Merge pull request #223 from Azulinho/next_release

drop SORT_BY for single checks, add VALID_TOKENS, revert find_best_results_from_backtesting_log()

.envrc

@@ -0,0 +1,3 @@
+if [ -e .envrc.local ]; then
+	source .envrc.local
+fi

.gitignore

@@ -24,3 +24,5 @@ strategies/Local*
 control/*
 .tests*.txt
 lastfewdays.log.gz
+.envrc.local
+*.inotifywait

Dockerfile

@@ -68,12 +68,13 @@ RUN eatmydata /cryptobot/.venv/bin/pip install -r requirements.txt && \
   rm -rf /tmp/*
 
 COPY lib/ lib/
-COPY utils/prove-backtesting.py utils/prove-backtesting.py
-COPY utils/prove-backtesting.sh utils/prove-backtesting.sh
+COPY utils/__init__.py utils/__init__.py
 COPY utils/pull_klines.py utils/pull_klines.py
 COPY utils/config-endpoint-service.py utils/config-endpoint-service.py
 COPY utils/config-endpoint-service.sh utils/config-endpoint-service.sh
 COPY klines_caching_service.py klines_caching_service.py
 COPY price_log_service.py price_log_service.py
 COPY app.py .
+COPY utils/prove-backtesting.sh utils/prove-backtesting.sh
+COPY utils/prove-backtesting.py utils/prove-backtesting.py
 

README.md

@@ -51,10 +51,12 @@ A python based trading bot for Binance, which relies heavily on backtesting.
     * [PRICE_LOG_SERVICE_URL](#price_log_service_url)
     * [KLINES_CACHING_SERVICE_URL](#klines_caching_service_url)
     * [CONCURRENCY](#concurrency)
-    * [SORT_BY](#sort_by)
-      * [max_profit_on_clean_wins](#max_profit_on_clean_wins)
-      * [number_of_clean_wins](#number_of_clean_wins)
-      * [greed](#greed)
+    * [MIN_PROFIT](#min_profit)
+    * [MIN_WINS](#min_wins)
+    * [MAX_LOSSES](#max_losses)
+    * [MAX_STALES](#max_stales)
+    * [MAX_HOLDS](#max_holds)
+    * [VALID_TOKENS](#valid_tokens)
 11. [Bot command center](#bot-command-center)
 12. [Development/New features](#development/new-features)
 
@@ -495,7 +497,7 @@ Use it as:
 returned at least 10% in profit.
 
  ```yaml
- MIN: 10
+ MIN_PROFIT: 10
  ```
 
 3. Update the dates to test against, for example:
@@ -1024,37 +1026,63 @@ The number of parallel backtesting processes to run.
 CONCURRENCY: 4
 ```
 
-### SORT_BY
+### MIN_PROFIT
 
-How to order results from the different test runs in automated-backtesting in
-order to choose the best config for each coin.
+Defines the minimum profit we expect from a single coin run in prove-backtesting
+before we select this run in our forward backtesting session.
 
-#### max_profit_on_clean_wins
+```yaml
+MIN_PROFIT: 10.0
+```
+
+### MIN_WINS
+
+Defines the minimum number of wins we expect from a single coin run in prove-backtesting
+before we select this run in our forward backtesting session.
+
+```yaml
+MIN_WINS: 3
+```
 
-Use the config that provided the best profit for this coin and did not result
-in any STOP_LOSSES or STALES or HOLDS at the end of the runs.
+### MAX_LOSSES
+
+Defines the maximum number of losses we tolerate from a single coin run in prove-backtesting
+before we select this run in our forward backtesting session.
 
 ```yaml
-SORT_BY: "max_profit_on_clean_wins"
+MAX_LOSSES: 2
 ```
 
-#### number_of_clean_wins
+### MAX_STALES
 
-Use the config that returned the highest number of wins for this coin and did
-not result in any STOP_LOSSES or STALES or HOLDS at the end of the runs
+Defines the maximum number of stales we tolerate from a single coin run in prove-backtesting
+before we select this run in our forward backtesting session.
 
 ```yaml
-SORT_BY: "number_of_clean_wins"
+MAX_STALES: 2
 ```
 
-#### greed
+### MAX_HOLDS
 
-Use the config that returned the highest profit for this coin.
+Defines the maximum number of holds we tolerate from a single coin run in prove-backtesting
+before we select this run in our forward backtesting session.
+Use 0 or 1
 
 ```yaml
-SORT_BY: "greed
+MAX_HOLDS: 1
 ```
 
+### VALID_TOKENS
+
+Defines a list of tokens that the bot will use in a prove-backtesting session,
+any tokens not defined will be ignored.
+Defaults to [], when set this [] all tokens are included.
+
+```yaml
+VALID_TOKENS: ["BTC", "ETH"]
+```
+
+
 ## Bot command center
 
 The bot is running a *pdb* endpoint on container port 5555.

requirements-dev.txt

@@ -19,3 +19,4 @@ urllib3-mock
 virtualenv
 types-requests
 flaky
+openai

run

@@ -358,7 +358,7 @@ function github_actions_ci_pr_docker_tests() {
 		TAG=pr CONFIG_FILE=prove-backtesting.yaml
 
 	wc -l results/prove-backtesting.prove-backtesting.yaml.txt \
-		| grep '44'
+		| grep '49'
 
 	for ta in 01 02 03 04 05 06 07 08 09
 	do

tests/prove-backtesting.yaml

@@ -17,15 +17,19 @@ KLINES_CACHING_SERVICE_URL: "http://klines:8999"
 PRICE_LOG_SERVICE_URL: "http://price-log-service:8998"
 CONCURRENCY: 1
 
-MIN: 1
 FILTER_BY: "ETH"
-SORT_BY: "greed"
+MIN_PROFIT: 1
+MIN_WINS: 0
+MAX_STALES: 9999
+MAX_HOLDS: 9999
+MAX_LOSSES: 9999
 FROM_DATE: 20211202
 END_DATE: 20211206
 ROLL_BACKWARDS: 1
 ROLL_FORWARD: 1
 STOP_BOT_ON_LOSS: false
 STOP_BOT_ON_STALE: false
+VALID_TOKENS: ["ETH"]
 
 STRATEGY: BuyDropSellRecoveryStrategy
 

tests/test_bot.py

@@ -4,18 +4,16 @@
 # pylint: disable=missing-function-docstring
 # pylint: disable=redefined-outer-name
 # pylint: disable=import-outside-toplevel
-# pylint: disable=no-self-use
 from datetime import datetime
 from unittest import mock
+import json
 from flaky import flaky
 
+import pytest
 import app
 import lib
 import lib.bot
 import lib.coin
-import pytest
-import requests
-import json
 
 
 @pytest.fixture()
@@ -518,7 +516,7 @@ def test_calculate_volume_size(self, bot, coin):
             bot, "get_step_size", return_value=(True, "0.00001000")
         ) as _:
             ok, volume = bot.calculate_volume_size(coin)
-            assert ok == True
+            assert ok is True
             assert volume == 0.5
 
     def test_get_binance_prices(self, bot):
@@ -767,12 +765,12 @@ def test_run_stategy_gives_False_if_coin_not_in_tickers(self, bot, coin):
     def test_run_stategy_gives_False_if_coin_is_delisted(self, bot, coin):
         coin.delisted = True
         bot.coins["BTCUSDT"] = coin
-        bot.run_strategy(coin) is False
+        assert bot.run_strategy(coin) is False
 
     def test_run_stategy_gives_False_if_coin_is_naughty(self, bot, coin):
         coin.naughty = True
         bot.coins["BTCUSDT"] = coin
-        bot.run_strategy(coin) is False
+        assert bot.run_strategy(coin) is False
 
     def test_run_stategy_calls_sale_if_wallet_not_empty(self, bot, coin):
         # if there are coins in WALLET
@@ -926,6 +924,34 @@ def test_place_sell_order(self, bot, coin):
 
         assert bot.place_sell_order(coin) is False
 
+    def test_get_ticker_with_default(self):
+        tickers = {
+            "ETH": {"BUY_AT_PERCENTAGE": "0.05", "SELL_AT_PERCENTAGE": "0.1"},
+            "BTC": {"BUY_AT_PERCENTAGE": "0.02", "SELL_AT_PERCENTAGE": "0.05"},
+        }
+
+        assert (
+            lib.bot.get_ticker_with_default(
+                tickers, "ETH", "BUY_AT_PERCENTAGE"
+            )
+            == "0.05"
+        )
+        assert (
+            lib.bot.get_ticker_with_default(
+                tickers, "ETH", "SELL_AT_PERCENTAGE"
+            )
+            == "0.1"
+        )
+
+    def test_get_ticker_with_default_not_in_ticket(self):
+        tickers = {}
+        assert (
+            lib.bot.get_ticker_with_default(
+                tickers, "ETH", "STOP_LOSS_AT_PERCENTAGE"
+            )
+            == "-99999999"
+        )
+
 
 class TestBotCheckForSaleConditions:
     def test_returns_early_on_empty_wallet(self, bot, coin):
@@ -1104,6 +1130,81 @@ def test_buy_coin_using_limit_order_in_testnet(self, bot, coin):
                         # TODO: assert that clear_all_coins_stats
 
 
+class TestPlaceBuyOrder:
+    def test_place_buy_order_limit(
+        self,
+        bot,
+        coin,
+    ):
+        bot.order_type = "LIMIT"
+        bot.extract_order_data = mock.MagicMock()
+        bot.client.get_order_book = mock.MagicMock()
+        bot.client.create_order = mock.MagicMock()
+        bot.client.get_order = mock.MagicMock()
+        lib.bot.udatetime.now = mock.MagicMock()
+
+        lib.bot.udatetime.now.return_value = datetime(2021, 1, 1, 0, 0, 0)
+        bot.client.get_order_book.return_value = {"asks": [(50000, 1)]}
+        bot.client.get_order.return_value = {
+            "orderId": 123,
+            "status": "FILLED",
+            "price": 50000,
+            "executedQty": 1,
+        }
+
+        bot.extract_order_data.return_value = (
+            True,
+            {"avgPrice": 50000, "volume": 1},
+        )
+
+        result = bot.place_buy_order(coin, 1.0)
+
+        bot.client.create_order.assert_called_with(
+            symbol="BTCUSDT",
+            side="BUY",
+            type="LIMIT",
+            quantity=1.0,
+            timeInForce="FOK",
+            price=50000,
+        )
+        assert result is True
+
+    def test_place_buy_order_market(
+        self,
+        coin,
+        bot,
+    ):
+        bot.order_type = "MARKET"
+        bot.extract_order_data = mock.MagicMock()
+        bot.client.get_order_book = mock.MagicMock()
+        bot.client.create_order = mock.MagicMock()
+        bot.client.get_order = mock.MagicMock()
+        lib.bot.udatetime.now = mock.MagicMock()
+
+        lib.bot.udatetime.now.return_value = datetime(2021, 1, 1, 0, 0, 0)
+        bot.client.get_order_book.return_value = {"asks": [(50000, 1)]}
+        bot.client.get_order.return_value = {
+            "orderId": 123,
+            "status": "FILLED",
+            "price": 50000,
+            "executedQty": 1,
+        }
+
+        bot.extract_order_data.return_value = (
+            True,
+            {"avgPrice": 50000, "volume": 1},
+        )
+        result = bot.place_buy_order(coin, 1.0)
+
+        bot.client.create_order.assert_called_with(
+            symbol="BTCUSDT",
+            side="BUY",
+            type="MARKET",
+            quantity=1.0,
+        )
+        assert result is True
+
+
 class TestCoinStatus:
     def test_stop_loss(self, bot, coin):
         bot.wallet = ["BTCUSDT"]
@@ -1573,9 +1674,52 @@ def test_coin_bought_when_price_above_averages_threshold(self, bot, coin):
             assert result is True
 
 
-class TestBacktesting:
-    def backtesting(self):
-        pass
+class TestBotState:  # pylint: disable=too-few-public-methods
+    def test_save_coins(self, bot, coin):
+        mock_open = mock.mock_open()
 
-    def backtest_logfile(self):
-        pass
+        lib.bot.fsync = mock.MagicMock()
+        lib.bot.unlink = mock.MagicMock()
+        lib.bot.rename = mock.MagicMock()
+
+        bot.coins["BTCUSDT"] = coin
+
+        with mock.patch("builtins.open", mock_open):
+            bot.save_coins()
+
+            expected_calls = [
+                mock.call().write(mock.ANY),
+            ]
+            mock_open.assert_has_calls(expected_calls, any_order=True)
+
+
+class TestForDelistedCoin:
+    def test_coin_is_delisted(self, bot, coin):
+        bot.load_klines_for_coin = mock.MagicMock(return_value=[])
+        bot.coins["BTCUSDT"] = coin
+        assert bot.check_for_delisted_coin("BTCUSDT")
+
+    def test_coin_is_not_delisted(self, bot, coin):
+        bot.load_klines_for_coin = mock.MagicMock(return_value=[1])
+        bot.coins["BTCUSDT"] = coin
+        assert bot.check_for_delisted_coin("BTCUSDT") is False
+
+
+class TestProcessLine:  # pylint: disable=too-few-public-methods
+    def test_process_line(self, bot, coin):
+        symbol = "BTCUSDT"
+        date = datetime(2021, 1, 1, 0, 0, 0).timestamp()
+        market_price = 40000.0
+
+        bot.coins = {}
+        bot.coins["BTCUSDT"] = coin
+
+        lib.bot.udatetime.now = mock.MagicMock(
+            return_value=datetime(2021, 1, 1, 0, 0, 0)
+        )
+        bot.process_line(symbol, date, market_price)
+
+        assert symbol in bot.coins
+        assert coin.symbol == symbol
+        assert coin.date == datetime(2021, 1, 1, 0, 0, 0).timestamp()
+        assert coin.price == market_price