Merge branch 'lev-exchange' into lev-freqtradebot
This commit is contained in:
Sam Germain
commit
1d7a8f667a
@ -112,9 +112,6 @@ class Binance(Exchange):
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except ccxt.BaseError as e:
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raise OperationalException(e) from e
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def _apply_leverage_to_stake_amount(self, stake_amount: float, leverage: float):
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return stake_amount / leverage
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@retrier
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def fill_leverage_brackets(self):
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"""
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@ -154,3 +151,27 @@ class Binance(Exchange):
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if nominal_value >= min_amount:
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max_lev = 1/margin_req
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return max_lev
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@retrier
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def _set_leverage(
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self,
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leverage: float,
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pair: Optional[str] = None,
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trading_mode: Optional[TradingMode] = None
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):
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"""
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Set's the leverage before making a trade, in order to not
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have the same leverage on every trade
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"""
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trading_mode = trading_mode or self.trading_mode
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try:
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if trading_mode == TradingMode.FUTURES:
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self._api.set_leverage(symbol=pair, leverage=leverage)
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except ccxt.DDoSProtection as e:
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raise DDosProtection(e) from e
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except (ccxt.NetworkError, ccxt.ExchangeError) as e:
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raise TemporaryError(
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f'Could not set leverage due to {e.__class__.__name__}. Message: {e}') from e
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except ccxt.BaseError as e:
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raise OperationalException(e) from e
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@ -145,7 +145,7 @@ class Exchange:
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self._api_async = self._init_ccxt(
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exchange_config, ccxt_async, ccxt_kwargs=ccxt_async_config)
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trading_mode: TradingMode = (
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self.trading_mode: TradingMode = (
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TradingMode(config.get('trading_mode'))
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if config.get('trading_mode')
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else TradingMode.SPOT
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@ -156,7 +156,7 @@ class Exchange:
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else None
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)
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if trading_mode != TradingMode.SPOT:
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if self.trading_mode != TradingMode.SPOT:
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self.fill_leverage_brackets()
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logger.info('Using Exchange "%s"', self.name)
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@ -176,7 +176,7 @@ class Exchange:
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self.validate_order_time_in_force(config.get('order_time_in_force', {}))
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self.validate_required_startup_candles(config.get('startup_candle_count', 0),
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config.get('timeframe', ''))
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self.validate_trading_mode_and_collateral(trading_mode, collateral)
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self.validate_trading_mode_and_collateral(self.trading_mode, collateral)
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# Converts the interval provided in minutes in config to seconds
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self.markets_refresh_interval: int = exchange_config.get(
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"markets_refresh_interval", 60) * 60
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@ -630,7 +630,7 @@ class Exchange:
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:param stake_amount: The stake amount for a pair before leverage is considered
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:param leverage: The amount of leverage being used on the current trade
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"""
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return stake_amount
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return stake_amount / leverage
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# Dry-run methods
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@ -771,12 +771,14 @@ class Exchange:
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# Order handling
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def create_order(self, pair: str, ordertype: str, side: str, amount: float,
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rate: float, time_in_force: str = 'gtc') -> Dict:
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rate: float, time_in_force: str = 'gtc', leverage=1.0) -> Dict:
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if self._config['dry_run']:
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dry_order = self.create_dry_run_order(pair, ordertype, side, amount, rate)
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return dry_order
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if self.trading_mode != TradingMode.SPOT:
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self._set_leverage(leverage, pair)
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params = self._params.copy()
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if time_in_force != 'gtc' and ordertype != 'market':
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param = self._ft_has.get('time_in_force_parameter', '')
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@ -1600,7 +1602,12 @@ class Exchange:
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return 1.0
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@retrier
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def set_leverage(self, leverage: float, pair: Optional[str]):
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def _set_leverage(
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self,
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leverage: float,
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pair: Optional[str] = None,
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trading_mode: Optional[TradingMode] = None
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):
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"""
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Set's the leverage before making a trade, in order to not
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have the same leverage on every trade
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@ -146,6 +146,7 @@ class Kraken(Exchange):
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leverages = {}
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for pair, market in self.markets.items():
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leverages[pair] = [1]
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info = market['info']
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leverage_buy = info.get('leverage_buy', [])
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leverage_sell = info.get('leverage_sell', [])
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@ -155,12 +156,12 @@ class Kraken(Exchange):
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f"The buy({leverage_buy}) and sell({leverage_sell}) leverage are not equal"
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"for {pair}. Please notify freqtrade because this has never happened before"
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)
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if max(leverage_buy) < max(leverage_sell):
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leverages[pair] = leverage_buy
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if max(leverage_buy) <= max(leverage_sell):
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leverages[pair] += [int(lev) for lev in leverage_buy]
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else:
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leverages[pair] = leverage_sell
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leverages[pair] += [int(lev) for lev in leverage_sell]
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else:
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leverages[pair] = leverage_buy
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leverages[pair] += [int(lev) for lev in leverage_buy]
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self._leverage_brackets = leverages
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def get_max_leverage(self, pair: Optional[str], nominal_value: Optional[float]) -> float:
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@ -171,9 +172,18 @@ class Kraken(Exchange):
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"""
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return float(max(self._leverage_brackets[pair]))
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def set_leverage(self, pair, leverage):
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def _set_leverage(
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self,
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leverage: float,
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pair: Optional[str] = None,
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trading_mode: Optional[TradingMode] = None
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):
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"""
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Kraken set's the leverage as an option in the order object, so it doesn't do
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anything in this function
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Kraken set's the leverage as an option in the order object, so we need to
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add it to params
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"""
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return
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if leverage > 1.0:
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self._params['leverage'] = leverage
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else:
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if 'leverage' in self._params:
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del self._params['leverage']
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@ -4,6 +4,7 @@ from unittest.mock import MagicMock, PropertyMock
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import ccxt
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import pytest
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from freqtrade.enums import TradingMode
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from freqtrade.exceptions import DependencyException, InvalidOrderException, OperationalException
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from tests.conftest import get_patched_exchange
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from tests.exchange.test_exchange import ccxt_exceptionhandlers
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@ -232,3 +233,25 @@ def test_fill_leverage_brackets_binance(default_conf, mocker):
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"fill_leverage_brackets",
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"load_leverage_brackets"
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)
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def test__set_leverage_binance(mocker, default_conf):
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api_mock = MagicMock()
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api_mock.set_leverage = MagicMock()
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type(api_mock).has = PropertyMock(return_value={'setLeverage': True})
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exchange = get_patched_exchange(mocker, default_conf, id="binance")
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exchange._set_leverage(3.0, trading_mode=TradingMode.MARGIN)
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ccxt_exceptionhandlers(
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mocker,
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default_conf,
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api_mock,
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"binance",
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"_set_leverage",
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"set_leverage",
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pair="XRP/USDT",
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leverage=5.0,
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trading_mode=TradingMode.FUTURES
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)
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@ -2969,18 +2969,11 @@ def test_calculate_backoff(retrycount, max_retries, expected):
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assert calculate_backoff(retrycount, max_retries) == expected
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@pytest.mark.parametrize('exchange,stake_amount,leverage,min_stake_with_lev', [
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('binance', 9.0, 3.0, 3.0),
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('binance', 20.0, 5.0, 4.0),
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('binance', 100.0, 100.0, 1.0),
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# Kraken
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('kraken', 9.0, 3.0, 9.0),
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('kraken', 20.0, 5.0, 20.0),
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('kraken', 100.0, 100.0, 100.0),
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# FTX
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('ftx', 9.0, 3.0, 9.0),
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('ftx', 20.0, 5.0, 20.0),
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('ftx', 100.0, 100.0, 100.0)
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@pytest.mark.parametrize('exchange', ['binance', 'kraken', 'ftx'])
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@pytest.mark.parametrize('stake_amount,leverage,min_stake_with_lev', [
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(9.0, 3.0, 3.0),
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(20.0, 5.0, 4.0),
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(100.0, 100.0, 1.0)
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])
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def test_apply_leverage_to_stake_amount(
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exchange,
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@ -2994,12 +2987,12 @@ def test_apply_leverage_to_stake_amount(
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assert exchange._apply_leverage_to_stake_amount(stake_amount, leverage) == min_stake_with_lev
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@pytest.mark.parametrize("collateral", [
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(Collateral.CROSS),
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(Collateral.ISOLATED)
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@pytest.mark.parametrize("exchange_name,trading_mode", [
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("binance", TradingMode.FUTURES),
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("ftx", TradingMode.MARGIN),
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("ftx", TradingMode.FUTURES)
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])
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@pytest.mark.parametrize("exchange_name", [("ftx"), ("binance")])
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def test_set_leverage(mocker, default_conf, exchange_name, collateral):
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def test__set_leverage(mocker, default_conf, exchange_name, trading_mode):
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api_mock = MagicMock()
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api_mock.set_leverage = MagicMock()
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@ -3010,10 +3003,11 @@ def test_set_leverage(mocker, default_conf, exchange_name, collateral):
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default_conf,
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api_mock,
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exchange_name,
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"set_leverage",
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"_set_leverage",
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"set_leverage",
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pair="XRP/USDT",
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leverage=5.0
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leverage=5.0,
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trading_mode=trading_mode
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)
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@ -3021,8 +3015,7 @@ def test_set_leverage(mocker, default_conf, exchange_name, collateral):
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(Collateral.CROSS),
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(Collateral.ISOLATED)
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])
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@pytest.mark.parametrize("exchange_name", [("ftx"), ("binance")])
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def test_set_margin_mode(mocker, default_conf, exchange_name, collateral):
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def test_set_margin_mode(mocker, default_conf, collateral):
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api_mock = MagicMock()
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api_mock.set_margin_mode = MagicMock()
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@ -3032,7 +3025,7 @@ def test_set_margin_mode(mocker, default_conf, exchange_name, collateral):
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mocker,
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default_conf,
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api_mock,
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exchange_name,
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"binance",
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"set_margin_mode",
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"set_margin_mode",
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pair="XRP/USDT",
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@ -1,9 +1,10 @@
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from random import randint
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from unittest.mock import MagicMock
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from unittest.mock import MagicMock, PropertyMock
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import ccxt
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import pytest
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from freqtrade.enums import TradingMode
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from freqtrade.exceptions import DependencyException, InvalidOrderException
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from freqtrade.exchange.common import API_FETCH_ORDER_RETRY_COUNT
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from tests.conftest import get_patched_exchange
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@ -227,3 +228,26 @@ def test_fill_leverage_brackets_ftx(default_conf, mocker):
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exchange = get_patched_exchange(mocker, default_conf, id="ftx")
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exchange.fill_leverage_brackets()
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assert exchange._leverage_brackets == {}
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@pytest.mark.parametrize("trading_mode", [
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(TradingMode.MARGIN),
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(TradingMode.FUTURES)
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])
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def test__set_leverage(mocker, default_conf, trading_mode):
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api_mock = MagicMock()
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api_mock.set_leverage = MagicMock()
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type(api_mock).has = PropertyMock(return_value={'setLeverage': True})
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ccxt_exceptionhandlers(
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mocker,
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default_conf,
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api_mock,
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"ftx",
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"_set_leverage",
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"set_leverage",
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pair="XRP/USDT",
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leverage=5.0,
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trading_mode=trading_mode
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)
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@ -294,7 +294,28 @@ def test_fill_leverage_brackets_kraken(default_conf, mocker):
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exchange.fill_leverage_brackets()
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assert exchange._leverage_brackets == {
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'BLK/BTC': ['2', '3'],
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'TKN/BTC': ['2', '3', '4', '5'],
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'ETH/BTC': ['2']
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'BLK/BTC': [1, 2, 3],
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'TKN/BTC': [1, 2, 3, 4, 5],
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'ETH/BTC': [1, 2],
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'LTC/BTC': [1],
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'XRP/BTC': [1],
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'NEO/BTC': [1],
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'BTT/BTC': [1],
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'ETH/USDT': [1],
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'LTC/USDT': [1],
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'LTC/USD': [1],
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'XLTCUSDT': [1],
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'LTC/ETH': [1]
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}
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def test__set_leverage_kraken(default_conf, mocker):
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exchange = get_patched_exchange(mocker, default_conf, id="kraken")
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exchange._set_leverage(1)
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assert 'leverage' not in exchange._params
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exchange._set_leverage(3)
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assert exchange._params['leverage'] == 3
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exchange._set_leverage(1.0)
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assert 'leverage' not in exchange._params
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exchange._set_leverage(3.0)
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assert exchange._params['leverage'] == 3
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