def test_portfolio_value():
set_up()
routes = [
{
'exchange': exchanges.SANDBOX,
'symbol': 'ETH-USDT',
'timeframe': '5m',
'strategy': 'TestPortfolioValue'
},
{
'exchange': exchanges.SANDBOX,
'symbol': 'BTC-USDT',
'timeframe': '5m',
'strategy': 'TestPortfolioValue'
},
]
candles = {}
for r in routes:
key = jh.key(r['exchange'], r['symbol'])
candles[key] = {
'exchange': r['exchange'],
'symbol': r['symbol'],
'candles': range_candles((5 * 3) * 20)
}
# run backtest (dates are fake just to pass)
backtest_mode.run(False, {}, routes, [], '2019-04-01', '2019-04-02',
candles)
def test_get_candles_including_forming():
set_up()
candles_to_add = range_candles(14)
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', 'BTC-USD', '5m')
store.candles.add_candle(
generate_candle_from_one_minutes('5m', candles_to_add[5:10], False),
'Sandbox', 'BTC-USD', '5m')
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', '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]
# add third one while still a forming candle. Now since
# we already have forming, get_candles() must not
# append another forming candle to the end.
store.candles.add_candle(
generate_candle_from_one_minutes('5m', candles_to_add[10:14], True),
'Sandbox', 'BTC-USD', '5m')
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 = range_candles(13)
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', 'BTC-USD',
'1m')
# add 5m candles
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', '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]
def test_can_perform_backtest_with_multiple_routes():
set_up()
routes = [
{
'exchange': exchanges.SANDBOX,
'symbol': 'ETH-USDT',
'timeframe': '5m',
'strategy': 'Test01'
},
{
'exchange': exchanges.SANDBOX,
'symbol': 'BTC-USDT',
'timeframe': '5m',
'strategy': 'Test02'
},
]
candles = {}
for r in routes:
key = jh.key(r['exchange'], r['symbol'])
candles[key] = {
'exchange': r['exchange'],
'symbol': r['symbol'],
'candles': range_candles((5 * 3) * 20)
}
# run backtest (dates are fake just to pass)
backtest_mode.run(False, {}, routes, [], '2019-04-01', '2019-04-02',
candles)
for r in router.routes:
s: Strategy = r.strategy
p = s.position
assert p.is_close is True
assert len(s.orders) == 3
o: Order = s.orders[0]
short_candles = store.candles.get_candles(r.exchange, r.symbol, '1m')
assert o.price == short_candles[4][2]
assert o.price == s.candles[0][2]
assert o.created_at == short_candles[4][0] + 60_000
assert o.is_executed is True
assert s.orders[0].role == order_roles.OPEN_POSITION
assert s.orders[0].type == order_types.MARKET
assert s.orders[2].role == order_roles.CLOSE_POSITION
assert s.orders[2].type == order_types.STOP
assert s.orders[1].role == order_roles.CLOSE_POSITION
assert s.orders[1].type == order_types.LIMIT
assert s.trade is None
assert len(store.completed_trades.trades) == 2
# assert one is long and the other is a short trade
assert (store.completed_trades.trades[0].type == 'long'
and store.completed_trades.trades[1].type == 'short') or (
store.completed_trades.trades[0].type == 'short'
and store.completed_trades.trades[1].type == 'long')
def test_multiple_routes_can_communicate_with_each_other():
set_up()
routes = [
{
'exchange': exchanges.SANDBOX,
'symbol': 'ETH-USDT',
'timeframe': '5m',
'strategy': 'Test03'
},
{
'exchange': exchanges.SANDBOX,
'symbol': 'BTC-USDT',
'timeframe': '5m',
'strategy': 'Test03'
},
]
candles = {}
for r in routes:
key = jh.key(r['exchange'], r['symbol'])
candles[key] = {
'exchange': r['exchange'],
'symbol': r['symbol'],
'candles': range_candles((5 * 3) * 20)
}
# run backtest (dates are fake just to pass)
backtest_mode.run(False, {}, routes, [], '2019-04-01', '2019-04-02',
candles)
assert len(store.completed_trades.trades) == 1
for r in router.routes:
s: Strategy = r.strategy
p = s.position
assert p.is_close is True
o: Order = s.orders[0]
short_candles = store.candles.get_candles(r.exchange, r.symbol, '1m')
assert o.created_at == short_candles[4][0] + 60_000
if r.strategy.trades_count == 0:
assert len(s.orders) == 1
# assert that the order got canceled
assert o.is_canceled is True
assert s.orders[0].role == order_roles.OPEN_POSITION
assert s.orders[0].type == order_types.LIMIT
elif r.strategy.trades_count == 1:
assert len(s.orders) == 3
assert o.is_executed is True
assert s.orders[0].role == order_roles.OPEN_POSITION
assert s.orders[0].type == order_types.LIMIT
assert s.orders[2].role == order_roles.CLOSE_POSITION
assert s.orders[2].type == order_types.STOP
assert s.orders[1].role == order_roles.CLOSE_POSITION
assert s.orders[1].type == order_types.LIMIT
def test_backtesting_one_route():
reset_config()
routes = [{
'exchange': exchanges.SANDBOX,
'symbol': 'BTC-USDT',
'timeframe': timeframes.MINUTE_5,
'strategy': 'Test19'
}]
config['env']['exchanges'][exchanges.SANDBOX]['type'] = 'futures'
candles = {}
key = jh.key(exchanges.SANDBOX, 'BTC-USDT')
candles[key] = {
'exchange': exchanges.SANDBOX,
'symbol': 'BTC-USDT',
'candles': range_candles(5 * 20)
}
# run backtest (dates are fake just to pass)
backtest_mode.run(False, {}, routes, [], '2019-04-01', '2019-04-02',
candles)
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
assert len(one_min) == 20 * 5
first_1 = one_min[0]
last_1 = one_min[-1]
first_5 = five_min[0]
last_5 = five_min[-1]
# assert time in store
assert store.app.time == last_1[0] + 60000
# assert timestamps
assert first_1[0] == first_5[0]
assert last_1[0] == (last_5[0] + 60000 * 4)
# there must be only one positions present
assert len(store.positions.storage) == 1
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]
# assert routes
assert len(router.routes) == 1
assert router.routes[0].exchange == exchanges.SANDBOX
assert router.routes[0].symbol == 'BTC-USDT'
assert router.routes[0].timeframe == '5m'
assert router.routes[0].strategy_name == 'Test19'
# assert that the strategy has been initiated
assert router.routes[0].strategy is not None
def test_generate_candle_from_one_minutes():
candles = range_candles(5)
five_minutes_candle = generate_candle_from_one_minutes('5m', candles)
assert five_minutes_candle[0] == candles[0][0]
assert five_minutes_candle[1] == candles[0][1]
assert five_minutes_candle[2] == candles[-1][2]
assert five_minutes_candle[3] == candles[:, 3].max()
assert five_minutes_candle[4] == candles[:, 4].min()
assert five_minutes_candle[5] == candles[:, 5].sum()
def test_batch_add_candles():
set_up()
assert len(store.candles.get_candles('Sandbox', 'BTC-USD', '1m')) == 0
# create 100 candles
candles_to_add = range_candles(100)
assert len(candles_to_add) == 100
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_should_buy_and_execute_buy():
set_up()
routes = [
{
'exchange': exchanges.SANDBOX,
'symbol': 'ETH-USDT',
'timeframe': timeframes.MINUTE_5,
'strategy': 'Test01'
},
]
candles = {}
for r in routes:
key = jh.key(r['exchange'], r['symbol'])
candles[key] = {
'exchange': r['exchange'],
'symbol': r['symbol'],
'candles': range_candles((5 * 3) * 20)
}
# run backtest (dates are fake just to pass)
backtest_mode.run(False, {}, routes, [], '2019-04-01', '2019-04-02',
candles)
for r in router.routes:
s: Strategy = r.strategy
p = s.position
assert p.is_close is True
assert len(s.orders) == 3
o: Order = s.orders[0]
short_candles = store.candles.get_candles(r.exchange, r.symbol, '1m')
assert o.price == short_candles[4][2]
assert o.price == s.candles[0][2]
assert o.created_at == short_candles[4][0] + 60_000
assert o.is_executed is True
assert s.orders[1].role == order_roles.CLOSE_POSITION
assert s.orders[2].role == order_roles.CLOSE_POSITION
assert s.orders[0].role == order_roles.OPEN_POSITION
assert s.trade is None
trade: CompletedTrade = store.completed_trades.trades[0]
assert trade.type == 'long'
# must include executed orders, in this case it's entry and take_profit
assert len(trade.orders) == 2
assert trade.orders[0].side == 'buy'
assert trade.orders[0].type == 'MARKET'
assert trade.orders[1].side == 'sell'
assert trade.orders[1].type == 'LIMIT'
assert len(store.completed_trades.trades) == 1
def test_should_sell_and_execute_sell():
set_up()
routes = [
{
'exchange': exchanges.SANDBOX,
'symbol': 'ETH-USDT',
'timeframe': timeframes.MINUTE_5,
'strategy': 'Test02'
},
]
candles = {}
for r in routes:
key = jh.key(r['exchange'], r['symbol'])
candles[key] = {
'exchange': r['exchange'],
'symbol': r['symbol'],
'candles': range_candles((5 * 3) * 20)
}
# run backtest (dates are fake just to pass)
backtest_mode.run(False, {}, routes, [], '2019-04-01', '2019-04-02',
candles)
for r in router.routes:
s: Strategy = r.strategy
p = s.position
assert p.is_close is True
assert len(s.orders) == 3
o: Order = s.orders[0]
short_candles = store.candles.get_candles(r.exchange, r.symbol, '1m')
assert o.price == short_candles[4][2]
assert o.price == s.candles[0][2]
assert o.created_at == short_candles[4][0] + 60_000
assert o.is_executed is True
assert s.orders[1].role == order_roles.CLOSE_POSITION
assert s.orders[2].role == order_roles.CLOSE_POSITION
assert s.orders[0].role == order_roles.OPEN_POSITION
assert s.trade is None
assert len(store.completed_trades.trades) == 1
assert store.completed_trades.trades[0].type == 'short'
def fake_range_candles(count: int) -> np.ndarray:
"""
Generates a range of candles with random values.
"""
return factories.range_candles(count)
def test_backtesting_three_routes():
reset_config()
routes = [{
'exchange': exchanges.SANDBOX,
'symbol': 'BTC-USDT',
'timeframe': timeframes.MINUTE_5,
'strategy': 'Test19'
}, {
'exchange': exchanges.SANDBOX,
'symbol': 'ETH-USDT',
'timeframe': timeframes.MINUTE_5,
'strategy': 'Test19'
}, {
'exchange': exchanges.SANDBOX,
'symbol': 'XRP-USDT',
'timeframe': timeframes.MINUTE_15,
'strategy': 'Test19'
}]
config['env']['exchanges'][exchanges.SANDBOX]['type'] = 'futures'
candles = {}
for r in routes:
key = jh.key(r['exchange'], r['symbol'])
candles[key] = {
'exchange': r['exchange'],
'symbol': r['symbol'],
'candles': range_candles(5 * 3 * 20)
}
# run backtest (dates are fake just to pass)
backtest_mode.run(False, {}, routes, [], '2019-04-01', '2019-04-02',
candles)
# there must be three positions present with the updated current_price
assert len(store.positions.storage) == 3
for r in router.routes:
# r3's '15m' timeframe makes r1 and r2 to support
# '15' timeframe as well. r1 and r2 also make r3
# to support '5m' timeframe also.
r_one_min = store.candles.get_candles(r.exchange, r.symbol, '1m')
r_five_min = store.candles.get_candles(r.exchange, r.symbol, '5m')
r_fifteen_min = store.candles.get_candles(r.exchange, r.symbol, '15m')
# assert the count of present candles
assert len(r_one_min) == (5 * 3) * 20
assert len(r_five_min) == 20 * 3
assert len(r_fifteen_min) == 20
r_first_1 = r_one_min[0]
r_last_1 = r_one_min[-1]
r_first_5 = r_five_min[0]
r_last_5 = r_five_min[-1]
r_last_15 = r_fifteen_min[-1]
# assert timestamps
assert r_first_1[0] == r_first_5[0]
assert r_last_1[0] == (r_last_5[0] + 60000 * 4)
assert r_last_5[0] == (r_last_15[0] + 60000 * 10)
# assert positions
p = selectors.get_position(r.exchange, r.symbol)
assert p.is_close is True
last_candle = store.candles.get_candles(r.exchange, r.symbol, '1m')[-1]
assert p.current_price == last_candle[2]
# assert that the strategy has been initiated
assert r.strategy is not None