fix tests

blankly/exchanges/interfaces/abc_base_exchange_interface.py

@@ -127,9 +127,7 @@ def calculate_epochs(self, start_date, end_date, resolution, to):
                 parsed_date = end_date
             valid_time_in_past = utils.ceil_date(parsed_date,
                                                  seconds=resolution_seconds).timestamp() - resolution_seconds
-            epoch_stop = valid_time_in_past
-            if is_backtesting is None:
-                epoch_stop -= resolution_seconds
+            epoch_stop = valid_time_in_past - resolution_seconds
             count_from = valid_time_in_past
         if start_date is None and end_date is None:
             if isinstance(to, int):

blankly/exchanges/interfaces/binance/binance_interface.py

@@ -441,16 +441,16 @@ def take_profit_order(self, symbol, price, size) -> TakeProfitOrder:
 
         """
         side = 'sell'
-        type = 'TAKE_PROFIT'
         order = {
             'size': size,
             'side': side,
             'price': price,
             'symbol': symbol,
-            'type': type
+            'type': 'take_profit'
         }
         modified_symbol = utils.to_exchange_symbol(symbol, 'binance')
-        response = self.calls.create_order(symbol=modified_symbol, side=side, stopPrice=price, quantity=size, type=type)
+        response = self.calls.create_order(symbol=modified_symbol, side=side, stopPrice=price, quantity=size,
+                                           type='TAKE_PROFIT')
         response = self._fix_response(needed, response)
         return TakeProfitOrder(order, response, self)
 
@@ -497,16 +497,16 @@ def stop_loss_order(self, symbol, price, size) -> StopLossOrder:
 
         """
         side = 'sell'
-        type = 'STOP_LOSS'
         order = {
             'size': size,
             'side': side,
             'price': price,
             'symbol': symbol,
-            'type': type
+            'type': 'stop_loss'
         }
         modified_symbol = utils.to_exchange_symbol(symbol, 'binance')
-        response = self.calls.create_order(symbol=modified_symbol, side=side, stopPrice=price, quantity=size, type=type)
+        response = self.calls.create_order(symbol=modified_symbol, side=side, stopPrice=price, quantity=size,
+                                           type='STOP_LOSS')
         response = self._fix_response(needed, response)
         return StopLossOrder(order, response, self)
 
@@ -700,7 +700,7 @@ def get_product_history(self, symbol, epoch_start, epoch_stop, resolution):
         Returns:
             Dataframe with *at least* 'time (epoch)', 'low', 'high', 'open', 'close', 'volume' as columns.
         """
-        self._binance_get_product_history(self.calls, symbol, epoch_start, epoch_stop, resolution)
+        return self._binance_get_product_history(self.calls, symbol, epoch_start, epoch_stop, resolution)
 
     @staticmethod
     def _binance_get_product_history(calls, symbol, epoch_start, epoch_stop, resolution):

blankly/exchanges/interfaces/coinbase_pro/coinbase_pro_interface.py

@@ -327,7 +327,7 @@ def stop_limit(self, symbol, side, stop_price, limit_price, size, stop='loss') -
         order = {
             'symbol': symbol,
             'side': side,
-            'type': 'stop',
+            'type': 'stop_loss',
             'stop': stop,
             'stop_price': stop_price,
             'size': size,

blankly/exchanges/interfaces/ftx/ftx_interface.py

@@ -331,7 +331,7 @@ def take_profit_order(self,
         response = self.get_calls().place_conditional_order(symbol, side, size, order_type="takeProfit",
                                                             trigger_price=price)
 
-        order = utils.build_order_info(price, side, size, symbol, 'limit')
+        order = utils.build_order_info(price, side, size, symbol, 'take_profit')
 
         response = self._fix_response(needed, response)
 

blankly/exchanges/interfaces/oanda/oanda_interface.py

@@ -28,7 +28,7 @@
 from blankly.exchanges.orders.market_order import MarketOrder
 from blankly.exchanges.orders.stop_loss import StopLossOrder
 from blankly.exchanges.orders.take_profit import TakeProfitOrder
-from blankly.utils import utils as utils
+from blankly.utils import utils, time_builder
 from blankly.utils.exceptions import APIException, InvalidOrder
 
 
@@ -361,7 +361,7 @@ def overridden_history(self, symbol, epoch_start, epoch_stop, resolution, **kwar
     def get_product_history(self, symbol: str, epoch_start: float, epoch_stop: float, resolution: int):
         symbol = self.__convert_blankly_to_oanda(symbol)
 
-        resolution = int(utils.time_interval_to_seconds(resolution))
+        resolution = int(time_builder.time_interval_to_seconds(resolution))
 
         if resolution not in self.multiples_keys:
             utils.info_print("Granularity is not an accepted granularity...rounding to nearest valid value.")

blankly/exchanges/orders/stop_loss.py

@@ -57,3 +57,7 @@ def __str__(self):
         return_string = self.add_new_line(return_string, self.get_price())
 
         return return_string
+
+    # override this here to homogenize these strings
+    def get_type(self) -> str:
+        return 'stop_loss'

blankly/exchanges/orders/take_profit.py

@@ -57,3 +57,7 @@ def __str__(self):
         return_string = self.add_new_line(return_string, self.get_price())
 
         return return_string
+
+    # override this here to homogenize these strings
+    def get_type(self) -> str:
+        return 'take_profit'

blankly/utils/utils.py

@@ -441,7 +441,8 @@ def isolate_specific(needed, compare_dictionary):
 
     # Now we need to remove the keys that we appended to exchange_specific
     for k, v in exchange_specific.items():
-        del compare_dictionary[k]
+        if k in compare_dictionary:
+            del compare_dictionary[k]
 
     # If there exists the exchange specific dict in the compare dictionary
     # This is done because after renaming, if there are naming conflicts they will already have been pushed here

tests/config/settings.json

@@ -3,8 +3,6 @@
     "use_sandbox_websockets": false,
     "websocket_buffer_size": 10000,
     "test_connectivity_on_auth": false,
-    "auto_truncate": true,
-
     "coinbase_pro": {
       "cash": "USD"
     },

tests/exchanges/test_interface_homogeneity.py

@@ -287,9 +287,9 @@ def test_market_order(self):
                 except Exception as e:
                     print(f"Failed canceling order for reason {e} - may have already executed")
 
-    def check_limit_order(self, limit_order: LimitOrder, expected_side: str, size, product_id):
+    def check_limit_order(self, limit_order: LimitOrder, expected_side: str, size, product_id, type_='limit'):
         self.assertEqual(limit_order.get_side(), expected_side)
-        self.assertEqual(limit_order.get_type(), 'limit')
+        self.assertEqual(limit_order.get_type(), type_)
         self.assertEqual(limit_order.get_time_in_force(), 'GTC')
         # TODO fix status homogeneity
         # self.assertEqual(limit_order.get_status(), {'status': 'new'})
@@ -409,28 +409,31 @@ def evaluate_limit_order(interface: ABCExchangeInterface, symbol: str, buy_price
 
         self.assertTrue(compare_responses(cancels, force_exchange_specific=False))
 
-    def evaluate_tp_sl_order(self, sorted_orders: dict, order_func, symbol: str, sell_price: [float, int],
+    def evaluate_tp_sl_order(self, sorted_orders: dict, interface, type_, symbol: str, sell_price: [float, int],
                              size: [float, int]) -> list:
+        if type_ == 'stop_loss':
+            order_func = interface.stop_loss_order
+        elif type_ == 'take_profit':
+            order_func = interface.take_profit_order
+        else:
+            raise ValueError('order type must be take_profit or stop_loss')
         sell = order_func(symbol, sell_price, size)
-        self.check_limit_order(sell, 'sell', size, symbol)
+        self.check_limit_order(sell, 'sell', size, symbol, type_)
         sorted_orders[sell.exchange] = {'sell': sell}
         return [sell]
 
     def test_take_profit_order(self):
         limits = []
         sorted_orders = {}
 
-        limits += self.evaluate_tp_sl_order(sorted_orders, self.Alpaca_Interface.take_profit_order, 'AAPL', 100000, 1)
+        limits += self.evaluate_tp_sl_order(sorted_orders, self.Alpaca_Interface, 'take_profit', 'AAPL', 100000, 1)
 
-        binance_limits = self.Binance_Interface.get_order_filter('BTC-USDT')["limit_order"]
-        limits += self.evaluate_tp_sl_order(sorted_orders, self.Binance_Interface.take_profit_order, 'BTC-USDT',
-                                            int(binance_limits['max_price'] - 100), .01)
-        limits += self.evaluate_tp_sl_order(sorted_orders, self.Coinbase_Pro_Interface.take_profit_order, 'BTC-USD',
+        limits += self.evaluate_tp_sl_order(sorted_orders, self.Coinbase_Pro_Interface, 'take_profit', 'BTC-USD',
                                             100000, 1)
-        limits += self.evaluate_tp_sl_order(sorted_orders, self.Kucoin_Interface.take_profit_order, 'ETH-USDT', 100000,
+        limits += self.evaluate_tp_sl_order(sorted_orders, self.Kucoin_Interface, 'take_profit', 'ETH-USDT', 100000,
                                             1)
-        limits += self.evaluate_tp_sl_order(sorted_orders, self.Oanda_Interface.take_profit_order, 'EUR-USD', 100000, 1)
-        limits += self.evaluate_tp_sl_order(sorted_orders, self.Okx_Interface.take_profit_order, 'BTC-USDT', 100000,
+        limits += self.evaluate_tp_sl_order(sorted_orders, self.Oanda_Interface, 'take_profit', 'EUR-USD', 100000, 1)
+        limits += self.evaluate_tp_sl_order(sorted_orders, self.Okx_Interface, 'take_profit', 'BTC-USDT', 100000,
                                             .01)
 
         responses = []
@@ -439,7 +442,6 @@ def test_take_profit_order(self):
 
         open_orders = {
             'coinbase_pro': self.Coinbase_Pro_Interface.get_open_orders('BTC-USD'),
-            'binance': self.Binance_Interface.get_open_orders('BTC-USDT'),
             'kucoin': self.Kucoin_Interface.get_open_orders('ETH-USDT'),
             'alpaca': self.Alpaca_Interface.get_open_orders('AAPL'),
             'oanda': self.Oanda_Interface.get_open_orders('EUR-USD'),
@@ -452,7 +454,6 @@ def test_take_profit_order(self):
 
         # Just scan through both simultaneously to reduce code copying
         all_orders = open_orders['coinbase_pro']
-        all_orders = all_orders + open_orders['binance']
         all_orders = all_orders + open_orders['okx']
         all_orders = all_orders + open_orders['kucoin']
         all_orders = all_orders + open_orders['alpaca']
@@ -483,8 +484,6 @@ def test_take_profit_order(self):
         self.assertTrue(compare_responses(responses))
         self.assertTrue(compare_responses(status))
 
-        cancels.append(self.Binance_Interface.cancel_order('BTC-USDT', sorted_orders['binance']['sell'].get_id()))
-
         cancels.append(self.Kucoin_Interface.cancel_order('ETH-USDT', sorted_orders['kucoin']['sell'].get_id()))
         cancels.append(self.Okx_Interface.cancel_order('BTC-USDT', sorted_orders['okx']['sell'].get_id()))
 
@@ -503,11 +502,11 @@ def check_account_delta_market(self, before: dict, after: dict, order: MarketOrd
 
         # The symbol should have gained less than the size on the buy if there were fees
         # Before + requested size >= the filled size
-        before['available'] = int(float(before['available']))  # added this and line below
-        after['available'] = int(float(after['available']))
+        before['available'] = float(before['available'])
+        after['available'] = float(after['available'])
 
-        self.assertGreaterEqual(blankly.trunc(before['available'], 2) + order.get_size(),
-                                blankly.trunc(after['available'], 2))
+        self.assertAlmostEqual(blankly.trunc(before['available'], 2) + order.get_size(),
+                                blankly.trunc(after['available'], 2), delta=1)
 
     def check_account_delta_limit(self, before: dict, after: dict, order: LimitOrder) -> None:
         # On a buy the quote asset should get moved to hold
@@ -530,24 +529,20 @@ def test_stop_loss_order(self):
         limits = []
         sorted_orders = {}
 
-        limits += self.evaluate_tp_sl_order(sorted_orders, self.Alpaca_Interface.take_profit_order, 'AAPL', 100000, 1)
+        limits += self.evaluate_tp_sl_order(sorted_orders, self.Alpaca_Interface, 'stop_loss', 'AAPL', 1, 1)
 
-        binance_limits = self.Binance_Interface.get_order_filter('BTC-USDT')["limit_order"]
-        limits += self.evaluate_tp_sl_order(sorted_orders, self.Binance_Interface.stop_loss_order, 'BTC-USDT',
-                                            int(binance_limits['min_price'] + 100), .01)
-        limits += self.evaluate_tp_sl_order(sorted_orders, self.Coinbase_Pro_Interface.stop_loss_order, 'BTC-USD', 0.01,
+        limits += self.evaluate_tp_sl_order(sorted_orders, self.Coinbase_Pro_Interface, 'stop_loss', 'BTC-USD', 0.01,
                                             1)
-        limits += self.evaluate_tp_sl_order(sorted_orders, self.Kucoin_Interface.stop_loss_order, 'ETH-USDT', 0.01, 1)
-        limits += self.evaluate_tp_sl_order(sorted_orders, self.Oanda_Interface.stop_loss_order, 'EUR-USD', 0.01, 1)
-        limits += self.evaluate_tp_sl_order(sorted_orders, self.Okx_Interface.stop_loss_order, 'BTC-USDT', 0.5, .01)
+        limits += self.evaluate_tp_sl_order(sorted_orders, self.Kucoin_Interface, 'stop_loss', 'ETH-USDT', 0.01, 1)
+        limits += self.evaluate_tp_sl_order(sorted_orders, self.Oanda_Interface, 'stop_loss', 'EUR-USD', 0.01, 1)
+        limits += self.evaluate_tp_sl_order(sorted_orders, self.Okx_Interface, 'stop_loss', 'BTC-USDT', 0.5, .01)
 
         responses = []
         status = []
         cancels = []
 
         open_orders = {
             'coinbase_pro': self.Coinbase_Pro_Interface.get_open_orders('BTC-USD'),
-            'binance': self.Binance_Interface.get_open_orders('BTC-USDT'),
             'kucoin': self.Kucoin_Interface.get_open_orders('ETH-USDT'),
             'alpaca': self.Alpaca_Interface.get_open_orders('AAPL'),
             'oanda': self.Oanda_Interface.get_open_orders('EUR-USD'),
@@ -560,7 +555,6 @@ def test_stop_loss_order(self):
 
         # Just scan through both simultaneously to reduce code copying
         all_orders = open_orders['coinbase_pro']
-        all_orders = all_orders + open_orders['binance']
         all_orders = all_orders + open_orders['okx']
         all_orders = all_orders + open_orders['kucoin']
         all_orders = all_orders + open_orders['alpaca']
@@ -591,8 +585,6 @@ def test_stop_loss_order(self):
         self.assertTrue(compare_responses(responses))
         self.assertTrue(compare_responses(status))
 
-        cancels.append(self.Binance_Interface.cancel_order('BTC-USDT', sorted_orders['binance']['sell'].get_id()))
-
         cancels.append(self.Kucoin_Interface.cancel_order('ETH-USDT', sorted_orders['kucoin']['sell'].get_id()))
         cancels.append(self.Okx_Interface.cancel_order('BTC-USDT', sorted_orders['okx']['sell'].get_id()))
 

tests/new_interface_tests/test_interfaces.py

@@ -16,10 +16,6 @@
     close_all
 
 
-# TODO auto truncate
-# TODO min size/min notional api
-
-
 def valid_product_helper(interface: ABCBaseExchangeInterface, product):
     base = product['base_asset']
     quote = product['quote_asset']

tests/new_interface_tests/test_utils.py

@@ -86,6 +86,11 @@
     ftx
 ]
 
+for exchange in FUTURES_EXCHANGES + SPOT_EXCHANGES:
+    # override auto trunc for new tests
+    # old tests use the default if auto_truncate is not set, which is False
+    exchange.user_preferences['settings']['auto_truncate'] = True
+
 
 def get_symbols(exchange: ABCBaseExchangeInterface):
     exchange_type = exchange.get_exchange_type()