Convert limit orders to market orders if they cross a threshold

closes #7786

freqtrade/exchange/exchange.py

@@ -850,7 +850,7 @@ class Exchange:
             'remaining': _amount,
             'datetime': arrow.utcnow().strftime('%Y-%m-%dT%H:%M:%S.%fZ'),
             'timestamp': arrow.utcnow().int_timestamp * 1000,
-            'status': "closed" if ordertype == "market" and not stop_loss else "open",
+            'status': "open",
             'fee': None,
             'info': {},
             'leverage': leverage
@@ -863,6 +863,14 @@ class Exchange:
         orderbook: Optional[OrderBook] = None
         if self.exchange_has('fetchL2OrderBook'):
             orderbook = self.fetch_l2_order_book(pair, 20)
+        if ordertype == "limit" and orderbook:
+            # Allow a 3% price difference
+            allowed_diff = 0.03
+            if self._dry_is_price_crossed(pair, side, rate, orderbook, allowed_diff):
+                logger.info(
+                    f"Converted order {pair} to market order due to price {rate} crossing spread "
+                    f"by more than {allowed_diff:.2%}.")
+                dry_order["type"] = "market"
 
         if dry_order["type"] == "market" and not dry_order.get("ft_order_type"):
             # Update market order pricing
@@ -871,6 +879,7 @@ class Exchange:
                 'average': average,
                 'filled': _amount,
                 'remaining': 0.0,
+                'status': "closed",
                 'cost': (dry_order['amount'] * average) / leverage
             })
             # market orders will always incurr taker fees
@@ -943,7 +952,7 @@ class Exchange:
         return rate
 
     def _dry_is_price_crossed(self, pair: str, side: str, limit: float,
-                              orderbook: Optional[OrderBook] = None) -> bool:
+                              orderbook: Optional[OrderBook] = None, offset: float = 0.0) -> bool:
         if not self.exchange_has('fetchL2OrderBook'):
             return True
         if not orderbook:
@@ -951,11 +960,11 @@ class Exchange:
         try:
             if side == 'buy':
                 price = orderbook['asks'][0][0]
-                if limit >= price:
+                if limit * (1 - offset) >= price:
                     return True
             else:
                 price = orderbook['bids'][0][0]
-                if limit <= price:
+                if limit * (1 + offset) <= price:
                     return True
         except IndexError:
             # Ignore empty orderbooks when filling - can be filled with the next iteration.

tests/exchange/test_exchange.py

@@ -1248,18 +1248,20 @@ def test_create_dry_run_order_fees(
     assert order1['fee']['rate'] == fee
 
 
-@pytest.mark.parametrize("side,price,filled", [
+@pytest.mark.parametrize("side,price,filled,converted", [
     # order_book_l2_usd spread:
     # best ask: 25.566
     # best bid: 25.563
-    ("buy", 25.563, False),
+    ("buy", 25.563, False, False),
-    ("buy", 25.566, True),
+    ("buy", 25.566, True, False),
-    ("sell", 25.566, False),
+    ("sell", 25.566, False, False),
-    ("sell", 25.563, True),
+    ("sell", 25.563, True, False),
+    ("buy", 29.563, True, True),
+    ("sell", 21.563, True, True),
 ])
 @pytest.mark.parametrize("exchange_name", EXCHANGES)
-def test_create_dry_run_order_limit_fill(default_conf, mocker, side, price, filled,
+def test_create_dry_run_order_limit_fill(default_conf, mocker, side, price, filled, caplog,
-                                         exchange_name, order_book_l2_usd):
+                                         exchange_name, order_book_l2_usd, converted):
     default_conf['dry_run'] = True
     exchange = get_patched_exchange(mocker, default_conf, id=exchange_name)
     mocker.patch.multiple('freqtrade.exchange.Exchange',
@@ -1279,9 +1281,16 @@ def test_create_dry_run_order_limit_fill(default_conf, mocker, side, price, fill
     assert 'id' in order
     assert f'dry_run_{side}_' in order["id"]
     assert order["side"] == side
-    assert order["type"] == "limit"
+    if not converted:
+        assert order["average"] == price
+        assert order["type"] == "limit"
+    else:
+        # Converted to market order
+        assert order["type"] == "market"
+        assert 25.5 < order["average"] < 25.6
+        assert log_has_re(r"Converted .* to market order.*", caplog)
+
     assert order["symbol"] == "LTC/USDT"
-    assert order["average"] == price
     assert order['status'] == 'open' if not filled else 'closed'
     order_book_l2_usd.reset_mock()