stable/freqtrade/exchange/binance.py

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""" Binance exchange subclass """
import logging
from datetime import datetime
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from pathlib import Path
from typing import Dict, List, Optional, Tuple
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import arrow
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import ccxt
from freqtrade.enums import CandleType, MarginMode, TradingMode
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from freqtrade.exceptions import DDosProtection, OperationalException, TemporaryError
from freqtrade.exchange import Exchange
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from freqtrade.exchange.common import retrier
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from freqtrade.misc import deep_merge_dicts, json_load
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logger = logging.getLogger(__name__)
class Binance(Exchange):
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_ft_has: Dict = {
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"stoploss_on_exchange": True,
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"stoploss_order_types": {"limit": "stop_loss_limit"},
"order_time_in_force": ['GTC', 'FOK', 'IOC'],
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"ohlcv_candle_limit": 1000,
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"trades_pagination": "id",
"trades_pagination_arg": "fromId",
"l2_limit_range": [5, 10, 20, 50, 100, 500, 1000],
"ccxt_futures_name": "future"
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}
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_ft_has_futures: Dict = {
"stoploss_order_types": {"limit": "limit", "market": "market"},
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"tickers_have_price": False,
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}
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_supported_trading_mode_margin_pairs: List[Tuple[TradingMode, MarginMode]] = [
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# TradingMode.SPOT always supported and not required in this list
# (TradingMode.MARGIN, MarginMode.CROSS),
# (TradingMode.FUTURES, MarginMode.CROSS),
(TradingMode.FUTURES, MarginMode.ISOLATED)
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]
def stoploss_adjust(self, stop_loss: float, order: Dict, side: str) -> bool:
"""
Verify stop_loss against stoploss-order value (limit or price)
Returns True if adjustment is necessary.
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:param side: "buy" or "sell"
"""
order_types = ('stop_loss_limit', 'stop', 'stop_market')
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return (
order.get('stopPrice', None) is None
or (
order['type'] in order_types
and (
(side == "sell" and stop_loss > float(order['stopPrice'])) or
(side == "buy" and stop_loss < float(order['stopPrice']))
)
))
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def get_tickers(self, symbols: Optional[List[str]] = None, cached: bool = False) -> Dict:
tickers = super().get_tickers(symbols=symbols, cached=cached)
if self.trading_mode == TradingMode.FUTURES:
# Binance's future result has no bid/ask values.
# Therefore we must fetch that from fetch_bids_asks and combine the two results.
bidsasks = self.fetch_bids_asks(symbols, cached)
tickers = deep_merge_dicts(bidsasks, tickers, allow_null_overrides=False)
return tickers
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@retrier
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def _set_leverage(
self,
leverage: float,
pair: Optional[str] = None,
trading_mode: Optional[TradingMode] = None
):
"""
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Set's the leverage before making a trade, in order to not
have the same leverage on every trade
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"""
trading_mode = trading_mode or self.trading_mode
if self._config['dry_run'] or trading_mode != TradingMode.FUTURES:
return
try:
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self._api.set_leverage(symbol=pair, leverage=round(leverage))
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except ccxt.DDoSProtection as e:
raise DDosProtection(e) from e
except (ccxt.NetworkError, ccxt.ExchangeError) as e:
raise TemporaryError(
f'Could not set leverage due to {e.__class__.__name__}. Message: {e}') from e
except ccxt.BaseError as e:
raise OperationalException(e) from e
async def _async_get_historic_ohlcv(self, pair: str, timeframe: str,
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since_ms: int, candle_type: CandleType,
is_new_pair: bool = False, raise_: bool = False,
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until_ms: Optional[int] = None
) -> Tuple[str, str, str, List]:
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"""
Overwrite to introduce "fast new pair" functionality by detecting the pair's listing date
Does not work for other exchanges, which don't return the earliest data when called with "0"
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:param candle_type: Any of the enum CandleType (must match trading mode!)
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"""
if is_new_pair:
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x = await self._async_get_candle_history(pair, timeframe, candle_type, 0)
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if x and x[3] and x[3][0] and x[3][0][0] > since_ms:
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# Set starting date to first available candle.
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since_ms = x[3][0][0]
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logger.info(f"Candle-data for {pair} available starting with "
f"{arrow.get(since_ms // 1000).isoformat()}.")
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return await super()._async_get_historic_ohlcv(
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pair=pair,
timeframe=timeframe,
since_ms=since_ms,
is_new_pair=is_new_pair,
raise_=raise_,
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candle_type=candle_type,
until_ms=until_ms,
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)
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def funding_fee_cutoff(self, open_date: datetime):
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"""
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:param open_date: The open date for a trade
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:return: The cutoff open time for when a funding fee is charged
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"""
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return open_date.minute > 0 or (open_date.minute == 0 and open_date.second > 15)
def dry_run_liquidation_price(
self,
pair: str,
open_rate: float, # Entry price of position
is_short: bool,
amount: float,
stake_amount: float,
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wallet_balance: float, # Or margin balance
mm_ex_1: float = 0.0, # (Binance) Cross only
upnl_ex_1: float = 0.0, # (Binance) Cross only
) -> Optional[float]:
"""
Important: Must be fetching data from cached values as this is used by backtesting!
MARGIN: https://www.binance.com/en/support/faq/f6b010588e55413aa58b7d63ee0125ed
PERPETUAL: https://www.binance.com/en/support/faq/b3c689c1f50a44cabb3a84e663b81d93
:param exchange_name:
:param open_rate: Entry price of position
:param is_short: True if the trade is a short, false otherwise
:param amount: Absolute value of position size incl. leverage (in base currency)
:param stake_amount: Stake amount - Collateral in settle currency.
:param trading_mode: SPOT, MARGIN, FUTURES, etc.
:param margin_mode: Either ISOLATED or CROSS
:param wallet_balance: Amount of margin_mode in the wallet being used to trade
Cross-Margin Mode: crossWalletBalance
Isolated-Margin Mode: isolatedWalletBalance
# * Only required for Cross
:param mm_ex_1: (TMM)
Cross-Margin Mode: Maintenance Margin of all other contracts, excluding Contract 1
Isolated-Margin Mode: 0
:param upnl_ex_1: (UPNL)
Cross-Margin Mode: Unrealized PNL of all other contracts, excluding Contract 1.
Isolated-Margin Mode: 0
"""
side_1 = -1 if is_short else 1
cross_vars = upnl_ex_1 - mm_ex_1 if self.margin_mode == MarginMode.CROSS else 0.0
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# mm_ratio: Binance's formula specifies maintenance margin rate which is mm_ratio * 100%
# maintenance_amt: (CUM) Maintenance Amount of position
mm_ratio, maintenance_amt = self.get_maintenance_ratio_and_amt(pair, stake_amount)
if (maintenance_amt is None):
raise OperationalException(
"Parameter maintenance_amt is required by Binance.liquidation_price"
f"for {self.trading_mode.value}"
)
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if self.trading_mode == TradingMode.FUTURES:
return (
(
(wallet_balance + cross_vars + maintenance_amt) -
(side_1 * amount * open_rate)
) / (
(amount * mm_ratio) - (side_1 * amount)
)
)
else:
raise OperationalException(
"Freqtrade only supports isolated futures for leverage trading")
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@retrier
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def load_leverage_tiers(self) -> Dict[str, List[Dict]]:
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if self.trading_mode == TradingMode.FUTURES:
if self._config['dry_run']:
leverage_tiers_path = (
Path(__file__).parent / 'binance_leverage_tiers.json'
)
with open(leverage_tiers_path) as json_file:
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return json_load(json_file)
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else:
try:
return self._api.fetch_leverage_tiers()
except ccxt.DDoSProtection as e:
raise DDosProtection(e) from e
except (ccxt.NetworkError, ccxt.ExchangeError) as e:
raise TemporaryError(f'Could not fetch leverage amounts due to'
f'{e.__class__.__name__}. Message: {e}') from e
except ccxt.BaseError as e:
raise OperationalException(e) from e
else:
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return {}