open_sl_orders) == 1
assert trade.open_sl_orders[-1].order_id == "13434334"
# Third case: when stoploss was set but it was canceled for some reason
# should set a stoploss immediately and return False
caplog.clear()
trade.is_open = True
canceled_stoploss_order = MagicMock(return_value={"id": "13434334", "status": "canceled"})
mocker.patch.object(freqtrade.exchange, "fetch_stoploss_order", canceled_stoploss_order)
stoploss.reset_mock()
amount_before = trade.amount
stop_order_dict.update({"id": "103_1"})
assert freqtrade.handle_stoploss_on_exchange(trade) is False
assert stoploss.call_count == 1
assert len(trade.open_sl_orders) == 1
assert trade.open_sl_orders[-1].order_id == "103_1"
assert trade.amount == amount_before
# Fourth case: when stoploss is set and it is hit
# should return true as a trade actually happened
caplog.clear()
stop_order_dict.update({"id": "103_1"})
trade = Trade.session.scalars(select(Trade)).first()
trade.is_short = is_short
trade.is_open = True
stoploss_order_hit = MagicMock(
return_value={
"id": "103_1",
"status": "closed",
"type": "stop_loss_limit",
"price": 3,
"average": 2,
"filled": enter_order["amount"],
"remaining": 0,
"amount": enter_order["amount"],
}
)
mocker.patch.object(freqtrade.exchange, "fetch_stoploss_order", stoploss_order_hit)
freqtrade.strategy.order_filled = MagicMock(return_value=None)
assert freqtrade.handle_stoploss_on_exchange(trade) is True
assert log_has_re(r"STOP_LOSS_LIMIT is hit for Trade\(id=1, .*\)\.", caplog)
assert len(trade.open_sl_orders) == 0
assert trade.is_open is False
assert freqtrade.strategy.order_filled.call_count == 1
caplog.clear()
mocker.patch.object(freqtrade.exchange, "create_stoploss", side_effect=ExchangeError())
trade.is_open = True
freqtrade.handle_stoploss_on_exchange(trade)
assert log_has("Unable to place a stoploss order on exchange.", caplog)
assert len(trade.open_sl_orders) == 0
# Fifth case: fetch_order returns InvalidOrder
# It should try to add stoploss order
stop_order_dict.update({"id": "105"})
stoploss.reset_mock()
mocker.patch.multiple(
freqtrade.exchange,
fetch_stoploss_order=MagicMock(
side_effect=InvalidOrderException(),
),
create_stoploss=stoploss,
)
freqtrade.handle_stoploss_on_exchange(trade)
assert len(trade.open_sl_orders) == 1
assert stoploss.call_count == 1
# Sixth case: Closed Trade
# Should not create new order
trade.is_open = False
trade.open_sl_orders[-1].ft_is_open = False
stoploss.reset_mock()
mocker.patch.multiple(freqtrade.exchange, fetch_order=MagicMock(), create_stoploss=stoploss)
assert freqtrade.handle_stoploss_on_exchange(trade) is False
assert trade.has_open_sl_orders is False
assert stoploss.call_count == 0
@pytest.mark.parametrize("is_short", [False, True])
def test_handle_stoploss_on_exchange_emergency(
mocker, default_conf_usdt, fee, is_short, limit_order
) -> None:
stop_order_dict = {"id": "13434334"}
stoploss = MagicMock(return_value=stop_order_dict)
enter_order = limit_order[entry_side(is_short)]
exit_order = limit_order[exit_side(is_short)]
patch_RPCManager(mocker)
patch_exchange(mocker)
mocker.patch.multiple(
EXMS,
fetch_ticker=MagicMock(return_value={"bid": 1.9, "ask": 2.2, "last": 1.9}),
create_order=MagicMock(
side_effect=[
enter_order,
exit_order,
]
),
get_fee=fee,
create_stoploss=stoploss,
)
freqtrade = FreqtradeBot(default_conf_usdt)
patch_get_signal(freqtrade, enter_short=is_short, enter_long=not is_short)
freqtrade.enter_positions()
trade = Trade.session.scalars(select(Trade)).first()
assert trade.is_short == is_short
assert trade.is_open
assert trade.has_open_sl_orders is False
# emergency exit triggered
# Trailing stop should not act anymore
stoploss_order_cancelled = MagicMock(
side_effect=[
{
"id": "107",
"status": "canceled",
"type": "stop_loss_limit",
"price": 3,
"average": 2,
"amount": enter_order["amount"],
"filled": 0,
"remaining": enter_order["amount"],
"info": {"stopPrice": 22},
}
]
)
trade.stoploss_last_update = dt_now() - timedelta(hours=1)
trade.stop_loss = 24
trade.exit_reason = None
trade.orders.append(
Order(
ft_order_side="stoploss",
ft_pair=trade.pair,
ft_is_open=True,
ft_amount=trade.amount,
ft_price=trade.stop_loss,
order_id="107",
status="open",
)
)
freqtrade.config["trailing_stop"] = True
stoploss = MagicMock(side_effect=InvalidOrderException())
assert trade.has_open_sl_orders is True
Trade.commit()
mocker.patch.multiple(
freqtrade.exchange,
cancel_stoploss_order_with_result=MagicMock(side_effect=InvalidOrderException()),
fetch_stoploss_order=stoploss_order_cancelled,
create_stoploss=stoploss,
)
assert freqtrade.handle_stoploss_on_exchange(trade) is False
assert trade.has_open_sl_orders is False
assert trade.is_open is False
assert trade.exit_reason == str(ExitType.EMERGENCY_EXIT)
@pytest.mark.parametrize("is_short", [False, True])
def test_handle_stoploss_on_exchange_partial(
mocker, default_conf_usdt, fee, is_short, limit_order
) -> None:
stop_order_dict = {"id": "101", "status": "open"}
stoploss = MagicMock(return_value=stop_order_dict)
enter_order = limit_order[entry_side(is_short)]
exit_order = limit_order[exit_side(is_short)]
patch_RPCManager(mocker)
patch_exchange(mocker)
mocker.patch.multiple(
EXMS,
fetch_ticker=MagicMock(return_value={"bid": 1.9, "ask": 2.2, "last": 1.9}),
create_order=MagicMock(
side_effect=[
enter_order,
exit_order,
]
),
get_fee=fee,
create_stoploss=stoploss,
)
freqtrade = FreqtradeBot(default_conf_usdt)
patch_get_signal(freqtrade, enter_short=is_short, enter_long=not is_short)
freqtrade.enter_positions()
trade = Trade.session.scalars(select(Trade)).first()
trade.is_short = is_short
trade.is_open = True
assert freqtrade.handle_stoploss_on_exchange(trade) is False
assert stoploss.call_count == 1
assert trade.has_open_sl_orders is True
assert trade.open_sl_orders[-1].order_id == "101"
assert trade.amount == 30
stop_order_dict.update({"id": "102"})
# Stoploss on exchange is cancelled on exchange, but filled partially.
# Must update trade amount to guarantee successful exit.
stoploss_order_hit = MagicMock(
return_value={
"id": "101",
"status": "canceled",
"type": "stop_loss_limit",
"price": 3,
"average": 2,
"filled": trade.amount / 2,
"remaining": trade.amount / 2,
"amount": enter_order["amount"],
}
)
mocker.patch.multiple(freqtrade.exchange, fetch_stoploss_order=stoploss_order_hit)
assert freqtrade.handle_stoploss_on_exchange(trade) is False
# Stoploss filled partially ...
assert trade.amount == 15
assert trade.open_sl_orders[-1].order_id == "102"
@pytest.mark.parametrize("is_short", [False, True])
def test_handle_stoploss_on_exchange_partial_cancel_here(
mocker, default_conf_usdt, fee, is_short, limit_order, caplog, time_machine
) -> None:
stop_order_dict = {"id": "101", "status": "open"}
time_machine.move_to(dt_now())
default_conf_usdt["trailing_stop"] = True
stoploss = MagicMock(return_value=stop_order_dict)
enter_order = limit_order[entry_side(is_short)]
exit_order = limit_order[exit_side(is_short)]
patch_RPCManager(mocker)
patch_exchange(mocker)
mocker.patch.multiple(
EXMS,
fetch_ticker=MagicMock(return_value={"bid": 1.9, "ask": 2.2, "last": 1.9}),
create_order=MagicMock(
side_effect=[
enter_order,
exit_order,
]
),
get_fee=fee,
create_stoploss=stoploss,
)
freqtrade = FreqtradeBot(default_conf_usdt)
patch_get_signal(freqtrade, enter_short=is_short, enter_long=not is_short)
freqtrade.enter_positions()
trade = Trade.session.scalars(select(Trade)).first()
trade.is_short = is_short
trade.is_open = True
assert freqtrade.handle_stoploss_on_exchange(trade) is False
assert stoploss.call_count == 1
assert trade.has_open_sl_orders is True
assert trade.open_sl_orders[-1].order_id == "101"
assert trade.amount == 30
stop_order_dict.update({"id": "102"})
# Stoploss on exchange is open.
# Freqtrade cancels the stop - but cancel returns a partial filled order.
stoploss_order_hit = MagicMock(
return_value={
"id": "101",
"status": "open",
"type": "stop_loss_limit",
"price": 3,
"average": 2,
"filled": 0,
"remaining": trade.amount,
"amount": enter_order["amount"],
}
)
stoploss_order_cancel = MagicMock(
return_value={
"id": "101",
"status": "canceled",
"type": "stop_loss_limit",
"price": 3,
"average": 2,
"filled": trade.amount / 2,
"remaining": trade.amount / 2,
"amount": enter_order["amount"],
}
)
mocker.patch.multiple(
freqtrade.exchange,
fetch_stoploss_order=stoploss_order_hit,
cancel_stoploss_order_with_result=stoploss_order_cancel,
)
time_machine.shift(timedelta(minutes=15))
assert freqtrade.handle_stoploss_on_exchange(trade) is False
# Canceled Stoploss filled partially ...
assert log_has_re("Cancelling current stoploss on exchange.*", caplog)
assert trade.has_open_sl_orders is True
assert trade.open_sl_orders[-1].order_id == "102"
assert trade.amount == 15
@pytest.mark.parametrize("is_short", [False, True])
def test_handle_sle_cancel_cant_recreate(
mocker, default_conf_usdt, fee, caplog, is_short, limit_order
) -> None:
# Sixth case: stoploss order was cancelled but couldn't create new one
enter_order = limit_order[entry_side(is_short)]
exit_order = limit_order[exit_side(is_short)]
patch_RPCManager(mocker)
patch_exchange(mocker)
mocker.patch.multiple(
EXMS,
fetch_ticker=MagicMock(return_value={"bid": 1.9, "ask": 2.2, "last": 1.9}),
get_fee=fee,
)
freqtrade = FreqtradeBot(default_conf_usdt)
mocker.patch.multiple(
freqtrade.exchange,
create_order=MagicMock(
side_effect=[
enter_order,
exit_order,
]
),
fetch_stoploss_order=MagicMock(return_value={"status": "canceled", "id": "100"}),
create_stoploss=MagicMock(side_effect=ExchangeError()),
)
patch_get_signal(freqtrade, enter_short=is_short, enter_long=not is_short)
freqtrade.enter_positions()
trade = Trade.session.scalars(select(Trade)).first()
assert trade.is_short == is_short
trade.is_open = True
trade.orders.append(
Order(
ft_order_side="stoploss",
ft_pair=trade.pair,
ft_is_open=True,
ft_amount=trade.amount,
ft_price=trade.stop_loss,
order_id="100",
status="open",
)
)
assert trade
assert freqtrade.handle_stoploss_on_exchange(trade) is False
assert log_has_re(r"All Stoploss orders are cancelled, but unable to recreate one\.", caplog)
assert trade.has_open_sl_orders is False
assert trade.is_open is True
@pytest.mark.parametrize("is_short", [False, True])
def test_create_stoploss_order_invalid_order(
mocker, default_conf_usdt, caplog, fee, is_short, limit_order
):
open_order = limit_order[entry_side(is_short)]
order = limit_order[exit_side(is_short)]
rpc_mock = patch_RPCManager(mocker)
patch_exchange(mocker)
create_order_mock = MagicMock(
side_effect=[
open_order,
order,
]
)
mocker.patch.multiple(
EXMS,
fetch_ticker=MagicMock(return_value={"bid": 1.9, "ask": 2.2, "last": 1.9}),
create_order=create_order_mock,
get_fee=fee,
)
mocker.patch.multiple(
EXMS,
fetch_order=MagicMock(return_value={"status": "canceled"}),
create_stoploss=MagicMock(side_effect=InvalidOrderException()),
)
freqtrade = FreqtradeBot(default_conf_usdt)
patch_get_signal(freqtrade, enter_short=is_short, enter_long=not is_short)
freqtrade.strategy.order_types["stoploss_on_exchange"] = True
freqtrade.enter_positions()
trade = Trade.session.scalars(select(Trade)).first()
trade.is_short = is_short
caplog.clear()
rpc_mock.reset_mock()
freqtrade.create_stoploss_order(trade, 200)
assert trade.has_open_sl_orders is False
assert trade.exit_reason == ExitType.EMERGENCY_EXIT.value
assert log_has("Unable to place a stoploss order on exchange. ", caplog)
assert log_has("Exiting the trade forcefully", caplog)
# Should call a market sell
assert create_order_mock.call_count == 2
assert create_order_mock.call_args[1]["ordertype"] == "market"
assert create_order_mock.call_args[1]["pair"] == trade.pair
assert create_order_mock.call_args[1]["amount"] == trade.amount
# Rpc is sending first buy, then sell
assert rpc_mock.call_count == 2
assert rpc_mock.call_args_list[0][0][0]["exit_reason"] == ExitType.EMERGENCY_EXIT.value
assert rpc_mock.call_args_list[0][0][0]["order_type"] == "market"
assert rpc_mock.call_args_list[0][0][0]["type"] == "exit"
assert rpc_mock.call_args_list[1][0][0]["type"] == "exit_fill"
@pytest.mark.parametrize("is_short", [False, True])
def test_create_stoploss_order_insufficient_funds(
mocker, default_conf_usdt, caplog, fee, limit_order, is_short
):
exit_order = limit_order[exit_side(is_short)]["id"]
freqtrade = get_patched_freqtradebot(mocker, default_conf_usdt)
mock_insuf = mocker.patch("freqtrade.freqtradebot.FreqtradeBot.handle_insufficient_funds")
mocker.patch.multiple(
EXMS,
fetch_ticker=MagicMock(return_value={"bid": 1.9, "ask": 2.2, "last": 1.9}),
create_order=MagicMock(
side_effect=[
limit_order[entry_side(is_short)],
exit_order,
]
),
get_fee=fee,
fetch_order=MagicMock(return_value={"status": "canceled"}),
)
mocker.patch.multiple(
EXMS,
create_stoploss=MagicMock(side_effect=InsufficientFundsError()),
)
patch_get_signal(freqtrade, enter_short=is_short, enter_long=not is_short)
freqtrade.strategy.order_types["stoploss_on_exchange"] = True
freqtrade.enter_positions()
trade = Trade.session.scalars(select(Trade)).first()
trade.is_short = is_short
caplog.clear()
freqtrade.create_stoploss_order(trade, 200)
# stoploss_orderid was empty before
assert trade.has_open_sl_orders is False
assert mock_insuf.call_count == 1
mock_insuf.reset_mock()
freqtrade.create_stoploss_order(trade, 200)
# No change to stoploss-orderid
assert trade.has_open_sl_orders is False
assert mock_insuf.call_count == 1
@pytest.mark.parametrize(
"is_short,bid,ask,stop_price,hang_price",
[
(False, [4.38, 4.16], [4.4, 4.17], ["2.0805", 4.4 * 0.95], 3),
(True, [1.09, 1.21], [1.1, 1.22], ["2.321", 1.09 * 1.05], 1.5),
],
)
@pytest.mark.usefixtures("init_persistence")
def test_handle_stoploss_on_exchange_trailing(
mocker,
default_conf_usdt,
fee,
is_short,
bid,
ask,
limit_order,
stop_price,
hang_price,
time_machine,
) -> None:
# When trailing stoploss is set
enter_order = limit_order[entry_side(is_short)]
exit_order = limit_order[exit_side(is_short)]
stoploss = MagicMock(return_value={"id": "13434334", "status": "open"})
start_dt = dt_now()
time_machine.move_to(start_dt, tick=False)
patch_RPCManager(mocker)
mocker.patch.multiple(
EXMS,
fetch_ticker=MagicMock(
return_value={
"bid": 2.19,
"ask": 2.2,
"last": 2.19,
}
),
create_order=MagicMock(
side_effect=[
enter_order,
exit_order,
]
),
get_fee=fee,
)
mocker.patch.multiple(
EXMS,
create_stoploss=stoploss,
stoploss_adjust=MagicMock(return_value=True),
)
# enabling TSL
default_conf_usdt["trailing_stop"] = True
# disabling ROI
default_conf_usdt["minimal_roi"]["0"] = 999999999
freqtrade = get_patched_freqtradebot(mocker, default_conf_usdt)
# enabling stoploss on exchange
freqtrade.strategy.order_types["stoploss_on_exchange"] = True
# setting stoploss
freqtrade.strategy.stoploss = 0.05 if is_short else -0.05
# setting stoploss_on_exchange_interval to 60 seconds
freqtrade.strategy.order_types["stoploss_on_exchange_interval"] = 60
patch_get_signal(freqtrade, enter_short=is_short, enter_long=not is_short)
freqtrade.enter_positions()
trade = Trade.session.scalars(select(Trade)).first()
trade.is_short = is_short
trade.is_open = True
assert trade.has_open_sl_orders is False
trade.stoploss_last_update = dt_now() - timedelta(minutes=20)
trade.orders.append(
Order(
ft_order_side="stoploss",
ft_pair=trade.pair,
ft_is_open=True,
ft_amount=trade.amount,
ft_price=trade.stop_loss,
order_id="100",
order_date=dt_now() - timedelta(minutes=20),
)
)
stoploss_order_hanging = {
"id": "100",
"status": "open",
"type": "stop_loss_limit",
"price": hang_price,
"average": 2,
"fee": {},
"amount": 0,
"info": {"stopPrice": stop_price[0]},
}
stoploss_order_cancel = deepcopy(stoploss_order_hanging)
stoploss_order_cancel["status"] = "canceled"
mocker.patch.multiple(
freqtrade.exchange,
fetch_stoploss_order=MagicMock(return_value=stoploss_order_hanging),
cancel_stoploss_order=MagicMock(return_value=stoploss_order_cancel),
)
# stoploss initially at 5%
assert freqtrade.handle_trade(trade) is False
assert freqtrade.handle_stoploss_on_exchange(trade) is False
assert len(trade.open_sl_orders) == 1
assert trade.open_sl_orders[-1].order_id == "13434334"
# price jumped 2x
mocker.patch(
f"{EXMS}.fetch_ticker",
MagicMock(
return_value={
"bid": bid[0],
"ask": ask[0],
"last": bid[0],
}
),
)
cancel_order_mock = MagicMock(
return_value={"id": "13434334", "status": "canceled", "fee": {}, "amount": trade.amount}
)
stoploss_order_mock = MagicMock(return_value={"id": "so1", "status": "open"})
mocker.patch.multiple(
freqtrade.exchange,
fetch_stoploss_order=MagicMock(),
cancel_stoploss_order=cancel_order_mock,
create_stoploss=stoploss_order_mock,
)
# stoploss should not be updated as the interval is 60 seconds
assert freqtrade.handle_trade(trade) is False
assert freqtrade.handle_stoploss_on_exchange(trade) is False
assert len(trade.open_sl_orders) == 1
cancel_order_mock.assert_not_called()
stoploss_order_mock.assert_not_called()
# Move time by 10s ... so stoploss order should be replaced.
time_machine.move_to(start_dt + timedelta(minutes=10), tick=False)
assert freqtrade.handle_trade(trade) is False
assert trade.stop_loss == stop_price[1]
assert freqtrade.handle_stoploss_on_exchange(trade) is False
cancel_order_mock.assert_called_once_with("13434334", "ETH/USDT")
stoploss_order_mock.assert_called_once_with(
amount=30,
pair="ETH/USDT",
order_types=freqtrade.strategy.order_types,
stop_price=stop_price[1],
side=exit_side(is_short),
leverage=1.0,
)
# price fell below stoploss, so dry-run sells trade.
mocker.patch(
f"{EXMS}.fetch_ticker",
MagicMock(
return_value={
"bid": bid[1],
"ask": ask[1],
"last": bid[1],
}
),
)
mocker.patch.object(
freqtrade.exchange,
"cancel_stoploss_order_with_result",
return_value={"id": "so1", "status": "canceled"},
)
assert len(trade.open_sl_orders) == 1
assert trade.open_sl_orders[-1].order_id == "so1"
assert freqtrade.handle_trade(trade) is True
assert trade.is_open is False
assert trade.has_open_sl_orders is False
@pytest.mark.parametrize("is_short", [False, True])
def test_handle_stoploss_on_exchange_trailing_error(
mocker, default_conf_usdt, fee, caplog, limit_order, is_short, time_machine
) -> None:
time_machine.move_to(dt_now() - timedelta(minutes=601))
enter_order = limit_order[entry_side(is_short)]
exit_order = limit_order[exit_side(is_short)]
# When trailing stoploss is set
stoploss = MagicMock(return_value={"id": "13434334", "status": "open"})
patch_exchange(mocker)
mocker.patch.multiple(
EXMS,
fetch_ticker=MagicMock(return_value={"bid": 1.9, "ask": 2.2, "last": 1.9}),
create_order=MagicMock(
side_effect=[
{"id": enter_order["id"]},
{"id": exit_order["id"]},
]
),
get_fee=fee,
create_stoploss=stoploss,
stoploss_adjust=MagicMock(return_value=True),
)
# enabling TSL
default_conf_usdt["trailing_stop"] = True
freqtrade = get_patched_freqtradebot(mocker, default_conf_usdt)
# enabling stoploss on exchange
freqtrade.strategy.order_types["stoploss_on_exchange"] = True
# setting stoploss
freqtrade.strategy.stoploss = 0.05 if is_short else -0.05
# setting stoploss_on_exchange_interval to 60 seconds
freqtrade.strategy.order_types["stoploss_on_exchange_interval"] = 60
patch_get_signal(freqtrade, enter_short=is_short, enter_long=not is_short)
freqtrade.enter_positions()
trade = Trade.session.scalars(select(Trade)).first()
trade.is_short = is_short
trade.is_open = True
trade.stop_loss = 0.2
stoploss_order_hanging = {
"id": "abcd",
"status": "open",
"type": "stop_loss_limit",
"price": 3,
"average": 2,
"info": {"stopPrice": "0.1"},
}
trade.orders.append(
Order(
ft_order_side="stoploss",
ft_pair=trade.pair,
ft_is_open=True,
ft_amount=trade.amount,
ft_price=3,
order_id="abcd",
order_date=dt_now(),
)
)
mocker.patch.object(
freqtrade.exchange, "cancel_stoploss_order", side_effect=InvalidOrderException()
)
mocker.patch.object(
freqtrade.exchange, "fetch_stoploss_order", return_value=stoploss_order_hanging
)
time_machine.shift(timedelta(minutes=50))
freqtrade.handle_trailing_stoploss_on_exchange(trade, stoploss_order_hanging)
assert log_has_re(r"Could not cancel stoploss order abcd for pair ETH/USDT.*", caplog)
# Still try to create order
assert stoploss.call_count == 1
# TODO: Is this actually correct ? This will create a new order every time,
assert len(trade.open_sl_orders) == 2
# Fail creating stoploss order
caplog.clear()
cancel_mock = mocker.patch.object(freqtrade.exchange, "cancel_stoploss_order")
mocker.patch.object(freqtrade.exchange, "create_stoploss", side_effect=ExchangeError())
time_machine.shift(timedelta(minutes=50))
freqtrade.handle_trailing_stoploss_on_exchange(trade, stoploss_order_hanging)
assert cancel_mock.call_count == 2
assert log_has_re(r"Could not create trailing stoploss order for pair ETH/USDT\..*", caplog)
def test_stoploss_on_exchange_price_rounding(
mocker, default_conf_usdt, fee, open_trade_usdt
) -> None:
patch_RPCManager(mocker)
mocker.patch.multiple(
EXMS,
get_fee=fee,
)
price_mock = MagicMock(side_effect=lambda p, s, **kwargs: int(s))
stoploss_mock = MagicMock(return_value={"id": "13434334"})
adjust_mock = MagicMock(return_value=False)
mocker.patch.multiple(
EXMS,
create_stoploss=stoploss_mock,
stoploss_adjust=adjust_mock,
price_to_precision=price_mock,
)
freqtrade = get_patched_freqtradebot(mocker, default_conf_usdt)
open_trade_usdt.stop_loss = 222.55
freqtrade.handle_trailing_stoploss_on_exchange(open_trade_usdt, {})
assert price_mock.call_count == 1
assert adjust_mock.call_count == 1
assert adjust_mock.call_args_list[0][0][0] == 222
@pytest.mark.parametrize("is_short", [False, True])
@pytest.mark.usefixtures("init_persistence")
def test_handle_stoploss_on_exchange_custom_stop(
mocker, default_conf_usdt, fee, is_short, limit_order
) -> None:
enter_order = limit_order[entry_side(is_short)]
exit_order = limit_order[exit_side(is_short)]
# When trailing stoploss is set
stoploss = MagicMock(return_value={"id": 13434334, "status": "open"})
patch_RPCManager(mocker)
mocker.patch.multiple(
EXMS,
fetch_ticker=MagicMock(return_value={"bid": 1.9, "ask": 2.2, "last": 1.9}),
get_fee=fee,
is_cancel_order_result_suitable=MagicMock(return_value=True),
)
# enabling TSL
default_conf_usdt["use_custom_stoploss"] = True
# disabling ROI
default_conf_usdt["minimal_roi"]["0"] = 999999999
freqtrade = get_patched_freqtradebot(mocker, default_conf_usdt)
mocker.patch.multiple(
freqtrade.exchange,
create_order=MagicMock(
side_effect=[
enter_order,
exit_order,
]
),
create_stoploss=stoploss,
stoploss_adjust=MagicMock(return_value=True),
)
# enabling stoploss on exchange
freqtrade.strategy.order_types["stoploss_on_exchange"] = True
# setting stoploss
freqtrade.strategy.custom_stoploss = lambda *args, **kwargs: -0.04
# setting stoploss_on_exchange_interval to 60 seconds
freqtrade.strategy.order_types["stoploss_on_exchange_interval"] = 60
patch_get_signal(freqtrade, enter_short=is_short, enter_long=not is_short)
freqtrade.enter_positions()
trade = Trade.session.scalars(select(Trade)).first()
trade.is_short = is_short
trade.is_open = True
trade.orders.append(
Order(
ft_order_side="stoploss",
ft_pair=trade.pair,
ft_is_open=True,
ft_amount=trade.amount,
ft_price=trade.stop_loss,
order_date=dt_now() - timedelta(minutes=601),
order_id="100",
)
)
Trade.commit()
slo = {
"id": "100",
"status": "open",
"type": "stop_loss_limit",
"price": 3,
"average": 2,
"info": {"stopPrice": "2.0805"},
}
slo_canceled = deepcopy(slo)
slo_canceled.update({"status": "canceled"})
def fetch_stoploss_order_mock(order_id, *args, **kwargs):
x = deepcopy(slo)
x["id"] = order_id
return x
mocker.patch.multiple(
freqtrade.exchange,
fetch_stoploss_order=MagicMock(fetch_stoploss_order_mock),
cancel_stoploss_order=MagicMock(return_value=slo_canceled),
)
assert freqtrade.handle_trade(trade) is False
assert freqtrade.handle_stoploss_on_exchange(trade) is False
# price jumped 2x
mocker.patch(
f"{EXMS}.fetch_ticker",
MagicMock(
return_value={
"bid": 4.38 if not is_short else 1.9 / 2,
"ask": 4.4 if not is_short else 2.2 / 2,
"last": 4.38 if not is_short else 1.9 / 2,
}
),
)
cancel_order_mock = MagicMock()
stoploss_order_mock = MagicMock(return_value={"id": "so1", "status": "open"})
mocker.patch.multiple(
freqtrade.exchange,
cancel_stoploss_order=cancel_order_mock,
create_stoploss=stoploss_order_mock,
)
# stoploss should not be updated as the interval is 60 seconds
assert freqtrade.handle_trade(trade) is False
assert freqtrade.handle_stoploss_on_exchange(trade) is False
cancel_order_mock.assert_not_called()
stoploss_order_mock.assert_not_called()
assert freqtrade.handle_trade(trade) is False
assert trade.stop_loss == 4.4 * 0.96 if not is_short else 1.1
assert trade.stop_loss_pct == -0.04 if not is_short else 0.04
# setting stoploss_on_exchange_interval to 0 seconds
freqtrade.strategy.order_types["stoploss_on_exchange_interval"] = 0
cancel_order_mock.assert_not_called()
stoploss_order_mock.assert_not_called()
assert freqtrade.handle_stoploss_on_exchange(trade) is False
cancel_order_mock.assert_called_once_with("13434334", "ETH/USDT")
# Long uses modified ask - offset, short modified bid + offset
stoploss_order_mock.assert_called_once_with(
amount=pytest.approx(trade.amount),
pair="ETH/USDT",
order_types=freqtrade.strategy.order_types,
stop_price=4.4 * 0.96 if not is_short else 0.95 * 1.04,
side=exit_side(is_short),
leverage=1.0,
)
# price fell below stoploss, so dry-run sells trade.
mocker.patch(
f"{EXMS}.fetch_ticker", MagicMock(return_value={"bid": 4.17, "ask": 4.19, "last": 4.17})
)
assert freqtrade.handle_trade(trade) is True
@pytest.mark.parametrize("is_short", [False, True])
def test_execute_trade_exit_down_stoploss_on_exchange_dry_run(
default_conf_usdt,
ticker_usdt,
fee,
is_short,
ticker_usdt_sell_down,
ticker_usdt_sell_up,
mocker,
) -> None:
rpc_mock = patch_RPCManager(mocker)
patch_exchange(mocker)
mocker.patch.multiple(
EXMS,
fetch_ticker=ticker_usdt,
get_fee=fee,
_dry_is_price_crossed=MagicMock(side_effect=[True, False]),
)
patch_whitelist(mocker, default_conf_usdt)
freqtrade = FreqtradeBot(default_conf_usdt)
patch_get_signal(freqtrade, enter_short=is_short, enter_long=not is_short)
# Create some test data
freqtrade.enter_positions()
trade = Trade.session.scalars(select(Trade)).first()
assert trade.is_short == is_short
assert trade
# Decrease the price and sell it
mocker.patch.multiple(
EXMS, fetch_ticker=ticker_usdt_sell_up if is_short else ticker_usdt_sell_down
)
default_conf_usdt["dry_run"] = True
freqtrade.strategy.order_types["stoploss_on_exchange"] = True
# Setting trade stoploss to 0.01
trade.stop_loss = 2.0 * 1.01 if is_short else 2.0 * 0.99
freqtrade.execute_trade_exit(
trade=trade, limit=trade.stop_loss, exit_check=ExitCheckTuple(exit_type=ExitType.STOP_LOSS)
)
# assert rpc_mock.call_count == 2
last_msg = rpc_mock.call_args_list[-1][0][0]
assert {
"type": RPCMessageType.EXIT,
"trade_id": 1,
"exchange": "Binance",
"pair": "ETH/USDT",
"direction": "Short" if trade.is_short else "Long",
"leverage": 1.0,
"gain": "loss",
"limit": 2.02 if is_short else 1.98,
"order_rate": 2.02 if is_short else 1.98,
"amount": pytest.approx(29.70297029 if is_short else 30.0),
"order_type": "limit",
"buy_tag": None,
"enter_tag": None,
"open_rate": 2.02 if is_short else 2.0,
"current_rate": 2.2 if is_short else 2.0,
"profit_amount": -0.3 if is_short else -0.8985,
"profit_ratio": -0.00501253 if is_short else -0.01493766,
"stake_currency": "USDT",
"quote_currency": "USDT",
"fiat_currency": "USD",
"base_currency": "ETH",
"exit_reason": ExitType.STOP_LOSS.value,
"open_date": ANY,
"close_date": ANY,
"close_rate": ANY,
"sub_trade": False,
"cumulative_profit": 0.0,
"stake_amount": pytest.approx(60),
"is_final_exit": False,
"final_profit_ratio": ANY,
} == last_msg
def test_execute_trade_exit_sloe_cancel_exception(
mocker, default_conf_usdt, ticker_usdt, fee, caplog
) -> None:
freqtrade = get_patched_freqtradebot(mocker, default_conf_usdt)
mocker.patch.object(
freqtrade.exchange, "cancel_stoploss_order", side_effect=InvalidOrderException()
)
mocker.patch("freqtrade.wallets.Wallets.get_free", MagicMock(return_value=300))
create_order_mock = MagicMock(
side_effect=[
{"id": "12345554"},
{"id": "12345555"},
]
)
patch_exchange(mocker)
mocker.patch.multiple(
EXMS,
fetch_ticker=ticker_usdt,
get_fee=fee,
create_order=create_order_mock,
)
freqtrade.strategy.order_types["stoploss_on_exchange"] = True
patch_get_signal(freqtrade)
freqtrade.enter_positions()
trade = Trade.session.scalars(select(Trade)).first()
PairLock.session = MagicMock()
freqtrade.config["dry_run"] = False
trade.orders.append(
Order(
ft_order_side="stoploss",
ft_pair=trade.pair,
ft_is_open=True,
ft_amount=trade.amount,
ft_price=trade.stop_loss,
order_id="abcd",
status="open",
)
)
freqtrade.execute_trade_exit(
trade=trade, limit=1234, exit_check=ExitCheckTuple(exit_type=ExitType.STOP_LOSS)
)
assert create_order_mock.call_count == 2
assert log_has("Could not cancel stoploss order abcd for pair ETH/USDT", caplog)
@pytest.mark.parametrize("is_short", [False, True])
def test_execute_trade_exit_with_stoploss_on_exchange(
default_conf_usdt, ticker_usdt, fee, ticker_usdt_sell_up, is_short, mocker
) -> None:
default_conf_usdt["exchange"]["name"] = "binance"
rpc_mock = patch_RPCManager(mocker)
patch_exchange(mocker)
stoploss = MagicMock(return_value={"id": 123, "status": "open", "info": {"foo": "bar"}})
mocker.patch("freqtrade.freqtradebot.FreqtradeBot.handle_order_fee")
cancel_order = MagicMock(return_value=True)
mocker.patch.multiple(
EXMS,
fetch_ticker=ticker_usdt,
get_fee=fee,
amount_to_precision=lambda s, x, y: y,
price_to_precision=lambda s, x, y: y,
)
freqtrade = FreqtradeBot(default_conf_usdt)
mocker.patch.multiple(
freqtrade.exchange,
create_stoploss=stoploss,
cancel_stoploss_order=cancel_order,
_dry_is_price_crossed=MagicMock(side_effect=[True, False]),
)
freqtrade.strategy.order_types["stoploss_on_exchange"] = True
patch_get_signal(freqtrade, enter_short=is_short, enter_long=not is_short)
# Create some test data
freqtrade.enter_positions()
trade = Trade.session.scalars(select(Trade)).first()
trade.is_short = is_short
assert trade
trades = [trade]
freqtrade.manage_open_orders()
freqtrade.exit_positions(trades)
# Increase the price and sell it
mocker.patch.multiple(EXMS, fetch_ticker=ticker_usdt_sell_up)
freqtrade.execute_trade_exit(
trade=trade,
limit=ticker_usdt_sell_up()["ask" if is_short else "bid"],
exit_check=ExitCheckTuple(exit_type=ExitType.STOP_LOSS),
)
trade = Trade.session.scalars(select(Trade)).first()
trade.is_short = is_short
assert trade
assert cancel_order.call_count == 1
assert rpc_mock.call_count == 4
@pytest.mark.parametrize("is_short", [False, True])
def test_may_execute_trade_exit_after_stoploss_on_exchange_hit(
default_conf_usdt, ticker_usdt, fee, mocker, is_short
) -> None:
default_conf_usdt["exchange"]["name"] = "binance"
rpc_mock = patch_RPCManager(mocker)
patch_exchange(mocker)
mocker.patch.multiple(
EXMS,
fetch_ticker=ticker_usdt,
get_fee=fee,
amount_to_precision=lambda s, x, y: y,
price_to_precision=lambda s, x, y: y,
_dry_is_price_crossed=MagicMock(side_effect=[False, True]),
)
stoploss = MagicMock(return_value={"id": 123, "info": {"foo": "bar"}})
mocker.patch(f"{EXMS}.create_stoploss", stoploss)
freqtrade = FreqtradeBot(default_conf_usdt)
freqtrade.strategy.order_types["stoploss_on_exchange"] = True
patch_get_signal(freqtrade, enter_long=not is_short, enter_short=is_short)
# Create some test data
freqtrade.enter_positions()
freqtrade.manage_open_orders()
trade = Trade.session.scalars(select(Trade)).first()
trades = [trade]
assert trade.has_open_sl_orders is False
freqtrade.exit_positions(trades)
assert trade
assert trade.has_open_sl_orders is True
assert not trade.has_open_orders
# Assuming stoploss on exchange is hit
# trade should be sold at the price of stoploss, with exit_reason STOPLOSS_ON_EXCHANGE
stoploss_executed = MagicMock(
return_value={
"id": "123",
"timestamp": 1542707426845,
"datetime": "2018-11-20T09:50:26.845Z",
"lastTradeTimestamp": None,
"symbol": "BTC/USDT",
"type": "stop_loss_limit",
"side": "buy" if is_short else "sell",
"price": 1.08801,
"amount": trade.amount,
"cost": 1.08801 * trade.amount,
"average": 1.08801,
"filled": trade.amount,
"remaining": 0.0,
"status": "closed",
"fee": None,
"trades": None,
}
)
mocker.patch.object(freqtrade.exchange, "fetch_stoploss_order", stoploss_executed)
freqtrade.exit_positions(trades)
assert trade.has_open_sl_orders is False
assert trade.is_open is False
assert trade.exit_reason == ExitType.STOPLOSS_ON_EXCHANGE.value
assert rpc_mock.call_count == 4
assert rpc_mock.call_args_list[1][0][0]["type"] == RPCMessageType.ENTRY
assert rpc_mock.call_args_list[1][0][0]["amount"] > 20
assert rpc_mock.call_args_list[2][0][0]["type"] == RPCMessageType.ENTRY_FILL
assert rpc_mock.call_args_list[3][0][0]["type"] == RPCMessageType.EXIT_FILL