Rename get_order_book to fetch_l2_order_book (aligning to ccxt)
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d09a347853
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@ -110,12 +110,13 @@ class DataProvider:
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def orderbook(self, pair: str, maximum: int) -> Dict[str, List]:
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def orderbook(self, pair: str, maximum: int) -> Dict[str, List]:
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"""
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"""
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fetch latest orderbook data
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Fetch latest l2 orderbook data
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Warning: Does a network request - so use with common sense.
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:param pair: pair to get the data for
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:param pair: pair to get the data for
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:param maximum: Maximum number of orderbook entries to query
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:param maximum: Maximum number of orderbook entries to query
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:return: dict including bids/asks with a total of `maximum` entries.
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:return: dict including bids/asks with a total of `maximum` entries.
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"""
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"""
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return self._exchange.get_order_book(pair, maximum)
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return self._exchange.fetch_l2_order_book(pair, maximum)
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@property
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@property
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def runmode(self) -> RunMode:
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def runmode(self) -> RunMode:
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@ -20,7 +20,7 @@ class Binance(Exchange):
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"trades_pagination_arg": "fromId",
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"trades_pagination_arg": "fromId",
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}
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}
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def get_order_book(self, pair: str, limit: int = 100) -> dict:
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def fetch_l2_order_book(self, pair: str, limit: int = 100) -> dict:
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"""
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"""
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get order book level 2 from exchange
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get order book level 2 from exchange
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@ -30,7 +30,7 @@ class Binance(Exchange):
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# get next-higher step in the limit_range list
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# get next-higher step in the limit_range list
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limit = min(list(filter(lambda x: limit <= x, limit_range)))
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limit = min(list(filter(lambda x: limit <= x, limit_range)))
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return super().get_order_book(pair, limit)
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return super().fetch_l2_order_book(pair, limit)
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def stoploss_adjust(self, stop_loss: float, order: Dict) -> bool:
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def stoploss_adjust(self, stop_loss: float, order: Dict) -> bool:
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"""
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"""
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@ -998,7 +998,7 @@ class Exchange:
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raise OperationalException(e) from e
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raise OperationalException(e) from e
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@retrier
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@retrier
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def get_order_book(self, pair: str, limit: int = 100) -> dict:
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def fetch_l2_order_book(self, pair: str, limit: int = 100) -> dict:
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"""
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"""
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get order book level 2 from exchange
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get order book level 2 from exchange
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@ -260,7 +260,7 @@ class FreqtradeBot:
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f"Getting price from order book {bid_strategy['price_side'].capitalize()} side."
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f"Getting price from order book {bid_strategy['price_side'].capitalize()} side."
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)
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)
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order_book_top = bid_strategy.get('order_book_top', 1)
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order_book_top = bid_strategy.get('order_book_top', 1)
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order_book = self.exchange.get_order_book(pair, order_book_top)
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order_book = self.exchange.fetch_l2_order_book(pair, order_book_top)
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logger.debug('order_book %s', order_book)
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logger.debug('order_book %s', order_book)
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# top 1 = index 0
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# top 1 = index 0
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try:
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try:
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@ -453,7 +453,7 @@ class FreqtradeBot:
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"""
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"""
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conf_bids_to_ask_delta = conf.get('bids_to_ask_delta', 0)
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conf_bids_to_ask_delta = conf.get('bids_to_ask_delta', 0)
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logger.info(f"Checking depth of market for {pair} ...")
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logger.info(f"Checking depth of market for {pair} ...")
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order_book = self.exchange.get_order_book(pair, 1000)
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order_book = self.exchange.fetch_l2_order_book(pair, 1000)
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order_book_data_frame = order_book_to_dataframe(order_book['bids'], order_book['asks'])
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order_book_data_frame = order_book_to_dataframe(order_book['bids'], order_book['asks'])
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order_book_bids = order_book_data_frame['b_size'].sum()
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order_book_bids = order_book_data_frame['b_size'].sum()
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order_book_asks = order_book_data_frame['a_size'].sum()
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order_book_asks = order_book_data_frame['a_size'].sum()
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@ -642,7 +642,7 @@ class FreqtradeBot:
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"""
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"""
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Helper generator to query orderbook in loop (used for early sell-order placing)
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Helper generator to query orderbook in loop (used for early sell-order placing)
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"""
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"""
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order_book = self.exchange.get_order_book(pair, order_book_max)
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order_book = self.exchange.fetch_l2_order_book(pair, order_book_max)
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for i in range(order_book_min, order_book_max + 1):
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for i in range(order_book_min, order_book_max + 1):
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yield order_book[side][i - 1][0]
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yield order_book[side][i - 1][0]
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@ -1413,13 +1413,13 @@ def test_refresh_latest_ohlcv_inv_result(default_conf, mocker, caplog):
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@pytest.mark.parametrize("exchange_name", EXCHANGES)
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@pytest.mark.parametrize("exchange_name", EXCHANGES)
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def test_get_order_book(default_conf, mocker, order_book_l2, exchange_name):
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def test_fetch_l2_order_book(default_conf, mocker, order_book_l2, exchange_name):
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default_conf['exchange']['name'] = exchange_name
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default_conf['exchange']['name'] = exchange_name
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api_mock = MagicMock()
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api_mock = MagicMock()
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api_mock.fetch_l2_order_book = order_book_l2
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api_mock.fetch_l2_order_book = order_book_l2
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exchange = get_patched_exchange(mocker, default_conf, api_mock, id=exchange_name)
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exchange = get_patched_exchange(mocker, default_conf, api_mock, id=exchange_name)
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order_book = exchange.get_order_book(pair='ETH/BTC', limit=10)
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order_book = exchange.fetch_l2_order_book(pair='ETH/BTC', limit=10)
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assert 'bids' in order_book
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assert 'bids' in order_book
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assert 'asks' in order_book
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assert 'asks' in order_book
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assert len(order_book['bids']) == 10
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assert len(order_book['bids']) == 10
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@ -1427,20 +1427,20 @@ def test_get_order_book(default_conf, mocker, order_book_l2, exchange_name):
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@pytest.mark.parametrize("exchange_name", EXCHANGES)
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@pytest.mark.parametrize("exchange_name", EXCHANGES)
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def test_get_order_book_exception(default_conf, mocker, exchange_name):
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def test_fetch_l2_order_book_exception(default_conf, mocker, exchange_name):
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api_mock = MagicMock()
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api_mock = MagicMock()
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with pytest.raises(OperationalException):
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with pytest.raises(OperationalException):
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api_mock.fetch_l2_order_book = MagicMock(side_effect=ccxt.NotSupported("Not supported"))
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api_mock.fetch_l2_order_book = MagicMock(side_effect=ccxt.NotSupported("Not supported"))
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exchange = get_patched_exchange(mocker, default_conf, api_mock, id=exchange_name)
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exchange = get_patched_exchange(mocker, default_conf, api_mock, id=exchange_name)
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exchange.get_order_book(pair='ETH/BTC', limit=50)
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exchange.fetch_l2_order_book(pair='ETH/BTC', limit=50)
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with pytest.raises(TemporaryError):
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with pytest.raises(TemporaryError):
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api_mock.fetch_l2_order_book = MagicMock(side_effect=ccxt.NetworkError("DeadBeef"))
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api_mock.fetch_l2_order_book = MagicMock(side_effect=ccxt.NetworkError("DeadBeef"))
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exchange = get_patched_exchange(mocker, default_conf, api_mock, id=exchange_name)
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exchange = get_patched_exchange(mocker, default_conf, api_mock, id=exchange_name)
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exchange.get_order_book(pair='ETH/BTC', limit=50)
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exchange.fetch_l2_order_book(pair='ETH/BTC', limit=50)
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with pytest.raises(OperationalException):
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with pytest.raises(OperationalException):
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api_mock.fetch_l2_order_book = MagicMock(side_effect=ccxt.BaseError("DeadBeef"))
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api_mock.fetch_l2_order_book = MagicMock(side_effect=ccxt.BaseError("DeadBeef"))
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exchange = get_patched_exchange(mocker, default_conf, api_mock, id=exchange_name)
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exchange = get_patched_exchange(mocker, default_conf, api_mock, id=exchange_name)
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exchange.get_order_book(pair='ETH/BTC', limit=50)
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exchange.fetch_l2_order_book(pair='ETH/BTC', limit=50)
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def make_fetch_ohlcv_mock(data):
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def make_fetch_ohlcv_mock(data):
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@ -3698,7 +3698,7 @@ def test_order_book_depth_of_market(default_conf, ticker, limit_buy_order, fee,
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default_conf['bid_strategy']['check_depth_of_market']['bids_to_ask_delta'] = 0.1
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default_conf['bid_strategy']['check_depth_of_market']['bids_to_ask_delta'] = 0.1
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patch_RPCManager(mocker)
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patch_RPCManager(mocker)
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patch_exchange(mocker)
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patch_exchange(mocker)
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mocker.patch('freqtrade.exchange.Exchange.get_order_book', order_book_l2)
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mocker.patch('freqtrade.exchange.Exchange.fetch_l2_order_book', order_book_l2)
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mocker.patch.multiple(
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mocker.patch.multiple(
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'freqtrade.exchange.Exchange',
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'freqtrade.exchange.Exchange',
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fetch_ticker=ticker,
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fetch_ticker=ticker,
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@ -3735,7 +3735,7 @@ def test_order_book_depth_of_market_high_delta(default_conf, ticker, limit_buy_o
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default_conf['bid_strategy']['check_depth_of_market']['bids_to_ask_delta'] = 100
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default_conf['bid_strategy']['check_depth_of_market']['bids_to_ask_delta'] = 100
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patch_RPCManager(mocker)
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patch_RPCManager(mocker)
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patch_exchange(mocker)
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patch_exchange(mocker)
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mocker.patch('freqtrade.exchange.Exchange.get_order_book', order_book_l2)
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mocker.patch('freqtrade.exchange.Exchange.fetch_l2_order_book', order_book_l2)
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mocker.patch.multiple(
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mocker.patch.multiple(
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'freqtrade.exchange.Exchange',
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'freqtrade.exchange.Exchange',
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fetch_ticker=ticker,
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fetch_ticker=ticker,
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@ -3760,7 +3760,7 @@ def test_order_book_bid_strategy1(mocker, default_conf, order_book_l2) -> None:
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ticker_mock = MagicMock(return_value={'ask': 0.045, 'last': 0.046})
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ticker_mock = MagicMock(return_value={'ask': 0.045, 'last': 0.046})
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mocker.patch.multiple(
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mocker.patch.multiple(
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'freqtrade.exchange.Exchange',
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'freqtrade.exchange.Exchange',
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get_order_book=order_book_l2,
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fetch_l2_order_book=order_book_l2,
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fetch_ticker=ticker_mock,
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fetch_ticker=ticker_mock,
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)
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)
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@ -3780,7 +3780,7 @@ def test_order_book_bid_strategy_exception(mocker, default_conf, caplog) -> None
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ticker_mock = MagicMock(return_value={'ask': 0.042, 'last': 0.046})
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ticker_mock = MagicMock(return_value={'ask': 0.042, 'last': 0.046})
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mocker.patch.multiple(
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mocker.patch.multiple(
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'freqtrade.exchange.Exchange',
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'freqtrade.exchange.Exchange',
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get_order_book=MagicMock(return_value={'bids': [[]], 'asks': [[]]}),
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fetch_l2_order_book=MagicMock(return_value={'bids': [[]], 'asks': [[]]}),
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fetch_ticker=ticker_mock,
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fetch_ticker=ticker_mock,
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)
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)
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@ -3804,7 +3804,7 @@ def test_check_depth_of_market_buy(default_conf, mocker, order_book_l2) -> None:
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patch_exchange(mocker)
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patch_exchange(mocker)
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mocker.patch.multiple(
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mocker.patch.multiple(
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'freqtrade.exchange.Exchange',
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'freqtrade.exchange.Exchange',
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get_order_book=order_book_l2
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fetch_l2_order_book=order_book_l2
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)
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)
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default_conf['telegram']['enabled'] = False
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default_conf['telegram']['enabled'] = False
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default_conf['exchange']['name'] = 'binance'
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default_conf['exchange']['name'] = 'binance'
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@ -3822,7 +3822,7 @@ def test_order_book_ask_strategy(default_conf, limit_buy_order, limit_sell_order
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"""
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"""
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test order book ask strategy
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test order book ask strategy
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"""
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"""
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mocker.patch('freqtrade.exchange.Exchange.get_order_book', order_book_l2)
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mocker.patch('freqtrade.exchange.Exchange.fetch_l2_order_book', order_book_l2)
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default_conf['exchange']['name'] = 'binance'
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default_conf['exchange']['name'] = 'binance'
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default_conf['ask_strategy']['use_order_book'] = True
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default_conf['ask_strategy']['use_order_book'] = True
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default_conf['ask_strategy']['order_book_min'] = 1
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default_conf['ask_strategy']['order_book_min'] = 1
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@ -3858,7 +3858,7 @@ def test_order_book_ask_strategy(default_conf, limit_buy_order, limit_sell_order
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assert freqtrade.handle_trade(trade) is True
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assert freqtrade.handle_trade(trade) is True
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assert trade.close_rate_requested == order_book_l2.return_value['asks'][0][0]
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assert trade.close_rate_requested == order_book_l2.return_value['asks'][0][0]
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mocker.patch('freqtrade.exchange.Exchange.get_order_book',
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mocker.patch('freqtrade.exchange.Exchange.fetch_l2_order_book',
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return_value={'bids': [[]], 'asks': [[]]})
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return_value={'bids': [[]], 'asks': [[]]})
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with pytest.raises(PricingException):
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with pytest.raises(PricingException):
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freqtrade.handle_trade(trade)
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freqtrade.handle_trade(trade)
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@ -3904,7 +3904,7 @@ def test_get_sell_rate_orderbook(default_conf, mocker, caplog, side, expected, o
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default_conf['ask_strategy']['order_book_min'] = 1
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default_conf['ask_strategy']['order_book_min'] = 1
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default_conf['ask_strategy']['order_book_max'] = 2
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default_conf['ask_strategy']['order_book_max'] = 2
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pair = "ETH/BTC"
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pair = "ETH/BTC"
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mocker.patch('freqtrade.exchange.Exchange.get_order_book', order_book_l2)
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mocker.patch('freqtrade.exchange.Exchange.fetch_l2_order_book', order_book_l2)
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ft = get_patched_freqtradebot(mocker, default_conf)
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ft = get_patched_freqtradebot(mocker, default_conf)
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rate = ft.get_sell_rate(pair, True)
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rate = ft.get_sell_rate(pair, True)
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assert not log_has("Using cached sell rate for ETH/BTC.", caplog)
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assert not log_has("Using cached sell rate for ETH/BTC.", caplog)
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@ -3923,7 +3923,7 @@ def test_get_sell_rate_orderbook_exception(default_conf, mocker, caplog):
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default_conf['ask_strategy']['order_book_max'] = 2
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default_conf['ask_strategy']['order_book_max'] = 2
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pair = "ETH/BTC"
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pair = "ETH/BTC"
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# Test What happens if the exchange returns an empty orderbook.
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# Test What happens if the exchange returns an empty orderbook.
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mocker.patch('freqtrade.exchange.Exchange.get_order_book',
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mocker.patch('freqtrade.exchange.Exchange.fetch_l2_order_book',
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return_value={'bids': [[]], 'asks': [[]]})
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return_value={'bids': [[]], 'asks': [[]]})
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ft = get_patched_freqtradebot(mocker, default_conf)
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ft = get_patched_freqtradebot(mocker, default_conf)
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with pytest.raises(PricingException):
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with pytest.raises(PricingException):
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