stable/freqtrade/freqtradebot.py

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"""
Freqtrade is the main module of this bot. It contains the class Freqtrade()
"""
import copy
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import logging
import traceback
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from datetime import datetime
from math import isclose
from threading import Lock
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from typing import Any, Dict, List, Optional, Tuple
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import arrow
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from cachetools import TTLCache
from requests.exceptions import RequestException
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from freqtrade import __version__, constants, persistence
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from freqtrade.configuration import validate_config_consistency
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from freqtrade.data.converter import order_book_to_dataframe
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from freqtrade.data.dataprovider import DataProvider
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from freqtrade.edge import Edge
from freqtrade.exceptions import DependencyException, InvalidOrderException
from freqtrade.exchange import timeframe_to_minutes, timeframe_to_next_date
from freqtrade.misc import safe_value_fallback
from freqtrade.pairlist.pairlistmanager import PairListManager
from freqtrade.persistence import Trade
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from freqtrade.resolvers import ExchangeResolver, StrategyResolver
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from freqtrade.rpc import RPCManager, RPCMessageType
from freqtrade.state import State
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from freqtrade.strategy.interface import IStrategy, SellType
from freqtrade.wallets import Wallets
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logger = logging.getLogger(__name__)
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class FreqtradeBot:
"""
Freqtrade is the main class of the bot.
This is from here the bot start its logic.
"""
def __init__(self, config: Dict[str, Any]) -> None:
"""
Init all variables and objects the bot needs to work
:param config: configuration dict, you can use Configuration.get_config()
to get the config dict.
"""
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logger.info('Starting freqtrade %s', __version__)
# Init bot state
self.state = State.STOPPED
# Init objects
self.config = config
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self._sell_rate_cache = TTLCache(maxsize=100, ttl=5)
self._buy_rate_cache = TTLCache(maxsize=100, ttl=5)
self.strategy: IStrategy = StrategyResolver.load_strategy(self.config)
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# Check config consistency here since strategies can set certain options
validate_config_consistency(config)
self.exchange = ExchangeResolver.load_exchange(self.config['exchange']['name'], self.config)
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persistence.init(self.config.get('db_url', None), clean_open_orders=self.config['dry_run'])
self.wallets = Wallets(self.config, self.exchange)
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self.dataprovider = DataProvider(self.config, self.exchange)
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# Attach Dataprovider to Strategy baseclass
IStrategy.dp = self.dataprovider
# Attach Wallets to Strategy baseclass
IStrategy.wallets = self.wallets
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self.pairlists = PairListManager(self.exchange, self.config)
# Initializing Edge only if enabled
self.edge = Edge(self.config, self.exchange, self.strategy) if \
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self.config.get('edge', {}).get('enabled', False) else None
self.active_pair_whitelist = self._refresh_whitelist()
# Set initial bot state from config
initial_state = self.config.get('initial_state')
self.state = State[initial_state.upper()] if initial_state else State.STOPPED
# RPC runs in separate threads, can start handling external commands just after
# initialization, even before Freqtradebot has a chance to start its throttling,
# so anything in the Freqtradebot instance should be ready (initialized), including
# the initial state of the bot.
# Keep this at the end of this initialization method.
self.rpc: RPCManager = RPCManager(self)
# Protect sell-logic from forcesell and viceversa
self._sell_lock = Lock()
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def notify_status(self, msg: str) -> None:
"""
Public method for users of this class (worker, etc.) to send notifications
via RPC about changes in the bot status.
"""
self.rpc.send_msg({
'type': RPCMessageType.STATUS_NOTIFICATION,
'status': msg
})
def cleanup(self) -> None:
"""
Cleanup pending resources on an already stopped bot
:return: None
"""
logger.info('Cleaning up modules ...')
self.rpc.cleanup()
persistence.cleanup()
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def startup(self) -> None:
"""
Called on startup and after reloading the bot - triggers notifications and
performs startup tasks
"""
self.rpc.startup_messages(self.config, self.pairlists)
if not self.edge:
# Adjust stoploss if it was changed
Trade.stoploss_reinitialization(self.strategy.stoploss)
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def process(self) -> None:
"""
Queries the persistence layer for open trades and handles them,
otherwise a new trade is created.
:return: True if one or more trades has been created or closed, False otherwise
"""
# Check whether markets have to be reloaded
self.exchange._reload_markets()
# Query trades from persistence layer
trades = Trade.get_open_trades()
self.active_pair_whitelist = self._refresh_whitelist(trades)
# Refreshing candles
self.dataprovider.refresh(self._create_pair_whitelist(self.active_pair_whitelist),
self.strategy.informative_pairs())
with self._sell_lock:
# Check and handle any timed out open orders
self.check_handle_timedout()
# Protect from collisions with forcesell.
# Without this, freqtrade my try to recreate stoploss_on_exchange orders
# while selling is in process, since telegram messages arrive in an different thread.
with self._sell_lock:
# First process current opened trades (positions)
self.exit_positions(trades)
# Then looking for buy opportunities
if self.get_free_open_trades():
self.enter_positions()
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Trade.session.flush()
def _refresh_whitelist(self, trades: List[Trade] = []) -> List[str]:
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"""
Refresh whitelist from pairlist or edge and extend it with trades.
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"""
# Refresh whitelist
self.pairlists.refresh_pairlist()
_whitelist = self.pairlists.whitelist
# Calculating Edge positioning
if self.edge:
self.edge.calculate()
_whitelist = self.edge.adjust(_whitelist)
if trades:
# Extend active-pair whitelist with pairs of open trades
# It ensures that candle (OHLCV) data are downloaded for open trades as well
_whitelist.extend([trade.pair for trade in trades if trade.pair not in _whitelist])
return _whitelist
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def _create_pair_whitelist(self, pairs: List[str]) -> List[Tuple[str, str]]:
"""
Create pair-whitelist tuple with (pair, ticker_interval)
"""
return [(pair, self.config['ticker_interval']) for pair in pairs]
def get_free_open_trades(self):
"""
Return the number of free open trades slots or 0 if
max number of open trades reached
"""
open_trades = len(Trade.get_open_trades())
return max(0, self.config['max_open_trades'] - open_trades)
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#
# BUY / enter positions / open trades logic and methods
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#
def enter_positions(self) -> int:
"""
Tries to execute buy orders for new trades (positions)
"""
trades_created = 0
whitelist = copy.deepcopy(self.active_pair_whitelist)
if not whitelist:
logger.info("Active pair whitelist is empty.")
else:
# Remove pairs for currently opened trades from the whitelist
for trade in Trade.get_open_trades():
if trade.pair in whitelist:
whitelist.remove(trade.pair)
logger.debug('Ignoring %s in pair whitelist', trade.pair)
if not whitelist:
logger.info("No currency pair in active pair whitelist, "
"but checking to sell open trades.")
else:
# Create entity and execute trade for each pair from whitelist
for pair in whitelist:
try:
trades_created += self.create_trade(pair)
except DependencyException as exception:
logger.warning('Unable to create trade for %s: %s', pair, exception)
if not trades_created:
logger.debug("Found no buy signals for whitelisted currencies. "
"Trying again...")
return trades_created
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def get_buy_rate(self, pair: str, refresh: bool) -> float:
"""
Calculates bid target between current ask price and last price
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:param pair: Pair to get rate for
:param refresh: allow cached data
:return: float: Price
"""
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if not refresh:
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rate = self._buy_rate_cache.get(pair)
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# Check if cache has been invalidated
if rate:
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logger.info(f"Using cached buy rate for {pair}.")
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return rate
bid_strategy = self.config.get('bid_strategy', {})
if 'use_order_book' in bid_strategy and bid_strategy.get('use_order_book', False):
logger.info(
f"Getting price from order book {bid_strategy['price_side'].capitalize()} side."
)
order_book_top = bid_strategy.get('order_book_top', 1)
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order_book = self.exchange.get_order_book(pair, order_book_top)
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logger.debug('order_book %s', order_book)
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# top 1 = index 0
order_book_rate = order_book[f"{bid_strategy['price_side']}s"][order_book_top - 1][0]
logger.info(f'...top {order_book_top} order book buy rate {order_book_rate:.8f}')
used_rate = order_book_rate
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else:
logger.info(f"Using Last {bid_strategy['price_side'].capitalize()} / Last Price")
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ticker = self.exchange.fetch_ticker(pair)
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ticker_rate = ticker[bid_strategy['price_side']]
if ticker['last'] and ticker_rate > ticker['last']:
balance = self.config['bid_strategy']['ask_last_balance']
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ticker_rate = ticker_rate + balance * (ticker['last'] - ticker_rate)
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used_rate = ticker_rate
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self._buy_rate_cache[pair] = used_rate
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return used_rate
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def get_trade_stake_amount(self, pair: str) -> float:
"""
Calculate stake amount for the trade
:return: float: Stake amount
:raise: DependencyException if the available stake amount is too low
"""
stake_amount: float
# Ensure wallets are uptodate.
self.wallets.update()
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if self.edge:
stake_amount = self.edge.stake_amount(
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pair,
self.wallets.get_free(self.config['stake_currency']),
self.wallets.get_total(self.config['stake_currency']),
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Trade.total_open_trades_stakes()
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)
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else:
stake_amount = self.config['stake_amount']
if stake_amount == constants.UNLIMITED_STAKE_AMOUNT:
stake_amount = self._calculate_unlimited_stake_amount()
return self._check_available_stake_amount(stake_amount)
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def _get_available_stake_amount(self) -> float:
"""
Return the total currently available balance in stake currency,
respecting tradable_balance_ratio.
Calculated as
<open_trade stakes> + free amount ) * tradable_balance_ratio - <open_trade stakes>
"""
val_tied_up = Trade.total_open_trades_stakes()
# Ensure <tradable_balance_ratio>% is used from the overall balance
# Otherwise we'd risk lowering stakes with each open trade.
# (tied up + current free) * ratio) - tied up
available_amount = ((val_tied_up + self.wallets.get_free(self.config['stake_currency'])) *
self.config['tradable_balance_ratio']) - val_tied_up
return available_amount
def _calculate_unlimited_stake_amount(self) -> float:
"""
Calculate stake amount for "unlimited" stake amount
:return: 0 if max number of trades reached, else stake_amount to use.
"""
free_open_trades = self.get_free_open_trades()
if not free_open_trades:
return 0
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available_amount = self._get_available_stake_amount()
return available_amount / free_open_trades
def _check_available_stake_amount(self, stake_amount: float) -> float:
"""
Check if stake amount can be fulfilled with the available balance
for the stake currency
:return: float: Stake amount
"""
available_amount = self._get_available_stake_amount()
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if self.config['amend_last_stake_amount']:
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# Remaining amount needs to be at least stake_amount * last_stake_amount_min_ratio
# Otherwise the remaining amount is too low to trade.
if available_amount > (stake_amount * self.config['last_stake_amount_min_ratio']):
stake_amount = min(stake_amount, available_amount)
else:
stake_amount = 0
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if available_amount < stake_amount:
raise DependencyException(
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f"Available balance ({available_amount} {self.config['stake_currency']}) is "
f"lower than stake amount ({stake_amount} {self.config['stake_currency']})"
)
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return stake_amount
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def _get_min_pair_stake_amount(self, pair: str, price: float) -> Optional[float]:
try:
market = self.exchange.markets[pair]
except KeyError:
raise ValueError(f"Can't get market information for symbol {pair}")
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if 'limits' not in market:
return None
min_stake_amounts = []
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limits = market['limits']
if ('cost' in limits and 'min' in limits['cost']
and limits['cost']['min'] is not None):
min_stake_amounts.append(limits['cost']['min'])
if ('amount' in limits and 'min' in limits['amount']
and limits['amount']['min'] is not None):
min_stake_amounts.append(limits['amount']['min'] * price)
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if not min_stake_amounts:
return None
# reserve some percent defined in config (5% default) + stoploss
amount_reserve_percent = 1.0 - self.config.get('amount_reserve_percent',
constants.DEFAULT_AMOUNT_RESERVE_PERCENT)
if self.strategy.stoploss is not None:
amount_reserve_percent += self.strategy.stoploss
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# it should not be more than 50%
amount_reserve_percent = max(amount_reserve_percent, 0.5)
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# The value returned should satisfy both limits: for amount (base currency) and
# for cost (quote, stake currency), so max() is used here.
# See also #2575 at github.
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return max(min_stake_amounts) / amount_reserve_percent
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def create_trade(self, pair: str) -> bool:
"""
Check the implemented trading strategy for buy signals.
If the pair triggers the buy signal a new trade record gets created
and the buy-order opening the trade gets issued towards the exchange.
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:return: True if a trade has been created.
"""
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logger.debug(f"create_trade for pair {pair}")
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if self.strategy.is_pair_locked(pair):
logger.info(f"Pair {pair} is currently locked.")
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return False
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# get_free_open_trades is checked before create_trade is called
# but it is still used here to prevent opening too many trades within one iteration
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if not self.get_free_open_trades():
logger.debug(f"Can't open a new trade for {pair}: max number of trades is reached.")
return False
# running get_signal on historical data fetched
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(buy, sell) = self.strategy.get_signal(
pair, self.strategy.ticker_interval,
self.dataprovider.ohlcv(pair, self.strategy.ticker_interval))
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if buy and not sell:
stake_amount = self.get_trade_stake_amount(pair)
if not stake_amount:
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logger.debug(f"Stake amount is 0, ignoring possible trade for {pair}.")
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return False
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logger.info(f"Buy signal found: about create a new trade with stake_amount: "
f"{stake_amount} ...")
bid_check_dom = self.config.get('bid_strategy', {}).get('check_depth_of_market', {})
if ((bid_check_dom.get('enabled', False)) and
(bid_check_dom.get('bids_to_ask_delta', 0) > 0)):
if self._check_depth_of_market_buy(pair, bid_check_dom):
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logger.info(f'Executing Buy for {pair}.')
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return self.execute_buy(pair, stake_amount)
else:
return False
logger.info(f'Executing Buy for {pair}')
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return self.execute_buy(pair, stake_amount)
else:
return False
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def _check_depth_of_market_buy(self, pair: str, conf: Dict) -> bool:
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"""
Checks depth of market before executing a buy
"""
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conf_bids_to_ask_delta = conf.get('bids_to_ask_delta', 0)
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logger.info(f"Checking depth of market for {pair} ...")
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order_book = self.exchange.get_order_book(pair, 1000)
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order_book_data_frame = order_book_to_dataframe(order_book['bids'], order_book['asks'])
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order_book_bids = order_book_data_frame['b_size'].sum()
order_book_asks = order_book_data_frame['a_size'].sum()
bids_ask_delta = order_book_bids / order_book_asks
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logger.info(
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f"Bids: {order_book_bids}, Asks: {order_book_asks}, Delta: {bids_ask_delta}, "
f"Bid Price: {order_book['bids'][0][0]}, Ask Price: {order_book['asks'][0][0]}, "
f"Immediate Bid Quantity: {order_book['bids'][0][1]}, "
f"Immediate Ask Quantity: {order_book['asks'][0][1]}."
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)
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if bids_ask_delta >= conf_bids_to_ask_delta:
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logger.info(f"Bids to asks delta for {pair} DOES satisfy condition.")
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return True
else:
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logger.info(f"Bids to asks delta for {pair} does not satisfy condition.")
return False
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def execute_buy(self, pair: str, stake_amount: float, price: Optional[float] = None) -> bool:
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"""
Executes a limit buy for the given pair
:param pair: pair for which we want to create a LIMIT_BUY
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:return: True if a buy order is created, false if it fails.
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"""
time_in_force = self.strategy.order_time_in_force['buy']
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if price:
buy_limit_requested = price
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else:
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# Calculate price
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buy_limit_requested = self.get_buy_rate(pair, True)
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min_stake_amount = self._get_min_pair_stake_amount(pair, buy_limit_requested)
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if min_stake_amount is not None and min_stake_amount > stake_amount:
logger.warning(
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f"Can't open a new trade for {pair}: stake amount "
f"is too small ({stake_amount} < {min_stake_amount})"
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)
return False
amount = stake_amount / buy_limit_requested
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order_type = self.strategy.order_types['buy']
order = self.exchange.buy(pair=pair, ordertype=order_type,
amount=amount, rate=buy_limit_requested,
time_in_force=time_in_force)
order_id = order['id']
order_status = order.get('status', None)
# we assume the order is executed at the price requested
buy_limit_filled_price = buy_limit_requested
if order_status == 'expired' or order_status == 'rejected':
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order_tif = self.strategy.order_time_in_force['buy']
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# return false if the order is not filled
if float(order['filled']) == 0:
logger.warning('Buy %s order with time in force %s for %s is %s by %s.'
' zero amount is fulfilled.',
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order_tif, order_type, pair, order_status, self.exchange.name)
return False
else:
# the order is partially fulfilled
# in case of IOC orders we can check immediately
# if the order is fulfilled fully or partially
logger.warning('Buy %s order with time in force %s for %s is %s by %s.'
' %s amount fulfilled out of %s (%s remaining which is canceled).',
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order_tif, order_type, pair, order_status, self.exchange.name,
order['filled'], order['amount'], order['remaining']
)
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stake_amount = order['cost']
amount = order['amount']
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buy_limit_filled_price = order['price']
order_id = None
# in case of FOK the order may be filled immediately and fully
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elif order_status == 'closed':
stake_amount = order['cost']
amount = order['amount']
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buy_limit_filled_price = order['price']
# Fee is applied twice because we make a LIMIT_BUY and LIMIT_SELL
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fee = self.exchange.get_fee(symbol=pair, taker_or_maker='maker')
trade = Trade(
pair=pair,
stake_amount=stake_amount,
amount=amount,
fee_open=fee,
fee_close=fee,
open_rate=buy_limit_filled_price,
open_rate_requested=buy_limit_requested,
open_date=datetime.utcnow(),
exchange=self.exchange.id,
open_order_id=order_id,
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strategy=self.strategy.get_strategy_name(),
ticker_interval=timeframe_to_minutes(self.config['ticker_interval'])
)
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# Update fees if order is closed
if order_status == 'closed':
self.update_trade_state(trade, order)
Trade.session.add(trade)
Trade.session.flush()
# Updating wallets
self.wallets.update()
self._notify_buy(trade, order_type)
return True
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def _notify_buy(self, trade: Trade, order_type: str) -> None:
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"""
Sends rpc notification when a buy occured.
"""
msg = {
'type': RPCMessageType.BUY_NOTIFICATION,
'exchange': self.exchange.name.capitalize(),
'pair': trade.pair,
'limit': trade.open_rate,
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'order_type': order_type,
'stake_amount': trade.stake_amount,
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'stake_currency': self.config['stake_currency'],
'fiat_currency': self.config.get('fiat_display_currency', None),
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'amount': trade.amount,
'open_date': trade.open_date or datetime.utcnow(),
'current_rate': trade.open_rate_requested,
}
# Send the message
self.rpc.send_msg(msg)
def _notify_buy_cancel(self, trade: Trade, order_type: str) -> None:
"""
Sends rpc notification when a buy cancel occured.
"""
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current_rate = self.get_buy_rate(trade.pair, False)
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msg = {
'type': RPCMessageType.BUY_CANCEL_NOTIFICATION,
'exchange': self.exchange.name.capitalize(),
'pair': trade.pair,
'limit': trade.open_rate,
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'order_type': order_type,
'stake_amount': trade.stake_amount,
'stake_currency': self.config['stake_currency'],
'fiat_currency': self.config.get('fiat_display_currency', None),
'amount': trade.amount,
'open_date': trade.open_date,
'current_rate': current_rate,
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}
# Send the message
self.rpc.send_msg(msg)
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#
# SELL / exit positions / close trades logic and methods
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#
def exit_positions(self, trades: List[Any]) -> int:
"""
Tries to execute sell orders for open trades (positions)
"""
trades_closed = 0
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for trade in trades:
try:
if (self.strategy.order_types.get('stoploss_on_exchange') and
self.handle_stoploss_on_exchange(trade)):
trades_closed += 1
continue
# Check if we can sell our current pair
if trade.open_order_id is None and self.handle_trade(trade):
trades_closed += 1
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except DependencyException as exception:
logger.warning('Unable to sell trade: %s', exception)
# Updating wallets if any trade occured
if trades_closed:
self.wallets.update()
return trades_closed
def _order_book_gen(self, pair: str, side: str, order_book_max: int = 1,
order_book_min: int = 1):
"""
Helper generator to query orderbook in loop (used for early sell-order placing)
"""
order_book = self.exchange.get_order_book(pair, order_book_max)
for i in range(order_book_min, order_book_max + 1):
yield order_book[side][i - 1][0]
def get_sell_rate(self, pair: str, refresh: bool) -> float:
"""
Get sell rate - either using ticker bid or first bid based on orderbook
The orderbook portion is only used for rpc messaging, which would otherwise fail
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for BitMex (has no bid/ask in fetch_ticker)
or remain static in any other case since it's not updating.
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:param pair: Pair to get rate for
:param refresh: allow cached data
:return: Bid rate
"""
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if not refresh:
rate = self._sell_rate_cache.get(pair)
# Check if cache has been invalidated
if rate:
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logger.info(f"Using cached sell rate for {pair}.")
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return rate
ask_strategy = self.config.get('ask_strategy', {})
if ask_strategy.get('use_order_book', False):
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# This code is only used for notifications, selling uses the generator directly
logger.info(
f"Getting price from order book {ask_strategy['price_side'].capitalize()} side."
)
rate = next(self._order_book_gen(pair, f"{ask_strategy['price_side']}s"))
else:
rate = self.exchange.fetch_ticker(pair)[ask_strategy['price_side']]
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self._sell_rate_cache[pair] = rate
return rate
def handle_trade(self, trade: Trade) -> bool:
"""
Sells the current pair if the threshold is reached and updates the trade record.
:return: True if trade has been sold, False otherwise
"""
if not trade.is_open:
raise DependencyException(f'Attempt to handle closed trade: {trade}')
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logger.debug('Handling %s ...', trade)
(buy, sell) = (False, False)
config_ask_strategy = self.config.get('ask_strategy', {})
if (config_ask_strategy.get('use_sell_signal', True) or
config_ask_strategy.get('ignore_roi_if_buy_signal', False)):
(buy, sell) = self.strategy.get_signal(
trade.pair, self.strategy.ticker_interval,
self.dataprovider.ohlcv(trade.pair, self.strategy.ticker_interval))
if config_ask_strategy.get('use_order_book', False):
logger.debug(f'Using order book for selling {trade.pair}...')
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# logger.debug('Order book %s',orderBook)
order_book_min = config_ask_strategy.get('order_book_min', 1)
order_book_max = config_ask_strategy.get('order_book_max', 1)
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order_book = self._order_book_gen(trade.pair, f"{config_ask_strategy['price_side']}s",
order_book_min=order_book_min,
order_book_max=order_book_max)
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for i in range(order_book_min, order_book_max + 1):
sell_rate = next(order_book)
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logger.debug(f" order book {config_ask_strategy['price_side']} top {i}: "
f"{sell_rate:0.8f}")
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if self._check_and_execute_sell(trade, sell_rate, buy, sell):
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return True
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else:
logger.debug('checking sell')
sell_rate = self.get_sell_rate(trade.pair, True)
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if self._check_and_execute_sell(trade, sell_rate, buy, sell):
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return True
logger.debug('Found no sell signal for %s.', trade)
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return False
def create_stoploss_order(self, trade: Trade, stop_price: float, rate: float) -> bool:
"""
Abstracts creating stoploss orders from the logic.
Handles errors and updates the trade database object.
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Force-sells the pair (using EmergencySell reason) in case of Problems creating the order.
:return: True if the order succeeded, and False in case of problems.
"""
try:
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stoploss_order = self.exchange.stoploss(pair=trade.pair, amount=trade.amount,
stop_price=stop_price,
order_types=self.strategy.order_types)
trade.stoploss_order_id = str(stoploss_order['id'])
return True
except InvalidOrderException as e:
trade.stoploss_order_id = None
logger.error(f'Unable to place a stoploss order on exchange. {e}')
logger.warning('Selling the trade forcefully')
self.execute_sell(trade, trade.stop_loss, sell_reason=SellType.EMERGENCY_SELL)
except DependencyException:
trade.stoploss_order_id = None
logger.exception('Unable to place a stoploss order on exchange.')
return False
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def handle_stoploss_on_exchange(self, trade: Trade) -> bool:
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"""
Check if trade is fulfilled in which case the stoploss
on exchange should be added immediately if stoploss on exchange
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is enabled.
"""
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logger.debug('Handling stoploss on exchange %s ...', trade)
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stoploss_order = None
try:
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# First we check if there is already a stoploss on exchange
stoploss_order = self.exchange.get_order(trade.stoploss_order_id, trade.pair) \
if trade.stoploss_order_id else None
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except InvalidOrderException as exception:
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logger.warning('Unable to fetch stoploss order: %s', exception)
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# We check if stoploss order is fulfilled
if stoploss_order and stoploss_order['status'] == 'closed':
trade.sell_reason = SellType.STOPLOSS_ON_EXCHANGE.value
trade.update(stoploss_order)
# Lock pair for one candle to prevent immediate rebuys
self.strategy.lock_pair(trade.pair,
timeframe_to_next_date(self.config['ticker_interval']))
self._notify_sell(trade, "stoploss")
return True
if trade.open_order_id or not trade.is_open:
# Trade has an open Buy or Sell order, Stoploss-handling can't happen in this case
# as the Amount on the exchange is tied up in another trade.
# The trade can be closed already (sell-order fill confirmation came in this iteration)
return False
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# If buy order is fulfilled but there is no stoploss, we add a stoploss on exchange
if (not stoploss_order):
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stoploss = self.edge.stoploss(pair=trade.pair) if self.edge else self.strategy.stoploss
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stop_price = trade.open_rate * (1 + stoploss)
if self.create_stoploss_order(trade=trade, stop_price=stop_price, rate=stop_price):
trade.stoploss_last_update = datetime.now()
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return False
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# If stoploss order is canceled for some reason we add it
if stoploss_order and stoploss_order['status'] == 'canceled':
if self.create_stoploss_order(trade=trade, stop_price=trade.stop_loss,
rate=trade.stop_loss):
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return False
else:
trade.stoploss_order_id = None
logger.warning('Stoploss order was cancelled, but unable to recreate one.')
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# Finally we check if stoploss on exchange should be moved up because of trailing.
if stoploss_order and self.config.get('trailing_stop', False):
# if trailing stoploss is enabled we check if stoploss value has changed
# in which case we cancel stoploss order and put another one with new
# value immediately
self.handle_trailing_stoploss_on_exchange(trade, stoploss_order)
return False
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def handle_trailing_stoploss_on_exchange(self, trade: Trade, order: dict) -> None:
"""
Check to see if stoploss on exchange should be updated
in case of trailing stoploss on exchange
:param Trade: Corresponding Trade
:param order: Current on exchange stoploss order
:return: None
"""
if self.exchange.stoploss_adjust(trade.stop_loss, order):
# we check if the update is neccesary
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update_beat = self.strategy.order_types.get('stoploss_on_exchange_interval', 60)
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if (datetime.utcnow() - trade.stoploss_last_update).total_seconds() >= update_beat:
# cancelling the current stoploss on exchange first
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logger.info('Trailing stoploss: cancelling current stoploss on exchange (id:{%s}) '
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'in order to add another one ...', order['id'])
try:
self.exchange.cancel_order(order['id'], trade.pair)
except InvalidOrderException:
logger.exception(f"Could not cancel stoploss order {order['id']} "
f"for pair {trade.pair}")
# Create new stoploss order
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if not self.create_stoploss_order(trade=trade, stop_price=trade.stop_loss,
rate=trade.stop_loss):
logger.warning(f"Could not create trailing stoploss order "
f"for pair {trade.pair}.")
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def _check_and_execute_sell(self, trade: Trade, sell_rate: float,
buy: bool, sell: bool) -> bool:
"""
Check and execute sell
"""
should_sell = self.strategy.should_sell(
trade, sell_rate, datetime.utcnow(), buy, sell,
force_stoploss=self.edge.stoploss(trade.pair) if self.edge else 0
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)
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2018-07-12 20:21:52 +00:00
if should_sell.sell_flag:
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logger.info(f'Executing Sell for {trade.pair}. Reason: {should_sell.sell_type}')
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self.execute_sell(trade, sell_rate, should_sell.sell_type)
return True
return False
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def _check_timed_out(self, side: str, order: dict) -> bool:
"""
Check if timeout is active, and if the order is still open and timed out
"""
timeout = self.config.get('unfilledtimeout', {}).get(side)
ordertime = arrow.get(order['datetime']).datetime
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if timeout is not None:
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timeout_threshold = arrow.utcnow().shift(minutes=-timeout).datetime
return (order['status'] == 'open' and order['side'] == side
and ordertime < timeout_threshold)
return False
def check_handle_timedout(self) -> None:
"""
Check if any orders are timed out and cancel if neccessary
:param timeoutvalue: Number of minutes until order is considered timed out
:return: None
"""
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for trade in Trade.get_open_order_trades():
try:
if not trade.open_order_id:
continue
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order = self.exchange.get_order(trade.open_order_id, trade.pair)
except (RequestException, DependencyException, InvalidOrderException):
logger.info('Cannot query order for %s due to %s', trade, traceback.format_exc())
continue
trade_state_update = self.update_trade_state(trade, order)
if (order['side'] == 'buy' and (
trade_state_update
or self._check_timed_out('buy', order))):
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self.handle_timedout_limit_buy(trade, order)
self.wallets.update()
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order_type = self.strategy.order_types['buy']
self._notify_buy_cancel(trade, order_type)
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elif (order['side'] == 'sell' and (
trade_state_update
or self._check_timed_out('sell', order))):
reason = self.handle_timedout_limit_sell(trade, order)
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self.wallets.update()
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order_type = self.strategy.order_types['sell']
self._notify_sell_cancel(trade, order_type, reason)
def handle_timedout_limit_buy(self, trade: Trade, order: Dict) -> bool:
"""
Buy timeout - cancel order
:return: True if order was fully cancelled
"""
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if order['status'] != 'canceled':
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reason = "cancelled due to timeout"
try:
corder = self.exchange.cancel_order(trade.open_order_id, trade.pair)
# Some exchanges don't return a dict here.
if not isinstance(corder, dict):
corder = {}
logger.info('Buy order %s for %s.', reason, trade)
except InvalidOrderException:
corder = {}
logger.exception(
f"Could not cancel buy order {trade.open_order_id} for pair {trade.pair}")
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else:
# Order was cancelled already, so we can reuse the existing dict
corder = order
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reason = "cancelled on exchange"
logger.info('Buy order %s for %s.', reason, trade)
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if safe_value_fallback(corder, order, 'remaining', 'remaining') == order['amount']:
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logger.info('Buy order fully cancelled. Removing %s from database.', trade)
# if trade is not partially completed, just delete the trade
Trade.session.delete(trade)
Trade.session.flush()
return True
# if trade is partially complete, edit the stake details for the trade
# and close the order
# cancel_order may not contain the full order dict, so we need to fallback
# to the order dict aquired before cancelling.
# we need to fall back to the values from order if corder does not contain these keys.
trade.amount = order['amount'] - safe_value_fallback(corder, order,
'remaining', 'remaining')
trade.stake_amount = trade.amount * trade.open_rate
self.update_trade_state(trade, corder if 'fee' in corder else order, trade.amount)
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trade.open_order_id = None
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logger.info('Partial buy order timeout for %s.', trade)
self.rpc.send_msg({
'type': RPCMessageType.STATUS_NOTIFICATION,
'status': f'Remaining buy order for {trade.pair} cancelled due to timeout'
})
return False
def handle_timedout_limit_sell(self, trade: Trade, order: Dict) -> str:
"""
Sell timeout - cancel order and update trade
:return: Reason for cancel
"""
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# if trade is not partially completed, just cancel the trade
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if order['remaining'] == order['amount'] or order.get('filled') == 0.0:
if not self.exchange.check_order_canceled_empty(order):
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reason = "cancelled due to timeout"
# if trade is not partially completed, just delete the trade
self.exchange.cancel_order(trade.open_order_id, trade.pair)
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logger.info('Sell order %s for %s.', reason, trade)
else:
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reason = "cancelled on exchange"
logger.info('Sell order %s for %s.', reason, trade)
trade.close_rate = None
trade.close_rate_requested = None
trade.close_profit = None
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trade.close_profit_abs = None
trade.close_date = None
trade.is_open = True
trade.open_order_id = None
return reason
# TODO: figure out how to handle partially complete sell orders
return 'partially filled - keeping order open'
def _safe_sell_amount(self, pair: str, amount: float) -> float:
"""
Get sellable amount.
Should be trade.amount - but will fall back to the available amount if necessary.
This should cover cases where get_real_amount() was not able to update the amount
for whatever reason.
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:param pair: Pair we're trying to sell
:param amount: amount we expect to be available
:return: amount to sell
:raise: DependencyException: if available balance is not within 2% of the available amount.
"""
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# Update wallets to ensure amounts tied up in a stoploss is now free!
self.wallets.update()
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trade_base_currency = self.exchange.get_pair_base_currency(pair)
wallet_amount = self.wallets.get_free(trade_base_currency)
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logger.debug(f"{pair} - Wallet: {wallet_amount} - Trade-amount: {amount}")
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if wallet_amount >= amount:
return amount
elif wallet_amount > amount * 0.98:
logger.info(f"{pair} - Falling back to wallet-amount.")
return wallet_amount
else:
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raise DependencyException(
f"Not enough amount to sell. Trade-amount: {amount}, Wallet: {wallet_amount}")
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def execute_sell(self, trade: Trade, limit: float, sell_reason: SellType) -> bool:
"""
Executes a limit sell for the given trade and limit
:param trade: Trade instance
:param limit: limit rate for the sell order
:param sellreason: Reason the sell was triggered
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:return: True if it succeeds (supported) False (not supported)
"""
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sell_type = 'sell'
if sell_reason in (SellType.STOP_LOSS, SellType.TRAILING_STOP_LOSS):
sell_type = 'stoploss'
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2018-12-01 09:50:41 +00:00
# if stoploss is on exchange and we are on dry_run mode,
# we consider the sell price stop price
if self.config['dry_run'] and sell_type == 'stoploss' \
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and self.strategy.order_types['stoploss_on_exchange']:
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limit = trade.stop_loss
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# First cancelling stoploss on exchange ...
if self.strategy.order_types.get('stoploss_on_exchange') and trade.stoploss_order_id:
try:
self.exchange.cancel_order(trade.stoploss_order_id, trade.pair)
except InvalidOrderException:
logger.exception(f"Could not cancel stoploss order {trade.stoploss_order_id}")
order_type = self.strategy.order_types[sell_type]
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if sell_reason == SellType.EMERGENCY_SELL:
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# Emergency sells (default to market!)
order_type = self.strategy.order_types.get("emergencysell", "market")
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amount = self._safe_sell_amount(trade.pair, trade.amount)
# Execute sell and update trade record
order = self.exchange.sell(pair=str(trade.pair),
ordertype=order_type,
amount=amount, rate=limit,
time_in_force=self.strategy.order_time_in_force['sell']
)
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trade.open_order_id = order['id']
trade.close_rate_requested = limit
trade.sell_reason = sell_reason.value
# In case of market sell orders the order can be closed immediately
if order.get('status', 'unknown') == 'closed':
trade.update(order)
Trade.session.flush()
# Lock pair for one candle to prevent immediate rebuys
self.strategy.lock_pair(trade.pair, timeframe_to_next_date(self.config['ticker_interval']))
self._notify_sell(trade, order_type)
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return True
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def _notify_sell(self, trade: Trade, order_type: str) -> None:
"""
Sends rpc notification when a sell occured.
"""
profit_rate = trade.close_rate if trade.close_rate else trade.close_rate_requested
profit_trade = trade.calc_profit(rate=profit_rate)
# Use cached rates here - it was updated seconds ago.
current_rate = self.get_sell_rate(trade.pair, False)
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profit_ratio = trade.calc_profit_ratio(profit_rate)
gain = "profit" if profit_ratio > 0 else "loss"
msg = {
'type': RPCMessageType.SELL_NOTIFICATION,
'exchange': trade.exchange.capitalize(),
'pair': trade.pair,
'gain': gain,
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'limit': profit_rate,
'order_type': order_type,
'amount': trade.amount,
'open_rate': trade.open_rate,
'current_rate': current_rate,
'profit_amount': profit_trade,
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'profit_ratio': profit_ratio,
'sell_reason': trade.sell_reason,
'open_date': trade.open_date,
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'close_date': trade.close_date or datetime.utcnow(),
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'stake_currency': self.config['stake_currency'],
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'fiat_currency': self.config.get('fiat_display_currency', None),
}
if 'fiat_display_currency' in self.config:
msg.update({
'fiat_currency': self.config['fiat_display_currency'],
})
# Send the message
self.rpc.send_msg(msg)
def _notify_sell_cancel(self, trade: Trade, order_type: str, reason: str) -> None:
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"""
Sends rpc notification when a sell cancel occured.
"""
profit_rate = trade.close_rate if trade.close_rate else trade.close_rate_requested
profit_trade = trade.calc_profit(rate=profit_rate)
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current_rate = self.get_sell_rate(trade.pair, False)
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profit_ratio = trade.calc_profit_ratio(profit_rate)
gain = "profit" if profit_ratio > 0 else "loss"
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msg = {
'type': RPCMessageType.SELL_CANCEL_NOTIFICATION,
'exchange': trade.exchange.capitalize(),
'pair': trade.pair,
'gain': gain,
'limit': profit_rate,
'order_type': order_type,
'amount': trade.amount,
'open_rate': trade.open_rate,
'current_rate': current_rate,
'profit_amount': profit_trade,
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'profit_ratio': profit_ratio,
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'sell_reason': trade.sell_reason,
'open_date': trade.open_date,
'close_date': trade.close_date,
'stake_currency': self.config['stake_currency'],
'fiat_currency': self.config.get('fiat_display_currency', None),
'reason': reason,
}
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if 'fiat_display_currency' in self.config:
msg.update({
'fiat_currency': self.config['fiat_display_currency'],
})
# Send the message
self.rpc.send_msg(msg)
#
# Common update trade state methods
#
def update_trade_state(self, trade: Trade, action_order: dict = None,
order_amount: float = None) -> bool:
"""
Checks trades with open orders and updates the amount if necessary
Handles closing both buy and sell orders.
:return: True if order has been cancelled without being filled partially, False otherwise
"""
# Get order details for actual price per unit
if trade.open_order_id:
# Update trade with order values
logger.info('Found open order for %s', trade)
try:
order = action_order or self.exchange.get_order(trade.open_order_id, trade.pair)
except InvalidOrderException as exception:
logger.warning('Unable to fetch order %s: %s', trade.open_order_id, exception)
return False
# Try update amount (binance-fix)
try:
new_amount = self.get_real_amount(trade, order, order_amount)
if not isclose(order['amount'], new_amount, abs_tol=constants.MATH_CLOSE_PREC):
order['amount'] = new_amount
del order['filled']
# Fee was applied, so set to 0
trade.fee_open = 0
trade.recalc_open_trade_price()
except DependencyException as exception:
logger.warning("Could not update trade amount: %s", exception)
if self.exchange.check_order_canceled_empty(order):
# Trade has been cancelled on exchange
# Handling of this will happen in check_handle_timeout.
return True
trade.update(order)
# Updating wallets when order is closed
if not trade.is_open:
self.wallets.update()
return False
def get_real_amount(self, trade: Trade, order: Dict, order_amount: float = None) -> float:
"""
Get real amount for the trade
Necessary for exchanges which charge fees in base currency (e.g. binance)
"""
if order_amount is None:
order_amount = order['amount']
# Only run for closed orders
if trade.fee_open == 0 or order['status'] == 'open':
return order_amount
trade_base_currency = self.exchange.get_pair_base_currency(trade.pair)
# use fee from order-dict if possible
if ('fee' in order and order['fee'] is not None and
(order['fee'].keys() >= {'currency', 'cost'})):
if (order['fee']['currency'] is not None and
order['fee']['cost'] is not None and
trade_base_currency == order['fee']['currency']):
new_amount = order_amount - order['fee']['cost']
logger.info("Applying fee on amount for %s (from %s to %s) from Order",
trade, order['amount'], new_amount)
return new_amount
# Fallback to Trades
trades = self.exchange.get_trades_for_order(trade.open_order_id, trade.pair,
trade.open_date)
if len(trades) == 0:
logger.info("Applying fee on amount for %s failed: myTrade-Dict empty found", trade)
return order_amount
amount = 0
fee_abs = 0
for exectrade in trades:
amount += exectrade['amount']
if ("fee" in exectrade and exectrade['fee'] is not None and
(exectrade['fee'].keys() >= {'currency', 'cost'})):
# only applies if fee is in quote currency!
if (exectrade['fee']['currency'] is not None and
exectrade['fee']['cost'] is not None and
trade_base_currency == exectrade['fee']['currency']):
fee_abs += exectrade['fee']['cost']
if not isclose(amount, order_amount, abs_tol=constants.MATH_CLOSE_PREC):
logger.warning(f"Amount {amount} does not match amount {trade.amount}")
raise DependencyException("Half bought? Amounts don't match")
real_amount = amount - fee_abs
if fee_abs != 0:
logger.info(f"Applying fee on amount for {trade} "
f"(from {order_amount} to {real_amount}) from Trades")
return real_amount