2017-11-18 07:52:28 +00:00
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# pragma pylint: disable=W0603
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""" Cryptocurrency Exchanges support """
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2017-05-14 12:14:16 +00:00
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import logging
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2018-08-14 17:51:49 +00:00
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import inspect
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2017-11-05 14:21:16 +00:00
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from random import randint
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2018-07-31 18:43:32 +00:00
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from typing import List, Dict, Tuple, Any, Optional
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2018-04-15 17:39:11 +00:00
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from datetime import datetime
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2018-07-30 16:49:58 +00:00
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from math import floor, ceil
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2017-09-01 19:11:46 +00:00
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2018-12-11 18:47:48 +00:00
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import arrow
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2018-08-03 16:10:03 +00:00
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import asyncio
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2018-04-06 07:57:08 +00:00
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import ccxt
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2018-07-31 10:47:32 +00:00
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import ccxt.async_support as ccxt_async
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2018-12-11 18:47:48 +00:00
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from pandas import DataFrame
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2018-08-03 16:10:03 +00:00
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2018-05-04 10:38:51 +00:00
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from freqtrade import constants, OperationalException, DependencyException, TemporaryError
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2018-12-12 19:16:03 +00:00
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from freqtrade.data.converter import parse_ticker_dataframe
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2017-05-12 17:11:56 +00:00
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2017-05-14 12:14:16 +00:00
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logger = logging.getLogger(__name__)
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2017-05-12 17:11:56 +00:00
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2018-03-21 17:40:16 +00:00
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API_RETRY_COUNT = 4
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2017-05-12 17:11:56 +00:00
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2017-11-05 14:21:16 +00:00
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2018-04-06 07:57:08 +00:00
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# Urls to exchange markets, insert quote and base with .format()
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_EXCHANGE_URLS = {
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ccxt.bittrex.__name__: '/Market/Index?MarketName={quote}-{base}',
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ccxt.binance.__name__: '/tradeDetail.html?symbol={base}_{quote}'
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}
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2018-08-18 19:05:38 +00:00
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def retrier_async(f):
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async def wrapper(*args, **kwargs):
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count = kwargs.pop('count', API_RETRY_COUNT)
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try:
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return await f(*args, **kwargs)
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except (TemporaryError, DependencyException) as ex:
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logger.warning('%s() returned exception: "%s"', f.__name__, ex)
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if count > 0:
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count -= 1
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kwargs.update({'count': count})
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logger.warning('retrying %s() still for %s times', f.__name__, count)
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return await wrapper(*args, **kwargs)
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else:
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logger.warning('Giving up retrying: %s()', f.__name__)
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raise ex
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return wrapper
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2018-03-21 17:40:16 +00:00
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def retrier(f):
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def wrapper(*args, **kwargs):
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count = kwargs.pop('count', API_RETRY_COUNT)
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try:
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return f(*args, **kwargs)
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2018-04-21 20:37:27 +00:00
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except (TemporaryError, DependencyException) as ex:
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logger.warning('%s() returned exception: "%s"', f.__name__, ex)
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2018-03-21 17:40:16 +00:00
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if count > 0:
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count -= 1
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kwargs.update({'count': count})
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2018-04-21 20:37:27 +00:00
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logger.warning('retrying %s() still for %s times', f.__name__, count)
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2018-03-21 17:40:16 +00:00
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return wrapper(*args, **kwargs)
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else:
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2018-04-23 14:56:35 +00:00
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logger.warning('Giving up retrying: %s()', f.__name__)
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raise ex
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2018-03-21 17:40:16 +00:00
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return wrapper
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2018-06-17 10:41:33 +00:00
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class Exchange(object):
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2018-04-22 07:57:48 +00:00
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2018-06-18 20:09:46 +00:00
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_conf: Dict = {}
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2018-08-09 10:47:26 +00:00
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2018-06-17 10:41:33 +00:00
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def __init__(self, config: dict) -> None:
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"""
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Initializes this module with the given config,
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it does basic validation whether the specified
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exchange and pairs are valid.
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:return: None
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"""
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2018-06-18 20:09:46 +00:00
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self._conf.update(config)
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2017-09-08 13:51:00 +00:00
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2018-08-19 17:37:48 +00:00
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self._cached_ticker: Dict[str, Any] = {}
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# Holds last candle refreshed time of each pair
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2019-01-05 05:44:08 +00:00
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self._pairs_last_refresh_time: Dict[Tuple[str, str], int] = {}
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2018-08-19 17:37:48 +00:00
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# Holds candles
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2018-12-30 06:15:21 +00:00
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self._klines: Dict[Tuple[str, str], DataFrame] = {}
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2018-08-19 17:37:48 +00:00
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2018-12-10 18:54:43 +00:00
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# Holds all open sell orders for dry_run
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self._dry_run_open_orders: Dict[str, Any] = {}
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2018-08-19 17:37:48 +00:00
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2018-06-17 10:41:33 +00:00
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if config['dry_run']:
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logger.info('Instance is running with dry_run enabled')
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2017-10-01 21:28:09 +00:00
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2018-06-17 10:41:33 +00:00
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exchange_config = config['exchange']
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2018-12-10 18:54:43 +00:00
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self._api: ccxt.Exchange = self._init_ccxt(
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exchange_config, ccxt_kwargs=exchange_config.get('ccxt_config'))
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self._api_async: ccxt_async.Exchange = self._init_ccxt(
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exchange_config, ccxt_async, ccxt_kwargs=exchange_config.get('ccxt_async_config'))
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2017-10-01 21:28:09 +00:00
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2018-06-18 20:20:50 +00:00
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logger.info('Using Exchange "%s"', self.name)
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2018-03-21 17:40:16 +00:00
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2018-09-10 18:19:12 +00:00
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self.markets = self._load_markets()
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2018-06-17 10:41:33 +00:00
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# Check if all pairs are available
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self.validate_pairs(config['exchange']['pair_whitelist'])
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2018-11-17 18:54:55 +00:00
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self.validate_ordertypes(config.get('order_types', {}))
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2018-11-25 20:09:35 +00:00
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self.validate_order_time_in_force(config.get('order_time_in_force', {}))
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2018-07-09 20:11:12 +00:00
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if config.get('ticker_interval'):
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# Check if timeframe is available
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self.validate_timeframes(config['ticker_interval'])
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Handle if ticker_interval in config.json is not supported on exchange.
Returns.
Tested positive and negative data.
The ticker list in constants.py may be obsolete now, im not sure.
raise OperationalException(f'Invalid ticker {timeframe}, this Exchange supports {timeframes}')
freqtrade.OperationalException: Invalid ticker 14m, this Exchange supports {'1m': '1m', '3m': '3m', '5m': '5m', '15m': '15m', '30m': '30m', '1h': '1h', '2h': '2h', '4h': '4h', '6h': '6h', '8h': '8h', '12h': '12h', '1d': '1d', '3d': '3d', '1w': '1w', '1M': '1M'}
2018-07-05 11:57:59 +00:00
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2018-08-14 17:51:49 +00:00
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def __del__(self):
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"""
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Destructor - clean up async stuff
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"""
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logger.debug("Exchange object destroyed, closing async loop")
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if self._api_async and inspect.iscoroutinefunction(self._api_async.close):
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asyncio.get_event_loop().run_until_complete(self._api_async.close())
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2018-10-04 18:11:02 +00:00
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def _init_ccxt(self, exchange_config: dict, ccxt_module=ccxt,
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ccxt_kwargs: dict = None) -> ccxt.Exchange:
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2018-06-17 11:09:23 +00:00
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"""
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Initialize ccxt with given config and return valid
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ccxt instance.
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"""
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# Find matching class for the given exchange name
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name = exchange_config['name']
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2018-07-31 10:47:32 +00:00
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if name not in ccxt_module.exchanges:
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2018-06-17 11:09:23 +00:00
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raise OperationalException(f'Exchange {name} is not supported')
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2018-10-04 18:11:02 +00:00
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ex_config = {
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2018-12-11 06:11:43 +00:00
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'apiKey': exchange_config.get('key'),
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'secret': exchange_config.get('secret'),
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'password': exchange_config.get('password'),
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'uid': exchange_config.get('uid', ''),
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'enableRateLimit': exchange_config.get('ccxt_rate_limit', True)
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}
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2018-10-04 18:11:02 +00:00
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if ccxt_kwargs:
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logger.info('Applying additional ccxt config: %s', ccxt_kwargs)
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ex_config.update(ccxt_kwargs)
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try:
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api = getattr(ccxt_module, name.lower())(ex_config)
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2018-06-17 11:09:23 +00:00
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except (KeyError, AttributeError):
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raise OperationalException(f'Exchange {name} is not supported')
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2018-07-28 20:32:10 +00:00
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self.set_sandbox(api, exchange_config, name)
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2018-07-27 08:55:36 +00:00
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2018-06-17 11:09:23 +00:00
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return api
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2018-06-18 20:20:50 +00:00
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@property
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def name(self) -> str:
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"""exchange Name (from ccxt)"""
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2018-06-18 20:07:15 +00:00
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return self._api.name
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2017-09-08 13:51:00 +00:00
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2018-06-18 20:20:50 +00:00
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@property
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def id(self) -> str:
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"""exchange ccxt id"""
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2018-06-18 20:07:15 +00:00
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return self._api.id
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2017-10-06 10:22:04 +00:00
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2018-12-30 06:15:21 +00:00
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def klines(self, pair_interval: Tuple[str, str], copy=True) -> DataFrame:
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# create key tuple
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if pair_interval in self._klines:
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return self._klines[pair_interval].copy() if copy else self._klines[pair_interval]
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2018-12-11 18:47:48 +00:00
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else:
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2018-12-29 12:00:50 +00:00
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return DataFrame()
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2018-12-11 18:47:48 +00:00
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2018-07-28 20:32:10 +00:00
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def set_sandbox(self, api, exchange_config: dict, name: str):
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if exchange_config.get('sandbox'):
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if api.urls.get('test'):
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api.urls['api'] = api.urls['test']
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2018-07-29 09:15:13 +00:00
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logger.info("Enabled Sandbox API on %s", name)
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2018-07-28 20:32:10 +00:00
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else:
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2018-08-05 13:08:07 +00:00
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logger.warning(name, "No Sandbox URL in CCXT, exiting. "
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2018-07-29 08:10:55 +00:00
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"Please check your config.json")
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2018-07-28 20:32:10 +00:00
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raise OperationalException(f'Exchange {name} does not provide a sandbox api')
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2018-08-10 11:04:43 +00:00
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def _load_async_markets(self) -> None:
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try:
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if self._api_async:
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asyncio.get_event_loop().run_until_complete(self._api_async.load_markets())
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except ccxt.BaseError as e:
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logger.warning('Could not load async markets. Reason: %s', e)
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return
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2018-09-11 17:46:18 +00:00
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def _load_markets(self) -> Dict[str, Any]:
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2018-09-10 18:19:12 +00:00
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""" Initialize markets both sync and async """
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try:
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markets = self._api.load_markets()
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self._load_async_markets()
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return markets
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except ccxt.BaseError as e:
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logger.warning('Unable to initialize markets. Reason: %s', e)
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2018-09-11 17:46:18 +00:00
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return {}
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2018-09-10 18:19:12 +00:00
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2018-06-17 10:41:33 +00:00
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def validate_pairs(self, pairs: List[str]) -> None:
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"""
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Checks if all given pairs are tradable on the current exchange.
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Raises OperationalException if one pair is not available.
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:param pairs: list of pairs
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:return: None
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"""
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2017-10-06 10:22:04 +00:00
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2018-09-10 18:19:12 +00:00
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if not self.markets:
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logger.warning('Unable to validate pairs (assuming they are correct).')
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2018-09-11 17:46:18 +00:00
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# return
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2018-06-17 10:41:33 +00:00
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2018-06-18 20:09:46 +00:00
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stake_cur = self._conf['stake_currency']
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2018-06-17 10:41:33 +00:00
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for pair in pairs:
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# Note: ccxt has BaseCurrency/QuoteCurrency format for pairs
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# TODO: add a support for having coins in BTC/USDT format
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if not pair.endswith(stake_cur):
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raise OperationalException(
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f'Pair {pair} not compatible with stake_currency: {stake_cur}')
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2018-09-11 17:46:18 +00:00
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if self.markets and pair not in self.markets:
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2018-06-17 10:41:33 +00:00
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raise OperationalException(
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2018-11-29 06:07:47 +00:00
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f'Pair {pair} is not available at {self.name}'
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f'Please remove {pair} from your whitelist.')
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2018-06-17 10:41:33 +00:00
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Handle if ticker_interval in config.json is not supported on exchange.
Returns.
Tested positive and negative data.
The ticker list in constants.py may be obsolete now, im not sure.
raise OperationalException(f'Invalid ticker {timeframe}, this Exchange supports {timeframes}')
freqtrade.OperationalException: Invalid ticker 14m, this Exchange supports {'1m': '1m', '3m': '3m', '5m': '5m', '15m': '15m', '30m': '30m', '1h': '1h', '2h': '2h', '4h': '4h', '6h': '6h', '8h': '8h', '12h': '12h', '1d': '1d', '3d': '3d', '1w': '1w', '1M': '1M'}
2018-07-05 11:57:59 +00:00
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def validate_timeframes(self, timeframe: List[str]) -> None:
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"""
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Checks if ticker interval from config is a supported timeframe on the exchange
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"""
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2018-07-05 12:05:31 +00:00
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timeframes = self._api.timeframes
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Handle if ticker_interval in config.json is not supported on exchange.
Returns.
Tested positive and negative data.
The ticker list in constants.py may be obsolete now, im not sure.
raise OperationalException(f'Invalid ticker {timeframe}, this Exchange supports {timeframes}')
freqtrade.OperationalException: Invalid ticker 14m, this Exchange supports {'1m': '1m', '3m': '3m', '5m': '5m', '15m': '15m', '30m': '30m', '1h': '1h', '2h': '2h', '4h': '4h', '6h': '6h', '8h': '8h', '12h': '12h', '1d': '1d', '3d': '3d', '1w': '1w', '1M': '1M'}
2018-07-05 11:57:59 +00:00
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if timeframe not in timeframes:
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2018-07-05 12:05:31 +00:00
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raise OperationalException(
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f'Invalid ticker {timeframe}, this Exchange supports {timeframes}')
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Handle if ticker_interval in config.json is not supported on exchange.
Returns.
Tested positive and negative data.
The ticker list in constants.py may be obsolete now, im not sure.
raise OperationalException(f'Invalid ticker {timeframe}, this Exchange supports {timeframes}')
freqtrade.OperationalException: Invalid ticker 14m, this Exchange supports {'1m': '1m', '3m': '3m', '5m': '5m', '15m': '15m', '30m': '30m', '1h': '1h', '2h': '2h', '4h': '4h', '6h': '6h', '8h': '8h', '12h': '12h', '1d': '1d', '3d': '3d', '1w': '1w', '1M': '1M'}
2018-07-05 11:57:59 +00:00
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2018-11-17 18:54:55 +00:00
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def validate_ordertypes(self, order_types: Dict) -> None:
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"""
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Checks if order-types configured in strategy/config are supported
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"""
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if any(v == 'market' for k, v in order_types.items()):
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if not self.exchange_has('createMarketOrder'):
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raise OperationalException(
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f'Exchange {self.name} does not support market orders.')
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2018-11-25 16:30:06 +00:00
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if order_types.get('stoploss_on_exchange'):
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2018-11-25 16:22:56 +00:00
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if self.name is not 'Binance':
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raise OperationalException(
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'On exchange stoploss is not supported for %s.' % self.name
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)
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2018-11-25 20:09:35 +00:00
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def validate_order_time_in_force(self, order_time_in_force: Dict) -> None:
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"""
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Checks if order time in force configured in strategy/config are supported
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"""
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if any(v != 'gtc' for k, v in order_time_in_force.items()):
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2018-12-09 15:06:00 +00:00
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if self.name is not 'Binance':
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2018-11-25 20:09:35 +00:00
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|
|
raise OperationalException(
|
|
|
|
f'Time in force policies are not supporetd for {self.name} yet.')
|
|
|
|
|
2018-06-17 10:41:33 +00:00
|
|
|
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
|
|
|
|
"""
|
2018-06-18 20:07:15 +00:00
|
|
|
return endpoint in self._api.has and self._api.has[endpoint]
|
2018-06-17 10:41:33 +00:00
|
|
|
|
2018-07-30 16:49:58 +00:00
|
|
|
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._api.markets[pair]['precision']['amount']:
|
|
|
|
symbol_prec = self._api.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._api.markets[pair]['precision']['price']:
|
|
|
|
symbol_prec = self._api.markets[pair]['precision']['price']
|
|
|
|
big_price = price * pow(10, symbol_prec)
|
|
|
|
price = ceil(big_price) / pow(10, symbol_prec)
|
|
|
|
return price
|
|
|
|
|
2018-12-04 19:59:55 +00:00
|
|
|
def buy(self, pair: str, ordertype: str, amount: float,
|
2018-12-09 15:00:04 +00:00
|
|
|
rate: float, time_in_force) -> Dict:
|
2018-06-18 20:09:46 +00:00
|
|
|
if self._conf['dry_run']:
|
2018-06-17 10:41:33 +00:00
|
|
|
order_id = f'dry_run_buy_{randint(0, 10**6)}'
|
2018-06-18 20:09:46 +00:00
|
|
|
self._dry_run_open_orders[order_id] = {
|
2018-06-17 10:41:33 +00:00
|
|
|
'pair': pair,
|
|
|
|
'price': rate,
|
|
|
|
'amount': amount,
|
2018-11-17 12:23:13 +00:00
|
|
|
'type': ordertype,
|
2018-06-17 10:41:33 +00:00
|
|
|
'side': 'buy',
|
|
|
|
'remaining': 0.0,
|
|
|
|
'datetime': arrow.utcnow().isoformat(),
|
|
|
|
'status': 'closed',
|
|
|
|
'fee': None
|
|
|
|
}
|
|
|
|
return {'id': order_id}
|
2018-04-06 07:57:08 +00:00
|
|
|
|
2018-06-06 18:18:16 +00:00
|
|
|
try:
|
2018-07-30 16:49:58 +00:00
|
|
|
# Set the precision for amount and price(rate) as accepted by the exchange
|
|
|
|
amount = self.symbol_amount_prec(pair, amount)
|
2018-11-17 19:09:05 +00:00
|
|
|
rate = self.symbol_price_prec(pair, rate) if ordertype != 'market' else None
|
2018-07-30 16:49:58 +00:00
|
|
|
|
2018-11-25 20:38:11 +00:00
|
|
|
if time_in_force == 'gtc':
|
|
|
|
return self._api.create_order(pair, ordertype, 'buy', amount, rate)
|
|
|
|
else:
|
|
|
|
return self._api.create_order(pair, ordertype, 'buy',
|
|
|
|
amount, rate, {'timeInForce': time_in_force})
|
|
|
|
|
2018-06-17 10:41:33 +00:00
|
|
|
except ccxt.InsufficientFunds as e:
|
|
|
|
raise DependencyException(
|
|
|
|
f'Insufficient funds to create limit buy order on market {pair}.'
|
|
|
|
f'Tried to buy amount {amount} at rate {rate} (total {rate*amount}).'
|
|
|
|
f'Message: {e}')
|
|
|
|
except ccxt.InvalidOrder as e:
|
|
|
|
raise DependencyException(
|
|
|
|
f'Could not create limit buy order on market {pair}.'
|
|
|
|
f'Tried to buy amount {amount} at rate {rate} (total {rate*amount}).'
|
|
|
|
f'Message: {e}')
|
2018-06-06 18:18:16 +00:00
|
|
|
except (ccxt.NetworkError, ccxt.ExchangeError) as e:
|
|
|
|
raise TemporaryError(
|
2018-06-17 10:41:33 +00:00
|
|
|
f'Could not place buy order due to {e.__class__.__name__}. Message: {e}')
|
2018-06-06 18:18:16 +00:00
|
|
|
except ccxt.BaseError as e:
|
|
|
|
raise OperationalException(e)
|
2017-10-06 10:22:04 +00:00
|
|
|
|
2018-11-25 20:38:11 +00:00
|
|
|
def sell(self, pair: str, ordertype: str, amount: float,
|
|
|
|
rate: float, time_in_force='gtc') -> Dict:
|
2018-06-18 20:09:46 +00:00
|
|
|
if self._conf['dry_run']:
|
2018-06-17 10:41:33 +00:00
|
|
|
order_id = f'dry_run_sell_{randint(0, 10**6)}'
|
2018-06-18 20:09:46 +00:00
|
|
|
self._dry_run_open_orders[order_id] = {
|
2018-06-17 10:41:33 +00:00
|
|
|
'pair': pair,
|
|
|
|
'price': rate,
|
|
|
|
'amount': amount,
|
2018-11-17 12:23:13 +00:00
|
|
|
'type': ordertype,
|
2018-06-17 10:41:33 +00:00
|
|
|
'side': 'sell',
|
|
|
|
'remaining': 0.0,
|
|
|
|
'datetime': arrow.utcnow().isoformat(),
|
|
|
|
'status': 'closed'
|
|
|
|
}
|
|
|
|
return {'id': order_id}
|
2017-10-06 10:22:04 +00:00
|
|
|
|
2018-06-17 10:41:33 +00:00
|
|
|
try:
|
2018-07-30 16:49:58 +00:00
|
|
|
# Set the precision for amount and price(rate) as accepted by the exchange
|
|
|
|
amount = self.symbol_amount_prec(pair, amount)
|
2018-11-17 19:09:05 +00:00
|
|
|
rate = self.symbol_price_prec(pair, rate) if ordertype != 'market' else None
|
2018-07-30 16:49:58 +00:00
|
|
|
|
2018-11-25 20:38:11 +00:00
|
|
|
if time_in_force == 'gtc':
|
|
|
|
return self._api.create_order(pair, ordertype, 'sell', amount, rate)
|
|
|
|
else:
|
|
|
|
return self._api.create_order(pair, ordertype, 'sell',
|
|
|
|
amount, rate, {'timeInForce': time_in_force})
|
|
|
|
|
2018-06-17 10:41:33 +00:00
|
|
|
except ccxt.InsufficientFunds as e:
|
|
|
|
raise DependencyException(
|
|
|
|
f'Insufficient funds to create limit sell order on market {pair}.'
|
|
|
|
f'Tried to sell amount {amount} at rate {rate} (total {rate*amount}).'
|
|
|
|
f'Message: {e}')
|
|
|
|
except ccxt.InvalidOrder as e:
|
|
|
|
raise DependencyException(
|
|
|
|
f'Could not create limit sell order on market {pair}.'
|
|
|
|
f'Tried to sell amount {amount} at rate {rate} (total {rate*amount}).'
|
|
|
|
f'Message: {e}')
|
|
|
|
except (ccxt.NetworkError, ccxt.ExchangeError) as e:
|
|
|
|
raise TemporaryError(
|
|
|
|
f'Could not place sell order due to {e.__class__.__name__}. Message: {e}')
|
|
|
|
except ccxt.BaseError as e:
|
|
|
|
raise OperationalException(e)
|
2017-10-06 10:22:04 +00:00
|
|
|
|
2018-11-22 15:24:40 +00:00
|
|
|
def stoploss_limit(self, pair: str, amount: float, stop_price: float, rate: float) -> Dict:
|
2018-11-25 09:54:36 +00:00
|
|
|
"""
|
|
|
|
creates a stoploss limit order.
|
|
|
|
NOTICE: it is not supported by all exchanges. only binance is tested for now.
|
|
|
|
"""
|
2018-11-22 15:24:40 +00:00
|
|
|
|
|
|
|
# Set the precision for amount and price(rate) as accepted by the exchange
|
|
|
|
amount = self.symbol_amount_prec(pair, amount)
|
|
|
|
rate = self.symbol_price_prec(pair, rate)
|
|
|
|
stop_price = self.symbol_price_prec(pair, stop_price)
|
|
|
|
|
|
|
|
# Ensure rate is less than stop price
|
2018-11-22 19:30:31 +00:00
|
|
|
if stop_price <= rate:
|
2018-11-22 15:24:40 +00:00
|
|
|
raise OperationalException(
|
|
|
|
'In stoploss limit order, stop price should be more than limit price')
|
|
|
|
|
2018-11-24 17:26:04 +00:00
|
|
|
if self._conf['dry_run']:
|
|
|
|
order_id = f'dry_run_buy_{randint(0, 10**6)}'
|
|
|
|
self._dry_run_open_orders[order_id] = {
|
|
|
|
'info': {},
|
|
|
|
'id': order_id,
|
|
|
|
'pair': pair,
|
|
|
|
'price': stop_price,
|
|
|
|
'amount': amount,
|
|
|
|
'type': 'stop_loss_limit',
|
|
|
|
'side': 'sell',
|
|
|
|
'remaining': amount,
|
|
|
|
'datetime': arrow.utcnow().isoformat(),
|
|
|
|
'status': 'open',
|
|
|
|
'fee': None
|
|
|
|
}
|
|
|
|
return self._dry_run_open_orders[order_id]
|
|
|
|
|
2018-11-26 17:46:59 +00:00
|
|
|
try:
|
2019-01-16 14:10:31 +00:00
|
|
|
order = self._api.create_order(pair, 'stop_loss_limit', 'sell',
|
2019-01-16 14:17:28 +00:00
|
|
|
amount, rate, {'stopPrice': stop_price})
|
2019-01-16 14:10:31 +00:00
|
|
|
logger.info('stoploss limit order added for %s. '
|
2019-01-16 17:38:20 +00:00
|
|
|
'stop price: %s. limit: %s' % (pair, stop_price, rate))
|
2019-01-16 14:10:31 +00:00
|
|
|
return order
|
2018-11-22 15:24:40 +00:00
|
|
|
|
2018-11-26 17:46:59 +00:00
|
|
|
except ccxt.InsufficientFunds as e:
|
|
|
|
raise DependencyException(
|
2018-11-28 18:35:10 +00:00
|
|
|
f'Insufficient funds to place stoploss limit order on market {pair}. '
|
|
|
|
f'Tried to put a stoploss amount {amount} with '
|
|
|
|
f'stop {stop_price} and limit {rate} (total {rate*amount}).'
|
2018-11-26 17:46:59 +00:00
|
|
|
f'Message: {e}')
|
|
|
|
except ccxt.InvalidOrder as e:
|
|
|
|
raise DependencyException(
|
|
|
|
f'Could not place stoploss limit order on market {pair}.'
|
2018-11-28 18:35:10 +00:00
|
|
|
f'Tried to place stoploss amount {amount} with '
|
|
|
|
f'stop {stop_price} and limit {rate} (total {rate*amount}).'
|
2018-11-26 17:46:59 +00:00
|
|
|
f'Message: {e}')
|
|
|
|
except (ccxt.NetworkError, ccxt.ExchangeError) as e:
|
|
|
|
raise TemporaryError(
|
|
|
|
f'Could not place stoploss limit order due to {e.__class__.__name__}. Message: {e}')
|
|
|
|
except ccxt.BaseError as e:
|
|
|
|
raise OperationalException(e)
|
|
|
|
|
2018-06-17 10:41:33 +00:00
|
|
|
@retrier
|
|
|
|
def get_balance(self, currency: str) -> float:
|
2018-06-18 20:09:46 +00:00
|
|
|
if self._conf['dry_run']:
|
2018-06-17 10:41:33 +00:00
|
|
|
return 999.9
|
2018-04-15 17:39:11 +00:00
|
|
|
|
2018-06-17 10:41:33 +00:00
|
|
|
# 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']
|
2018-04-15 17:39:11 +00:00
|
|
|
|
2018-06-17 10:41:33 +00:00
|
|
|
@retrier
|
|
|
|
def get_balances(self) -> dict:
|
2018-06-18 20:09:46 +00:00
|
|
|
if self._conf['dry_run']:
|
2018-06-17 10:41:33 +00:00
|
|
|
return {}
|
2017-09-08 13:51:00 +00:00
|
|
|
|
2018-06-17 10:41:33 +00:00
|
|
|
try:
|
2018-06-18 20:07:15 +00:00
|
|
|
balances = self._api.fetch_balance()
|
2018-06-17 10:41:33 +00:00
|
|
|
# Remove additional info from ccxt results
|
|
|
|
balances.pop("info", None)
|
|
|
|
balances.pop("free", None)
|
|
|
|
balances.pop("total", None)
|
|
|
|
balances.pop("used", None)
|
|
|
|
|
|
|
|
return balances
|
|
|
|
except (ccxt.NetworkError, ccxt.ExchangeError) as e:
|
|
|
|
raise TemporaryError(
|
|
|
|
f'Could not get balance due to {e.__class__.__name__}. Message: {e}')
|
|
|
|
except ccxt.BaseError as e:
|
|
|
|
raise OperationalException(e)
|
2017-09-08 13:51:00 +00:00
|
|
|
|
2018-06-17 10:41:33 +00:00
|
|
|
@retrier
|
|
|
|
def get_tickers(self) -> Dict:
|
|
|
|
try:
|
2018-06-18 20:07:15 +00:00
|
|
|
return self._api.fetch_tickers()
|
2018-06-17 10:41:33 +00:00
|
|
|
except ccxt.NotSupported as e:
|
|
|
|
raise OperationalException(
|
2018-06-18 20:07:15 +00:00
|
|
|
f'Exchange {self._api.name} does not support fetching tickers in batch.'
|
2018-06-17 10:41:33 +00:00
|
|
|
f'Message: {e}')
|
|
|
|
except (ccxt.NetworkError, ccxt.ExchangeError) as e:
|
|
|
|
raise TemporaryError(
|
|
|
|
f'Could not load tickers due to {e.__class__.__name__}. Message: {e}')
|
|
|
|
except ccxt.BaseError as e:
|
|
|
|
raise OperationalException(e)
|
2017-09-08 13:51:00 +00:00
|
|
|
|
2018-06-17 10:41:33 +00:00
|
|
|
@retrier
|
|
|
|
def get_ticker(self, pair: str, refresh: Optional[bool] = True) -> dict:
|
2018-06-18 20:09:46 +00:00
|
|
|
if refresh or pair not in self._cached_ticker.keys():
|
2018-06-17 10:41:33 +00:00
|
|
|
try:
|
2018-10-10 19:28:48 +00:00
|
|
|
if pair not in self._api.markets:
|
|
|
|
raise DependencyException(f"Pair {pair} not available")
|
2018-06-18 20:07:15 +00:00
|
|
|
data = self._api.fetch_ticker(pair)
|
2018-06-17 10:41:33 +00:00
|
|
|
try:
|
2018-06-18 20:09:46 +00:00
|
|
|
self._cached_ticker[pair] = {
|
2018-06-17 10:41:33 +00:00
|
|
|
'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(
|
2018-08-08 19:55:48 +00:00
|
|
|
f'Could not load ticker due to {e.__class__.__name__}. Message: {e}')
|
2018-06-17 10:41:33 +00:00
|
|
|
except ccxt.BaseError as e:
|
|
|
|
raise OperationalException(e)
|
|
|
|
else:
|
|
|
|
logger.info("returning cached ticker-data for %s", pair)
|
2018-06-18 20:09:46 +00:00
|
|
|
return self._cached_ticker[pair]
|
2018-06-17 10:41:33 +00:00
|
|
|
|
2018-08-10 09:08:28 +00:00
|
|
|
def get_history(self, pair: str, tick_interval: str,
|
|
|
|
since_ms: int) -> List:
|
|
|
|
"""
|
|
|
|
Gets candle history using asyncio and returns the list of candles.
|
|
|
|
Handles all async doing.
|
|
|
|
"""
|
|
|
|
return asyncio.get_event_loop().run_until_complete(
|
|
|
|
self._async_get_history(pair=pair, tick_interval=tick_interval,
|
|
|
|
since_ms=since_ms))
|
|
|
|
|
|
|
|
async def _async_get_history(self, pair: str,
|
|
|
|
tick_interval: str,
|
|
|
|
since_ms: int) -> List:
|
|
|
|
# Assume exchange returns 500 candles
|
|
|
|
_LIMIT = 500
|
|
|
|
|
|
|
|
one_call = constants.TICKER_INTERVAL_MINUTES[tick_interval] * 60 * _LIMIT * 1000
|
|
|
|
logger.debug("one_call: %s", one_call)
|
2018-08-14 18:33:03 +00:00
|
|
|
input_coroutines = [self._async_get_candle_history(
|
2018-08-10 09:08:28 +00:00
|
|
|
pair, tick_interval, since) for since in
|
2018-08-15 11:18:52 +00:00
|
|
|
range(since_ms, arrow.utcnow().timestamp * 1000, one_call)]
|
2018-12-29 18:30:47 +00:00
|
|
|
|
2018-08-10 09:08:28 +00:00
|
|
|
tickers = await asyncio.gather(*input_coroutines, return_exceptions=True)
|
|
|
|
|
|
|
|
# Combine tickers
|
2018-08-10 09:15:02 +00:00
|
|
|
data: List = []
|
2018-12-29 13:32:24 +00:00
|
|
|
for p, ticker_interval, ticker in tickers:
|
2018-12-10 19:22:21 +00:00
|
|
|
if p == pair:
|
|
|
|
data.extend(ticker)
|
2018-12-29 13:18:49 +00:00
|
|
|
# Sort data again after extending the result - above calls return in "async order"
|
2018-08-18 19:08:59 +00:00
|
|
|
data = sorted(data, key=lambda x: x[0])
|
2018-08-10 09:08:28 +00:00
|
|
|
logger.info("downloaded %s with length %s.", pair, len(data))
|
|
|
|
return data
|
|
|
|
|
2018-12-30 06:15:21 +00:00
|
|
|
def refresh_latest_ohlcv(self, pair_list: List[Tuple[str, str]]) -> List[Tuple[str, List]]:
|
2018-08-16 10:15:09 +00:00
|
|
|
"""
|
2018-12-30 06:15:21 +00:00
|
|
|
Refresh in-memory ohlcv asyncronously and set `_klines` with the result
|
2018-08-16 10:15:09 +00:00
|
|
|
"""
|
2018-12-29 13:18:49 +00:00
|
|
|
logger.debug("Refreshing ohlcv data for %d pairs", len(pair_list))
|
2018-08-16 10:15:09 +00:00
|
|
|
|
2018-12-11 06:11:43 +00:00
|
|
|
input_coroutines = []
|
|
|
|
|
|
|
|
# Gather corotines to run
|
2019-01-21 18:56:15 +00:00
|
|
|
for pair, ticker_interval in set(pair_list):
|
2018-12-30 06:15:21 +00:00
|
|
|
# Calculating ticker interval in second
|
|
|
|
interval_in_sec = constants.TICKER_INTERVAL_MINUTES[ticker_interval] * 60
|
|
|
|
|
2019-01-22 05:58:51 +00:00
|
|
|
if not ((self._pairs_last_refresh_time.get((pair, ticker_interval), 0)
|
|
|
|
+ interval_in_sec) >= arrow.utcnow().timestamp
|
|
|
|
and (pair, ticker_interval) in self._klines):
|
2018-12-29 12:07:22 +00:00
|
|
|
input_coroutines.append(self._async_get_candle_history(pair, ticker_interval))
|
2018-12-11 06:11:43 +00:00
|
|
|
else:
|
2018-12-30 06:15:21 +00:00
|
|
|
logger.debug("Using cached ohlcv data for %s, %s ...", pair, ticker_interval)
|
2018-12-11 06:11:43 +00:00
|
|
|
|
2018-12-29 12:07:22 +00:00
|
|
|
tickers = asyncio.get_event_loop().run_until_complete(
|
|
|
|
asyncio.gather(*input_coroutines, return_exceptions=True))
|
2018-12-11 06:11:43 +00:00
|
|
|
|
|
|
|
# handle caching
|
2019-01-19 19:02:37 +00:00
|
|
|
for res in tickers:
|
|
|
|
if isinstance(res, Exception):
|
|
|
|
logger.warning("Async code raised an exception: %s", res.__class__.__name__)
|
|
|
|
continue
|
|
|
|
pair = res[0]
|
2018-12-30 06:15:21 +00:00
|
|
|
tick_interval = res[1]
|
2018-12-29 13:32:24 +00:00
|
|
|
ticks = res[2]
|
2018-12-11 06:11:43 +00:00
|
|
|
# keeping last candle time as last refreshed time of the pair
|
|
|
|
if ticks:
|
2019-01-05 05:44:08 +00:00
|
|
|
self._pairs_last_refresh_time[(pair, tick_interval)] = ticks[-1][0] // 1000
|
2018-12-30 06:15:21 +00:00
|
|
|
# keeping parsed dataframe in cache
|
|
|
|
self._klines[(pair, tick_interval)] = parse_ticker_dataframe(
|
|
|
|
ticks, tick_interval, fill_missing=True)
|
2018-07-31 10:47:32 +00:00
|
|
|
return tickers
|
|
|
|
|
2018-08-18 19:05:38 +00:00
|
|
|
@retrier_async
|
2018-08-14 18:33:03 +00:00
|
|
|
async def _async_get_candle_history(self, pair: str, tick_interval: str,
|
2018-12-29 13:32:24 +00:00
|
|
|
since_ms: Optional[int] = None) -> Tuple[str, str, List]:
|
|
|
|
"""
|
|
|
|
Asyncronously gets candle histories using fetch_ohlcv
|
|
|
|
returns tuple: (pair, tick_interval, ohlcv_list)
|
|
|
|
"""
|
2018-07-31 10:47:32 +00:00
|
|
|
try:
|
|
|
|
# fetch ohlcv asynchronously
|
2018-12-30 06:20:03 +00:00
|
|
|
logger.debug("fetching %s, %s since %s ...", pair, tick_interval, since_ms)
|
2018-08-09 10:47:26 +00:00
|
|
|
|
2018-12-11 06:11:43 +00:00
|
|
|
data = await self._api_async.fetch_ohlcv(pair, timeframe=tick_interval,
|
|
|
|
since=since_ms)
|
2018-08-10 07:44:15 +00:00
|
|
|
|
|
|
|
# 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)
|
2018-11-25 14:00:50 +00:00
|
|
|
# Only sort if necessary to save computing time
|
2019-01-19 19:02:37 +00:00
|
|
|
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)
|
2019-01-22 06:38:15 +00:00
|
|
|
return pair, tick_interval, []
|
2018-07-31 18:43:32 +00:00
|
|
|
logger.debug("done fetching %s ...", pair)
|
2018-12-29 13:32:24 +00:00
|
|
|
return pair, tick_interval, data
|
2018-07-31 10:47:32 +00:00
|
|
|
|
|
|
|
except ccxt.NotSupported as e:
|
|
|
|
raise OperationalException(
|
|
|
|
f'Exchange {self._api.name} does not support fetching historical candlestick data.'
|
|
|
|
f'Message: {e}')
|
|
|
|
except (ccxt.NetworkError, ccxt.ExchangeError) as e:
|
|
|
|
raise TemporaryError(
|
|
|
|
f'Could not load ticker history due to {e.__class__.__name__}. Message: {e}')
|
2018-06-17 10:41:33 +00:00
|
|
|
except ccxt.BaseError as e:
|
|
|
|
raise OperationalException(f'Could not fetch ticker data. Msg: {e}')
|
2017-10-31 23:12:18 +00:00
|
|
|
|
2018-06-17 10:41:33 +00:00
|
|
|
@retrier
|
|
|
|
def cancel_order(self, order_id: str, pair: str) -> None:
|
2018-06-18 20:09:46 +00:00
|
|
|
if self._conf['dry_run']:
|
2018-06-17 10:41:33 +00:00
|
|
|
return
|
|
|
|
|
|
|
|
try:
|
2018-06-18 20:07:15 +00:00
|
|
|
return self._api.cancel_order(order_id, pair)
|
2018-06-17 10:41:33 +00:00
|
|
|
except ccxt.InvalidOrder as e:
|
|
|
|
raise DependencyException(
|
|
|
|
f'Could not cancel order. Message: {e}')
|
|
|
|
except (ccxt.NetworkError, ccxt.ExchangeError) as e:
|
|
|
|
raise TemporaryError(
|
|
|
|
f'Could not cancel order due to {e.__class__.__name__}. Message: {e}')
|
|
|
|
except ccxt.BaseError as e:
|
|
|
|
raise OperationalException(e)
|
|
|
|
|
|
|
|
@retrier
|
|
|
|
def get_order(self, order_id: str, pair: str) -> Dict:
|
2018-06-18 20:09:46 +00:00
|
|
|
if self._conf['dry_run']:
|
|
|
|
order = self._dry_run_open_orders[order_id]
|
2018-06-17 10:41:33 +00:00
|
|
|
order.update({
|
|
|
|
'id': order_id
|
|
|
|
})
|
|
|
|
return order
|
|
|
|
try:
|
2018-06-18 20:07:15 +00:00
|
|
|
return self._api.fetch_order(order_id, pair)
|
2018-06-17 10:41:33 +00:00
|
|
|
except ccxt.InvalidOrder as e:
|
|
|
|
raise DependencyException(
|
|
|
|
f'Could not get order. Message: {e}')
|
|
|
|
except (ccxt.NetworkError, ccxt.ExchangeError) as e:
|
|
|
|
raise TemporaryError(
|
|
|
|
f'Could not get order due to {e.__class__.__name__}. Message: {e}')
|
|
|
|
except ccxt.BaseError as e:
|
|
|
|
raise OperationalException(e)
|
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 -.-
|
|
|
|
20180619: binance support limits but only on specific range
|
|
|
|
"""
|
2018-08-05 04:41:06 +00:00
|
|
|
try:
|
|
|
|
if self._api.name == 'Binance':
|
|
|
|
limit_range = [5, 10, 20, 50, 100, 500, 1000]
|
2018-08-07 10:29:37 +00:00
|
|
|
# get next-higher step in the limit_range list
|
|
|
|
limit = min(list(filter(lambda x: limit <= x, limit_range)))
|
|
|
|
# above script works like loop below (but with slightly better performance):
|
|
|
|
# for limitx in limit_range:
|
|
|
|
# if limit <= limitx:
|
|
|
|
# limit = limitx
|
|
|
|
# break
|
2018-08-05 04:41:06 +00:00
|
|
|
|
|
|
|
return self._api.fetch_l2_order_book(pair, limit)
|
|
|
|
except ccxt.NotSupported as e:
|
|
|
|
raise OperationalException(
|
|
|
|
f'Exchange {self._api.name} does not support fetching order book.'
|
|
|
|
f'Message: {e}')
|
|
|
|
except (ccxt.NetworkError, ccxt.ExchangeError) as e:
|
|
|
|
raise TemporaryError(
|
|
|
|
f'Could not get order book due to {e.__class__.__name__}. Message: {e}')
|
|
|
|
except ccxt.BaseError as e:
|
|
|
|
raise OperationalException(e)
|
|
|
|
|
2018-06-17 10:41:33 +00:00
|
|
|
@retrier
|
|
|
|
def get_trades_for_order(self, order_id: str, pair: str, since: datetime) -> List:
|
2018-06-18 20:09:46 +00:00
|
|
|
if self._conf['dry_run']:
|
2018-06-17 10:41:33 +00:00
|
|
|
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)
|
|
|
|
my_trades = self._api.fetch_my_trades(pair, since.timestamp() - 5)
|
2018-06-17 10:41:33 +00:00
|
|
|
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
|
2018-04-06 07:57:08 +00:00
|
|
|
|
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}')
|
|
|
|
except ccxt.BaseError as e:
|
|
|
|
raise OperationalException(e)
|
2018-04-06 07:57:08 +00:00
|
|
|
|
2018-06-17 10:41:33 +00:00
|
|
|
def get_pair_detail_url(self, pair: str) -> str:
|
|
|
|
try:
|
2018-06-18 20:07:15 +00:00
|
|
|
url_base = self._api.urls.get('www')
|
2018-06-17 10:41:33 +00:00
|
|
|
base, quote = pair.split('/')
|
2018-03-21 17:40:16 +00:00
|
|
|
|
2018-06-18 20:07:15 +00:00
|
|
|
return url_base + _EXCHANGE_URLS[self._api.id].format(base=base, quote=quote)
|
2018-06-17 10:41:33 +00:00
|
|
|
except KeyError:
|
2018-06-18 20:20:50 +00:00
|
|
|
logger.warning('Could not get exchange url for %s', self.name)
|
2018-06-17 10:41:33 +00:00
|
|
|
return ""
|
2018-03-21 17:40:16 +00:00
|
|
|
|
2018-06-17 10:41:33 +00:00
|
|
|
@retrier
|
|
|
|
def get_markets(self) -> List[dict]:
|
|
|
|
try:
|
2018-06-18 20:07:15 +00:00
|
|
|
return self._api.fetch_markets()
|
2018-06-17 10:41:33 +00:00
|
|
|
except (ccxt.NetworkError, ccxt.ExchangeError) as e:
|
|
|
|
raise TemporaryError(
|
|
|
|
f'Could not load markets due to {e.__class__.__name__}. Message: {e}')
|
|
|
|
except ccxt.BaseError as e:
|
|
|
|
raise OperationalException(e)
|
2018-04-21 20:37:27 +00:00
|
|
|
|
2018-06-17 10:41:33 +00:00
|
|
|
@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}')
|
|
|
|
except ccxt.BaseError as e:
|
|
|
|
raise OperationalException(e)
|