Merge pull request #6789 from freqtrade/okx_positionmode
Okx positionmode
This commit is contained in:
commit
26648e54cc
@ -228,7 +228,11 @@ OKX requires a passphrase for each api key, you will therefore need to add this
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```
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```
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!!! Warning
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!!! Warning
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OKX only provides 100 candles per api call. Therefore, the strategy will only have a pretty low amount of data available in backtesting mode.
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OKX only provides 300 candles per api call. Therefore, the strategy will only have a pretty low amount of data available in backtesting mode.
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!!! Warning "Futures - position mode"
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OKX Futures has the concept of "position mode" - which can be Net or long/short (hedge mode).
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Freqtrade supports both modes - but changing the mode mid-trading is not supported and will lead to exceptions and failures to place trades.
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## Gate.io
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## Gate.io
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@ -198,6 +198,7 @@ class Exchange:
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if self.trading_mode != TradingMode.SPOT:
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if self.trading_mode != TradingMode.SPOT:
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self.fill_leverage_tiers()
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self.fill_leverage_tiers()
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self.additional_exchange_init()
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def __del__(self):
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def __del__(self):
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"""
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"""
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@ -294,6 +295,14 @@ class Exchange:
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"""exchange ccxt precisionMode"""
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"""exchange ccxt precisionMode"""
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return self._api.precisionMode
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return self._api.precisionMode
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def additional_exchange_init(self) -> None:
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"""
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Additional exchange initialization logic.
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.api will be available at this point.
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Must be overridden in child methods if required.
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"""
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pass
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def _log_exchange_response(self, endpoint, response) -> None:
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def _log_exchange_response(self, endpoint, response) -> None:
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""" Log exchange responses """
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""" Log exchange responses """
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if self.log_responses:
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if self.log_responses:
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@ -937,13 +946,14 @@ class Exchange:
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# Order handling
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# Order handling
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def _lev_prep(self, pair: str, leverage: float, side: str):
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def _lev_prep(self, pair: str, leverage: float, side: BuySell):
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if self.trading_mode != TradingMode.SPOT:
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if self.trading_mode != TradingMode.SPOT:
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self.set_margin_mode(pair, self.margin_mode)
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self.set_margin_mode(pair, self.margin_mode)
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self._set_leverage(leverage, pair)
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self._set_leverage(leverage, pair)
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def _get_params(
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def _get_params(
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self,
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self,
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side: BuySell,
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ordertype: str,
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ordertype: str,
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leverage: float,
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leverage: float,
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reduceOnly: bool,
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reduceOnly: bool,
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@ -973,7 +983,7 @@ class Exchange:
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dry_order = self.create_dry_run_order(pair, ordertype, side, amount, rate, leverage)
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dry_order = self.create_dry_run_order(pair, ordertype, side, amount, rate, leverage)
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return dry_order
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return dry_order
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params = self._get_params(ordertype, leverage, reduceOnly, time_in_force)
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params = self._get_params(side, ordertype, leverage, reduceOnly, time_in_force)
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try:
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try:
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# Set the precision for amount and price(rate) as accepted by the exchange
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# Set the precision for amount and price(rate) as accepted by the exchange
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@ -1058,7 +1068,7 @@ class Exchange:
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@retrier(retries=0)
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@retrier(retries=0)
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def stoploss(self, pair: str, amount: float, stop_price: float, order_types: Dict,
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def stoploss(self, pair: str, amount: float, stop_price: float, order_types: Dict,
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side: str, leverage: float) -> Dict:
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side: BuySell, leverage: float) -> Dict:
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"""
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"""
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creates a stoploss order.
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creates a stoploss order.
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requires `_ft_has['stoploss_order_types']` to be set as a dict mapping limit and market
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requires `_ft_has['stoploss_order_types']` to be set as a dict mapping limit and market
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@ -4,6 +4,7 @@ from typing import Any, Dict, List, Tuple
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import ccxt
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import ccxt
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from freqtrade.constants import BuySell
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from freqtrade.enums import MarginMode, TradingMode
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from freqtrade.enums import MarginMode, TradingMode
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from freqtrade.exceptions import (DDosProtection, InsufficientFundsError, InvalidOrderException,
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from freqtrade.exceptions import (DDosProtection, InsufficientFundsError, InvalidOrderException,
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OperationalException, TemporaryError)
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OperationalException, TemporaryError)
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@ -44,7 +45,7 @@ class Ftx(Exchange):
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@retrier(retries=0)
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@retrier(retries=0)
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def stoploss(self, pair: str, amount: float, stop_price: float,
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def stoploss(self, pair: str, amount: float, stop_price: float,
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order_types: Dict, side: str, leverage: float) -> Dict:
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order_types: Dict, side: BuySell, leverage: float) -> Dict:
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"""
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"""
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Creates a stoploss order.
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Creates a stoploss order.
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depending on order_types.stoploss configuration, uses 'market' or limit order.
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depending on order_types.stoploss configuration, uses 'market' or limit order.
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@ -6,6 +6,7 @@ from typing import Any, Dict, List, Optional, Tuple
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import ccxt
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import ccxt
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from pandas import DataFrame
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from pandas import DataFrame
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from freqtrade.constants import BuySell
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from freqtrade.enums import MarginMode, TradingMode
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from freqtrade.enums import MarginMode, TradingMode
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from freqtrade.exceptions import (DDosProtection, InsufficientFundsError, InvalidOrderException,
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from freqtrade.exceptions import (DDosProtection, InsufficientFundsError, InvalidOrderException,
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OperationalException, TemporaryError)
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OperationalException, TemporaryError)
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@ -95,7 +96,7 @@ class Kraken(Exchange):
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@retrier(retries=0)
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@retrier(retries=0)
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def stoploss(self, pair: str, amount: float, stop_price: float,
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def stoploss(self, pair: str, amount: float, stop_price: float,
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order_types: Dict, side: str, leverage: float) -> Dict:
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order_types: Dict, side: BuySell, leverage: float) -> Dict:
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"""
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"""
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Creates a stoploss market order.
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Creates a stoploss market order.
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Stoploss market orders is the only stoploss type supported by kraken.
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Stoploss market orders is the only stoploss type supported by kraken.
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@ -165,12 +166,14 @@ class Kraken(Exchange):
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def _get_params(
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def _get_params(
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self,
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self,
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side: BuySell,
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ordertype: str,
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ordertype: str,
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leverage: float,
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leverage: float,
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reduceOnly: bool,
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reduceOnly: bool,
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time_in_force: str = 'gtc'
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time_in_force: str = 'gtc'
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) -> Dict:
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) -> Dict:
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params = super()._get_params(
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params = super()._get_params(
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side=side,
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ordertype=ordertype,
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ordertype=ordertype,
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leverage=leverage,
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leverage=leverage,
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reduceOnly=reduceOnly,
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reduceOnly=reduceOnly,
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@ -35,14 +35,48 @@ class Okx(Exchange):
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(TradingMode.FUTURES, MarginMode.ISOLATED),
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(TradingMode.FUTURES, MarginMode.ISOLATED),
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]
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]
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net_only = True
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@retrier
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def additional_exchange_init(self) -> None:
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"""
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Additional exchange initialization logic.
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.api will be available at this point.
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Must be overridden in child methods if required.
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"""
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try:
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if self.trading_mode == TradingMode.FUTURES and not self._config['dry_run']:
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accounts = self._api.fetch_accounts()
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if len(accounts) > 0:
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self.net_only = accounts[0].get('info', {}).get('posMode') == 'net_mode'
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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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def _get_posSide(self, side: BuySell, reduceOnly: bool):
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if self.net_only:
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return 'net'
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if not reduceOnly:
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# Enter
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return 'long' if side == 'buy' else 'short'
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else:
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# Exit
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return 'long' if side == 'sell' else 'short'
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def _get_params(
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def _get_params(
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self,
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self,
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side: BuySell,
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ordertype: str,
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ordertype: str,
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leverage: float,
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leverage: float,
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reduceOnly: bool,
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reduceOnly: bool,
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time_in_force: str = 'gtc',
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time_in_force: str = 'gtc',
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) -> Dict:
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) -> Dict:
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params = super()._get_params(
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params = super()._get_params(
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side=side,
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ordertype=ordertype,
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ordertype=ordertype,
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leverage=leverage,
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leverage=leverage,
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reduceOnly=reduceOnly,
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reduceOnly=reduceOnly,
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@ -50,6 +84,7 @@ class Okx(Exchange):
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)
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)
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if self.trading_mode == TradingMode.FUTURES and self.margin_mode:
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if self.trading_mode == TradingMode.FUTURES and self.margin_mode:
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params['tdMode'] = self.margin_mode.value
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params['tdMode'] = self.margin_mode.value
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params['posSide'] = self._get_posSide(side, reduceOnly)
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return params
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return params
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@retrier
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@retrier
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@ -62,7 +97,7 @@ class Okx(Exchange):
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symbol=pair,
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symbol=pair,
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params={
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params={
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"mgnMode": self.margin_mode.value,
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"mgnMode": self.margin_mode.value,
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# "posSide": "net"",
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"posSide": self._get_posSide(side, False),
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})
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})
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except ccxt.DDoSProtection as e:
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except ccxt.DDoSProtection as e:
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raise DDosProtection(e) from e
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raise DDosProtection(e) from e
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@ -135,6 +135,7 @@ def exchange_futures(request, exchange_conf, class_mocker):
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class_mocker.patch(
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class_mocker.patch(
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'freqtrade.exchange.binance.Binance.fill_leverage_tiers')
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'freqtrade.exchange.binance.Binance.fill_leverage_tiers')
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class_mocker.patch('freqtrade.exchange.exchange.Exchange.fetch_trading_fees')
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class_mocker.patch('freqtrade.exchange.exchange.Exchange.fetch_trading_fees')
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class_mocker.patch('freqtrade.exchange.okx.Okx.additional_exchange_init')
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exchange = ExchangeResolver.load_exchange(request.param, exchange_conf, validate=True)
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exchange = ExchangeResolver.load_exchange(request.param, exchange_conf, validate=True)
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yield exchange, request.param
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yield exchange, request.param
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@ -99,6 +99,8 @@ def test_remove_credentials(default_conf, caplog) -> None:
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def test_init_ccxt_kwargs(default_conf, mocker, caplog):
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def test_init_ccxt_kwargs(default_conf, mocker, caplog):
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mocker.patch('freqtrade.exchange.Exchange._load_markets', MagicMock(return_value={}))
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mocker.patch('freqtrade.exchange.Exchange._load_markets', MagicMock(return_value={}))
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mocker.patch('freqtrade.exchange.Exchange.validate_stakecurrency')
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mocker.patch('freqtrade.exchange.Exchange.validate_stakecurrency')
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aei_mock = mocker.patch('freqtrade.exchange.Exchange.additional_exchange_init')
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caplog.set_level(logging.INFO)
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caplog.set_level(logging.INFO)
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conf = copy.deepcopy(default_conf)
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conf = copy.deepcopy(default_conf)
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conf['exchange']['ccxt_async_config'] = {'aiohttp_trust_env': True, 'asyncio_loop': True}
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conf['exchange']['ccxt_async_config'] = {'aiohttp_trust_env': True, 'asyncio_loop': True}
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@ -108,6 +110,7 @@ def test_init_ccxt_kwargs(default_conf, mocker, caplog):
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caplog)
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caplog)
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assert ex._api_async.aiohttp_trust_env
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assert ex._api_async.aiohttp_trust_env
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assert not ex._api.aiohttp_trust_env
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assert not ex._api.aiohttp_trust_env
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assert aei_mock.call_count == 1
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# Reset logging and config
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# Reset logging and config
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caplog.clear()
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caplog.clear()
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@ -4758,8 +4761,10 @@ def test__get_params(mocker, default_conf, exchange_name):
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if exchange_name == 'okx':
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if exchange_name == 'okx':
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params2['tdMode'] = 'isolated'
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params2['tdMode'] = 'isolated'
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params2['posSide'] = 'net'
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assert exchange._get_params(
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assert exchange._get_params(
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side="buy",
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ordertype='market',
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ordertype='market',
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reduceOnly=False,
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reduceOnly=False,
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time_in_force='gtc',
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time_in_force='gtc',
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@ -4767,6 +4772,7 @@ def test__get_params(mocker, default_conf, exchange_name):
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) == params1
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) == params1
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assert exchange._get_params(
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assert exchange._get_params(
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side="buy",
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ordertype='market',
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ordertype='market',
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reduceOnly=False,
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reduceOnly=False,
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time_in_force='ioc',
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time_in_force='ioc',
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@ -4774,6 +4780,7 @@ def test__get_params(mocker, default_conf, exchange_name):
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) == params1
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) == params1
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assert exchange._get_params(
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assert exchange._get_params(
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side="buy",
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ordertype='limit',
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ordertype='limit',
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reduceOnly=False,
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reduceOnly=False,
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time_in_force='gtc',
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time_in_force='gtc',
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@ -4786,6 +4793,7 @@ def test__get_params(mocker, default_conf, exchange_name):
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exchange._params = {'test': True}
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exchange._params = {'test': True}
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assert exchange._get_params(
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assert exchange._get_params(
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side="buy",
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ordertype='limit',
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ordertype='limit',
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reduceOnly=True,
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reduceOnly=True,
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time_in_force='ioc',
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time_in_force='ioc',
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@ -1,7 +1,10 @@
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from unittest.mock import MagicMock, PropertyMock
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from unittest.mock import MagicMock, PropertyMock
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import pytest
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from freqtrade.enums import MarginMode, TradingMode
|
from freqtrade.enums import MarginMode, TradingMode
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from tests.conftest import get_patched_exchange
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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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|
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|
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def test_get_maintenance_ratio_and_amt_okx(
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def test_get_maintenance_ratio_and_amt_okx(
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@ -170,6 +173,70 @@ def test_get_max_pair_stake_amount_okx(default_conf, mocker, leverage_tiers):
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assert exchange.get_max_pair_stake_amount('TTT/USDT', 1.0) == float('inf') # Not in tiers
|
assert exchange.get_max_pair_stake_amount('TTT/USDT', 1.0) == float('inf') # Not in tiers
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|
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@pytest.mark.parametrize('mode,side,reduceonly,result', [
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|
('net', 'buy', False, 'net'),
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|
('net', 'sell', True, 'net'),
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('net', 'sell', False, 'net'),
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('net', 'buy', True, 'net'),
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('longshort', 'buy', False, 'long'),
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('longshort', 'sell', True, 'long'),
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('longshort', 'sell', False, 'short'),
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('longshort', 'buy', True, 'short'),
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])
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def test__get_posSide(default_conf, mocker, mode, side, reduceonly, result):
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|
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exchange = get_patched_exchange(mocker, default_conf, id="okx")
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exchange.net_only = mode == 'net'
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assert exchange._get_posSide(side, reduceonly) == result
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|
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|
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def test_additional_exchange_init_okx(default_conf, mocker):
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api_mock = MagicMock()
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|
api_mock.fetch_accounts = MagicMock(return_value=[
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|
{'id': '2555',
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|
'type': '2',
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'currency': None,
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||||||
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'info': {'acctLv': '2',
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||||||
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'autoLoan': False,
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||||||
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'ctIsoMode': 'automatic',
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||||||
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'greeksType': 'PA',
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||||||
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'level': 'Lv1',
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||||||
|
'levelTmp': '',
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'mgnIsoMode': 'automatic',
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'posMode': 'long_short_mode',
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||||||
|
'uid': '2555'}}])
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|
default_conf['dry_run'] = False
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||||||
|
exchange = get_patched_exchange(mocker, default_conf, id="okx", api_mock=api_mock)
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||||||
|
assert api_mock.fetch_accounts.call_count == 0
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||||||
|
exchange.trading_mode = TradingMode.FUTURES
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||||||
|
# Default to netOnly
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||||||
|
assert exchange.net_only
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||||||
|
exchange.additional_exchange_init()
|
||||||
|
assert api_mock.fetch_accounts.call_count == 1
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||||||
|
assert not exchange.net_only
|
||||||
|
|
||||||
|
api_mock.fetch_accounts = MagicMock(return_value=[
|
||||||
|
{'id': '2555',
|
||||||
|
'type': '2',
|
||||||
|
'currency': None,
|
||||||
|
'info': {'acctLv': '2',
|
||||||
|
'autoLoan': False,
|
||||||
|
'ctIsoMode': 'automatic',
|
||||||
|
'greeksType': 'PA',
|
||||||
|
'level': 'Lv1',
|
||||||
|
'levelTmp': '',
|
||||||
|
'mgnIsoMode': 'automatic',
|
||||||
|
'posMode': 'net_mode',
|
||||||
|
'uid': '2555'}}])
|
||||||
|
exchange.additional_exchange_init()
|
||||||
|
assert api_mock.fetch_accounts.call_count == 1
|
||||||
|
assert exchange.net_only
|
||||||
|
default_conf['trading_mode'] = 'futures'
|
||||||
|
default_conf['margin_mode'] = 'isolated'
|
||||||
|
ccxt_exceptionhandlers(mocker, default_conf, api_mock, 'okx',
|
||||||
|
"additional_exchange_init", "fetch_accounts")
|
||||||
|
|
||||||
|
|
||||||
def test_load_leverage_tiers_okx(default_conf, mocker, markets):
|
def test_load_leverage_tiers_okx(default_conf, mocker, markets):
|
||||||
api_mock = MagicMock()
|
api_mock = MagicMock()
|
||||||
type(api_mock).has = PropertyMock(return_value={
|
type(api_mock).has = PropertyMock(return_value={
|
||||||
|
Loading…
Reference in New Issue
Block a user