Update dry-run order handling to use realistic fill prices

closes #3389

freqtrade/exchange/exchange.py

@@ -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,
+    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)
             }
         })
-        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 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.

tests/exchange/test_exchange.py

@@ -2117,6 +2117,7 @@ def test_get_historic_trades_notsupported(default_conf, mocker, caplog, exchange
 def test_cancel_order_dry_run(default_conf, mocker, exchange_name):
     default_conf['dry_run'] = True
     exchange = get_patched_exchange(mocker, default_conf, id=exchange_name)
+    mocker.patch('freqtrade.exchange.Exchange.dry_limit_order_filled', return_value=True)
     assert exchange.cancel_order(order_id='123', pair='TKN/BTC') == {}
     assert exchange.cancel_stoploss_order(order_id='123', pair='TKN/BTC') == {}
 

tests/rpc/test_rpc_apiserver.py

@@ -996,7 +996,8 @@ def test_api_forcesell(botclient, mocker, ticker, fee, markets):
         get_balances=MagicMock(return_value=ticker),
         fetch_ticker=ticker,
         get_fee=fee,
-        markets=PropertyMock(return_value=markets)
+        markets=PropertyMock(return_value=markets),
+        dry_limit_order_filled=MagicMock(return_value=True),
     )
     patch_get_signal(ftbot, (True, False))
 

tests/rpc/test_rpc_telegram.py

@@ -225,6 +225,7 @@ def test_status_handle(default_conf, update, ticker, fee, mocker) -> None:
         'freqtrade.exchange.Exchange',
         fetch_ticker=ticker,
         get_fee=fee,
+        dry_limit_order_filled=MagicMock(return_value=True),
     )
     status_table = MagicMock()
     mocker.patch.multiple(
@@ -671,6 +672,7 @@ def test_telegram_forcesell_handle(default_conf, update, ticker, fee,
         'freqtrade.exchange.Exchange',
         fetch_ticker=ticker,
         get_fee=fee,
+        dry_limit_order_filled=MagicMock(return_value=True),
     )
 
     freqtradebot = FreqtradeBot(default_conf)
@@ -729,6 +731,7 @@ def test_telegram_forcesell_down_handle(default_conf, update, ticker, fee,
         'freqtrade.exchange.Exchange',
         fetch_ticker=ticker,
         get_fee=fee,
+        dry_limit_order_filled=MagicMock(return_value=True),
     )
 
     freqtradebot = FreqtradeBot(default_conf)
@@ -789,6 +792,7 @@ def test_forcesell_all_handle(default_conf, update, ticker, fee, mocker) -> None
         'freqtrade.exchange.Exchange',
         fetch_ticker=ticker,
         get_fee=fee,
+        dry_limit_order_filled=MagicMock(return_value=True),
     )
     default_conf['max_open_trades'] = 4
     freqtradebot = FreqtradeBot(default_conf)

tests/test_freqtradebot.py

@@ -2750,6 +2750,7 @@ def test_execute_sell_with_stoploss_on_exchange(default_conf, ticker, fee, ticke
         price_to_precision=lambda s, x, y: y,
         stoploss=stoploss,
         cancel_stoploss_order=cancel_order,
+        dry_limit_order_filled=MagicMock(return_value=True),
     )
 
     freqtrade = FreqtradeBot(default_conf)
@@ -2792,6 +2793,7 @@ def test_may_execute_sell_after_stoploss_on_exchange_hit(default_conf, ticker, f
         get_fee=fee,
         amount_to_precision=lambda s, x, y: y,
         price_to_precision=lambda s, x, y: y,
+        dry_limit_order_filled=MagicMock(return_value=True),
     )
 
     stoploss = MagicMock(return_value={