Merge pull request #6456 from samgermain/lev-tier-update

Lev tier update

freqtrade/exchange/exchange.py

@@ -74,7 +74,6 @@ class Exchange:
         "mark_ohlcv_price": "mark",
         "mark_ohlcv_timeframe": "8h",
         "ccxt_futures_name": "swap",
-        "can_fetch_multiple_tiers": True,
     }
     _ft_has: Dict = {}
 
@@ -1874,19 +1873,63 @@ class Exchange:
             raise OperationalException(e) from e
 
     @retrier
-    def load_leverage_tiers(self) -> Dict[str, List[Dict]]:
+    def get_leverage_tiers(self) -> Dict[str, List[Dict]]:
-        if self.trading_mode == TradingMode.FUTURES and self.exchange_has('fetchLeverageTiers'):
         try:
             return self._api.fetch_leverage_tiers()
         except ccxt.DDoSProtection as e:
             raise DDosProtection(e) from e
         except (ccxt.NetworkError, ccxt.ExchangeError) as e:
             raise TemporaryError(
-                    f'Could not load leverage tiers due to {e.__class__.__name__}.'
+                f'Could not load leverage tiers due to {e.__class__.__name__}. Message: {e}'
-                    f'Message: {e}'
             ) from e
         except ccxt.BaseError as e:
             raise OperationalException(e) from e
+
+    @retrier
+    def get_market_leverage_tiers(self, symbol) -> List[Dict]:
+        try:
+            return self._api.fetch_market_leverage_tiers(symbol)
+        except ccxt.DDoSProtection as e:
+            raise DDosProtection(e) from e
+        except (ccxt.NetworkError, ccxt.ExchangeError) as e:
+            raise TemporaryError(
+                f'Could not load leverage tiers for {symbol}'
+                f' due to {e.__class__.__name__}. Message: {e}'
+            ) from e
+        except ccxt.BaseError as e:
+            raise OperationalException(e) from e
+
+    def load_leverage_tiers(self) -> Dict[str, List[Dict]]:
+        if self.trading_mode == TradingMode.FUTURES:
+            if self.exchange_has('fetchLeverageTiers'):
+                # Fetch all leverage tiers at once
+                return self.get_leverage_tiers()
+            elif self.exchange_has('fetchMarketLeverageTiers'):
+                # Must fetch the leverage tiers for each market separately
+                # * This is slow(~45s) on Okx, makes ~90 api calls to load all linear swap markets
+                markets = self.markets
+                symbols = []
+
+                for symbol, market in markets.items():
+                    if (self.market_is_future(market)
+                            and market['quote'] == self._config['stake_currency']):
+                        symbols.append(symbol)
+
+                tiers: Dict[str, List[Dict]] = {}
+
+                # Be verbose here, as this delays startup by ~1 minute.
+                logger.info(
+                    f"Initializing leverage_tiers for {len(symbols)} markets. "
+                    "This will take about a minute.")
+
+                for symbol in sorted(symbols):
+                    tiers[symbol] = self.get_market_leverage_tiers(symbol)
+
+                logger.info(f"Done initializing {len(symbols)} markets.")
+
+                return tiers
+            else:
+                return {}
         else:
             return {}
 

freqtrade/exchange/gateio.py

@@ -1,6 +1,6 @@
 """ Gate.io exchange subclass """
 import logging
-from typing import Dict, List, Optional, Tuple
+from typing import Dict, List, Tuple
 
 from freqtrade.enums import MarginMode, TradingMode
 from freqtrade.exceptions import OperationalException
@@ -40,26 +40,3 @@ class Gateio(Exchange):
         if any(v == 'market' for k, v in order_types.items()):
             raise OperationalException(
                 f'Exchange {self.name} does not support market orders.')
-
-    def get_maintenance_ratio_and_amt(
-        self,
-        pair: str,
-        nominal_value: Optional[float] = 0.0,
-    ) -> Tuple[float, Optional[float]]:
-        """
-        :return: The maintenance margin ratio and maintenance amount
-        """
-        info = self.markets[pair]['info']
-        return (float(info['maintenance_rate']), None)
-
-    def get_max_leverage(self, pair: str, stake_amount: Optional[float]) -> float:
-        """
-        Returns the maximum leverage that a pair can be traded at
-        :param pair: The base/quote currency pair being traded
-        :param nominal_value: The total value of the trade in quote currency (margin_mode + debt)
-        """
-        market = self.markets[pair]
-        if market['limits']['leverage']['max'] is not None:
-            return market['limits']['leverage']['max']
-        else:
-            return 1.0

freqtrade/exchange/okx.py

@@ -22,7 +22,6 @@ class Okx(Exchange):
         "ohlcv_candle_limit": 300,
         "mark_ohlcv_timeframe": "4h",
         "funding_fee_timeframe": "8h",
-        "can_fetch_multiple_tiers": False,
     }
 
     _supported_trading_mode_margin_pairs: List[Tuple[TradingMode, MarginMode]] = [
@@ -93,31 +92,3 @@ class Okx(Exchange):
 
         pair_tiers = self._leverage_tiers[pair]
         return pair_tiers[-1]['max'] / leverage
-
-    @retrier
-    def load_leverage_tiers(self) -> Dict[str, List[Dict]]:
-        # * This is slow(~45s) on Okex, must make 90-some api calls to load all linear swap markets
-        if self.trading_mode == TradingMode.FUTURES:
-            markets = self.markets
-            symbols = []
-
-            for symbol, market in markets.items():
-                if (self.market_is_future(market)
-                        and market['quote'] == self._config['stake_currency']):
-                    symbols.append(symbol)
-
-            tiers: Dict[str, List[Dict]] = {}
-
-            # Be verbose here, as this delays startup by ~1 minute.
-            logger.info(
-                f"Initializing leverage_tiers for {len(symbols)} markets. "
-                "This will take about a minute.")
-
-            for symbol in sorted(symbols):
-                res = self._api.fetch_leverage_tiers(symbol)
-                tiers[symbol] = res[symbol]
-            logger.info(f"Done initializing {len(symbols)} markets.")
-
-            return tiers
-        else:
-            return {}

requirements.txt

@@ -2,7 +2,7 @@ numpy==1.22.2
 pandas==1.4.1
 pandas-ta==0.3.14b
 
-ccxt==1.73.70
+ccxt==1.74.22
 # Pin cryptography for now due to rust build errors with piwheels
 cryptography==36.0.1
 aiohttp==3.8.1

tests/exchange/test_ccxt_compat.py

@@ -50,7 +50,7 @@ EXCHANGES = {
         'hasQuoteVolume': True,
         'timeframe': '5m',
         'futures_pair': 'BTC/USD:USD',
-        'futures': True,
+        'futures': False,
         'leverage_tiers_public': False,  # TODO: Set to True once implemented on CCXT
         'leverage_in_spot_market': True,
     },
@@ -69,7 +69,7 @@ EXCHANGES = {
         'timeframe': '5m',
         'futures': True,
         'futures_pair': 'BTC/USDT:USDT',
-        'leverage_tiers_public': False,  # TODO-lev: Set to True once implemented on CCXT
+        'leverage_tiers_public': True,
         'leverage_in_spot_market': True,
     },
     'okx': {
@@ -123,9 +123,6 @@ def exchange_futures(request, exchange_conf, class_mocker):
         exchange_conf['margin_mode'] = 'isolated'
         exchange_conf['stake_currency'] = EXCHANGES[request.param]['stake_currency']
 
-        # TODO-lev: This mock should no longer be necessary once futures are enabled.
-        class_mocker.patch(
-            'freqtrade.exchange.exchange.Exchange.validate_trading_mode_and_margin_mode')
         class_mocker.patch(
             'freqtrade.exchange.binance.Binance.fill_leverage_tiers')
 

tests/exchange/test_gateio.py

@@ -1,11 +1,8 @@
-from unittest.mock import MagicMock, PropertyMock
-
 import pytest
 
 from freqtrade.exceptions import OperationalException
 from freqtrade.exchange import Gateio
 from freqtrade.resolvers.exchange_resolver import ExchangeResolver
-from tests.conftest import get_patched_exchange
 
 
 def test_validate_order_types_gateio(default_conf, mocker):
@@ -29,51 +26,3 @@ def test_validate_order_types_gateio(default_conf, mocker):
     with pytest.raises(OperationalException,
                        match=r'Exchange .* does not support market orders.'):
         ExchangeResolver.load_exchange('gateio', default_conf, True)
-
-
-@pytest.mark.parametrize('pair,mm_ratio', [
-    ("ETH/USDT:USDT", 0.005),
-    ("ADA/USDT:USDT", 0.003),
-])
-def test_get_maintenance_ratio_and_amt_gateio(default_conf, mocker, pair, mm_ratio):
-    api_mock = MagicMock()
-    exchange = get_patched_exchange(mocker, default_conf, api_mock, id="gateio")
-    mocker.patch(
-        'freqtrade.exchange.Exchange.markets',
-        PropertyMock(
-            return_value={
-                'ETH/USDT:USDT': {
-                    'taker': 0.0000075,
-                    'maker': -0.0000025,
-                    'info': {
-                        'maintenance_rate': '0.005',
-                    },
-                    'id': 'ETH_USDT',
-                    'symbol': 'ETH/USDT:USDT',
-                },
-                'ADA/USDT:USDT': {
-                    'taker': 0.0000075,
-                    'maker': -0.0000025,
-                    'info': {
-                        'maintenance_rate': '0.003',
-                    },
-                    'id': 'ADA_USDT',
-                    'symbol': 'ADA/USDT:USDT',
-                },
-            }
-        )
-    )
-    assert exchange.get_maintenance_ratio_and_amt(pair) == (mm_ratio, None)
-
-
-@pytest.mark.parametrize('pair,nominal_value,max_lev', [
-    ("ETH/BTC", 0.0, 2.0),
-    ("TKN/BTC", 100.0, 5.0),
-    ("BLK/BTC", 173.31, 3.0),
-    ("LTC/BTC", 0.0, 1.0),
-    ("TKN/USDT", 210.30, 1.0),
-])
-def test_get_max_leverage_gateio(default_conf, mocker, pair, nominal_value, max_lev):
-    # Binance has a different method of getting the max leverage
-    exchange = get_patched_exchange(mocker, default_conf, id="gateio")
-    assert exchange.get_max_leverage(pair, nominal_value) == max_lev

tests/exchange/test_okx.py

@@ -1,4 +1,4 @@
-from unittest.mock import MagicMock  # , PropertyMock
+from unittest.mock import MagicMock, PropertyMock
 
 from freqtrade.enums import MarginMode, TradingMode
 from tests.conftest import get_patched_exchange
@@ -172,9 +172,12 @@ def test_get_max_pair_stake_amount_okx(default_conf, mocker, leverage_tiers):
 
 def test_load_leverage_tiers_okx(default_conf, mocker, markets):
     api_mock = MagicMock()
-    api_mock.fetch_leverage_tiers = MagicMock(side_effect=[
+    type(api_mock).has = PropertyMock(return_value={
-        {
+        'fetchLeverageTiers': False,
-            'ADA/USDT:USDT': [
+        'fetchMarketLeverageTiers': True,
+    })
+    api_mock.fetch_market_leverage_tiers = MagicMock(side_effect=[
+        [
             {
                 'tier': 1,
                 'notionalFloor': 0,
@@ -235,10 +238,8 @@ def test_load_leverage_tiers_okx(default_conf, mocker, markets):
                     'uly': 'ADA-USDT'
                 }
             },
-            ]
+        ],
-        },
+        [
-        {
-            'ETH/USDT:USDT': [
             {
                 'tier': 1,
                 'notionalFloor': 0,
@@ -300,7 +301,6 @@ def test_load_leverage_tiers_okx(default_conf, mocker, markets):
                 }
             },
         ]
-        },
     ])
     default_conf['trading_mode'] = 'futures'
     default_conf['margin_mode'] = 'isolated'