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Update dry-run order handling to use realistic fill prices

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closes #3389
This commit is contained in:
Matthias
2021-06-03 20:55:18 +02:00
parent a0893b291a
commit 1e988c97ad
5 changed files with 84 additions and 19 deletions
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93
freqtrade/exchange/exchange.py
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@@ -561,7 +561,7 @@ class Exchange:
rate: float, params: Dict = {}) -> Dict[str, Any]:
order_id = f'dry_run_{side}_{datetime.now().timestamp()}'
_amount = self.amount_to_precision(pair, amount)
dry_order = {
dry_order: Dict[str, Any] = {
'id': order_id,
'symbol': pair,
'price': rate,
@@ -577,26 +577,73 @@ class Exchange:
'fee': None,
'info': {}
}
self._store_dry_order(dry_order, pair)
if dry_order["type"] in ["stop_loss_limit", "stop-loss-limit"]:
dry_order["info"] = {"stopPrice": dry_order["price"]}
if dry_order["type"] == "market":
# Update market order pricing
average = self.get_dry_market_fill_price(pair, side, amount, rate)
dry_order.update({
'average': average,
'cost': dry_order['amount'] * average,
})
self.add_dry_order_fee(pair, dry_order)
self._dry_run_open_orders[dry_order["id"]] = dry_order
# Copy order and close it - so the returned order is open unless it's a market order
return dry_order
def _store_dry_order(self, dry_order: Dict, pair: str) -> None:
closed_order = dry_order.copy()
if closed_order['type'] in ["market", "limit"]:
closed_order.update({
'status': 'closed',
'filled': closed_order['amount'],
'remaining': 0,
'fee': {
'currency': self.get_pair_quote_currency(pair),
'cost': dry_order['cost'] * self.get_fee(pair),
'rate': self.get_fee(pair)
}
})
if closed_order["type"] in ["stop_loss_limit", "stop-loss-limit"]:
closed_order["info"].update({"stopPrice": closed_order["price"]})
self._dry_run_open_orders[closed_order["id"]] = closed_order
def add_dry_order_fee(self, pair: str, dry_order: Dict[str, Any]):
dry_order.update({
'fee': {
'currency': self.get_pair_quote_currency(pair),
'cost': dry_order['cost'] * self.get_fee(pair),
'rate': self.get_fee(pair)
}
})
def get_dry_market_fill_price(self, pair: str, side: str, amount: float, rate: float) -> float:
"""
Get the market order fill price based on orderbook interpolation
"""
if self.exchange_has('fetchL2OrderBook'):
ob = self.fetch_l2_order_book(pair, 20)
book_entry_type = 'asks' if side == 'buy' else 'bids'
remaining_amount = amount
filled_amount = 0
for book_entry in ob[book_entry_type]:
book_entry_price = book_entry[0]
book_entry_coin_volume = book_entry[1]
book_entry_ref_currency_volume = book_entry_price * book_entry_coin_volume
if remaining_amount > 0:
if remaining_amount < book_entry_ref_currency_volume:
filled_amount += remaining_amount * book_entry_price
else:
filled_amount += book_entry_ref_currency_volume * book_entry_price
remaining_amount -= book_entry_ref_currency_volume
else:
break
forecast_avg_filled_price = filled_amount / amount
return self.price_to_precision(pair, forecast_avg_filled_price)
return rate
def dry_limit_order_filled(self, pair: str, side: str, limit: float) -> bool:
if not self.exchange_has('fetchL2OrderBook'):
return True
ob = self.fetch_l2_order_book(pair, 1)
if side == 'buy':
price = ob['asks'][0][0]
logger.debug(f"{pair} checking dry buy-order: price={price}, limit={limit}")
if limit >= price:
return True
else:
price = ob['bids'][0][0]
logger.debug(f"{pair} checking dry sell-order: price={price}, limit={limit}")
if limit <= price:
return True
return False
def fetch_dry_run_order(self, order_id) -> Dict[str, Any]:
"""
@@ -605,6 +652,16 @@ class Exchange:
"""
try:
order = self._dry_run_open_orders[order_id]
pair = order['symbol']
if order['status'] != "closed" and order['type'] in ["limit"]:
if self.dry_limit_order_filled(pair, order['side'], order['price']):
order.update({
'status': 'closed',
'filled': order['amount'],
'remaining': 0,
})
self.add_dry_order_fee(pair, order)
return order
except KeyError as e:
# Gracefully handle errors with dry-run orders.