stable/freqtrade/exchange/exchange.py

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# pragma pylint: disable=W0603
""" Cryptocurrency Exchanges support """
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import logging
import inspect
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from random import randint
from typing import List, Dict, Tuple, Any, Optional
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from datetime import datetime
from math import floor, ceil
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import arrow
import asyncio
import ccxt
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import ccxt.async_support as ccxt_async
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from pandas import DataFrame
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from freqtrade import (constants, DependencyException, OperationalException,
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TemporaryError, InvalidOrderException)
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from freqtrade.data.converter import parse_ticker_dataframe
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logger = logging.getLogger(__name__)
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API_RETRY_COUNT = 4
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def retrier_async(f):
async def wrapper(*args, **kwargs):
count = kwargs.pop('count', API_RETRY_COUNT)
try:
return await f(*args, **kwargs)
except (TemporaryError, DependencyException) as ex:
logger.warning('%s() returned exception: "%s"', f.__name__, ex)
if count > 0:
count -= 1
kwargs.update({'count': count})
logger.warning('retrying %s() still for %s times', f.__name__, count)
return await wrapper(*args, **kwargs)
else:
logger.warning('Giving up retrying: %s()', f.__name__)
raise ex
return wrapper
def retrier(f):
def wrapper(*args, **kwargs):
count = kwargs.pop('count', API_RETRY_COUNT)
try:
return f(*args, **kwargs)
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except (TemporaryError, DependencyException) as ex:
logger.warning('%s() returned exception: "%s"', f.__name__, ex)
if count > 0:
count -= 1
kwargs.update({'count': count})
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logger.warning('retrying %s() still for %s times', f.__name__, count)
return wrapper(*args, **kwargs)
else:
logger.warning('Giving up retrying: %s()', f.__name__)
raise ex
return wrapper
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class Exchange(object):
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_config: Dict = {}
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_params: Dict = {}
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# Dict to specify which options each exchange implements
# TODO: this should be merged with attributes from subclasses
# To avoid having to copy/paste this to all subclasses.
_ft_has: Dict = {
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"stoploss_on_exchange": False,
"order_time_in_force": ["gtc"],
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}
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def __init__(self, config: dict) -> None:
"""
Initializes this module with the given config,
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it does basic validation whether the specified exchange and pairs are valid.
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:return: None
"""
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self._config.update(config)
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self._cached_ticker: Dict[str, Any] = {}
# Holds last candle refreshed time of each pair
self._pairs_last_refresh_time: Dict[Tuple[str, str], int] = {}
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# Timestamp of last markets refresh
self._last_markets_refresh: int = 0
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# Holds candles
self._klines: Dict[Tuple[str, str], DataFrame] = {}
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# Holds all open sell orders for dry_run
self._dry_run_open_orders: Dict[str, Any] = {}
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if config['dry_run']:
logger.info('Instance is running with dry_run enabled')
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exchange_config = config['exchange']
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self._api: ccxt.Exchange = self._init_ccxt(
exchange_config, ccxt_kwargs=exchange_config.get('ccxt_config'))
self._api_async: ccxt_async.Exchange = self._init_ccxt(
exchange_config, ccxt_async, ccxt_kwargs=exchange_config.get('ccxt_async_config'))
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logger.info('Using Exchange "%s"', self.name)
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# Converts the interval provided in minutes in config to seconds
self.markets_refresh_interval: int = exchange_config.get(
"markets_refresh_interval", 60) * 60
# Initial markets load
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self._load_markets()
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# Check if all pairs are available
self.validate_pairs(config['exchange']['pair_whitelist'])
self.validate_ordertypes(config.get('order_types', {}))
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self.validate_order_time_in_force(config.get('order_time_in_force', {}))
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if config.get('ticker_interval'):
# Check if timeframe is available
self.validate_timeframes(config['ticker_interval'])
def __del__(self):
"""
Destructor - clean up async stuff
"""
logger.debug("Exchange object destroyed, closing async loop")
if self._api_async and inspect.iscoroutinefunction(self._api_async.close):
asyncio.get_event_loop().run_until_complete(self._api_async.close())
def _init_ccxt(self, exchange_config: dict, ccxt_module=ccxt,
ccxt_kwargs: dict = None) -> ccxt.Exchange:
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"""
Initialize ccxt with given config and return valid
ccxt instance.
"""
# Find matching class for the given exchange name
name = exchange_config['name']
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if name not in ccxt_module.exchanges:
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raise OperationalException(f'Exchange {name} is not supported')
ex_config = {
'apiKey': exchange_config.get('key'),
'secret': exchange_config.get('secret'),
'password': exchange_config.get('password'),
'uid': exchange_config.get('uid', ''),
'enableRateLimit': exchange_config.get('ccxt_rate_limit', True)
}
if ccxt_kwargs:
logger.info('Applying additional ccxt config: %s', ccxt_kwargs)
ex_config.update(ccxt_kwargs)
try:
api = getattr(ccxt_module, name.lower())(ex_config)
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except (KeyError, AttributeError):
raise OperationalException(f'Exchange {name} is not supported')
self.set_sandbox(api, exchange_config, name)
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return api
@property
def name(self) -> str:
"""exchange Name (from ccxt)"""
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return self._api.name
@property
def id(self) -> str:
"""exchange ccxt id"""
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return self._api.id
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@property
def markets(self) -> Dict:
"""exchange ccxt markets"""
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if not self._api.markets:
logger.warning("Markets were not loaded. Loading them now..")
self._load_markets()
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return self._api.markets
def klines(self, pair_interval: Tuple[str, str], copy=True) -> DataFrame:
if pair_interval in self._klines:
return self._klines[pair_interval].copy() if copy else self._klines[pair_interval]
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else:
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return DataFrame()
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def set_sandbox(self, api, exchange_config: dict, name: str):
if exchange_config.get('sandbox'):
if api.urls.get('test'):
api.urls['api'] = api.urls['test']
logger.info("Enabled Sandbox API on %s", name)
else:
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logger.warning(name, "No Sandbox URL in CCXT, exiting. "
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"Please check your config.json")
raise OperationalException(f'Exchange {name} does not provide a sandbox api')
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def _load_async_markets(self, reload=False) -> None:
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try:
if self._api_async:
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asyncio.get_event_loop().run_until_complete(
self._api_async.load_markets(reload=reload))
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except ccxt.BaseError as e:
logger.warning('Could not load async markets. Reason: %s', e)
return
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def _load_markets(self) -> None:
""" Initialize markets both sync and async """
try:
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self._api.load_markets()
self._load_async_markets()
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self._last_markets_refresh = arrow.utcnow().timestamp
except ccxt.BaseError as e:
logger.warning('Unable to initialize markets. Reason: %s', e)
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def _reload_markets(self) -> None:
"""Reload markets both sync and async, if refresh interval has passed"""
# Check whether markets have to be reloaded
if (self._last_markets_refresh > 0) and (
self._last_markets_refresh + self.markets_refresh_interval
> arrow.utcnow().timestamp):
return None
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logger.debug("Performing scheduled market reload..")
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self._api.load_markets(reload=True)
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self._last_markets_refresh = arrow.utcnow().timestamp
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def validate_pairs(self, pairs: List[str]) -> None:
"""
Checks if all given pairs are tradable on the current exchange.
Raises OperationalException if one pair is not available.
:param pairs: list of pairs
:return: None
"""
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if not self.markets:
logger.warning('Unable to validate pairs (assuming they are correct).')
# return
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for pair in pairs:
# Note: ccxt has BaseCurrency/QuoteCurrency format for pairs
# TODO: add a support for having coins in BTC/USDT format
if self.markets and pair not in self.markets:
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raise OperationalException(
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f'Pair {pair} is not available on {self.name}. '
f'Please remove {pair} from your whitelist.')
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def validate_timeframes(self, timeframe: List[str]) -> None:
"""
Checks if ticker interval from config is a supported timeframe on the exchange
"""
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timeframes = self._api.timeframes
if timeframe not in timeframes:
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raise OperationalException(
f'Invalid ticker {timeframe}, this Exchange supports {timeframes}')
def validate_ordertypes(self, order_types: Dict) -> None:
"""
Checks if order-types configured in strategy/config are supported
"""
if any(v == 'market' for k, v in order_types.items()):
if not self.exchange_has('createMarketOrder'):
raise OperationalException(
f'Exchange {self.name} does not support market orders.')
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if (order_types.get("stoploss_on_exchange")
and not self._ft_has.get("stoploss_on_exchange", False)):
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raise OperationalException(
'On exchange stoploss is not supported for %s.' % self.name
)
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def validate_order_time_in_force(self, order_time_in_force: Dict) -> None:
"""
Checks if order time in force configured in strategy/config are supported
"""
if any(v not in self._ft_has["order_time_in_force"]
for k, v in order_time_in_force.items()):
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raise OperationalException(
f'Time in force policies are not supported for {self.name} yet.')
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def exchange_has(self, endpoint: str) -> bool:
"""
Checks if exchange implements a specific API endpoint.
Wrapper around ccxt 'has' attribute
:param endpoint: Name of endpoint (e.g. 'fetchOHLCV', 'fetchTickers')
:return: bool
"""
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return endpoint in self._api.has and self._api.has[endpoint]
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def symbol_amount_prec(self, pair, amount: float):
'''
Returns the amount to buy or sell to a precision the Exchange accepts
Rounded down
'''
if self.markets[pair]['precision']['amount']:
symbol_prec = self.markets[pair]['precision']['amount']
big_amount = amount * pow(10, symbol_prec)
amount = floor(big_amount) / pow(10, symbol_prec)
return amount
def symbol_price_prec(self, pair, price: float):
'''
Returns the price buying or selling with to the precision the Exchange accepts
Rounds up
'''
if self.markets[pair]['precision']['price']:
symbol_prec = self.markets[pair]['precision']['price']
big_price = price * pow(10, symbol_prec)
price = ceil(big_price) / pow(10, symbol_prec)
return price
def dry_run_order(self, pair: str, ordertype: str, side: str, amount: float,
rate: float, params: Dict = {}) -> Dict[str, Any]:
order_id = f'dry_run_{side}_{randint(0, 10**6)}'
dry_order = { # TODO: additional entry should be added for stoploss limit
"id": order_id,
'pair': pair,
'price': rate,
'amount': amount,
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"cost": amount * rate,
'type': ordertype,
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'side': side,
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'remaining': amount,
'datetime': arrow.utcnow().isoformat(),
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'status': "open",
'fee': None,
"info": {}
}
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self._store_dry_order(dry_order)
return dry_order
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def _store_dry_order(self, dry_order: Dict) -> None:
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closed_order = dry_order.copy()
if closed_order["type"] in ["market", "limit"]:
closed_order.update({
"status": "closed",
"filled": closed_order["amount"],
"remaining": 0
})
self._dry_run_open_orders[closed_order["id"]] = closed_order
def create_order(self, pair: str, ordertype: str, side: str, amount: float,
rate: float, params: Dict = {}) -> Dict:
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try:
# Set the precision for amount and price(rate) as accepted by the exchange
amount = self.symbol_amount_prec(pair, amount)
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rate = self.symbol_price_prec(pair, rate) if ordertype != 'market' else None
return self._api.create_order(pair, ordertype, side,
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amount, rate, params)
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except ccxt.InsufficientFunds as e:
raise DependencyException(
f'Insufficient funds to create {ordertype} {side} order on market {pair}.'
f'Tried to {side} amount {amount} at rate {rate} (total {rate*amount}).'
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f'Message: {e}')
except ccxt.InvalidOrder as e:
raise DependencyException(
f'Could not create {ordertype} {side} order on market {pair}.'
f'Tried to {side} amount {amount} at rate {rate} (total {rate*amount}).'
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f'Message: {e}')
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except (ccxt.NetworkError, ccxt.ExchangeError) as e:
raise TemporaryError(
f'Could not place {side} order due to {e.__class__.__name__}. Message: {e}')
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except ccxt.BaseError as e:
raise OperationalException(e)
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def buy(self, pair: str, ordertype: str, amount: float,
rate: float, time_in_force) -> Dict:
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if self._config['dry_run']:
dry_order = self.dry_run_order(pair, ordertype, "buy", amount, rate)
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return dry_order
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params = self._params.copy()
if time_in_force != 'gtc' and ordertype != 'market':
params.update({'timeInForce': time_in_force})
return self.create_order(pair, ordertype, 'buy', amount, rate, params)
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def sell(self, pair: str, ordertype: str, amount: float,
rate: float, time_in_force='gtc') -> Dict:
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if self._config['dry_run']:
dry_order = self.dry_run_order(pair, ordertype, "sell", amount, rate)
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return dry_order
params = self._params.copy()
if time_in_force != 'gtc' and ordertype != 'market':
params.update({'timeInForce': time_in_force})
return self.create_order(pair, ordertype, 'sell', amount, rate, params)
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def stoploss_limit(self, pair: str, amount: float, stop_price: float, rate: float) -> Dict:
"""
creates a stoploss limit order.
NOTICE: it is not supported by all exchanges. only binance is tested for now.
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TODO: implementation maybe needs to be moved to the binance subclass
"""
ordertype = "stop_loss_limit"
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stop_price = self.symbol_price_prec(pair, stop_price)
# Ensure rate is less than stop price
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if stop_price <= rate:
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raise OperationalException(
'In stoploss limit order, stop price should be more than limit price')
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if self._config['dry_run']:
dry_order = self.dry_run_order(
pair, ordertype, "sell", amount, stop_price)
return dry_order
params = self._params.copy()
params.update({'stopPrice': stop_price})
order = self.create_order(pair, ordertype, 'sell', amount, rate, params)
logger.info('stoploss limit order added for %s. '
'stop price: %s. limit: %s' % (pair, stop_price, rate))
return order
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@retrier
def get_balance(self, currency: str) -> float:
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if self._config['dry_run']:
return constants.DRY_RUN_WALLET
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# ccxt exception is already handled by get_balances
balances = self.get_balances()
balance = balances.get(currency)
if balance is None:
raise TemporaryError(
f'Could not get {currency} balance due to malformed exchange response: {balances}')
return balance['free']
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@retrier
def get_balances(self) -> dict:
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if self._config['dry_run']:
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return {}
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try:
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balances = self._api.fetch_balance()
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# Remove additional info from ccxt results
balances.pop("info", None)
balances.pop("free", None)
balances.pop("total", None)
balances.pop("used", None)
return balances
except (ccxt.NetworkError, ccxt.ExchangeError) as e:
raise TemporaryError(
f'Could not get balance due to {e.__class__.__name__}. Message: {e}')
except ccxt.BaseError as e:
raise OperationalException(e)
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@retrier
def get_tickers(self) -> Dict:
try:
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return self._api.fetch_tickers()
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except ccxt.NotSupported as e:
raise OperationalException(
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f'Exchange {self._api.name} does not support fetching tickers in batch.'
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f'Message: {e}')
except (ccxt.NetworkError, ccxt.ExchangeError) as e:
raise TemporaryError(
f'Could not load tickers due to {e.__class__.__name__}. Message: {e}')
except ccxt.BaseError as e:
raise OperationalException(e)
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@retrier
def get_ticker(self, pair: str, refresh: Optional[bool] = True) -> dict:
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if refresh or pair not in self._cached_ticker.keys():
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try:
if pair not in self._api.markets:
raise DependencyException(f"Pair {pair} not available")
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data = self._api.fetch_ticker(pair)
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try:
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self._cached_ticker[pair] = {
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'bid': float(data['bid']),
'ask': float(data['ask']),
}
except KeyError:
logger.debug("Could not cache ticker data for %s", pair)
return data
except (ccxt.NetworkError, ccxt.ExchangeError) as e:
raise TemporaryError(
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f'Could not load ticker due to {e.__class__.__name__}. Message: {e}')
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except ccxt.BaseError as e:
raise OperationalException(e)
else:
logger.info("returning cached ticker-data for %s", pair)
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return self._cached_ticker[pair]
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def get_history(self, pair: str, tick_interval: str,
since_ms: int) -> List:
"""
Gets candle history using asyncio and returns the list of candles.
Handles all async doing.
"""
return asyncio.get_event_loop().run_until_complete(
self._async_get_history(pair=pair, tick_interval=tick_interval,
since_ms=since_ms))
async def _async_get_history(self, pair: str,
tick_interval: str,
since_ms: int) -> List:
# Assume exchange returns 500 candles
_LIMIT = 500
one_call = constants.TICKER_INTERVAL_MINUTES[tick_interval] * 60 * _LIMIT * 1000
logger.debug("one_call: %s", one_call)
input_coroutines = [self._async_get_candle_history(
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pair, tick_interval, since) for since in
range(since_ms, arrow.utcnow().timestamp * 1000, one_call)]
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tickers = await asyncio.gather(*input_coroutines, return_exceptions=True)
# Combine tickers
data: List = []
for p, ticker_interval, ticker in tickers:
if p == pair:
data.extend(ticker)
# Sort data again after extending the result - above calls return in "async order"
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data = sorted(data, key=lambda x: x[0])
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logger.info("downloaded %s with length %s.", pair, len(data))
return data
def refresh_latest_ohlcv(self, pair_list: List[Tuple[str, str]]) -> List[Tuple[str, List]]:
"""
Refresh in-memory ohlcv asyncronously and set `_klines` with the result
"""
logger.debug("Refreshing ohlcv data for %d pairs", len(pair_list))
input_coroutines = []
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# Gather coroutines to run
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for pair, ticker_interval in set(pair_list):
if (not ((pair, ticker_interval) in self._klines)
or self._now_is_time_to_refresh(pair, ticker_interval)):
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input_coroutines.append(self._async_get_candle_history(pair, ticker_interval))
else:
logger.debug("Using cached ohlcv data for %s, %s ...", pair, ticker_interval)
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tickers = asyncio.get_event_loop().run_until_complete(
asyncio.gather(*input_coroutines, return_exceptions=True))
# handle caching
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for res in tickers:
if isinstance(res, Exception):
logger.warning("Async code raised an exception: %s", res.__class__.__name__)
continue
pair = res[0]
tick_interval = res[1]
ticks = res[2]
# keeping last candle time as last refreshed time of the pair
if ticks:
self._pairs_last_refresh_time[(pair, tick_interval)] = ticks[-1][0] // 1000
# keeping parsed dataframe in cache
self._klines[(pair, tick_interval)] = parse_ticker_dataframe(
ticks, tick_interval, fill_missing=True)
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return tickers
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def _now_is_time_to_refresh(self, pair: str, ticker_interval: str) -> bool:
# Calculating ticker interval in seconds
interval_in_sec = constants.TICKER_INTERVAL_MINUTES[ticker_interval] * 60
return not ((self._pairs_last_refresh_time.get((pair, ticker_interval), 0)
+ interval_in_sec) >= arrow.utcnow().timestamp)
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@retrier_async
async def _async_get_candle_history(self, pair: str, tick_interval: str,
since_ms: Optional[int] = None) -> Tuple[str, str, List]:
"""
Asyncronously gets candle histories using fetch_ohlcv
returns tuple: (pair, tick_interval, ohlcv_list)
"""
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try:
# fetch ohlcv asynchronously
logger.debug("fetching %s, %s since %s ...", pair, tick_interval, since_ms)
data = await self._api_async.fetch_ohlcv(pair, timeframe=tick_interval,
since=since_ms)
# Because some exchange sort Tickers ASC and other DESC.
# Ex: Bittrex returns a list of tickers ASC (oldest first, newest last)
# when GDAX returns a list of tickers DESC (newest first, oldest last)
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# Only sort if necessary to save computing time
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try:
if data and data[0][0] > data[-1][0]:
data = sorted(data, key=lambda x: x[0])
except IndexError:
logger.exception("Error loading %s. Result was %s.", pair, data)
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return pair, tick_interval, []
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logger.debug("done fetching %s, %s ...", pair, tick_interval)
return pair, tick_interval, data
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except ccxt.NotSupported as e:
raise OperationalException(
f'Exchange {self._api.name} does not support fetching historical candlestick data.'
f'Message: {e}')
except (ccxt.NetworkError, ccxt.ExchangeError) as e:
raise TemporaryError(
f'Could not load ticker history due to {e.__class__.__name__}. Message: {e}')
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except ccxt.BaseError as e:
raise OperationalException(f'Could not fetch ticker data. Msg: {e}')
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@retrier
def cancel_order(self, order_id: str, pair: str) -> None:
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if self._config['dry_run']:
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return
try:
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return self._api.cancel_order(order_id, pair)
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except ccxt.InvalidOrder as e:
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raise InvalidOrderException(
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f'Could not cancel order. Message: {e}')
except (ccxt.NetworkError, ccxt.ExchangeError) as e:
raise TemporaryError(
f'Could not cancel order due to {e.__class__.__name__}. Message: {e}')
except ccxt.BaseError as e:
raise OperationalException(e)
@retrier
def get_order(self, order_id: str, pair: str) -> Dict:
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if self._config['dry_run']:
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order = self._dry_run_open_orders[order_id]
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return order
try:
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return self._api.fetch_order(order_id, pair)
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except ccxt.InvalidOrder as e:
raise InvalidOrderException(
f'Tried to get an invalid order. Message: {e}')
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except (ccxt.NetworkError, ccxt.ExchangeError) as e:
raise TemporaryError(
f'Could not get order due to {e.__class__.__name__}. Message: {e}')
except ccxt.BaseError as e:
raise OperationalException(e)
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@retrier
def get_order_book(self, pair: str, limit: int = 100) -> dict:
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"""
get order book level 2 from exchange
Notes:
20180619: bittrex doesnt support limits -.-
"""
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try:
return self._api.fetch_l2_order_book(pair, limit)
except ccxt.NotSupported as e:
raise OperationalException(
f'Exchange {self._api.name} does not support fetching order book.'
f'Message: {e}')
except (ccxt.NetworkError, ccxt.ExchangeError) as e:
raise TemporaryError(
f'Could not get order book due to {e.__class__.__name__}. Message: {e}')
except ccxt.BaseError as e:
raise OperationalException(e)
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@retrier
def get_trades_for_order(self, order_id: str, pair: str, since: datetime) -> List:
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if self._config['dry_run']:
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return []
if not self.exchange_has('fetchMyTrades'):
return []
try:
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# Allow 5s offset to catch slight time offsets (discovered in #1185)
my_trades = self._api.fetch_my_trades(pair, since.timestamp() - 5)
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matched_trades = [trade for trade in my_trades if trade['order'] == order_id]
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return matched_trades
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except ccxt.NetworkError as e:
raise TemporaryError(
f'Could not get trades due to networking error. Message: {e}')
except ccxt.BaseError as e:
raise OperationalException(e)
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@retrier
def get_fee(self, symbol='ETH/BTC', type='', side='', amount=1,
price=1, taker_or_maker='maker') -> float:
try:
# validate that markets are loaded before trying to get fee
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if self._api.markets is None or len(self._api.markets) == 0:
self._api.load_markets()
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return self._api.calculate_fee(symbol=symbol, type=type, side=side, amount=amount,
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price=price, takerOrMaker=taker_or_maker)['rate']
except (ccxt.NetworkError, ccxt.ExchangeError) as e:
raise TemporaryError(
f'Could not get fee info due to {e.__class__.__name__}. Message: {e}')
except ccxt.BaseError as e:
raise OperationalException(e)