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Move get_buy_rate to exchange class

This commit is contained in:
Matthias 2021-06-02 11:30:19 +02:00
parent 4e1425023e
commit 12916243ec
4 changed files with 95 additions and 92 deletions
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51
freqtrade/exchange/exchange.py
View File

@ -22,8 +22,8 @@ from pandas import DataFrame
from freqtrade.constants import DEFAULT_AMOUNT_RESERVE_PERCENT, ListPairsWithTimeframes
from freqtrade.data.converter import ohlcv_to_dataframe, trades_dict_to_list
from freqtrade.exceptions import (DDosProtection, ExchangeError, InsufficientFundsError,
InvalidOrderException, OperationalException, RetryableOrderError,
TemporaryError)
InvalidOrderException, OperationalException, PricingError,
RetryableOrderError, TemporaryError)
from freqtrade.exchange.common import (API_FETCH_ORDER_RETRY_COUNT, BAD_EXCHANGES,
EXCHANGE_HAS_OPTIONAL, EXCHANGE_HAS_REQUIRED, retrier,
retrier_async)
@ -88,6 +88,7 @@ class Exchange:
# Cache for 10 minutes ...
self._fetch_tickers_cache: TTLCache = TTLCache(maxsize=1, ttl=60 * 10)
self._buy_rate_cache: TTLCache = TTLCache(maxsize=100, ttl=1800)
# Holds candles
self._klines: Dict[Tuple[str, str], DataFrame] = {}
@ -911,6 +912,52 @@ class Exchange:
except ccxt.BaseError as e:
raise OperationalException(e) from e
def get_buy_rate(self, pair: str, refresh: bool) -> float:
"""
Calculates bid target between current ask price and last price
:param pair: Pair to get rate for
:param refresh: allow cached data
:return: float: Price
:raises PricingError if orderbook price could not be determined.
"""
if not refresh:
rate = self._buy_rate_cache.get(pair)
# Check if cache has been invalidated
if rate:
logger.debug(f"Using cached buy rate for {pair}.")
return rate
bid_strategy = self._config.get('bid_strategy', {})
if 'use_order_book' in bid_strategy and bid_strategy.get('use_order_book', False):
order_book_top = bid_strategy.get('order_book_top', 1)
order_book = self.fetch_l2_order_book(pair, order_book_top)
logger.debug('order_book %s', order_book)
# top 1 = index 0
try:
rate_from_l2 = order_book[f"{bid_strategy['price_side']}s"][order_book_top - 1][0]
except (IndexError, KeyError) as e:
logger.warning(
"Buy Price from orderbook could not be determined."
f"Orderbook: {order_book}"
)
raise PricingError from e
logger.info(f"Buy price from orderbook {bid_strategy['price_side'].capitalize()} side "
f"- top {order_book_top} order book buy rate {rate_from_l2:.8f}")
used_rate = rate_from_l2
else:
logger.info(f"Using Last {bid_strategy['price_side'].capitalize()} / Last Price")
ticker = self.fetch_ticker(pair)
ticker_rate = ticker[bid_strategy['price_side']]
if ticker['last'] and ticker_rate > ticker['last']:
balance = bid_strategy['ask_last_balance']
ticker_rate = ticker_rate + balance * (ticker['last'] - ticker_rate)
used_rate = ticker_rate
self._buy_rate_cache[pair] = used_rate
return used_rate
# Fee handling
@retrier

49
freqtrade/freqtradebot.py
View File

@ -62,7 +62,6 @@ class FreqtradeBot(LoggingMixin):
# Caching only applies to RPC methods, so prices for open trades are still
# refreshed once every iteration.
self._sell_rate_cache: TTLCache = TTLCache(maxsize=100, ttl=1800)
self._buy_rate_cache: TTLCache = TTLCache(maxsize=100, ttl=1800)
self.strategy: IStrategy = StrategyResolver.load_strategy(self.config)
@ -396,50 +395,6 @@ class FreqtradeBot(LoggingMixin):
return trades_created
def get_buy_rate(self, pair: str, refresh: bool) -> float:
"""
Calculates bid target between current ask price and last price
:param pair: Pair to get rate for
:param refresh: allow cached data
:return: float: Price
"""
if not refresh:
rate = self._buy_rate_cache.get(pair)
# Check if cache has been invalidated
if rate:
logger.debug(f"Using cached buy rate for {pair}.")
return rate
bid_strategy = self.config.get('bid_strategy', {})
if 'use_order_book' in bid_strategy and bid_strategy.get('use_order_book', False):
order_book_top = bid_strategy.get('order_book_top', 1)
order_book = self.exchange.fetch_l2_order_book(pair, order_book_top)
logger.debug('order_book %s', order_book)
# top 1 = index 0
try:
rate_from_l2 = order_book[f"{bid_strategy['price_side']}s"][order_book_top - 1][0]
except (IndexError, KeyError) as e:
logger.warning(
"Buy Price from orderbook could not be determined."
f"Orderbook: {order_book}"
)
raise PricingError from e
logger.info(f"Buy price from orderbook {bid_strategy['price_side'].capitalize()} side "
f"- top {order_book_top} order book buy rate {rate_from_l2:.8f}")
used_rate = rate_from_l2
else:
logger.info(f"Using Last {bid_strategy['price_side'].capitalize()} / Last Price")
ticker = self.exchange.fetch_ticker(pair)
ticker_rate = ticker[bid_strategy['price_side']]
if ticker['last'] and ticker_rate > ticker['last']:
balance = bid_strategy['ask_last_balance']
ticker_rate = ticker_rate + balance * (ticker['last'] - ticker_rate)
used_rate = ticker_rate
self._buy_rate_cache[pair] = used_rate
return used_rate
def create_trade(self, pair: str) -> bool:
"""
@ -532,7 +487,7 @@ class FreqtradeBot(LoggingMixin):
buy_limit_requested = price
else:
# Calculate price
buy_limit_requested = self.get_buy_rate(pair, True)
buy_limit_requested = self.exchange.get_buy_rate(pair, True)
if not buy_limit_requested:
raise PricingError('Could not determine buy price.')
@ -657,7 +612,7 @@ class FreqtradeBot(LoggingMixin):
"""
Sends rpc notification when a buy cancel occurred.
"""
current_rate = self.get_buy_rate(trade.pair, False)
current_rate = self.exchange.get_buy_rate(trade.pair, False)
msg = {
'trade_id': trade.id,

44
tests/exchange/test_exchange.py
View File

@ -1684,6 +1684,50 @@ def test_fetch_l2_order_book_exception(default_conf, mocker, exchange_name):
exchange.fetch_l2_order_book(pair='ETH/BTC', limit=50)
@pytest.mark.parametrize("side,ask,bid,last,last_ab,expected", [
('ask', 20, 19, 10, 0.0, 20), # Full ask side
('ask', 20, 19, 10, 1.0, 10), # Full last side
('ask', 20, 19, 10, 0.5, 15), # Between ask and last
('ask', 20, 19, 10, 0.7, 13), # Between ask and last
('ask', 20, 19, 10, 0.3, 17), # Between ask and last
('ask', 5, 6, 10, 1.0, 5), # last bigger than ask
('ask', 5, 6, 10, 0.5, 5), # last bigger than ask
('ask', 10, 20, None, 0.5, 10), # last not available - uses ask
('ask', 4, 5, None, 0.5, 4), # last not available - uses ask
('ask', 4, 5, None, 1, 4), # last not available - uses ask
('ask', 4, 5, None, 0, 4), # last not available - uses ask
('bid', 21, 20, 10, 0.0, 20), # Full bid side
('bid', 21, 20, 10, 1.0, 10), # Full last side
('bid', 21, 20, 10, 0.5, 15), # Between bid and last
('bid', 21, 20, 10, 0.7, 13), # Between bid and last
('bid', 21, 20, 10, 0.3, 17), # Between bid and last
('bid', 6, 5, 10, 1.0, 5), # last bigger than bid
('bid', 6, 5, 10, 0.5, 5), # last bigger than bid
('bid', 21, 20, None, 0.5, 20), # last not available - uses bid
('bid', 6, 5, None, 0.5, 5), # last not available - uses bid
('bid', 6, 5, None, 1, 5), # last not available - uses bid
('bid', 6, 5, None, 0, 5), # last not available - uses bid
])
def test_get_buy_rate(mocker, default_conf, caplog, side, ask, bid,
last, last_ab, expected) -> None:
caplog.set_level(logging.DEBUG)
default_conf['bid_strategy']['ask_last_balance'] = last_ab
default_conf['bid_strategy']['price_side'] = side
exchange = get_patched_exchange(mocker, default_conf)
mocker.patch('freqtrade.exchange.Exchange.fetch_ticker',
return_value={'ask': ask, 'last': last, 'bid': bid})
assert exchange.get_buy_rate('ETH/BTC', True) == expected
assert not log_has("Using cached buy rate for ETH/BTC.", caplog)
assert exchange.get_buy_rate('ETH/BTC', False) == expected
assert log_has("Using cached buy rate for ETH/BTC.", caplog)
# Running a 2nd time with Refresh on!
caplog.clear()
assert exchange.get_buy_rate('ETH/BTC', True) == expected
assert not log_has("Using cached buy rate for ETH/BTC.", caplog)
def make_fetch_ohlcv_mock(data):
def fetch_ohlcv_mock(pair, timeframe, since):
if since:

43
tests/test_freqtradebot.py
View File

@ -751,49 +751,6 @@ def test_process_informative_pairs_added(default_conf, ticker, mocker) -> None:
assert ("ETH/BTC", default_conf["timeframe"]) in refresh_mock.call_args[0][0]
@pytest.mark.parametrize("side,ask,bid,last,last_ab,expected", [
('ask', 20, 19, 10, 0.0, 20), # Full ask side
('ask', 20, 19, 10, 1.0, 10), # Full last side
('ask', 20, 19, 10, 0.5, 15), # Between ask and last
('ask', 20, 19, 10, 0.7, 13), # Between ask and last
('ask', 20, 19, 10, 0.3, 17), # Between ask and last
('ask', 5, 6, 10, 1.0, 5), # last bigger than ask
('ask', 5, 6, 10, 0.5, 5), # last bigger than ask
('ask', 10, 20, None, 0.5, 10), # last not available - uses ask
('ask', 4, 5, None, 0.5, 4), # last not available - uses ask
('ask', 4, 5, None, 1, 4), # last not available - uses ask
('ask', 4, 5, None, 0, 4), # last not available - uses ask
('bid', 21, 20, 10, 0.0, 20), # Full bid side
('bid', 21, 20, 10, 1.0, 10), # Full last side
('bid', 21, 20, 10, 0.5, 15), # Between bid and last
('bid', 21, 20, 10, 0.7, 13), # Between bid and last
('bid', 21, 20, 10, 0.3, 17), # Between bid and last
('bid', 6, 5, 10, 1.0, 5), # last bigger than bid
('bid', 6, 5, 10, 0.5, 5), # last bigger than bid
('bid', 21, 20, None, 0.5, 20), # last not available - uses bid
('bid', 6, 5, None, 0.5, 5), # last not available - uses bid
('bid', 6, 5, None, 1, 5), # last not available - uses bid
('bid', 6, 5, None, 0, 5), # last not available - uses bid
])
def test_get_buy_rate(mocker, default_conf, caplog, side, ask, bid,
last, last_ab, expected) -> None:
caplog.set_level(logging.DEBUG)
default_conf['bid_strategy']['ask_last_balance'] = last_ab
default_conf['bid_strategy']['price_side'] = side
freqtrade = get_patched_freqtradebot(mocker, default_conf)
mocker.patch('freqtrade.exchange.Exchange.fetch_ticker',
return_value={'ask': ask, 'last': last, 'bid': bid})
assert freqtrade.get_buy_rate('ETH/BTC', True) == expected
assert not log_has("Using cached buy rate for ETH/BTC.", caplog)
assert freqtrade.get_buy_rate('ETH/BTC', False) == expected
assert log_has("Using cached buy rate for ETH/BTC.", caplog)
# Running a 2nd time with Refresh on!
caplog.clear()
assert freqtrade.get_buy_rate('ETH/BTC', True) == expected
assert not log_has("Using cached buy rate for ETH/BTC.", caplog)
def test_execute_buy(mocker, default_conf, fee, limit_buy_order, limit_buy_order_open) -> None:
patch_RPCManager(mocker)