Merge pull request #8120 from freqtrade/fut/stop_price_type

stoploss price type

config_examples/config_full.example.json

@@ -60,6 +60,7 @@
         "force_entry": "market",
         "stoploss": "market",
         "stoploss_on_exchange": false,
+        "stoploss_price_type": "last",
         "stoploss_on_exchange_interval": 60,
         "stoploss_on_exchange_limit_ratio": 0.99
     },

docs/stoploss.md

@@ -52,6 +52,17 @@ The bot cannot do these every 5 seconds (at each iteration), otherwise it would
 So this parameter will tell the bot how often it should update the stoploss order. The default value is 60 (1 minute).
 This same logic will reapply a stoploss order on the exchange should you cancel it accidentally.
 
+### stoploss_price_type
+
+!!! Warning "Only applies to futures"
+    `stoploss_price_type` only applies to futures markets (on exchanges where it's available).
+    Freqtrade will perform a validation of this setting on startup, failing to start if an invalid setting for your exchange has been selected.
+
+Stoploss on exchange on futures markets can trigger on different price types.
+The naming for these prices in exchange terminology often varies, but is usually something around "last" (or "contract price" ), "mark" and "index".
+
+Acceptable values for this setting are `"last"`, `"mark"` and `"index"` - which freqtrade will transfer automatically to the corresponding API type, and place the [stoploss on exchange](#stoploss_on_exchange-and-stoploss_on_exchange_limit_ratio) order correspondingly.
+
 ### force_exit
 
 `force_exit` is an optional value, which defaults to the same value as `exit` and is used when sending a `/forceexit` command from Telegram or from the Rest API.

freqtrade/constants.py

@@ -5,7 +5,7 @@ bot constants
 """
 from typing import Any, Dict, List, Literal, Tuple
 
-from freqtrade.enums import CandleType, RPCMessageType
+from freqtrade.enums import CandleType, PriceType, RPCMessageType
 
 
 DEFAULT_CONFIG = 'config.json'
@@ -25,6 +25,7 @@ PRICING_SIDES = ['ask', 'bid', 'same', 'other']
 ORDERTYPE_POSSIBILITIES = ['limit', 'market']
 _ORDERTIF_POSSIBILITIES = ['GTC', 'FOK', 'IOC', 'PO']
 ORDERTIF_POSSIBILITIES = _ORDERTIF_POSSIBILITIES + [t.lower() for t in _ORDERTIF_POSSIBILITIES]
+STOPLOSS_PRICE_TYPES = [p for p in PriceType]
 HYPEROPT_LOSS_BUILTIN = ['ShortTradeDurHyperOptLoss', 'OnlyProfitHyperOptLoss',
                          'SharpeHyperOptLoss', 'SharpeHyperOptLossDaily',
                          'SortinoHyperOptLoss', 'SortinoHyperOptLossDaily',
@@ -229,6 +230,7 @@ CONF_SCHEMA = {
                     'default': 'market'},
                 'stoploss': {'type': 'string', 'enum': ORDERTYPE_POSSIBILITIES},
                 'stoploss_on_exchange': {'type': 'boolean'},
+                'stoploss_price_type': {'type': 'string', 'enum': STOPLOSS_PRICE_TYPES},
                 'stoploss_on_exchange_interval': {'type': 'number'},
                 'stoploss_on_exchange_limit_ratio': {'type': 'number', 'minimum': 0.0,
                                                      'maximum': 1.0}

freqtrade/enums/__init__.py

@@ -6,6 +6,7 @@ from freqtrade.enums.exittype import ExitType
 from freqtrade.enums.hyperoptstate import HyperoptState
 from freqtrade.enums.marginmode import MarginMode
 from freqtrade.enums.ordertypevalue import OrderTypeValues
+from freqtrade.enums.pricetype import PriceType
 from freqtrade.enums.rpcmessagetype import NO_ECHO_MESSAGES, RPCMessageType, RPCRequestType
 from freqtrade.enums.runmode import NON_UTIL_MODES, OPTIMIZE_MODES, TRADING_MODES, RunMode
 from freqtrade.enums.signaltype import SignalDirection, SignalTagType, SignalType

freqtrade/enums/pricetype.py

@@ -0,0 +1,8 @@
+from enum import Enum
+
+
+class PriceType(str, Enum):
+    """Enum to distinguish possible trigger prices for stoplosses"""
+    LAST = "last"
+    MARK = "mark"
+    INDEX = "index"

freqtrade/exchange/binance.py

@@ -7,7 +7,7 @@ from typing import Dict, List, Optional, Tuple
 import arrow
 import ccxt
 
-from freqtrade.enums import CandleType, MarginMode, TradingMode
+from freqtrade.enums import CandleType, MarginMode, PriceType, TradingMode
 from freqtrade.exceptions import DDosProtection, OperationalException, TemporaryError
 from freqtrade.exchange import Exchange
 from freqtrade.exchange.common import retrier
@@ -33,6 +33,11 @@ class Binance(Exchange):
         "stoploss_order_types": {"limit": "stop", "market": "stop_market"},
         "tickers_have_price": False,
         "floor_leverage": True,
+        "stop_price_type_field": "workingType",
+        "stop_price_type_value_mapping": {
+            PriceType.LAST: "CONTRACT_PRICE",
+            PriceType.MARK: "MARK_PRICE",
+        },
     }
 
     _supported_trading_mode_margin_pairs: List[Tuple[TradingMode, MarginMode]] = [

freqtrade/exchange/bybit.py

@@ -6,7 +6,7 @@ from typing import Any, Dict, List, Optional, Tuple
 import ccxt
 
 from freqtrade.constants import BuySell
-from freqtrade.enums import MarginMode, TradingMode
+from freqtrade.enums import MarginMode, PriceType, TradingMode
 from freqtrade.exceptions import DDosProtection, OperationalException, TemporaryError
 from freqtrade.exchange import Exchange
 from freqtrade.exchange.common import retrier
@@ -37,6 +37,12 @@ class Bybit(Exchange):
         "funding_fee_timeframe": "8h",
         "stoploss_on_exchange": True,
         "stoploss_order_types": {"limit": "limit", "market": "market"},
+        "stop_price_type_field": "triggerBy",
+        "stop_price_type_value_mapping": {
+            PriceType.LAST: "LastPrice",
+            PriceType.MARK: "MarkPrice",
+            PriceType.INDEX: "IndexPrice",
+        },
     }
 
     _supported_trading_mode_margin_pairs: List[Tuple[TradingMode, MarginMode]] = [

freqtrade/exchange/exchange.py

@@ -24,6 +24,7 @@ from freqtrade.constants import (DEFAULT_AMOUNT_RESERVE_PERCENT, NON_OPEN_EXCHAN
                                  PairWithTimeframe)
 from freqtrade.data.converter import clean_ohlcv_dataframe, ohlcv_to_dataframe, trades_dict_to_list
 from freqtrade.enums import OPTIMIZE_MODES, CandleType, MarginMode, TradingMode
+from freqtrade.enums.pricetype import PriceType
 from freqtrade.exceptions import (DDosProtection, ExchangeError, InsufficientFundsError,
                                   InvalidOrderException, OperationalException, PricingError,
                                   RetryableOrderError, TemporaryError)
@@ -600,12 +601,27 @@ class Exchange:
             if not self.exchange_has('createMarketOrder'):
                 raise OperationalException(
                     f'Exchange {self.name} does not support market orders.')
+        self.validate_stop_ordertypes(order_types)
 
+    def validate_stop_ordertypes(self, order_types: Dict) -> None:
+        """
+        Validate stoploss order types
+        """
         if (order_types.get("stoploss_on_exchange")
                 and not self._ft_has.get("stoploss_on_exchange", False)):
             raise OperationalException(
                 f'On exchange stoploss is not supported for {self.name}.'
             )
+        if self.trading_mode == TradingMode.FUTURES:
+            price_mapping = self._ft_has.get('stop_price_type_value_mapping', {}).keys()
+            if (
+                order_types.get("stoploss_on_exchange", False) is True
+                and 'stoploss_price_type' in order_types
+                and order_types['stoploss_price_type'] not in price_mapping
+            ):
+                raise OperationalException(
+                    f'On exchange stoploss price type is not supported for {self.name}.'
+                )
 
     def validate_pricing(self, pricing: Dict) -> None:
         if pricing.get('use_order_book', False) and not self.exchange_has('fetchL2OrderBook'):
@@ -1161,6 +1177,10 @@ class Exchange:
                                            stop_price=stop_price_norm)
             if self.trading_mode == TradingMode.FUTURES:
                 params['reduceOnly'] = True
+                if 'stoploss_price_type' in order_types and 'stop_price_type_field' in self._ft_has:
+                    price_type = self._ft_has['stop_price_type_value_mapping'][
+                        order_types.get('stoploss_price_type', PriceType.LAST)]
+                    params[self._ft_has['stop_price_type_field']] = price_type
 
             amount = self.amount_to_precision(pair, self._amount_to_contracts(pair, amount))
 

freqtrade/exchange/gateio.py

@@ -34,6 +34,13 @@ class Gateio(Exchange):
         "needs_trading_fees": True,
         "fee_cost_in_contracts": False,  # Set explicitly to false for clarity
         "order_props_in_contracts": ['amount', 'filled', 'remaining'],
+        # TODO: Reenable once https://github.com/ccxt/ccxt/issues/16749 is available
+        # "stop_price_type_field": "price_type",
+        # "stop_price_type_value_mapping": {
+        #     PriceType.LAST: 0,
+        #     PriceType.MARK: 1,
+        #     PriceType.INDEX: 2,
+        # },
     }
 
     _supported_trading_mode_margin_pairs: List[Tuple[TradingMode, MarginMode]] = [
@@ -49,6 +56,7 @@ class Gateio(Exchange):
             if any(v == 'market' for k, v in order_types.items()):
                 raise OperationalException(
                     f'Exchange {self.name} does not support market orders.')
+        super().validate_stop_ordertypes(order_types)
 
     def _get_params(
             self,

freqtrade/exchange/okx.py

@@ -5,6 +5,7 @@ import ccxt
 
 from freqtrade.constants import BuySell
 from freqtrade.enums import CandleType, MarginMode, TradingMode
+from freqtrade.enums.pricetype import PriceType
 from freqtrade.exceptions import DDosProtection, OperationalException, TemporaryError
 from freqtrade.exchange import Exchange, date_minus_candles
 from freqtrade.exchange.common import retrier
@@ -27,6 +28,12 @@ class Okx(Exchange):
     _ft_has_futures: Dict = {
         "tickers_have_quoteVolume": False,
         "fee_cost_in_contracts": True,
+        "stop_price_type_field": "tpTriggerPxType",
+        "stop_price_type_value_mapping": {
+            PriceType.LAST: "last",
+            PriceType.MARK: "index",
+            PriceType.INDEX: "mark",
+            },
     }
 
     _supported_trading_mode_margin_pairs: List[Tuple[TradingMode, MarginMode]] = [

tests/exchange/test_binance.py

@@ -50,7 +50,7 @@ def test_stoploss_order_binance(default_conf, mocker, limitratio, expected, side
         )
 
     api_mock.create_order.reset_mock()
-    order_types = {'stoploss': 'limit'}
+    order_types = {'stoploss': 'limit', 'stoploss_price_type': 'mark'}
     if limitratio is not None:
         order_types.update({'stoploss_on_exchange_limit_ratio': limitratio})
 
@@ -75,7 +75,7 @@ def test_stoploss_order_binance(default_conf, mocker, limitratio, expected, side
     if trademode == TradingMode.SPOT:
         params_dict = {'stopPrice': 220}
     else:
-        params_dict = {'stopPrice': 220, 'reduceOnly': True}
+        params_dict = {'stopPrice': 220, 'reduceOnly': True, 'workingType': 'MARK_PRICE'}
     assert api_mock.create_order.call_args_list[0][1]['params'] == params_dict
 
     # test exception handling

tests/exchange/test_exchange.py

@@ -1060,6 +1060,47 @@ def test_validate_ordertypes(default_conf, mocker):
         Exchange(default_conf)
 
 
+@pytest.mark.parametrize('exchange_name,stopadv, expected', [
+    ('binance', 'last', True),
+    ('binance', 'mark', True),
+    ('binance', 'index', False),
+    ('bybit', 'last', True),
+    ('bybit', 'mark', True),
+    ('bybit', 'index', True),
+    # ('okx', 'last', True),
+    # ('okx', 'mark', True),
+    # ('okx', 'index', True),
+    ('gate', 'last', False),
+    ('gate', 'mark', False),
+    ('gate', 'index', False),
+    ])
+def test_validate_ordertypes_stop_advanced(default_conf, mocker, exchange_name, stopadv, expected):
+
+    api_mock = MagicMock()
+    default_conf['trading_mode'] = TradingMode.FUTURES
+    default_conf['margin_mode'] = MarginMode.ISOLATED
+    type(api_mock).has = PropertyMock(return_value={'createMarketOrder': True})
+    mocker.patch('freqtrade.exchange.Exchange._init_ccxt', MagicMock(return_value=api_mock))
+    mocker.patch('freqtrade.exchange.Exchange._load_markets', MagicMock(return_value={}))
+    mocker.patch('freqtrade.exchange.Exchange.validate_pairs')
+    mocker.patch('freqtrade.exchange.Exchange.validate_timeframes')
+    mocker.patch('freqtrade.exchange.Exchange.validate_stakecurrency')
+    mocker.patch('freqtrade.exchange.Exchange.validate_pricing')
+    default_conf['order_types'] = {
+        'entry': 'limit',
+        'exit': 'limit',
+        'stoploss': 'limit',
+        'stoploss_on_exchange': True,
+        'stoploss_price_type': stopadv,
+    }
+    if expected:
+        ExchangeResolver.load_exchange(exchange_name, default_conf)
+    else:
+        with pytest.raises(OperationalException,
+                           match=r'On exchange stoploss price type is not supported for .*'):
+            ExchangeResolver.load_exchange(exchange_name, default_conf)
+
+
 def test_validate_order_types_not_in_config(default_conf, mocker):
     api_mock = MagicMock()
     mocker.patch('freqtrade.exchange.Exchange._init_ccxt', MagicMock(return_value=api_mock))

tests/exchange/test_gateio.py

@@ -18,8 +18,8 @@ def test_validate_order_types_gateio(default_conf, mocker):
     mocker.patch('freqtrade.exchange.Exchange.validate_timeframes')
     mocker.patch('freqtrade.exchange.Exchange.validate_stakecurrency')
     mocker.patch('freqtrade.exchange.Exchange.validate_pricing')
-    mocker.patch('freqtrade.exchange.Exchange.name', 'Bittrex')
+    mocker.patch('freqtrade.exchange.Exchange.name', 'Gate')
-    exch = ExchangeResolver.load_exchange('gateio', default_conf, True)
+    exch = ExchangeResolver.load_exchange('gate', default_conf, True)
     assert isinstance(exch, Gateio)
 
     default_conf['order_types'] = {