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Merge remote-tracking branch 'origin/master' into stock

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Markus
2021-01-02 17:16:19 +01:00
parent 23207abe49 28b83f3989
commit f5eec79a33
41 changed files with 313 additions and 349 deletions
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9
.travis.yml
View File

@@ -1,5 +1,9 @@
language: python
dist: bionic
cache:
directories:
- $HOME/.cache/pip
- $HOME/ta-lib
python:
- "3.7"
- "3.8"
@@ -7,11 +11,10 @@ python:
before_install:
- cd
- pip3 install Cython numpy
- wget http://prdownloads.sourceforge.net/ta-lib/ta-lib-0.4.0-src.tar.gz -q
- tar -xzf ta-lib-0.4.0-src.tar.gz
- if [ ! -f "$HOME/ta-lib/src" ]; then wget http://prdownloads.sourceforge.net/ta-lib/ta-lib-0.4.0-src.tar.gz -q && tar -xzf ta-lib-0.4.0-src.tar.gz; fi
- cd ta-lib/
- ./configure --prefix=/usr
- make
- if [ ! -f "$HOME/ta-lib/src" ]; then make; fi
- sudo make install
- cd
# command to install dependencies

2
README.md
View File

@@ -38,7 +38,7 @@ Here's an example output for a backtest simulation just to get you excited:
exchange | symbol | timeframe | strategy | DNA
------------+----------+-------------+------------------+-------
Bitfinex | BTCUSD | 6h | TrendFollowing05 |
Bitfinex | BTC-USD | 6h | TrendFollowing05 |
Executing simulation... [####################################] 100%

4
jesse/__init__.py
View File

@@ -13,10 +13,10 @@ import warnings
warnings.simplefilter(action='ignore', category=FutureWarning)
# Python version validation.
if jh.python_version() < 3.6:
if jh.python_version() < 3.7:
print(
jh.color(
'Jesse requires Python version above 3.6. Yours is {}'.format(jh.python_version()),
'Jesse requires Python version above 3.7. Yours is {}'.format(jh.python_version()),
'red'
)
)

2
jesse/factories/order_factory.py
View File

@@ -19,7 +19,7 @@ def fake_order(attributes=None):
global first_timestamp
first_timestamp += 60000
exchange = exchanges.SANDBOX
symbol = 'BTCUSD'
symbol = 'BTC-USD'
side = sides.BUY
order_type = order_types.LIMIT
price = randint(40, 100)

28
jesse/helpers.py
View File

@@ -28,13 +28,7 @@ def arrow_to_timestamp(arrow_time):
def base_asset(symbol: str):
if symbol.endswith('USDT'):
return symbol[0:len(symbol) - 4]
if symbol.endswith('USD'):
return symbol[0:len(symbol) - 3]
return symbol[0:3]
return symbol.split('-')[0]
def binary_search(arr: list, item) -> int:
@@ -98,14 +92,8 @@ def convert_number(old_max, old_min, new_max, new_min, old_value):
return new_value
def dashed_symbol(symbol):
return symbol[:3] + '-' + symbol[3:]
def dashless_symbol(symbol):
return symbol[:3] + symbol[4:]
return symbol.replace("-", "")
def date_diff_in_days(date1, date2):
if type(date1) is not arrow.arrow.Arrow or type(
@@ -504,13 +492,11 @@ def python_version() -> float:
def quote_asset(symbol: str):
if symbol.endswith('USDT'):
return 'USDT'
if symbol.endswith('USD'):
return 'USD'
return symbol[3:]
try:
return symbol.split('-')[1]
except IndexError:
from jesse.exceptions import InvalidRoutes
raise InvalidRoutes("The symbol format is incorrect. Correct example: 'BTC-USDT'. Yours is '{}'".format(symbol))
def random_str(num_characters=8):

2
jesse/models/Exchange.py
View File

@@ -72,7 +72,7 @@ class Exchange:
if asset == self.settlement_currency:
continue
position = selectors.get_position(self.name, asset + self.settlement_currency)
position = selectors.get_position(self.name, asset + "-" + self.settlement_currency)
if position is None:
continue

14
jesse/modes/import_candles_mode/drivers/binance.py
View File

@@ -6,9 +6,6 @@ from .interface import CandleExchange
class Binance(CandleExchange):
"""
"""
def __init__(self):
super().__init__('Binance', 1000, 0.5)
self.endpoint = 'https://www.binance.com/api/v1/klines'
@@ -17,14 +14,11 @@ class Binance(CandleExchange):
self.backup_exchange = None
def get_starting_time(self, symbol):
"""
dashless_symbol = jh.dashless_symbol(symbol)
:param symbol:
:return:
"""
payload = {
'interval': '1d',
'symbol': symbol,
'symbol': dashless_symbol,
'limit': 1500,
}
@@ -54,9 +48,11 @@ class Binance(CandleExchange):
"""
end_timestamp = start_timestamp + (self.count - 1) * 60000
dashless_symbol = jh.dashless_symbol(symbol)
payload = {
'interval': '1m',
'symbol': symbol,
'symbol': dashless_symbol,
'startTime': start_timestamp,
'endTime': end_timestamp,
'limit': self.count,

14
jesse/modes/import_candles_mode/drivers/binance_futures.py
View File

@@ -6,9 +6,6 @@ from .interface import CandleExchange
class BinanceFutures(CandleExchange):
"""
"""
def __init__(self):
super().__init__('Binance Futures', 1000, 0.5)
self.endpoint = 'https://fapi.binance.com/fapi/v1/klines'
@@ -18,14 +15,11 @@ class BinanceFutures(CandleExchange):
self.backup_exchange = Binance()
def get_starting_time(self, symbol):
"""
dashless_symbol = jh.dashless_symbol(symbol)
:param symbol:
:return:
"""
payload = {
'interval': '1d',
'symbol': symbol,
'symbol': dashless_symbol,
'limit': 1500,
}
@@ -55,9 +49,11 @@ class BinanceFutures(CandleExchange):
"""
end_timestamp = start_timestamp + (self.count - 1) * 60000
dashless_symbol = jh.dashless_symbol(symbol)
payload = {
'interval': '1m',
'symbol': symbol,
'symbol': dashless_symbol,
'startTime': start_timestamp,
'endTime': end_timestamp,
'limit': self.count,

12
jesse/modes/import_candles_mode/drivers/bitfinex.py
View File

@@ -15,10 +15,12 @@ class Bitfinex(CandleExchange):
self.backup_exchange = Coinbase()
def get_starting_time(self, symbol: str):
dashless_symbol = jh.dashless_symbol(symbol)
# hard-code few common symbols
if symbol == 'BTCUSD':
if symbol == 'BTC-USD':
return jh.date_to_timestamp('2015-08-01')
elif symbol == 'ETHUSD':
elif symbol == 'ETH-USD':
return jh.date_to_timestamp('2016-01-01')
payload = {
@@ -26,7 +28,7 @@ class Bitfinex(CandleExchange):
'limit': 5000,
}
response = requests.get(self.endpoint + '/trade:1D:t{}/hist'.format(symbol), params=payload)
response = requests.get(self.endpoint + '/trade:1D:t{}/hist'.format(dashless_symbol), params=payload)
if response.status_code != 200:
raise Exception(response.content)
@@ -56,8 +58,10 @@ class Bitfinex(CandleExchange):
'sort': 1
}
dashless_symbol = jh.dashless_symbol(symbol)
response = requests.get(
self.endpoint + '/trade:1m:t{}/hist'.format(symbol),
self.endpoint + '/trade:1m:t{}/hist'.format(dashless_symbol),
params=payload
)

12
jesse/modes/import_candles_mode/drivers/coinbase.py
View File

@@ -6,9 +6,6 @@ from .interface import CandleExchange
class Coinbase(CandleExchange):
"""
"""
def __init__(self):
super().__init__('Coinbase', 300, 0.6)
self.endpoint = 'https://api.pro.coinbase.com/products'
@@ -25,11 +22,11 @@ class Coinbase(CandleExchange):
:param symbol: str
:return: int
"""
if symbol == 'BTCUSD':
if symbol == 'BTC-USD':
return 1438387200000
elif symbol == 'ETHUSD':
elif symbol == 'ETH-USD':
return 1464739200000
elif symbol == 'LTCUSD':
elif symbol == 'LTC-USD':
return 1477958400000
return None
@@ -47,9 +44,8 @@ class Coinbase(CandleExchange):
'end': jh.timestamp_to_time(end_timestamp),
}
dashed_symbol = symbol[:3] + '-' + symbol[3:]
response = requests.get(
self.endpoint + '/{}/candles'.format(dashed_symbol),
self.endpoint + '/{}/candles'.format(symbol),
params=payload
)

20
jesse/modes/import_candles_mode/drivers/testnet_binance_futures.py
View File

@@ -6,9 +6,6 @@ from .interface import CandleExchange
class TestnetBinanceFutures(CandleExchange):
"""
"""
def __init__(self):
super().__init__('Testnet Binance Futures', 1000, 0.5)
self.endpoint = 'https://testnet.binancefuture.com/fapi/v1/klines'
@@ -18,14 +15,11 @@ class TestnetBinanceFutures(CandleExchange):
self.backup_exchange = Binance()
def get_starting_time(self, symbol):
"""
dashless_symbol = jh.dashless_symbol(symbol)
:param symbol:
:return:
"""
payload = {
'interval': '1d',
'symbol': symbol,
'symbol': dashless_symbol,
'limit': 1500,
}
@@ -49,17 +43,13 @@ class TestnetBinanceFutures(CandleExchange):
return second_timestamp
def fetch(self, symbol, start_timestamp):
"""
:param symbol:
:param start_timestamp:
:return:
"""
end_timestamp = start_timestamp + (self.count - 1) * 60000
dashless_symbol = jh.dashless_symbol(symbol)
payload = {
'interval': '1m',
'symbol': symbol,
'symbol': dashless_symbol,
'startTime': start_timestamp,
'endTime': end_timestamp,
'limit': self.count,

4
jesse/services/project_maker/project_template/routes.py
View File

@@ -7,10 +7,10 @@ from jesse.utils import anchor_timeframe
# trading routes
routes = [
('Binance', 'BTCUSDT', '4h', 'ExampleStrategy'),
('Binance', 'BTC-USDT', '4h', 'ExampleStrategy'),
]
# in case your strategy requires extra candles, timeframes, ...
extra_candles = [
('Binance', 'BTCUSDT', anchor_timeframe('4h')),
('Binance', 'BTC-USDT', anchor_timeframe('4h')),
]

1
jesse/store/state_candles.py
View File

@@ -61,7 +61,6 @@ class CandlesState:
if jh.is_live():
self.update_position(exchange, symbol, candle)
# initial
if len(arr) == 0:
arr.append(candle)

2
jesse/strategies/Test21/__init__.py
View File

@@ -1,7 +1,7 @@
from jesse.strategies import Strategy
# test_on_route_open_position part 1 - BTCUSD
# test_on_route_open_position part 1 - BTC-USD
class Test21(Strategy):
def should_long(self):
# buy on market at first candle, close when on_route_open_position event is fired

2
jesse/strategies/Test22/__init__.py
View File

@@ -1,7 +1,7 @@
from jesse.strategies import Strategy
# test_on_route_open_position part 2 - ETHUSD
# test_on_route_open_position part 2 - ETH-USD
class Test22(Strategy):
def should_long(self):
return self.price == 10

2
jesse/strategies/Test23/__init__.py
View File

@@ -1,7 +1,7 @@
from jesse.strategies import Strategy
# test_on_route_take_profit part 1 - BTCUSD
# test_on_route_take_profit part 1 - BTC-USD
class Test23(Strategy):
def should_long(self):
# buy on market at first candle, close when on_route_take_profit event is fired

2
jesse/strategies/Test24/__init__.py
View File

@@ -1,7 +1,7 @@
from jesse.strategies import Strategy
# test_on_route_take_profit part 2 - ETHUSD
# test_on_route_take_profit part 2 - ETH-USD
class Test24(Strategy):
def should_long(self):
return self.price == 10

2
jesse/strategies/Test25/__init__.py
View File

@@ -1,7 +1,7 @@
from jesse.strategies import Strategy
# test_on_route_stop_loss part 1 - BTCUSD
# test_on_route_stop_loss part 1 - BTC-USD
class Test25(Strategy):
def should_long(self):
# buy on market at first candle, close when on_route_stop_loss event is fired

2
jesse/strategies/Test26/__init__.py
View File

@@ -1,7 +1,7 @@
from jesse.strategies import Strategy
# test_on_route_stop_loss part 2 - ETHUSD
# test_on_route_stop_loss part 2 - ETH-USD
class Test26(Strategy):
def should_long(self):
return False

2
jesse/strategies/Test27/__init__.py
View File

@@ -1,7 +1,7 @@
from jesse.strategies import Strategy
# test_on_route_canceled part 1 - BTCUSD
# test_on_route_canceled part 1 - BTC-USD
class Test27(Strategy):
def should_long(self):
# buy on market at first candle, close when on_route_stop_loss event is fired

2
jesse/strategies/Test28/__init__.py
View File

@@ -1,7 +1,7 @@
from jesse.strategies import Strategy
# test_on_route_canceled part 2 - ETHUSD
# test_on_route_canceled part 2 - ETH-USD
class Test28(Strategy):
def should_long(self):
return self.price == 10

2
jesse/strategies/Test29/__init__.py
View File

@@ -1,7 +1,7 @@
from jesse.strategies import Strategy
# test_on_route_increased_position_and_on_route_reduced_position_and_strategy_vars part 1 - BTCUSD
# test_on_route_increased_position_and_on_route_reduced_position_and_strategy_vars part 1 - BTC-USD
class Test29(Strategy):
"""

2
jesse/strategies/Test30/__init__.py
View File

@@ -1,7 +1,7 @@
from jesse.strategies import Strategy
# test_on_route_increased_position_and_on_route_reduced_position_and_strategy_vars part 2 - ETHUSD
# test_on_route_increased_position_and_on_route_reduced_position_and_strategy_vars part 2 - ETH-USD
class Test30(Strategy):
def update_position(self):
# increase position size

2
requirements.txt
View File

@@ -12,7 +12,7 @@ psycopg2-binary~=2.8.6
pydash~=4.9.0
pytest==6.2.1
requests~=2.25.0
scipy~=1.5.4
scipy==1.6.0
TA-Lib~=0.4.19
tabulate~=0.8.7
timeloop~=1.0.2

4
setup.py
View File

@@ -1,6 +1,6 @@
from setuptools import setup, find_packages
VERSION = '0.17.2'
VERSION = '0.18.1'
DESCRIPTION = "A trading framework for cryptocurrencies"
REQUIRED_PACKAGES = [
@@ -54,6 +54,6 @@ setup(
"License :: OSI Approved :: MIT License",
"Operating System :: OS Independent",
],
python_requires='>=3.6',
python_requires='>=3.7',
include_package_data=True,
)

20
tests/test_backtest.py
View File

@@ -12,16 +12,16 @@ from jesse.config import config
def test_backtesting_one_route():
reset_config()
router.set_routes([
(exchanges.SANDBOX, 'BTCUSDT', timeframes.MINUTE_5, 'Test19')
(exchanges.SANDBOX, 'BTC-USDT', timeframes.MINUTE_5, 'Test19')
])
config['env']['exchanges'][exchanges.SANDBOX]['type'] = 'margin'
store.reset(True)
candles = {}
key = jh.key(exchanges.SANDBOX, 'BTCUSDT')
key = jh.key(exchanges.SANDBOX, 'BTC-USDT')
candles[key] = {
'exchange': exchanges.SANDBOX,
'symbol': 'BTCUSDT',
'symbol': 'BTC-USDT',
'candles': fake_range_candle(5 * 20)
}
routes = router.routes
@@ -32,8 +32,8 @@ def test_backtesting_one_route():
# run backtest (dates are fake just to pass)
backtest_mode.run('2019-04-01', '2019-04-02', candles)
one_min = store.candles.get_candles(exchanges.SANDBOX, 'BTCUSDT', '1m')
five_min = store.candles.get_candles(exchanges.SANDBOX, 'BTCUSDT', '5m')
one_min = store.candles.get_candles(exchanges.SANDBOX, 'BTC-USDT', '1m')
five_min = store.candles.get_candles(exchanges.SANDBOX, 'BTC-USDT', '5m')
# assert the count of present candles
assert len(five_min) == 20
@@ -53,7 +53,7 @@ def test_backtesting_one_route():
# there must be only one positions present
assert len(store.positions.storage) == 1
p = selectors.get_position(exchanges.SANDBOX, 'BTCUSDT')
p = selectors.get_position(exchanges.SANDBOX, 'BTC-USDT')
assert p.is_close
assert p.current_price == last_1[2]
assert p.current_price == last_5[2]
@@ -61,7 +61,7 @@ def test_backtesting_one_route():
# assert routes
assert len(routes) == 1
assert routes[0].exchange == exchanges.SANDBOX
assert routes[0].symbol == 'BTCUSDT'
assert routes[0].symbol == 'BTC-USDT'
assert routes[0].timeframe == '5m'
assert routes[0].strategy_name == 'Test19'
# assert that the strategy has been initiated
@@ -71,9 +71,9 @@ def test_backtesting_one_route():
def test_backtesting_three_routes():
reset_config()
router.set_routes([
(exchanges.SANDBOX, 'BTCUSDT', timeframes.MINUTE_5, 'Test19'),
(exchanges.SANDBOX, 'ETHUSDT', timeframes.MINUTE_5, 'Test19'),
(exchanges.SANDBOX, 'XRPUSDT', timeframes.MINUTE_15, 'Test19'),
(exchanges.SANDBOX, 'BTC-USDT', timeframes.MINUTE_5, 'Test19'),
(exchanges.SANDBOX, 'ETH-USDT', timeframes.MINUTE_5, 'Test19'),
(exchanges.SANDBOX, 'XRP-USDT', timeframes.MINUTE_15, 'Test19'),
])
config['env']['exchanges'][exchanges.SANDBOX]['type'] = 'margin'
store.reset(True)

12
tests/test_broker.py
View File

@@ -29,16 +29,16 @@ def set_up_without_fee(is_margin_trading=False):
config['env']['exchanges'][exchanges.SANDBOX]['settlement_currency'] = 'USDT'
config['app']['trading_mode'] = 'backtest'
config['app']['considering_exchanges'] = ['Sandbox']
router.set_routes([(exchanges.SANDBOX, 'BTCUSDT', '5m', 'Test19')])
router.set_routes([(exchanges.SANDBOX, 'BTC-USDT', '5m', 'Test19')])
store.reset(True)
global position
global exchange
global broker
position = selectors.get_position(exchanges.SANDBOX, 'BTCUSDT')
position = selectors.get_position(exchanges.SANDBOX, 'BTC-USDT')
position.current_price = 50
exchange = selectors.get_exchange(exchanges.SANDBOX)
broker = Broker(position, exchanges.SANDBOX, 'BTCUSDT', timeframes.MINUTE_5)
broker = Broker(position, exchanges.SANDBOX, 'BTC-USDT', timeframes.MINUTE_5)
def set_up_with_fee(is_margin_trading=False):
@@ -56,16 +56,16 @@ def set_up_with_fee(is_margin_trading=False):
config['env']['exchanges'][exchanges.SANDBOX]['settlement_currency'] = 'USDT'
config['app']['trading_mode'] = 'backtest'
config['app']['considering_exchanges'] = ['Sandbox']
router.set_routes([(exchanges.SANDBOX, 'BTCUSDT', '5m', 'Test19')])
router.set_routes([(exchanges.SANDBOX, 'BTC-USDT', '5m', 'Test19')])
store.reset(True)
global position
global exchange
global broker
position = selectors.get_position(exchanges.SANDBOX, 'BTCUSDT')
position = selectors.get_position(exchanges.SANDBOX, 'BTC-USDT')
position.current_price = 50
exchange = selectors.get_exchange(exchanges.SANDBOX)
broker = Broker(position, exchanges.SANDBOX, 'BTCUSDT',
broker = Broker(position, exchanges.SANDBOX, 'BTC-USDT',
timeframes.MINUTE_5)

12
tests/test_conflicting_orders.py
View File

@@ -11,9 +11,9 @@ from jesse.config import config
def get_btc_candles():
candles = {}
candles[jh.key(exchanges.SANDBOX, 'BTCUSDT')] = {
candles[jh.key(exchanges.SANDBOX, 'BTC-USDT')] = {
'exchange': exchanges.SANDBOX,
'symbol': 'BTCUSDT',
'symbol': 'BTC-USDT',
'candles': fake_range_candle_from_range_prices(range(1, 100))
}
return candles
@@ -32,7 +32,7 @@ def set_up(routes, is_margin_trading=True):
def test_can_handle_multiple_entry_orders_too_close_to_each_other():
set_up([
(exchanges.SANDBOX, 'BTCUSDT', timeframes.MINUTE_1, 'Test34'),
(exchanges.SANDBOX, 'BTC-USDT', timeframes.MINUTE_1, 'Test34'),
])
backtest_mode.run('2019-04-01', '2019-04-02', get_btc_candles())
@@ -57,7 +57,7 @@ def test_can_handle_multiple_entry_orders_too_close_to_each_other():
assert t.orders[2].role == order_roles.INCREASE_POSITION
def test_conflicting_orders():
set_up([
(exchanges.SANDBOX, 'BTCUSDT', timeframes.MINUTE_1, 'Test04'),
(exchanges.SANDBOX, 'BTC-USDT', timeframes.MINUTE_1, 'Test04'),
])
backtest_mode.run('2019-04-01', '2019-04-02', get_btc_candles())
@@ -75,7 +75,7 @@ def test_conflicting_orders():
def test_conflicting_orders_2():
set_up([
(exchanges.SANDBOX, 'BTCUSDT', timeframes.MINUTE_1, 'Test20'),
(exchanges.SANDBOX, 'BTC-USDT', timeframes.MINUTE_1, 'Test20'),
])
backtest_mode.run('2019-04-01', '2019-04-02', get_btc_candles())
@@ -94,7 +94,7 @@ def test_conflicting_orders_2():
#
# def test_can_handle_not_correctly_sorted_multiple_orders():
# set_up([
# (exchanges.SANDBOX, 'BTCUSDT', timeframes.MINUTE_1, 'Test35'),
# (exchanges.SANDBOX, 'BTC-USDT', timeframes.MINUTE_1, 'Test35'),
# ])
#
# backtest_mode.run('2019-04-01', '2019-04-02', get_btc_candles())

27
tests/test_helpers.py
View File

@@ -9,7 +9,7 @@ def test_app_currency():
from jesse.routes import router
from jesse.enums import exchanges, timeframes
router.set_routes([
(exchanges.BITFINEX, 'ETHUSD', timeframes.HOUR_3, 'Test19'),
(exchanges.BITFINEX, 'ETH-USD', timeframes.HOUR_3, 'Test19'),
])
assert jh.app_currency() == 'USD'
@@ -24,10 +24,10 @@ def test_arrow_to_timestamp():
def test_base_asset():
assert jh.base_asset('BTCUSDT') == 'BTC'
assert jh.base_asset('BTCUSD') == 'BTC'
assert jh.base_asset('DEFIUSDT') == 'DEFI'
assert jh.base_asset('DEFIUSD') == 'DEFI'
assert jh.base_asset('BTC-USDT') == 'BTC'
assert jh.base_asset('BTC-USD') == 'BTC'
assert jh.base_asset('DEFI-USDT') == 'DEFI'
assert jh.base_asset('DEFI-USD') == 'DEFI'
def test_binary_search():
@@ -71,12 +71,6 @@ def test_convert_number():
assert jh.convert_number(old_max, old_min, new_max, new_min, old_value) == 0.5443037974683544
def test_dashed_symbol():
assert jh.dashed_symbol('BTCUSD') == 'BTC-USD'
assert jh.dashed_symbol('BTCUSDT') == 'BTC-USDT'
def test_dashless_symbol():
assert jh.dashless_symbol('BTC-USD') == 'BTCUSD'
assert jh.dashless_symbol('BTC-USDT') == 'BTCUSDT'
@@ -290,10 +284,10 @@ def test_is_unit_testing():
def test_key():
exchange = "Exchange"
symbol = "BTCUSD"
symbol = "BTC-USD"
timeframe = "6h"
assert jh.key(exchange, symbol) == "Exchange-BTCUSD"
assert jh.key(exchange, symbol, timeframe) == "Exchange-BTCUSD-6h"
assert jh.key(exchange, symbol) == "Exchange-BTC-USD"
assert jh.key(exchange, symbol, timeframe) == "Exchange-BTC-USD-6h"
def test_max_timeframe():
@@ -404,8 +398,9 @@ def test_python_version():
def test_quote_asset():
assert jh.quote_asset('BTCUSDT') == 'USDT'
assert jh.quote_asset('DEFIUSDT') == 'USDT'
assert jh.quote_asset('BTC-USDT') == 'USDT'
assert jh.quote_asset('DEFI-USDT') == 'USDT'
assert jh.quote_asset('DEFI-EUR') == 'EUR'
def test_random_str():

2
tests/test_import_candles.py
View File

@@ -6,7 +6,7 @@ test_object_candles = []
for c in test_candles_0:
test_object_candles.append({
'id': jh.generate_unique_id(),
'symbol': 'BTCUSD',
'symbol': 'BTC-USD',
'exchange': 'Sandbox',
'timestamp': c[0],
'open': c[1],

38
tests/test_metrics.py
View File

@@ -9,14 +9,14 @@ from jesse.store import store
def get_btc_and_eth_candles():
candles = {}
candles[jh.key(exchanges.SANDBOX, 'BTCUSDT')] = {
candles[jh.key(exchanges.SANDBOX, 'BTC-USDT')] = {
'exchange': exchanges.SANDBOX,
'symbol': 'BTCUSDT',
'symbol': 'BTC-USDT',
'candles': fake_range_candle_from_range_prices(range(101, 200))
}
candles[jh.key(exchanges.SANDBOX, 'ETHUSDT')] = {
candles[jh.key(exchanges.SANDBOX, 'ETH-USDT')] = {
'exchange': exchanges.SANDBOX,
'symbol': 'ETHUSDT',
'symbol': 'ETH-USDT',
'candles': fake_range_candle_from_range_prices(range(1, 100))
}
return candles
@@ -24,9 +24,9 @@ def get_btc_and_eth_candles():
def get_btc_candles():
candles = {}
candles[jh.key(exchanges.SANDBOX, 'BTCUSDT')] = {
candles[jh.key(exchanges.SANDBOX, 'BTC-USDT')] = {
'exchange': exchanges.SANDBOX,
'symbol': 'BTCUSDT',
'symbol': 'BTC-USDT',
'candles': fake_range_candle_from_range_prices(range(1, 100))
}
return candles
@@ -46,7 +46,7 @@ def set_up(routes, fee=0):
def test_open_pl_and_total_open_trades():
set_up([(exchanges.SANDBOX, 'BTCUSDT', '1m', 'Test40')])
set_up([(exchanges.SANDBOX, 'BTC-USDT', '1m', 'Test40')])
backtest_mode.run('2019-04-01', '2019-04-02', get_btc_candles())
@@ -56,14 +56,14 @@ def test_open_pl_and_total_open_trades():
# def test_statistics_for_trades_without_fee():
# set_up([
# (exchanges.SANDBOX, 'ETHUSDT', timeframes.MINUTE_5, 'Test06'),
# (exchanges.SANDBOX, 'ETH-USDT', timeframes.MINUTE_5, 'Test06'),
# ])
#
# candles = {}
# key = jh.key(exchanges.SANDBOX, 'ETHUSDT')
# key = jh.key(exchanges.SANDBOX, 'ETH-USDT')
# candles[key] = {
# 'exchange': exchanges.SANDBOX,
# 'symbol': 'ETHUSDT',
# 'symbol': 'ETH-USDT',
# 'candles': test_candles_1
# }
#
@@ -103,14 +103,14 @@ def test_open_pl_and_total_open_trades():
#
# def test_stats_for_a_strategy_without_losing_trades():
# set_up([
# (exchanges.SANDBOX, 'ETHUSDT', timeframes.MINUTE_5, 'Test08'),
# (exchanges.SANDBOX, 'ETH-USDT', timeframes.MINUTE_5, 'Test08'),
# ])
#
# candles = {}
# key = jh.key(exchanges.SANDBOX, 'ETHUSDT')
# key = jh.key(exchanges.SANDBOX, 'ETH-USDT')
# candles[key] = {
# 'exchange': exchanges.SANDBOX,
# 'symbol': 'ETHUSDT',
# 'symbol': 'ETH-USDT',
# 'candles': test_candles_1
# }
#
@@ -147,14 +147,14 @@ def test_open_pl_and_total_open_trades():
#
# def test_stats_for_a_strategy_without_any_trades():
# set_up([
# (exchanges.SANDBOX, 'ETHUSDT', timeframes.MINUTE_5, 'Test09'),
# (exchanges.SANDBOX, 'ETH-USDT', timeframes.MINUTE_5, 'Test09'),
# ])
#
# candles = {}
# key = jh.key(exchanges.SANDBOX, 'ETHUSDT')
# key = jh.key(exchanges.SANDBOX, 'ETH-USDT')
# candles[key] = {
# 'exchange': exchanges.SANDBOX,
# 'symbol': 'ETHUSDT',
# 'symbol': 'ETH-USDT',
# 'candles': test_candles_1
# }
#
@@ -192,14 +192,14 @@ def test_open_pl_and_total_open_trades():
# #
# # def test_statistics_for_trades_with_fee():
# # set_up([
# # (exchanges.SANDBOX, 'ETHUSDT', timeframes.MINUTE_5, 'Test06'),
# # (exchanges.SANDBOX, 'ETH-USDT', timeframes.MINUTE_5, 'Test06'),
# # ], 0.002)
# #
# # candles = {}
# # key = jh.key(exchanges.SANDBOX, 'ETHUSDT')
# # key = jh.key(exchanges.SANDBOX, 'ETH-USDT')
# # candles[key] = {
# # 'exchange': exchanges.SANDBOX,
# # 'symbol': 'ETHUSDT',
# # 'symbol': 'ETH-USDT',
# # 'candles': test_candles_1
# # }
# #

8
tests/test_order.py
View File

@@ -26,12 +26,12 @@ def set_up_without_fee(is_margin_trading=False):
config['env']['exchanges'][exchanges.SANDBOX]['settlement_currency'] = 'USDT'
config['app']['trading_mode'] = 'backtest'
config['app']['considering_exchanges'] = ['Sandbox']
router.set_routes([(exchanges.SANDBOX, 'BTCUSDT', '5m', 'Test19')])
router.set_routes([(exchanges.SANDBOX, 'BTC-USDT', '5m', 'Test19')])
store.reset(True)
global position
global exchange
position = selectors.get_position(exchanges.SANDBOX, 'BTCUSDT')
position = selectors.get_position(exchanges.SANDBOX, 'BTC-USDT')
position.current_price = 50
exchange = selectors.get_exchange(exchanges.SANDBOX)
@@ -42,7 +42,7 @@ def test_cancel_order():
order = Order({
'id': jh.generate_unique_id(),
'exchange': exchange.name,
'symbol': 'BTCUSDT',
'symbol': 'BTC-USDT',
'type': order_types.LIMIT,
'price': 129.33,
'qty': 10.2041,
@@ -64,7 +64,7 @@ def test_execute_order():
order = Order({
'id': jh.generate_unique_id(),
'symbol': 'BTCUSDT',
'symbol': 'BTC-USDT',
'exchange': exchange.name,
'type': order_types.LIMIT,
'price': 129.33,

150
tests/test_parent_strategy.py
View File

@@ -22,14 +22,14 @@ from tests.data import test_candles_1
def get_btc_and_eth_candles():
candles = {}
candles[jh.key(exchanges.SANDBOX, 'BTCUSDT')] = {
candles[jh.key(exchanges.SANDBOX, 'BTC-USDT')] = {
'exchange': exchanges.SANDBOX,
'symbol': 'BTCUSDT',
'symbol': 'BTC-USDT',
'candles': fake_range_candle_from_range_prices(range(101, 200))
}
candles[jh.key(exchanges.SANDBOX, 'ETHUSDT')] = {
candles[jh.key(exchanges.SANDBOX, 'ETH-USDT')] = {
'exchange': exchanges.SANDBOX,
'symbol': 'ETHUSDT',
'symbol': 'ETH-USDT',
'candles': fake_range_candle_from_range_prices(range(1, 100))
}
return candles
@@ -37,9 +37,9 @@ def get_btc_and_eth_candles():
def get_btc_candles():
candles = {}
candles[jh.key(exchanges.SANDBOX, 'BTCUSDT')] = {
candles[jh.key(exchanges.SANDBOX, 'BTC-USDT')] = {
'exchange': exchanges.SANDBOX,
'symbol': 'BTCUSDT',
'symbol': 'BTC-USDT',
'candles': fake_range_candle_from_range_prices(range(1, 100))
}
return candles
@@ -63,13 +63,13 @@ def set_up(routes, is_margin_trading=True):
def single_route_backtest(strategy_name: str):
"""used to simplify simple tests"""
set_up([(exchanges.SANDBOX, 'BTCUSDT', timeframes.MINUTE_1, strategy_name)])
set_up([(exchanges.SANDBOX, 'BTC-USDT', timeframes.MINUTE_1, strategy_name)])
# dates are fake. just to pass required parameters
backtest_mode.run('2019-04-01', '2019-04-02', get_btc_candles())
def test_average_stop_loss_exception():
set_up([(exchanges.SANDBOX, 'BTCUSDT', timeframes.MINUTE_1, 'Test39')])
set_up([(exchanges.SANDBOX, 'BTC-USDT', timeframes.MINUTE_1, 'Test39')])
with pytest.raises(exceptions.InvalidStrategy):
backtest_mode.run('2019-04-01', '2019-04-02', get_btc_candles())
@@ -95,7 +95,7 @@ def test_average_take_profit_and_average_stop_loss():
def test_average_take_profit_exception():
set_up([(exchanges.SANDBOX, 'BTCUSDT', timeframes.MINUTE_1, 'Test38')])
set_up([(exchanges.SANDBOX, 'BTC-USDT', timeframes.MINUTE_1, 'Test38')])
with pytest.raises(exceptions.InvalidStrategy):
backtest_mode.run('2019-04-01', '2019-04-02', get_btc_candles())
@@ -112,8 +112,8 @@ def test_can_close_a_long_position_and_go_short_at_the_same_candle():
def test_can_perform_backtest_with_multiple_routes():
set_up([
(exchanges.SANDBOX, 'ETHUSDT', timeframes.MINUTE_5, 'Test01'),
(exchanges.SANDBOX, 'BTCUSDT', timeframes.MINUTE_5, 'Test02'),
(exchanges.SANDBOX, 'ETH-USDT', timeframes.MINUTE_5, 'Test01'),
(exchanges.SANDBOX, 'BTC-USDT', timeframes.MINUTE_5, 'Test02'),
])
candles = {}
@@ -178,32 +178,32 @@ def test_filters():
def test_forming_candles():
reset_config()
router.set_routes([
(exchanges.SANDBOX, 'BTCUSDT', timeframes.MINUTE_5, 'Test19')
(exchanges.SANDBOX, 'BTC-USDT', timeframes.MINUTE_5, 'Test19')
])
router.set_extra_candles([
(exchanges.SANDBOX, 'BTCUSDT', timeframes.MINUTE_15)
(exchanges.SANDBOX, 'BTC-USDT', timeframes.MINUTE_15)
])
store.reset(True)
candles = {}
key = jh.key(exchanges.SANDBOX, 'BTCUSDT')
key = jh.key(exchanges.SANDBOX, 'BTC-USDT')
candles[key] = {
'exchange': exchanges.SANDBOX,
'symbol': 'BTCUSDT',
'symbol': 'BTC-USDT',
'candles': test_candles_0
}
backtest_mode.run('2019-04-01', '2019-04-02', candles)
# use math.ceil because it must include forming candle too
assert len(store.candles.get_candles(exchanges.SANDBOX, 'BTCUSDT', timeframes.MINUTE_5)) == math.ceil(1382 / 5)
assert len(store.candles.get_candles(exchanges.SANDBOX, 'BTCUSDT', timeframes.MINUTE_15)) == math.ceil(
assert len(store.candles.get_candles(exchanges.SANDBOX, 'BTC-USDT', timeframes.MINUTE_5)) == math.ceil(1382 / 5)
assert len(store.candles.get_candles(exchanges.SANDBOX, 'BTC-USDT', timeframes.MINUTE_15)) == math.ceil(
1382 / 15)
def test_increasing_position_size_after_opening():
set_up([
(exchanges.SANDBOX, 'BTCUSDT', timeframes.MINUTE_1, 'Test16'),
(exchanges.SANDBOX, 'BTC-USDT', timeframes.MINUTE_1, 'Test16'),
])
backtest_mode.run('2019-04-01', '2019-04-02', get_btc_candles())
@@ -221,14 +221,14 @@ def test_increasing_position_size_after_opening():
def test_is_smart_enough_to_open_positions_via_market_orders():
set_up([
(exchanges.SANDBOX, 'ETHUSDT', timeframes.MINUTE_1, 'Test05'),
(exchanges.SANDBOX, 'ETH-USDT', timeframes.MINUTE_1, 'Test05'),
])
candles = {}
key = jh.key(exchanges.SANDBOX, 'ETHUSDT')
key = jh.key(exchanges.SANDBOX, 'ETH-USDT')
candles[key] = {
'exchange': exchanges.SANDBOX,
'symbol': 'ETHUSDT',
'symbol': 'ETH-USDT',
'candles': test_candles_1
}
@@ -267,14 +267,14 @@ def test_is_smart_enough_to_open_positions_via_market_orders():
def test_is_smart_enough_to_open_positions_via_stop_orders():
set_up([
(exchanges.SANDBOX, 'ETHUSDT', timeframes.MINUTE_5, 'Test06'),
(exchanges.SANDBOX, 'ETH-USDT', timeframes.MINUTE_5, 'Test06'),
])
candles = {}
key = jh.key(exchanges.SANDBOX, 'ETHUSDT')
key = jh.key(exchanges.SANDBOX, 'ETH-USDT')
candles[key] = {
'exchange': exchanges.SANDBOX,
'symbol': 'ETHUSDT',
'symbol': 'ETH-USDT',
'candles': test_candles_1
}
@@ -313,7 +313,7 @@ def test_is_smart_enough_to_open_positions_via_stop_orders():
def test_liquidate():
set_up([
(exchanges.SANDBOX, 'BTCUSDT', timeframes.MINUTE_1, 'Test31'),
(exchanges.SANDBOX, 'BTC-USDT', timeframes.MINUTE_1, 'Test31'),
])
backtest_mode.run('2019-04-01', '2019-04-02', get_btc_candles())
@@ -337,7 +337,7 @@ def test_liquidate():
def test_modifying_stop_loss_after_part_of_position_is_already_reduced_with_stop_loss():
set_up([
(exchanges.SANDBOX, 'BTCUSDT', timeframes.MINUTE_1, 'Test14'),
(exchanges.SANDBOX, 'BTC-USDT', timeframes.MINUTE_1, 'Test14'),
])
generated_candles = fake_range_candle_from_range_prices(
@@ -345,10 +345,10 @@ def test_modifying_stop_loss_after_part_of_position_is_already_reduced_with_stop
)
candles = {}
key = jh.key(exchanges.SANDBOX, 'BTCUSDT')
key = jh.key(exchanges.SANDBOX, 'BTC-USDT')
candles[key] = {
'exchange': exchanges.SANDBOX,
'symbol': 'BTCUSDT',
'symbol': 'BTC-USDT',
'candles': generated_candles
}
@@ -367,7 +367,7 @@ def test_modifying_stop_loss_after_part_of_position_is_already_reduced_with_stop
def test_modifying_take_profit_after_opening_position():
set_up([
(exchanges.SANDBOX, 'BTCUSDT', timeframes.MINUTE_5, 'Test12'),
(exchanges.SANDBOX, 'BTC-USDT', timeframes.MINUTE_5, 'Test12'),
])
backtest_mode.run('2019-04-01', '2019-04-02', get_btc_candles())
@@ -385,7 +385,7 @@ def test_modifying_take_profit_after_opening_position():
def test_modifying_take_profit_after_part_of_position_is_already_reduced_with_profit():
set_up([
(exchanges.SANDBOX, 'BTCUSDT', timeframes.MINUTE_1, 'Test13'),
(exchanges.SANDBOX, 'BTC-USDT', timeframes.MINUTE_1, 'Test13'),
])
backtest_mode.run('2019-04-01', '2019-04-02', get_btc_candles())
@@ -403,8 +403,8 @@ def test_modifying_take_profit_after_part_of_position_is_already_reduced_with_pr
def test_multiple_routes_can_communicate_with_each_other():
set_up([
(exchanges.SANDBOX, 'ETHUSDT', timeframes.MINUTE_5, 'Test03'),
(exchanges.SANDBOX, 'BTCUSDT', timeframes.MINUTE_5, 'Test03'),
(exchanges.SANDBOX, 'ETH-USDT', timeframes.MINUTE_5, 'Test03'),
(exchanges.SANDBOX, 'BTC-USDT', timeframes.MINUTE_5, 'Test03'),
])
candles = {}
@@ -450,8 +450,8 @@ def test_multiple_routes_can_communicate_with_each_other():
def test_must_not_be_able_to_set_two_similar_routes():
reset_config()
router.set_routes([
(exchanges.SANDBOX, 'ETHUSDT', timeframes.MINUTE_5, 'Test01'),
(exchanges.SANDBOX, 'ETHUSDT', timeframes.MINUTE_30, 'Test02'),
(exchanges.SANDBOX, 'ETH-USDT', timeframes.MINUTE_5, 'Test01'),
(exchanges.SANDBOX, 'ETH-USDT', timeframes.MINUTE_30, 'Test02'),
])
with pytest.raises(Exception) as err:
store.reset(True)
@@ -461,7 +461,7 @@ def test_must_not_be_able_to_set_two_similar_routes():
def test_on_reduced_position():
set_up([
(exchanges.SANDBOX, 'BTCUSDT', timeframes.MINUTE_1, 'Test18'),
(exchanges.SANDBOX, 'BTC-USDT', timeframes.MINUTE_1, 'Test18'),
])
backtest_mode.run('2019-04-01', '2019-04-02', get_btc_candles())
@@ -479,15 +479,15 @@ def test_on_reduced_position():
def test_on_route_canceled():
set_up([
(exchanges.SANDBOX, 'BTCUSDT', timeframes.MINUTE_1, 'Test27'),
(exchanges.SANDBOX, 'ETHUSDT', timeframes.MINUTE_1, 'Test28'),
(exchanges.SANDBOX, 'BTC-USDT', timeframes.MINUTE_1, 'Test27'),
(exchanges.SANDBOX, 'ETH-USDT', timeframes.MINUTE_1, 'Test28'),
])
backtest_mode.run('2019-04-01', '2019-04-02', get_btc_and_eth_candles())
t1 = store.completed_trades.trades[0]
assert t1.symbol == 'BTCUSDT'
assert t1.symbol == 'BTC-USDT'
assert t1.type == 'long'
assert t1.entry_price == 101
assert t1.exit_price == 120
@@ -498,20 +498,20 @@ def test_on_route_canceled():
def test_on_route_increased_position_and_on_route_reduced_position_and_strategy_vars():
set_up([
(exchanges.SANDBOX, 'BTCUSDT', timeframes.MINUTE_1, 'Test29'),
(exchanges.SANDBOX, 'ETHUSDT', timeframes.MINUTE_1, 'Test30'),
(exchanges.SANDBOX, 'BTC-USDT', timeframes.MINUTE_1, 'Test29'),
(exchanges.SANDBOX, 'ETH-USDT', timeframes.MINUTE_1, 'Test30'),
])
backtest_mode.run('2019-04-01', '2019-04-02', get_btc_and_eth_candles())
# long BTCUSD
# long BTC-USD
t1 = store.completed_trades.trades[0]
# short BTCUSD
# short BTC-USD
t2 = store.completed_trades.trades[1]
# long ETHUSD
# long ETH-USD
t3 = store.completed_trades.trades[2]
assert t1.symbol == 'BTCUSDT'
assert t1.symbol == 'BTC-USDT'
assert t1.type == 'long'
assert t1.entry_price == 121
assert t1.exit_price == 131
@@ -519,7 +519,7 @@ def test_on_route_increased_position_and_on_route_reduced_position_and_strategy_
assert t1.qty == 1
assert np.isnan(t1.stop_loss_at)
assert t2.symbol == 'BTCUSDT'
assert t2.symbol == 'BTC-USDT'
assert t2.type == 'short'
assert t2.entry_price == 151
assert t2.exit_price == 161
@@ -527,7 +527,7 @@ def test_on_route_increased_position_and_on_route_reduced_position_and_strategy_
assert t2.qty == 1
assert np.isnan(t2.take_profit_at)
assert t3.symbol == 'ETHUSDT'
assert t3.symbol == 'ETH-USDT'
assert t3.type == 'long'
# because we open at 10, and increase at 20, entry is the mean which is 15
assert t3.entry_price == 15
@@ -540,8 +540,8 @@ def test_on_route_increased_position_and_on_route_reduced_position_and_strategy_
def test_on_route_open_position():
set_up([
(exchanges.SANDBOX, 'BTCUSDT', timeframes.MINUTE_1, 'Test21'),
(exchanges.SANDBOX, 'ETHUSDT', timeframes.MINUTE_1, 'Test22'),
(exchanges.SANDBOX, 'BTC-USDT', timeframes.MINUTE_1, 'Test21'),
(exchanges.SANDBOX, 'ETH-USDT', timeframes.MINUTE_1, 'Test22'),
])
backtest_mode.run('2019-04-01', '2019-04-02', get_btc_and_eth_candles())
@@ -549,7 +549,7 @@ def test_on_route_open_position():
t1 = store.completed_trades.trades[0]
t2 = store.completed_trades.trades[1]
assert t1.symbol == 'BTCUSDT'
assert t1.symbol == 'BTC-USDT'
assert t1.type == 'long'
assert t1.entry_price == 101
assert t1.exit_price == 110
@@ -557,7 +557,7 @@ def test_on_route_open_position():
assert t1.qty == 1
assert np.isnan(t1.stop_loss_at)
assert t2.symbol == 'ETHUSDT'
assert t2.symbol == 'ETH-USDT'
assert t2.type == 'long'
assert t2.entry_price == 10
assert t2.exit_price == 20
@@ -568,8 +568,8 @@ def test_on_route_open_position():
def test_on_route_stop_loss():
set_up([
(exchanges.SANDBOX, 'BTCUSDT', timeframes.MINUTE_1, 'Test25'),
(exchanges.SANDBOX, 'ETHUSDT', timeframes.MINUTE_1, 'Test26'),
(exchanges.SANDBOX, 'BTC-USDT', timeframes.MINUTE_1, 'Test25'),
(exchanges.SANDBOX, 'ETH-USDT', timeframes.MINUTE_1, 'Test26'),
])
backtest_mode.run('2019-04-01', '2019-04-02', get_btc_and_eth_candles())
@@ -577,7 +577,7 @@ def test_on_route_stop_loss():
t1 = store.completed_trades.trades[0]
t2 = store.completed_trades.trades[1]
assert t2.symbol == 'BTCUSDT'
assert t2.symbol == 'BTC-USDT'
assert t2.type == 'long'
assert t2.entry_price == 101
assert t2.exit_price == 120
@@ -585,7 +585,7 @@ def test_on_route_stop_loss():
assert t2.qty == 1
assert np.isnan(t2.stop_loss_at)
assert t1.symbol == 'ETHUSDT'
assert t1.symbol == 'ETH-USDT'
assert t1.type == 'short'
assert t1.entry_price == 10
assert t1.exit_price == 20
@@ -596,8 +596,8 @@ def test_on_route_stop_loss():
def test_on_route_take_profit():
set_up([
(exchanges.SANDBOX, 'BTCUSDT', timeframes.MINUTE_1, 'Test23'),
(exchanges.SANDBOX, 'ETHUSDT', timeframes.MINUTE_1, 'Test24'),
(exchanges.SANDBOX, 'BTC-USDT', timeframes.MINUTE_1, 'Test23'),
(exchanges.SANDBOX, 'ETH-USDT', timeframes.MINUTE_1, 'Test24'),
])
backtest_mode.run('2019-04-01', '2019-04-02', get_btc_and_eth_candles())
@@ -605,7 +605,7 @@ def test_on_route_take_profit():
t1 = store.completed_trades.trades[0]
t2 = store.completed_trades.trades[1]
assert t2.symbol == 'BTCUSDT'
assert t2.symbol == 'BTC-USDT'
assert t2.type == 'long'
assert t2.entry_price == 101
assert t2.exit_price == 120
@@ -613,7 +613,7 @@ def test_on_route_take_profit():
assert t2.qty == 1
assert np.isnan(t2.stop_loss_at)
assert t1.symbol == 'ETHUSDT'
assert t1.symbol == 'ETH-USDT'
assert t1.type == 'long'
assert t1.entry_price == 10
assert t1.exit_price == 20
@@ -624,7 +624,7 @@ def test_on_route_take_profit():
def test_opening_position_in_multiple_points():
set_up([
(exchanges.SANDBOX, 'BTCUSDT', timeframes.MINUTE_1, 'Test15'),
(exchanges.SANDBOX, 'BTC-USDT', timeframes.MINUTE_1, 'Test15'),
])
backtest_mode.run('2019-04-01', '2019-04-02', get_btc_candles())
@@ -642,7 +642,7 @@ def test_opening_position_in_multiple_points():
def test_reducing_position_size_after_opening():
set_up([
(exchanges.SANDBOX, 'BTCUSDT', timeframes.MINUTE_1, 'Test17'),
(exchanges.SANDBOX, 'BTC-USDT', timeframes.MINUTE_1, 'Test17'),
])
backtest_mode.run('2019-04-01', '2019-04-02', get_btc_candles())
@@ -660,15 +660,15 @@ def test_reducing_position_size_after_opening():
def test_shared_vars():
set_up([
(exchanges.SANDBOX, 'BTCUSDT', timeframes.MINUTE_1, 'Test32'),
(exchanges.SANDBOX, 'ETHUSDT', timeframes.MINUTE_1, 'Test33'),
(exchanges.SANDBOX, 'BTC-USDT', timeframes.MINUTE_1, 'Test32'),
(exchanges.SANDBOX, 'ETH-USDT', timeframes.MINUTE_1, 'Test33'),
])
backtest_mode.run('2019-04-01', '2019-04-02', get_btc_and_eth_candles())
t1 = store.completed_trades.trades[0]
assert t1.symbol == 'ETHUSDT'
assert t1.symbol == 'ETH-USDT'
assert t1.type == 'long'
assert t1.entry_price == 11
assert t1.exit_price == 21
@@ -679,7 +679,7 @@ def test_shared_vars():
def test_should_buy_and_execute_buy():
set_up([
(exchanges.SANDBOX, 'ETHUSDT', timeframes.MINUTE_5, 'Test01'),
(exchanges.SANDBOX, 'ETH-USDT', timeframes.MINUTE_5, 'Test01'),
])
candles = {}
@@ -724,7 +724,7 @@ def test_should_buy_and_execute_buy():
def test_should_sell_and_execute_sell():
set_up([
(exchanges.SANDBOX, 'ETHUSDT', timeframes.MINUTE_5, 'Test02'),
(exchanges.SANDBOX, 'ETH-USDT', timeframes.MINUTE_5, 'Test02'),
])
candles = {}
@@ -762,7 +762,7 @@ def test_should_sell_and_execute_sell():
def test_stop_loss_at_multiple_points():
set_up([
(exchanges.SANDBOX, 'BTCUSDT', timeframes.MINUTE_1, 'Test11'),
(exchanges.SANDBOX, 'BTC-USDT', timeframes.MINUTE_1, 'Test11'),
])
backtest_mode.run('2019-04-01', '2019-04-02', get_btc_candles())
@@ -780,8 +780,8 @@ def test_stop_loss_at_multiple_points():
def test_strategy_properties():
set_up([
(exchanges.SANDBOX, 'ETHUSDT', timeframes.MINUTE_5, 'Test19'),
(exchanges.SANDBOX, 'BTCUSDT', timeframes.MINUTE_5, 'Test19'),
(exchanges.SANDBOX, 'ETH-USDT', timeframes.MINUTE_5, 'Test19'),
(exchanges.SANDBOX, 'BTC-USDT', timeframes.MINUTE_5, 'Test19'),
])
candles = {}
@@ -815,7 +815,7 @@ def test_strategy_properties():
def test_taking_profit_at_multiple_points():
set_up([
(exchanges.SANDBOX, 'BTCUSDT', timeframes.MINUTE_5, 'Test10'),
(exchanges.SANDBOX, 'BTC-USDT', timeframes.MINUTE_5, 'Test10'),
])
backtest_mode.run('2019-04-01', '2019-04-02', get_btc_candles())
@@ -859,20 +859,20 @@ def test_terminate_closes_trades_at_the_end_of_backtest():
assert {
'time': 1552315246171.0,
'message': 'Closed open Sandbox-BTCUSDT position at 99.0 with PNL: 97.0(4850.0%) because we reached the end of the backtest session.'
'message': 'Closed open Sandbox-BTC-USDT position at 99.0 with PNL: 97.0(4850.0%) because we reached the end of the backtest session.'
} in store.logs.info
def test_updating_stop_loss_and_take_profit_after_opening_the_position():
set_up([
(exchanges.SANDBOX, 'ETHUSDT', timeframes.MINUTE_1, 'Test07')
(exchanges.SANDBOX, 'ETH-USDT', timeframes.MINUTE_1, 'Test07')
])
candles = {}
key = jh.key(exchanges.SANDBOX, 'ETHUSDT')
key = jh.key(exchanges.SANDBOX, 'ETH-USDT')
candles[key] = {
'exchange': exchanges.SANDBOX,
'symbol': 'ETHUSDT',
'symbol': 'ETH-USDT',
'candles': test_candles_1
}
@@ -934,8 +934,8 @@ def test_after():
# def test_route_capital_isolation():
# set_up(
# [
# (exchanges.SANDBOX, 'BTCUSDT', timeframes.MINUTE_1, 'TestRouteCapitalIsolation1'),
# (exchanges.SANDBOX, 'ETHUSDT', timeframes.MINUTE_1, 'TestRouteCapitalIsolation2'),
# (exchanges.SANDBOX, 'BTC-USDT', timeframes.MINUTE_1, 'TestRouteCapitalIsolation1'),
# (exchanges.SANDBOX, 'ETH-USDT', timeframes.MINUTE_1, 'TestRouteCapitalIsolation2'),
# ],
# )
#

44
tests/test_position.py
View File

@@ -9,7 +9,7 @@ def set_up():
reset_config()
config['app']['considering_exchanges'] = [exchanges.SANDBOX]
config['app']['trading_exchanges'] = [exchanges.SANDBOX]
config['app']['trading_symbols'] = ['BTCUSD']
config['app']['trading_symbols'] = ['BTC-USD']
config['app']['trading_timeframes'] = ['5m']
store.reset()
@@ -17,7 +17,7 @@ def set_up():
def test_close_position():
set_up()
p = Position(exchanges.SANDBOX, 'BTCUSD', {
p = Position(exchanges.SANDBOX, 'BTC-USD', {
'entry_price': 50,
'current_price': 50,
'qty': 2,
@@ -34,7 +34,7 @@ def test_close_position():
def test_increase_a_long_position():
set_up()
p = Position(exchanges.SANDBOX, 'BTCUSD', {
p = Position(exchanges.SANDBOX, 'BTC-USD', {
'entry_price': 50,
'current_price': 50,
'qty': 2,
@@ -49,7 +49,7 @@ def test_increase_a_long_position():
def test_increase_a_short_position():
set_up()
p = Position(exchanges.SANDBOX, 'BTCUSD', {
p = Position(exchanges.SANDBOX, 'BTC-USD', {
'entry_price': 50,
'current_price': 50,
'qty': -2,
@@ -62,13 +62,13 @@ def test_increase_a_short_position():
def test_initiating_position():
position = Position(exchanges.SANDBOX, 'BTCUSD', {
position = Position(exchanges.SANDBOX, 'BTC-USD', {
'current_price': 100,
'qty': 0
})
assert position.exchange_name == 'Sandbox'
assert position.symbol == 'BTCUSD'
assert position.symbol == 'BTC-USD'
assert position.current_price == 100
assert position.qty == 0
assert position.closed_at is None
@@ -80,7 +80,7 @@ def test_initiating_position():
def test_is_able_to_close_via_reduce_postion_too():
set_up()
p = Position(exchanges.SANDBOX, 'BTCUSD', {
p = Position(exchanges.SANDBOX, 'BTC-USD', {
'entry_price': 50,
'current_price': 50,
'qty': 2,
@@ -94,7 +94,7 @@ def test_is_able_to_close_via_reduce_postion_too():
def test_open_position():
set_up()
p = Position(exchanges.SANDBOX, 'BTCUSD')
p = Position(exchanges.SANDBOX, 'BTC-USD')
assert p.qty == 0
assert p.entry_price is None
@@ -109,7 +109,7 @@ def test_open_position():
def test_position_is_close():
p = Position(exchanges.SANDBOX, 'BTCUSD', {
p = Position(exchanges.SANDBOX, 'BTC-USD', {
'entry_price': 50,
'current_price': 60,
'qty': 0,
@@ -121,7 +121,7 @@ def test_position_is_close():
def test_position_is_open():
p = Position(exchanges.SANDBOX, 'BTCUSD', {
p = Position(exchanges.SANDBOX, 'BTC-USD', {
'entry_price': 50,
'current_price': 60,
'qty': 2,
@@ -134,7 +134,7 @@ def test_position_is_open():
def test_position_pnl():
# long winning position
p1: Position = Position(exchanges.SANDBOX, 'BTCUSD', {
p1: Position = Position(exchanges.SANDBOX, 'BTC-USD', {
'entry_price': 100,
'current_price': 110,
'qty': 2,
@@ -142,7 +142,7 @@ def test_position_pnl():
assert p1.pnl == 20
# long losing position
p2: Position = Position(exchanges.SANDBOX, 'BTCUSD', {
p2: Position = Position(exchanges.SANDBOX, 'BTC-USD', {
'entry_price': 100,
'current_price': 90,
'qty': 2,
@@ -150,7 +150,7 @@ def test_position_pnl():
assert p2.pnl == -20
# short winning position
p3: Position = Position(exchanges.SANDBOX, 'BTCUSD', {
p3: Position = Position(exchanges.SANDBOX, 'BTC-USD', {
'entry_price': 100,
'current_price': 90,
'qty': -2,
@@ -158,7 +158,7 @@ def test_position_pnl():
assert p3.pnl == 20
# short losing position
p3: Position = Position(exchanges.SANDBOX, 'BTCUSD', {
p3: Position = Position(exchanges.SANDBOX, 'BTC-USD', {
'entry_price': 100,
'current_price': 110,
'qty': -2,
@@ -167,7 +167,7 @@ def test_position_pnl():
def test_position_pnl_percentage():
p = Position(exchanges.SANDBOX, 'BTCUSD', {
p = Position(exchanges.SANDBOX, 'BTC-USD', {
'entry_price': 50,
'current_price': 60,
'qty': 2,
@@ -187,13 +187,13 @@ def test_position_pnl_percentage():
def test_position_type():
p = Position(exchanges.SANDBOX, 'BTCUSD', {'current_price': 100, 'qty': 0})
p = Position(exchanges.SANDBOX, 'BTC-USD', {'current_price': 100, 'qty': 0})
assert p.type == 'close'
p = Position(exchanges.SANDBOX, 'BTCUSD', {'current_price': 100, 'qty': 1})
p = Position(exchanges.SANDBOX, 'BTC-USD', {'current_price': 100, 'qty': 1})
assert p.type == 'long'
p = Position(exchanges.SANDBOX, 'BTCUSD', {
p = Position(exchanges.SANDBOX, 'BTC-USD', {
'current_price': 100,
'qty': -1
})
@@ -201,8 +201,8 @@ def test_position_type():
def test_position_value():
long_position = Position(exchanges.SANDBOX, 'BTCUSD', {'current_price': 100, 'qty': 1})
short_position = Position(exchanges.SANDBOX, 'BTCUSD', {'current_price': 100, 'qty': -1})
long_position = Position(exchanges.SANDBOX, 'BTC-USD', {'current_price': 100, 'qty': 1})
short_position = Position(exchanges.SANDBOX, 'BTC-USD', {'current_price': 100, 'qty': -1})
assert long_position.value == 100
assert short_position.value == 100
@@ -211,7 +211,7 @@ def test_position_value():
def test_reduce_a_long_position():
set_up()
p = Position(exchanges.SANDBOX, 'BTCUSD', {
p = Position(exchanges.SANDBOX, 'BTC-USD', {
'entry_price': 50,
'current_price': 50,
'qty': 2,
@@ -225,7 +225,7 @@ def test_reduce_a_long_position():
def test_reduce_a_short_position():
set_up()
p = Position(exchanges.SANDBOX, 'BTCUSD', {
p = Position(exchanges.SANDBOX, 'BTC-USD', {
'entry_price': 50,
'current_price': 50,
'qty': -2,

12
tests/test_router.py
View File

@@ -7,13 +7,13 @@ from jesse.store import store
def test_routes():
# re-define routes
router.set_routes([
(exchanges.BITFINEX, 'ETHUSD', timeframes.HOUR_3, 'Test19'),
(exchanges.SANDBOX, 'BTCUSD', timeframes.MINUTE_15, 'Test19'),
(exchanges.BITFINEX, 'ETH-USD', timeframes.HOUR_3, 'Test19'),
(exchanges.SANDBOX, 'BTC-USD', timeframes.MINUTE_15, 'Test19'),
])
router.set_extra_candles([
(exchanges.BITFINEX, 'EOSUSD', timeframes.HOUR_3),
(exchanges.BITFINEX, 'EOSUSD', timeframes.HOUR_1),
(exchanges.BITFINEX, 'EOS-USD', timeframes.HOUR_3),
(exchanges.BITFINEX, 'EOS-USD', timeframes.HOUR_1),
])
# reset store for new routes to take affect
@@ -21,9 +21,9 @@ def test_routes():
# now assert it's working as expected
assert set(config['app']['trading_exchanges']) == set([exchanges.SANDBOX, exchanges.BITFINEX])
assert set(config['app']['trading_symbols']) == set(['BTCUSD', 'ETHUSD'])
assert set(config['app']['trading_symbols']) == set(['BTC-USD', 'ETH-USD'])
assert set(config['app']['trading_timeframes']) == set([timeframes.HOUR_3, timeframes.MINUTE_15])
assert set(config['app']['considering_exchanges']) == set([exchanges.SANDBOX, exchanges.BITFINEX])
assert set(config['app']['considering_symbols']) == set(['BTCUSD', 'ETHUSD', 'EOSUSD'])
assert set(config['app']['considering_symbols']) == set(['BTC-USD', 'ETH-USD', 'EOS-USD'])
assert set(config['app']['considering_timeframes']) == set(
[timeframes.MINUTE_1, timeframes.HOUR_3, timeframes.MINUTE_15, timeframes.HOUR_1])

62
tests/test_state_candle.py
View File

@@ -12,7 +12,7 @@ def set_up():
"""
reset_config()
config['app']['considering_timeframes'] = ['1m', '5m']
config['app']['considering_symbols'] = ['BTCUSD']
config['app']['considering_symbols'] = ['BTC-USD']
config['app']['considering_exchanges'] = ['Sandbox']
store.reset()
store.candles.init_storage()
@@ -21,74 +21,74 @@ def set_up():
def test_batch_add_candles():
set_up()
assert len(store.candles.get_candles('Sandbox', 'BTCUSD', '1m')) == 0
assert len(store.candles.get_candles('Sandbox', 'BTC-USD', '1m')) == 0
# create 100 candles
candles_to_add = fake_range_candle(100)
assert len(candles_to_add) == 100
store.candles.batch_add_candle(candles_to_add, 'Sandbox', 'BTCUSD', '1m')
np.testing.assert_equal(store.candles.get_candles('Sandbox', 'BTCUSD', '1m'), candles_to_add)
store.candles.batch_add_candle(candles_to_add, 'Sandbox', 'BTC-USD', '1m')
np.testing.assert_equal(store.candles.get_candles('Sandbox', 'BTC-USD', '1m'), candles_to_add)
def test_can_add_new_candle():
set_up()
np.testing.assert_equal(store.candles.get_candles('Sandbox', 'BTCUSD', '1m'), np.zeros((0, 6)))
np.testing.assert_equal(store.candles.get_candles('Sandbox', 'BTC-USD', '1m'), np.zeros((0, 6)))
c1 = fake_candle()
store.candles.add_candle(c1, 'Sandbox', 'BTCUSD', '1m')
np.testing.assert_equal(store.candles.get_candles('Sandbox', 'BTCUSD', '1m')[0], c1)
store.candles.add_candle(c1, 'Sandbox', 'BTC-USD', '1m')
np.testing.assert_equal(store.candles.get_candles('Sandbox', 'BTC-USD', '1m')[0], c1)
# try to add duplicate
store.candles.add_candle(c1, 'Sandbox', 'BTCUSD', '1m')
store.candles.add_candle(c1, 'Sandbox', 'BTC-USD', '1m')
# assert to make sure it's the same
np.testing.assert_equal(store.candles.get_candles('Sandbox', 'BTCUSD', '1m')[0], c1)
np.testing.assert_equal(store.candles.get_candles('Sandbox', 'BTC-USD', '1m')[0], c1)
c2 = fake_candle()
store.candles.add_candle(c2, 'Sandbox', 'BTCUSD', '1m')
np.testing.assert_equal(store.candles.get_candles('Sandbox', 'BTCUSD', '1m'), np.array([c1, c2]))
store.candles.add_candle(c2, 'Sandbox', 'BTC-USD', '1m')
np.testing.assert_equal(store.candles.get_candles('Sandbox', 'BTC-USD', '1m'), np.array([c1, c2]))
def test_can_update_candle():
set_up()
np.testing.assert_equal(store.candles.get_candles('Sandbox', 'BTCUSD', '1m'), np.zeros((0, 6)))
np.testing.assert_equal(store.candles.get_candles('Sandbox', 'BTC-USD', '1m'), np.zeros((0, 6)))
# add it
c1 = fake_candle()
store.candles.add_candle(c1, 'Sandbox', 'BTCUSD', '1m')
np.testing.assert_equal(store.candles.get_current_candle('Sandbox', 'BTCUSD', '1m'), c1)
store.candles.add_candle(c1, 'Sandbox', 'BTC-USD', '1m')
np.testing.assert_equal(store.candles.get_current_candle('Sandbox', 'BTC-USD', '1m'), c1)
# now update it with another candle which has the same timestamp
c2 = c1.copy()
c2[1] = 1000
store.candles.add_candle(c2, 'Sandbox', 'BTCUSD', '1m')
np.testing.assert_equal(store.candles.get_current_candle('Sandbox', 'BTCUSD', '1m'), c2)
assert len(store.candles.get_candles('Sandbox', 'BTCUSD', '1m')) == 1
store.candles.add_candle(c2, 'Sandbox', 'BTC-USD', '1m')
np.testing.assert_equal(store.candles.get_current_candle('Sandbox', 'BTC-USD', '1m'), c2)
assert len(store.candles.get_candles('Sandbox', 'BTC-USD', '1m')) == 1
def test_get_candles_including_forming():
set_up()
candles_to_add = fake_range_candle(14)
store.candles.batch_add_candle(candles_to_add, 'Sandbox', 'BTCUSD', '1m')
store.candles.batch_add_candle(candles_to_add, 'Sandbox', 'BTC-USD', '1m')
store.candles.add_candle(
generate_candle_from_one_minutes(
'5m', candles_to_add[0:5], False
),
'Sandbox', 'BTCUSD', '5m'
'Sandbox', 'BTC-USD', '5m'
)
store.candles.add_candle(
generate_candle_from_one_minutes(
'5m', candles_to_add[5:10], False
),
'Sandbox', 'BTCUSD', '5m'
'Sandbox', 'BTC-USD', '5m'
)
assert len(store.candles.get_candles('Sandbox', 'BTCUSD', '5m')) == 3
assert len(store.candles.get_candles('Sandbox', 'BTCUSD', '1m')) == 14
assert len(store.candles.get_candles('Sandbox', 'BTC-USD', '5m')) == 3
assert len(store.candles.get_candles('Sandbox', 'BTC-USD', '1m')) == 14
candles = store.candles.get_candles('Sandbox', 'BTCUSD', '5m')
candles = store.candles.get_candles('Sandbox', 'BTC-USD', '5m')
assert candles[0][0] == candles_to_add[0][0]
assert candles[-1][2] == candles_to_add[13][2]
assert candles[-1][0] == candles_to_add[10][0]
@@ -100,29 +100,29 @@ def test_get_candles_including_forming():
generate_candle_from_one_minutes(
'5m', candles_to_add[10:14], True
),
'Sandbox', 'BTCUSD', '5m'
'Sandbox', 'BTC-USD', '5m'
)
assert len(store.candles.get_candles('Sandbox', 'BTCUSD', '5m')) == 3
assert len(store.candles.get_candles('Sandbox', 'BTC-USD', '5m')) == 3
assert candles[-1][2] == candles_to_add[13][2]
assert candles[-1][0] == candles_to_add[10][0]
def test_get_forming_candle():
set_up()
candles_to_add = fake_range_candle(13)
store.candles.batch_add_candle(candles_to_add[0:4], 'Sandbox', 'BTCUSD', '1m')
forming_candle = store.candles.get_current_candle('Sandbox', 'BTCUSD', '5m')
store.candles.batch_add_candle(candles_to_add[0:4], 'Sandbox', 'BTC-USD', '1m')
forming_candle = store.candles.get_current_candle('Sandbox', 'BTC-USD', '5m')
assert forming_candle[0] == candles_to_add[0][0]
assert forming_candle[1] == candles_to_add[0][1]
assert forming_candle[2] == candles_to_add[3][2]
# add the rest of 1m candles
store.candles.batch_add_candle(candles_to_add[4:], 'Sandbox', 'BTCUSD', '1m')
store.candles.batch_add_candle(candles_to_add[4:], 'Sandbox', 'BTC-USD', '1m')
# add 5m candles
store.candles.batch_add_candle(candles_to_add[0:5], 'Sandbox', 'BTCUSD', '5m')
store.candles.batch_add_candle(candles_to_add[5:10], 'Sandbox', 'BTCUSD', '5m')
store.candles.batch_add_candle(candles_to_add[0:5], 'Sandbox', 'BTC-USD', '5m')
store.candles.batch_add_candle(candles_to_add[5:10], 'Sandbox', 'BTC-USD', '5m')
forming_candle = store.candles.get_current_candle('Sandbox', 'BTCUSD', '5m')
forming_candle = store.candles.get_current_candle('Sandbox', 'BTC-USD', '5m')
assert forming_candle[0] == candles_to_add[10][0]
assert forming_candle[1] == candles_to_add[10][1]
assert forming_candle[2] == candles_to_add[12][2]

20
tests/test_state_orderbook.py
View File

@@ -10,7 +10,7 @@ def set_up():
"""
reset_config()
config['app']['considering_candles'] = [('Sandbox', 'BTCUSD')]
config['app']['considering_candles'] = [('Sandbox', 'BTC-USD')]
store.reset()
store.orderbooks.init_storage()
@@ -51,24 +51,24 @@ def test_add_orderbook_and_orderbook_getters():
[6280.56, 0.085], [6277.79, 0.01], [6246.4, 0.01], [6220.0, 200.0], [6215.16, 0.01], [6184.08, 0.01],
[6153.15, 0.01], [6122.38, 0.01], [6091.76, 0.01], [6061.3, 0.01], [6030.99, 0.01], [6021.0, 30.0],
[6000.83, 0.01], [6000.0, 16.701]]
store.orderbooks.add_orderbook('Sandbox', 'BTCUSD', asks, bids)
store.orderbooks.add_orderbook('Sandbox', 'BTC-USD', asks, bids)
# test get_best_ask
np.testing.assert_equal(
store.orderbooks.get_best_ask('Sandbox', 'BTCUSD'),
store.orderbooks.get_best_ask('Sandbox', 'BTC-USD'),
np.array(
[9189.0, 52.66]
)
)
# test get_current_asks
np.testing.assert_equal(
store.orderbooks.get_current_asks('Sandbox', 'BTCUSD')[0],
store.orderbooks.get_current_asks('Sandbox', 'BTC-USD')[0],
np.array(
[9189.0, 52.66]
)
)
np.testing.assert_equal(
store.orderbooks.get_current_asks('Sandbox', 'BTCUSD')[1],
store.orderbooks.get_current_asks('Sandbox', 'BTC-USD')[1],
np.array(
[9190.0, 27.58]
)
@@ -76,20 +76,20 @@ def test_add_orderbook_and_orderbook_getters():
# test get_best_bid
np.testing.assert_equal(
store.orderbooks.get_best_bid('Sandbox', 'BTCUSD'),
store.orderbooks.get_best_bid('Sandbox', 'BTC-USD'),
np.array(
[9188.0, 53.43]
)
)
# test get_current_bids
np.testing.assert_equal(
store.orderbooks.get_current_bids('Sandbox', 'BTCUSD')[0],
store.orderbooks.get_current_bids('Sandbox', 'BTC-USD')[0],
np.array(
[9188.0, 53.43]
)
)
np.testing.assert_equal(
store.orderbooks.get_current_bids('Sandbox', 'BTCUSD')[1],
store.orderbooks.get_current_bids('Sandbox', 'BTC-USD')[1],
np.array(
[9187.0, 21.68]
)
@@ -97,7 +97,7 @@ def test_add_orderbook_and_orderbook_getters():
# test get_current_orderbook
np.testing.assert_equal(
store.orderbooks.get_current_orderbook('Sandbox', 'BTCUSD')[0][0],
store.orderbooks.get_current_orderbook('Sandbox', 'BTC-USD')[0][0],
np.array(
[9189.0, 52.66]
)
@@ -105,7 +105,7 @@ def test_add_orderbook_and_orderbook_getters():
# test get_orderbooks
np.testing.assert_equal(
store.orderbooks.get_orderbooks('Sandbox', 'BTCUSD')[-1][0][0],
store.orderbooks.get_orderbooks('Sandbox', 'BTC-USD')[-1][0][0],
np.array(
[9189.0, 52.66]
)

33
tests/test_state_orders.py
View File

@@ -10,18 +10,18 @@ def set_up():
"""
reset_config()
config['app']['trading_exchanges'] = [exchanges.SANDBOX, exchanges.BITFINEX]
config['app']['trading_symbols'] = ['BTCUSD', 'ETHUSD']
config['app']['trading_symbols'] = ['BTC-USD', 'ETH-USD']
store.reset()
def test_add_new_order():
set_up()
o1 = fake_order({'exchange': exchanges.SANDBOX, 'symbol': 'ETHUSD'})
o2 = fake_order({'exchange': exchanges.SANDBOX, 'symbol': 'ETHUSD'})
o1 = fake_order({'exchange': exchanges.SANDBOX, 'symbol': 'ETH-USD'})
o2 = fake_order({'exchange': exchanges.SANDBOX, 'symbol': 'ETH-USD'})
store.orders.add_order(o1)
store.orders.add_order(o2)
assert store.orders.storage['Sandbox-ETHUSD'] == [o1, o2]
assert store.orders.storage['Sandbox-ETH-USD'] == [o1, o2]
def test_order_state_init():
@@ -33,38 +33,37 @@ def test_order_state_init():
def test_state_order_count():
set_up()
assert store.orders.count(exchanges.SANDBOX, 'BTCUSD') == 0
assert store.orders.count(exchanges.SANDBOX, 'BTC-USD') == 0
store.orders.add_order(fake_order())
assert store.orders.count(exchanges.SANDBOX, 'BTCUSD') == 1
assert store.orders.count(exchanges.SANDBOX, 'BTC-USD') == 1
store.orders.add_order(fake_order())
assert store.orders.count(exchanges.SANDBOX, 'BTCUSD') == 2
assert store.orders.count(exchanges.SANDBOX, 'BTC-USD') == 2
def test_state_order_get_order_by_id():
set_up()
o0 = fake_order({'exchange': exchanges.SANDBOX, 'symbol': 'ETHUSD'})
o1 = fake_order({'exchange': exchanges.SANDBOX, 'symbol': 'ETHUSD'})
o2 = fake_order({'exchange': exchanges.SANDBOX, 'symbol': 'ETHUSD'})
o0 = fake_order({'exchange': exchanges.SANDBOX, 'symbol': 'ETH-USD'})
o1 = fake_order({'exchange': exchanges.SANDBOX, 'symbol': 'ETH-USD'})
o2 = fake_order({'exchange': exchanges.SANDBOX, 'symbol': 'ETH-USD'})
store.orders.get_order_by_id(exchanges.SANDBOX, 'ETHUSD', o2.id)
store.orders.get_order_by_id(exchanges.SANDBOX, 'ETH-USD', o2.id)
# return None if does not exist
assert store.orders.get_order_by_id(exchanges.SANDBOX, 'ETHUSD',
assert store.orders.get_order_by_id(exchanges.SANDBOX, 'ETH-USD',
o0.id) == None
store.orders.add_order(o1)
store.orders.add_order(o2)
assert store.orders.get_order_by_id(exchanges.SANDBOX, 'ETHUSD',
assert store.orders.get_order_by_id(exchanges.SANDBOX, 'ETH-USD',
o2.id) == o2
def test_state_order_get_orders():
set_up()
o1 = fake_order({'exchange': exchanges.SANDBOX, 'symbol': 'ETHUSD'})
o2 = fake_order({'exchange': exchanges.SANDBOX, 'symbol': 'ETHUSD'})
o1 = fake_order({'exchange': exchanges.SANDBOX, 'symbol': 'ETH-USD'})
o2 = fake_order({'exchange': exchanges.SANDBOX, 'symbol': 'ETH-USD'})
store.orders.add_order(o1)
store.orders.add_order(o2)
assert store.orders.get_orders(exchanges.SANDBOX,
'ETHUSD') == [o1, o2]
assert store.orders.get_orders(exchanges.SANDBOX,'ETH-USD') == [o1, o2]

26
tests/test_state_ticker.py
View File

@@ -10,7 +10,7 @@ def set_up():
"""
reset_config()
config['app']['considering_candles'] = [('Sandbox', 'BTCUSD')]
config['app']['considering_candles'] = [('Sandbox', 'BTC-USD')]
store.reset()
store.tickers.init_storage()
@@ -18,20 +18,20 @@ def set_up():
def test_can_add_new_ticker():
set_up()
np.testing.assert_equal(store.tickers.get_tickers('Sandbox', 'BTCUSD'), np.zeros((0, 5)))
np.testing.assert_equal(store.tickers.get_tickers('Sandbox', 'BTC-USD'), np.zeros((0, 5)))
# add first ticker
t1 = np.array([jh.now_to_timestamp(), 1, 2, 3, 4], dtype=np.float64)
store.tickers.add_ticker(t1, 'Sandbox', 'BTCUSD')
np.testing.assert_equal(store.tickers.get_tickers('Sandbox', 'BTCUSD')[0], t1)
store.tickers.add_ticker(t1, 'Sandbox', 'BTC-USD')
np.testing.assert_equal(store.tickers.get_tickers('Sandbox', 'BTC-USD')[0], t1)
# fake 1 second
store.app.time += 1000
# add second ticker
t2 = np.array([jh.now_to_timestamp() + 1, 11, 22, 33, 44], dtype=np.float64)
store.tickers.add_ticker(t2, 'Sandbox', 'BTCUSD')
np.testing.assert_equal(store.tickers.get_tickers('Sandbox', 'BTCUSD'), np.array([t1, t2]))
store.tickers.add_ticker(t2, 'Sandbox', 'BTC-USD')
np.testing.assert_equal(store.tickers.get_tickers('Sandbox', 'BTC-USD'), np.array([t1, t2]))
def test_get_current_and_past_ticker():
@@ -42,17 +42,17 @@ def test_get_current_and_past_ticker():
t2 = np.array([jh.now_to_timestamp() + 1000, 2, 2, 3, 4], dtype=np.float64)
t3 = np.array([jh.now_to_timestamp() + 2000, 3, 2, 3, 4], dtype=np.float64)
t4 = np.array([jh.now_to_timestamp() + 3000, 4, 2, 3, 4], dtype=np.float64)
store.tickers.add_ticker(t1, 'Sandbox', 'BTCUSD')
store.tickers.add_ticker(t1, 'Sandbox', 'BTC-USD')
store.app.time += 1000
store.tickers.add_ticker(t2, 'Sandbox', 'BTCUSD')
store.tickers.add_ticker(t2, 'Sandbox', 'BTC-USD')
store.app.time += 1000
store.tickers.add_ticker(t3, 'Sandbox', 'BTCUSD')
store.tickers.add_ticker(t3, 'Sandbox', 'BTC-USD')
store.app.time += 1000
store.tickers.add_ticker(t4, 'Sandbox', 'BTCUSD')
np.testing.assert_equal(store.tickers.get_tickers('Sandbox', 'BTCUSD'), np.array([t1, t2, t3, t4]))
store.tickers.add_ticker(t4, 'Sandbox', 'BTC-USD')
np.testing.assert_equal(store.tickers.get_tickers('Sandbox', 'BTC-USD'), np.array([t1, t2, t3, t4]))
# get the previous one
np.testing.assert_equal(store.tickers.get_past_ticker('Sandbox', 'BTCUSD', 1), t3)
np.testing.assert_equal(store.tickers.get_past_ticker('Sandbox', 'BTC-USD', 1), t3)
# get current
np.testing.assert_equal(store.tickers.get_current_ticker('Sandbox', 'BTCUSD'), t4)
np.testing.assert_equal(store.tickers.get_current_ticker('Sandbox', 'BTC-USD'), t4)

30
tests/test_state_trades.py
View File

@@ -10,7 +10,7 @@ def set_up():
"""
reset_config()
config['app']['considering_candles'] = [('Sandbox', 'BTCUSD')]
config['app']['considering_candles'] = [('Sandbox', 'BTC-USD')]
store.reset()
store.trades.init_storage()
@@ -18,7 +18,7 @@ def set_up():
def test_can_add_add_trade():
set_up()
np.testing.assert_equal(store.trades.get_trades('Sandbox', 'BTCUSD'), np.zeros((0, 6)))
np.testing.assert_equal(store.trades.get_trades('Sandbox', 'BTC-USD'), np.zeros((0, 6)))
# add first trade
t1 = np.array([jh.now_to_timestamp(), 100, 2, 1], dtype=np.float64)
@@ -26,20 +26,20 @@ def test_can_add_add_trade():
t3 = np.array([jh.now_to_timestamp(), 98, 2, 0], dtype=np.float64)
t4 = np.array([jh.now_to_timestamp(), 98, 2, 0], dtype=np.float64)
t5 = np.array([jh.now_to_timestamp(), 98, 2, 0], dtype=np.float64)
store.trades.add_trade(t1, 'Sandbox', 'BTCUSD')
store.trades.add_trade(t2, 'Sandbox', 'BTCUSD')
store.trades.add_trade(t3, 'Sandbox', 'BTCUSD')
store.trades.add_trade(t4, 'Sandbox', 'BTCUSD')
store.trades.add_trade(t5, 'Sandbox', 'BTCUSD')
store.trades.add_trade(t1, 'Sandbox', 'BTC-USD')
store.trades.add_trade(t2, 'Sandbox', 'BTC-USD')
store.trades.add_trade(t3, 'Sandbox', 'BTC-USD')
store.trades.add_trade(t4, 'Sandbox', 'BTC-USD')
store.trades.add_trade(t5, 'Sandbox', 'BTC-USD')
assert len(store.trades.get_trades('Sandbox', 'BTCUSD')) == 0
assert len(store.trades.get_trades('Sandbox', 'BTC-USD')) == 0
t6 = np.array([jh.now_to_timestamp() + 1000, 98, 2, 1], dtype=np.float64)
store.trades.add_trade(t6, 'Sandbox', 'BTCUSD')
store.trades.add_trade(t6, 'Sandbox', 'BTC-USD')
assert len(store.trades.get_trades('Sandbox', 'BTCUSD')) == 1
assert len(store.trades.get_trades('Sandbox', 'BTC-USD')) == 1
np.testing.assert_equal(store.trades.get_current_trade('Sandbox', 'BTCUSD'), np.array([
np.testing.assert_equal(store.trades.get_current_trade('Sandbox', 'BTC-USD'), np.array([
jh.now_to_timestamp(),
# price
(100 * 2 + 98 * 2 + 98 * 2 + 98 * 2 + 98 * 2) / 10,
@@ -55,9 +55,9 @@ def test_can_add_add_trade():
# add another after two seconds
t7 = np.array([jh.now_to_timestamp() + 3000, 98, 2, 1], dtype=np.float64)
store.trades.add_trade(t7, 'Sandbox', 'BTCUSD')
store.trades.add_trade(t7, 'Sandbox', 'BTC-USD')
np.testing.assert_equal(store.trades.get_current_trade('Sandbox', 'BTCUSD'), np.array([
np.testing.assert_equal(store.trades.get_current_trade('Sandbox', 'BTC-USD'), np.array([
jh.now_to_timestamp() + 1000,
# price
98,
@@ -72,7 +72,7 @@ def test_can_add_add_trade():
]))
# test get_past_trade
np.testing.assert_equal(store.trades.get_past_trade('Sandbox', 'BTCUSD', 1), np.array([
np.testing.assert_equal(store.trades.get_past_trade('Sandbox', 'BTC-USD', 1), np.array([
jh.now_to_timestamp(),
# price
(100 * 2 + 98 * 2 + 98 * 2 + 98 * 2 + 98 * 2) / 10,
@@ -87,7 +87,7 @@ def test_can_add_add_trade():
]))
# test get_trades
np.testing.assert_equal(store.trades.get_trades('Sandbox', 'BTCUSD'), np.array([
np.testing.assert_equal(store.trades.get_trades('Sandbox', 'BTC-USD'), np.array([
[
jh.now_to_timestamp(),
# price

16
tests/test_trade.py
View File

@@ -34,7 +34,7 @@ def test_can_add_trade_to_store():
'stop_loss_at': 5,
'qty': 1,
'orders': [],
'symbol': 'BTCUSD',
'symbol': 'BTC-USD',
'opened_at': 1552309186171,
'closed_at': 1552309186171 + 60000
})
@@ -53,7 +53,7 @@ def test_holding_period():
'stop_loss_at': 5,
'qty': 1,
'orders': [],
'symbol': 'BTCUSD',
'symbol': 'BTC-USD',
'opened_at': 1552309186171,
'closed_at': 1552309186171 + 60000
})
@@ -74,7 +74,7 @@ def test_PNL_percentage():
'stop_loss_at': 5,
'qty': 1,
'orders': [],
'symbol': 'BTCUSD',
'symbol': 'BTC-USD',
'opened_at': jh.now_to_timestamp(),
'closed_at': jh.now_to_timestamp()
})
@@ -94,7 +94,7 @@ def test_PNL_with_fee():
'stop_loss_at': 5,
'qty': 1,
'orders': [],
'symbol': 'BTCUSD',
'symbol': 'BTC-USD',
'opened_at': jh.now_to_timestamp(),
'closed_at': jh.now_to_timestamp()
})
@@ -115,7 +115,7 @@ def test_PNL_without_fee():
'stop_loss_at': 5,
'qty': 1,
'orders': [],
'symbol': 'BTCUSD',
'symbol': 'BTC-USD',
'opened_at': jh.now_to_timestamp(),
'closed_at': jh.now_to_timestamp()
})
@@ -134,7 +134,7 @@ def test_R():
'stop_loss_at': 5,
'qty': 1,
'orders': [],
'symbol': 'BTCUSD',
'symbol': 'BTC-USD',
'opened_at': jh.now_to_timestamp(),
'closed_at': jh.now_to_timestamp()
})
@@ -153,7 +153,7 @@ def test_risk_percentage():
'stop_loss_at': 5,
'qty': 1,
'orders': [],
'symbol': 'BTCUSD',
'symbol': 'BTC-USD',
'opened_at': jh.now_to_timestamp(),
'closed_at': jh.now_to_timestamp()
})
@@ -170,7 +170,7 @@ def test_trade_size():
'stop_loss_at': 5,
'qty': 1,
'orders': [],
'symbol': 'BTCUSD',
'symbol': 'BTC-USD',
'opened_at': jh.now_to_timestamp(),
'closed_at': jh.now_to_timestamp()
})