stable/freqtrade/exchange/exchange.py

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# pragma pylint: disable=W0603
"""
Cryptocurrency Exchanges support
"""
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import asyncio
import inspect
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import logging
from copy import deepcopy
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from datetime import datetime, timezone
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from math import ceil, floor
from random import randint
from typing import Any, Dict, List, Optional, Tuple
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import arrow
import ccxt
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import ccxt.async_support as ccxt_async
from ccxt.base.decimal_to_precision import ROUND_UP, ROUND_DOWN
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from pandas import DataFrame
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from freqtrade import (DependencyException, InvalidOrderException,
OperationalException, TemporaryError, constants)
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from freqtrade.data.converter import parse_ticker_dataframe
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from freqtrade.misc import deep_merge_dicts
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logger = logging.getLogger(__name__)
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API_RETRY_COUNT = 4
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BAD_EXCHANGES = {
"bitmex": "Various reasons.",
"bitstamp": "Does not provide history. "
"Details in https://github.com/freqtrade/freqtrade/issues/1983",
"hitbtc": "This API cannot be used with Freqtrade. "
"Use `hitbtc2` exchange id to access this exchange.",
**dict.fromkeys([
'adara',
'anxpro',
'bigone',
'coinbase',
'coinexchange',
'coinmarketcap',
'lykke',
'xbtce',
], "Does not provide timeframes. ccxt fetchOHLCV: False"),
**dict.fromkeys([
'bcex',
'bit2c',
'bitbay',
'bitflyer',
'bitforex',
'bithumb',
'bitso',
'bitstamp1',
'bl3p',
'braziliex',
'btcbox',
'btcchina',
'btctradeim',
'btctradeua',
'bxinth',
'chilebit',
'coincheck',
'coinegg',
'coinfalcon',
'coinfloor',
'coingi',
'coinmate',
'coinone',
'coinspot',
'coolcoin',
'crypton',
'deribit',
'exmo',
'exx',
'flowbtc',
'foxbit',
'fybse',
# 'hitbtc',
'ice3x',
'independentreserve',
'indodax',
'itbit',
'lakebtc',
'latoken',
'liquid',
'livecoin',
'luno',
'mixcoins',
'negociecoins',
'nova',
'paymium',
'southxchange',
'stronghold',
'surbitcoin',
'therock',
'tidex',
'vaultoro',
'vbtc',
'virwox',
'yobit',
'zaif',
], "Does not provide timeframes. ccxt fetchOHLCV: emulated"),
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}
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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:
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_config: Dict = {}
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# Parameters to add directly to buy/sell calls (like agreeing to trading agreement)
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_params: Dict = {}
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# Dict to specify which options each exchange implements
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# This defines defaults, which can be selectively overridden by subclasses using _ft_has
# or by specifying them in the configuration.
_ft_has_default: Dict = {
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"stoploss_on_exchange": False,
"order_time_in_force": ["gtc"],
"ohlcv_candle_limit": 500,
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"ohlcv_partial_candle": True,
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"trades_pagination": "time", # Possible are "time" or "id"
"trades_pagination_arg": "since",
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}
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_ft_has: Dict = {}
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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._api: ccxt.Exchange = None
self._api_async: ccxt_async.Exchange = 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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# Deep merge ft_has with default ft_has options
self._ft_has = deep_merge_dicts(self._ft_has, deepcopy(self._ft_has_default))
if exchange_config.get("_ft_has_params"):
self._ft_has = deep_merge_dicts(exchange_config.get("_ft_has_params"),
self._ft_has)
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logger.info("Overriding exchange._ft_has with config params, result: %s", self._ft_has)
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# Assign this directly for easy access
self._ohlcv_candle_limit = self._ft_has['ohlcv_candle_limit']
self._ohlcv_partial_candle = self._ft_has['ohlcv_partial_candle']
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self._trades_pagination = self._ft_has['trades_pagination']
self._trades_pagination_arg = self._ft_has['trades_pagination_arg']
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# Initialize ccxt objects
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self._api = self._init_ccxt(
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exchange_config, ccxt_kwargs=exchange_config.get('ccxt_config'))
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self._api_async = self._init_ccxt(
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exchange_config, ccxt_async, ccxt_kwargs=exchange_config.get('ccxt_async_config'))
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logger.info('Using Exchange "%s"', self.name)
# Check if timeframe is available
self.validate_timeframes(config.get('ticker_interval'))
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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', {}))
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 not is_exchange_known_ccxt(name, ccxt_module):
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raise OperationalException(f'Exchange {name} is not supported by ccxt')
ex_config = {
'apiKey': exchange_config.get('key'),
'secret': exchange_config.get('secret'),
'password': exchange_config.get('password'),
'uid': exchange_config.get('uid', ''),
}
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)
except (KeyError, AttributeError) as e:
raise OperationalException(f'Exchange {name} is not supported') from e
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except ccxt.BaseError as e:
raise OperationalException(f"Initialization of ccxt failed. Reason: {e}") from e
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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 timeframes(self) -> List[str]:
return list((self._api.timeframes or {}).keys())
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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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try:
self._api.load_markets(reload=True)
self._last_markets_refresh = arrow.utcnow().timestamp
except ccxt.BaseError:
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logger.exception("Could not reload markets.")
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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.')
elif self.markets[pair].get('info', {}).get('IsRestricted', False):
# Warn users about restricted pairs in whitelist.
# We cannot determine reliably if Users are affected.
logger.warning(f"Pair {pair} is restricted for some users on this exchange."
f"Please check if you are impacted by this restriction "
f"on the exchange and eventually remove {pair} from your whitelist.")
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def get_valid_pair_combination(self, curr_1, curr_2) -> str:
"""
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Get valid pair combination of curr_1 and curr_2 by trying both combinations.
"""
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for pair in [f"{curr_1}/{curr_2}", f"{curr_2}/{curr_1}"]:
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if pair in self.markets and self.markets[pair].get('active'):
return pair
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raise DependencyException(f"Could not combine {curr_1} and {curr_2} to get a valid pair.")
def validate_timeframes(self, timeframe: Optional[str]) -> None:
"""
Checks if ticker interval from config is a supported timeframe on the exchange
"""
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if not hasattr(self._api, "timeframes") or self._api.timeframes is None:
# If timeframes attribute is missing (or is None), the exchange probably
# has no fetchOHLCV method.
# Therefore we also show that.
raise OperationalException(
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f"The ccxt library does not provide the list of timeframes "
f"for the exchange \"{self.name}\" and this exchange "
f"is therefore not supported. ccxt fetchOHLCV: {self.exchange_has('fetchOHLCV')}")
if timeframe and (timeframe not in self.timeframes):
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raise OperationalException(
f"Invalid ticker interval '{timeframe}'. This exchange supports: {self.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(
f'On exchange stoploss is not supported for {self.name}.'
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)
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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 = {
"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(),
'status': "closed" if ordertype == "market" else "open",
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'fee': None,
"info": {}
}
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self._store_dry_order(dry_order)
# Copy order and close it - so the returned order is open unless it's a market 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
})
if closed_order["type"] in ["stop_loss_limit"]:
closed_order["info"].update({"stopPrice": closed_order["price"]})
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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)
needs_price = (ordertype != 'market'
or self._api.options.get("createMarketBuyOrderRequiresPrice", False))
rate = self.symbol_price_prec(pair, rate) if needs_price 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}.'
f'Message: {e}') from e
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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}.'
f'Message: {e}') from 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}') from e
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except ccxt.BaseError as e:
raise OperationalException(e) from 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.
Since ccxt does not unify stoploss-limit orders yet, this needs to be implemented in each
exchange's subclass.
The exception below should never raise, since we disallow
starting the bot in validate_ordertypes()
Note: Changes to this interface need to be applied to all sub-classes too.
"""
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raise OperationalException(f"stoploss_limit is not implemented for {self.name}.")
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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}') from e
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except ccxt.BaseError as e:
raise OperationalException(e) from 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.'
f'Message: {e}') from e
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except (ccxt.NetworkError, ccxt.ExchangeError) as e:
raise TemporaryError(
f'Could not load tickers due to {e.__class__.__name__}. Message: {e}') from e
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except ccxt.BaseError as e:
raise OperationalException(e) from 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 or not self._api.markets[pair].get('active'):
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(
f'Could not load ticker due to {e.__class__.__name__}. Message: {e}') from e
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except ccxt.BaseError as e:
raise OperationalException(e) from e
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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_historic_ohlcv(self, pair: str, ticker_interval: str,
since_ms: int) -> List:
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"""
Gets candle history using asyncio and returns the list of candles.
Handles all async doing.
Async over one pair, assuming we get `_ohlcv_candle_limit` candles per call.
:param pair: Pair to download
:param ticker_interval: Interval to get
:param since_ms: Timestamp in milliseconds to get history from
:returns List of tickers
2018-08-10 09:08:28 +00:00
"""
return asyncio.get_event_loop().run_until_complete(
self._async_get_historic_ohlcv(pair=pair, ticker_interval=ticker_interval,
since_ms=since_ms))
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async def _async_get_historic_ohlcv(self, pair: str,
ticker_interval: str,
since_ms: int) -> List:
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one_call = timeframe_to_msecs(ticker_interval) * self._ohlcv_candle_limit
logger.debug(
"one_call: %s msecs (%s)",
one_call,
arrow.utcnow().shift(seconds=one_call // 1000).humanize(only_distance=True)
)
input_coroutines = [self._async_get_candle_history(
pair, ticker_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]]:
"""
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Refresh in-memory ohlcv asynchronously and set `_klines` with the result
Loops asynchronously over pair_list and downloads all pairs async (semi-parallel).
:param pair_list: List of 2 element tuples containing pair, interval to refresh
:return: Returns a List of ticker-dataframes.
"""
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 pair %s, interval %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]
ticker_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, ticker_interval)] = ticks[-1][0] // 1000
# keeping parsed dataframe in cache
self._klines[(pair, ticker_interval)] = parse_ticker_dataframe(
ticks, ticker_interval, pair=pair, fill_missing=True,
drop_incomplete=self._ohlcv_partial_candle)
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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 = timeframe_to_seconds(ticker_interval)
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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, ticker_interval: str,
since_ms: Optional[int] = None) -> Tuple[str, str, List]:
"""
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Asynchronously gets candle histories using fetch_ohlcv
returns tuple: (pair, ticker_interval, ohlcv_list)
"""
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try:
# fetch ohlcv asynchronously
s = '(' + arrow.get(since_ms // 1000).isoformat() + ') ' if since_ms is not None else ''
logger.debug(
"Fetching pair %s, interval %s, since %s %s...",
pair, ticker_interval, since_ms, s
)
data = await self._api_async.fetch_ohlcv(pair, timeframe=ticker_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)
return pair, ticker_interval, []
logger.debug("Done fetching pair %s, interval %s ...", pair, ticker_interval)
return pair, ticker_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}') from e
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except (ccxt.NetworkError, ccxt.ExchangeError) as e:
raise TemporaryError(f'Could not load ticker history due to {e.__class__.__name__}. '
f'Message: {e}') from e
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except ccxt.BaseError as e:
raise OperationalException(f'Could not fetch ticker data. Msg: {e}') from e
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@retrier_async
async def _async_fetch_trades(self, pair: str,
since: Optional[int] = None,
params: Optional[dict] = None) -> List[Dict]:
"""
Asyncronously gets trade history using fetch_trades.
Handles exchange errors, does one call to the exchange.
2019-08-14 18:30:29 +00:00
:param pair: Pair to fetch trade data for
:param since: Since as integer timestamp in milliseconds
returns tuple: (pair, ticker_interval, ohlcv_list)
"""
try:
# fetch trades asynchronously
if params:
logger.debug("Fetching trades for pair %s, params: %s ", pair, params)
trades = await self._api_async.fetch_trades(pair, params=params, limit=1000)
else:
logger.debug(
"Fetching trades for pair %s, since %s %s...",
pair, since,
'(' + arrow.get(since // 1000).isoformat() + ') ' if since is not None else ''
)
trades = await self._api_async.fetch_trades(pair, since=since, limit=1000)
return trades
except ccxt.NotSupported as e:
raise OperationalException(
f'Exchange {self._api.name} does not support fetching historical trade data.'
f'Message: {e}') from e
except (ccxt.NetworkError, ccxt.ExchangeError) as e:
raise TemporaryError(f'Could not load trade history due to {e.__class__.__name__}. '
f'Message: {e}') from e
except ccxt.BaseError as e:
raise OperationalException(f'Could not fetch trade data. Msg: {e}') from e
async def _async_get_trade_history_id(self, pair: str,
2019-08-29 11:01:44 +00:00
until: int,
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since: Optional[int] = None,
from_id: Optional[str] = None) -> Tuple[str, List[Dict]]:
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"""
Asyncronously gets trade history using fetch_trades
2019-09-28 08:56:43 +00:00
use this when exchange uses id-based iteration (check `self._trades_pagination`)
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:param pair: Pair to fetch trade data for
:param since: Since as integer timestamp in milliseconds
:param until: Until as integer timestamp in milliseconds
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:param from_id: Download data starting with ID (if id is known). Ignores "since" if set.
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returns tuple: (pair, ticker_interval, ohlcv_list)
"""
trades: List[Dict] = []
if not from_id:
# Fetch first elements using timebased method to get an ID to paginate on
# Depending on the Exchange, this can introduce a drift at the start of the interval
# of up to an hour.
2019-08-29 11:13:41 +00:00
# e.g. Binance returns the "last 1000" candles within a 1h time interval
# - so we will miss the first trades.
t = await self._async_fetch_trades(pair, since=since)
from_id = t[-1]['id']
trades.extend(t[:-1])
while True:
t = await self._async_fetch_trades(pair,
params={self._trades_pagination_arg: from_id})
if len(t):
# Skip last id since its the key for the next call
trades.extend(t[:-1])
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if from_id == t[-1]['id'] or t[-1]['timestamp'] > until:
logger.debug(f"Stopping because from_id did not change. "
f"Reached {t[-1]['timestamp']} > {until}")
2019-09-28 11:35:25 +00:00
# Reached the end of the defined-download period - add last trade as well.
trades.extend(t[-1:])
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break
from_id = t[-1]['id']
else:
break
return (pair, trades)
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async def _async_get_trade_history_time(self, pair: str, until: int,
since: Optional[int] = None) -> Tuple[str, List]:
2019-08-14 18:30:29 +00:00
"""
2019-08-27 05:13:32 +00:00
Asyncronously gets trade history using fetch_trades,
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when the exchange uses time-based iteration (check `self._trades_pagination`)
2019-08-14 18:30:29 +00:00
:param pair: Pair to fetch trade data for
:param since: Since as integer timestamp in milliseconds
:param until: Until as integer timestamp in milliseconds
returns tuple: (pair, ticker_interval, ohlcv_list)
"""
trades: List[Dict] = []
while True:
t = await self._async_fetch_trades(pair, since=since)
if len(t):
since = t[-1]['timestamp']
trades.extend(t)
# Reached the end of the defined-download period
if until and t[-1]['timestamp'] > until:
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logger.debug(
f"Stopping because until was reached. {t[-1]['timestamp']} > {until}")
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break
else:
break
return (pair, trades)
async def _async_get_trade_history(self, pair: str,
since: Optional[int] = None,
until: Optional[int] = None,
from_id: Optional[str] = None) -> Tuple[str, List[Dict]]:
"""
Async wrapper handling downloading trades using either time or id based methods.
"""
if not self.exchange_has("fetchTrades"):
# TODO: Maybe don't stop the bot ... ?
raise OperationalException("This exchange does not suport downloading Trades.")
2019-08-14 18:30:29 +00:00
2019-09-28 08:52:53 +00:00
if self._trades_pagination == 'time':
return await self._async_get_trade_history_time(
pair=pair, since=since,
until=until or ccxt.Exchange.milliseconds())
elif self._trades_pagination == 'id':
return await self._async_get_trade_history_id(
pair=pair, since=since,
until=until or ccxt.Exchange.milliseconds(), from_id=from_id
)
else:
raise OperationalException(f"Exchange {self.name} does use neither time, "
f"nor id based pagination")
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def get_historic_trades(self, pair: str,
since: Optional[int] = None,
until: Optional[int] = None,
from_id: Optional[str] = None) -> Tuple[str, List]:
2019-08-14 18:30:29 +00:00
"""
Gets candle history using asyncio and returns the list of candles.
Handles all async doing.
Async over one pair, assuming we get `_ohlcv_candle_limit` candles per call.
:param pair: Pair to download
:param ticker_interval: Interval to get
2019-08-16 08:51:04 +00:00
:param since: Timestamp in milliseconds to get history from
:param until: Timestamp in milliseconds. Defaults to current timestamp if not defined.
:param from_id: Download data starting with ID (if id is known)
2019-08-14 18:30:29 +00:00
:returns List of tickers
"""
return asyncio.get_event_loop().run_until_complete(
self._async_get_trade_history(pair=pair, since=since,
until=until, from_id=from_id))
2019-08-14 18:30:29 +00:00
2018-06-17 10:41:33 +00:00
@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(
f'Could not cancel order. Message: {e}') from e
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except (ccxt.NetworkError, ccxt.ExchangeError) as e:
raise TemporaryError(
f'Could not cancel order due to {e.__class__.__name__}. Message: {e}') from e
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except ccxt.BaseError as e:
raise OperationalException(e) from e
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@retrier
def get_order(self, order_id: str, pair: str) -> Dict:
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if self._config['dry_run']:
try:
order = self._dry_run_open_orders[order_id]
return order
except KeyError as e:
# Gracefully handle errors with dry-run orders.
raise InvalidOrderException(
f'Tried to get an invalid dry-run-order (id: {order_id}). Message: {e}') from e
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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 (id: {order_id}). Message: {e}') from e
2018-06-17 10:41:33 +00:00
except (ccxt.NetworkError, ccxt.ExchangeError) as e:
raise TemporaryError(
f'Could not get order due to {e.__class__.__name__}. Message: {e}') from e
2018-06-17 10:41:33 +00:00
except ccxt.BaseError as e:
raise OperationalException(e) from e
2017-11-11 18:20:16 +00:00
2018-08-05 04:41:06 +00:00
@retrier
def get_order_book(self, pair: str, limit: int = 100) -> dict:
2018-08-07 10:29:37 +00:00
"""
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}') from e
2018-08-05 04:41:06 +00:00
except (ccxt.NetworkError, ccxt.ExchangeError) as e:
raise TemporaryError(
f'Could not get order book due to {e.__class__.__name__}. Message: {e}') from e
2018-08-05 04:41:06 +00:00
except ccxt.BaseError as e:
raise OperationalException(e) from e
2018-08-05 04:41:06 +00:00
2018-06-17 10:41:33 +00:00
@retrier
def get_trades_for_order(self, order_id: str, pair: str, since: datetime) -> List:
2019-02-28 23:13:16 +00:00
if self._config['dry_run']:
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return []
if not self.exchange_has('fetchMyTrades'):
return []
try:
2018-09-15 18:28:36 +00:00
# Allow 5s offset to catch slight time offsets (discovered in #1185)
# since needs to be int in milliseconds
my_trades = self._api.fetch_my_trades(pair, int((since.timestamp() - 5) * 1000))
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matched_trades = [trade for trade in my_trades if trade['order'] == order_id]
2017-11-11 18:20:16 +00:00
2018-06-17 10:41:33 +00:00
return matched_trades
2018-06-17 10:41:33 +00:00
except ccxt.NetworkError as e:
raise TemporaryError(
f'Could not get trades due to networking error. Message: {e}') from e
2018-06-17 10:41:33 +00:00
except ccxt.BaseError as e:
raise OperationalException(e) from 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
2018-06-18 20:07:15 +00:00
if self._api.markets is None or len(self._api.markets) == 0:
self._api.load_markets()
2018-04-15 17:39:11 +00:00
2018-06-18 20:07:15 +00:00
return self._api.calculate_fee(symbol=symbol, type=type, side=side, amount=amount,
2018-06-17 10:41:33 +00:00
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}') from e
2018-06-17 10:41:33 +00:00
except ccxt.BaseError as e:
raise OperationalException(e) from e
2019-08-14 18:30:13 +00:00
def build_ohlcv(self, trades: List[Dict], timeframe: str, since: int = None,
limit: int = None) -> List:
2019-08-14 18:30:13 +00:00
"""
Build ohlcv data from trade list.
trade-list has to be in the ccxt format, which is a list of dicts containing at least:
* timestamp
* price
* amount
:param trades: List of Dicts
:param timeframe: timeframe to convert to (e.g. "5m")
:param since: start at a specific data, as oposed to the trades-list start date
:param limit: Limit amount of candles
:return: ohlcv data (as returned by ccxt.fetch_ohlcv)
"""
return self._api.build_ohlcv(trades, timeframe, since, limit)
2019-08-22 17:01:41 +00:00
def is_exchange_bad(exchange_name: str) -> bool:
return exchange_name in BAD_EXCHANGES
2019-08-13 06:20:35 +00:00
2019-08-22 17:01:41 +00:00
def get_exchange_bad_reason(exchange_name: str) -> str:
return BAD_EXCHANGES.get(exchange_name, "")
2019-06-11 10:18:35 +00:00
2019-09-30 21:33:33 +00:00
def is_exchange_known_ccxt(exchange_name: str, ccxt_module=None) -> bool:
return exchange_name in ccxt_exchanges(ccxt_module)
2019-06-11 10:18:35 +00:00
2019-08-22 17:01:41 +00:00
def is_exchange_officially_supported(exchange_name: str) -> bool:
return exchange_name in ['bittrex', 'binance']
2019-09-30 21:33:33 +00:00
def ccxt_exchanges(ccxt_module=None) -> List[str]:
"""
Return the list of all exchanges known to ccxt
"""
2019-04-10 21:07:27 +00:00
return ccxt_module.exchanges if ccxt_module is not None else ccxt.exchanges
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def available_exchanges(ccxt_module=None) -> List[str]:
"""
Return exchanges available to the bot, i.e. non-bad exchanges in the ccxt list
"""
exchanges = ccxt_exchanges(ccxt_module)
return [x for x in exchanges if not is_exchange_bad(x)]
def timeframe_to_seconds(ticker_interval: str) -> int:
"""
Translates the timeframe interval value written in the human readable
form ('1m', '5m', '1h', '1d', '1w', etc.) to the number
of seconds for one timeframe interval.
"""
return ccxt.Exchange.parse_timeframe(ticker_interval)
def timeframe_to_minutes(ticker_interval: str) -> int:
"""
2019-08-12 14:07:19 +00:00
Same as timeframe_to_seconds, but returns minutes.
"""
return ccxt.Exchange.parse_timeframe(ticker_interval) // 60
def timeframe_to_msecs(ticker_interval: str) -> int:
"""
2019-08-12 14:07:19 +00:00
Same as timeframe_to_seconds, but returns milliseconds.
"""
return ccxt.Exchange.parse_timeframe(ticker_interval) * 1000
2019-08-12 14:07:19 +00:00
2019-08-12 14:17:06 +00:00
def timeframe_to_prev_date(timeframe: str, date: datetime = None) -> datetime:
2019-08-12 14:11:43 +00:00
"""
Use Timeframe and determine last possible candle.
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:param timeframe: timeframe in string format (e.g. "5m")
:param date: date to use. Defaults to utcnow()
:returns: date of previous candle (with utc timezone)
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"""
if not date:
date = datetime.now(timezone.utc)
new_timestamp = ccxt.Exchange.round_timeframe(timeframe, date.timestamp() * 1000,
ROUND_DOWN) // 1000
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return datetime.fromtimestamp(new_timestamp, tz=timezone.utc)
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def timeframe_to_next_date(timeframe: str, date: datetime = None) -> datetime:
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"""
Use Timeframe and determine next candle.
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:param timeframe: timeframe in string format (e.g. "5m")
:param date: date to use. Defaults to utcnow()
:returns: date of next candle (with utc timezone)
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"""
if not date:
date = datetime.now(timezone.utc)
new_timestamp = ccxt.Exchange.round_timeframe(timeframe, date.timestamp() * 1000,
ROUND_UP) // 1000
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return datetime.fromtimestamp(new_timestamp, tz=timezone.utc)