adelorenzo/stable
1
0
Fork 0
Code Issues Pull Requests Packages Projects Releases Wiki Activity

bring this PR closer to reality, with better naming

Browse Source
This commit is contained in:
Yazeed Al Oyoun 2020-02-04 11:24:57 +01:00
parent f209ef6ad9
commit 29a8674496
9 changed files with 112 additions and 85 deletions
Show Stats Download Patch File Download Diff File Expand all files Collapse all files

12
config.json.example
View File

@ -7,13 +7,17 @@
"ticker_interval" : "5m",
"dry_run": false,
"trailing_stop": false,
"unfilledtimeout": {
"buy": 10,
"sell": 30
"unfilled_timeout": {
"buy": {
"after": 10,
"if_buy_signal_still_valid": false
},
"sell": {
"after": 30
}
},
"bid_strategy": {
"ask_last_balance": 0.0,
"timeout_even_if_buy_signal_valid": true,
"use_order_book": false,
"order_book_top": 1,
"check_depth_of_market": {

12
config_binance.json.example
View File

@ -7,13 +7,17 @@
"ticker_interval" : "5m",
"dry_run": true,
"trailing_stop": false,
"unfilledtimeout": {
"buy": 10,
"sell": 30
"unfilled_timeout": {
"buy": {
"after": 10,
"if_buy_signal_still_valid": false
},
"sell": {
"after": 30
}
},
"bid_strategy": {
"use_order_book": false,
"timeout_even_if_buy_signal_valid": true,
"ask_last_balance": 0.0,
"order_book_top": 1,
"check_depth_of_market": {

12
config_full.json.example
View File

@ -20,13 +20,17 @@
"0": 0.04
},
"stoploss": -0.10,
"unfilledtimeout": {
"buy": 10,
"sell": 30
"unfilled_timeout": {
"buy": {
"after": 10,
"if_buy_signal_still_valid": false
},
"sell": {
"after": 30
}
},
"bid_strategy": {
"use_order_book": false,
"timeout_even_if_buy_signal_valid": true,
"ask_last_balance": 0.0,
"order_book_top": 1,
"check_depth_of_market": {

12
config_kraken.json.example
View File

@ -7,13 +7,17 @@
"ticker_interval" : "5m",
"dry_run": true,
"trailing_stop": false,
"unfilledtimeout": {
"buy": 10,
"sell": 30
"unfilled_timeout": {
"buy": {
"after": 10,
"if_buy_signal_still_valid": false
},
"sell": {
"after": 30
}
},
"bid_strategy": {
"use_order_book": false,
"timeout_even_if_buy_signal_valid": true,
"ask_last_balance": 0.0,
"order_book_top": 1,
"check_depth_of_market": {

8
docs/configuration.md
View File

@ -58,10 +58,10 @@ Mandatory parameters are marked as **Required**, which means that they are requi
| `trailing_stop_positive` | Changes stoploss once profit has been reached. More details in the [stoploss documentation](stoploss.md). [Strategy Override](#parameters-in-the-strategy). <br> ***Datatype:*** *Float*
| `trailing_stop_positive_offset` | Offset on when to apply `trailing_stop_positive`. Percentage value which should be positive. More details in the [stoploss documentation](stoploss.md). [Strategy Override](#parameters-in-the-strategy). <br>*Defaults to `0.0` (no offset).* <br> ***Datatype:*** *Float*
| `trailing_only_offset_is_reached` | Only apply trailing stoploss when the offset is reached. [stoploss documentation](stoploss.md). [Strategy Override](#parameters-in-the-strategy). <br>*Defaults to `false`.* <br> ***Datatype:*** *Boolean*
| `unfilledtimeout.buy` | **Required.** How long (in minutes) the bot will wait for an unfilled buy order to complete, after which the order will be cancelled. [Strategy Override](#parameters-in-the-strategy).<br> ***Datatype:*** *Integer*
| `unfilledtimeout.sell` | **Required.** How long (in minutes) the bot will wait for an unfilled sell order to complete, after which the order will be cancelled. [Strategy Override](#parameters-in-the-strategy).<br> ***Datatype:*** *Integer*
| `unfilled_timeout.buy.after` | **Required.** How long (in minutes) the bot will wait for an unfilled buy order to complete, after which the order will be cancelled. [Strategy Override](#parameters-in-the-strategy).<br> ***Datatype:*** *Integer*
| `unfilled_timeout.buy.if_buy_signal_still_valid` | **Required.** Choose whether you would prefer unfilled buy orders to [timeout if buy signal was still valid](#timeout-even-if-buy-signal-valid). If false, your unfilled buy orders won't get timed out, so use this option wisely. <br>*Defaults to `true`.* <br> ***Datatype:*** *Boolean*
| `unfilled_timeout.sell.after` | **Required.** How long (in minutes) the bot will wait for an unfilled sell order to complete, after which the order will be cancelled. [Strategy Override](#parameters-in-the-strategy).<br> ***Datatype:*** *Integer*
| `bid_strategy.ask_last_balance` | **Required.** Set the bidding price. More information [below](#buy-price-without-orderbook).
| `bid_strategy.timeout_even_if_buy_signal_valid` | **Required.** Choose whether you would prefer buy orders to [timeout even if buy signal was still valid](#timeout-even-if-buy-signal-valid). If false, your buy orders will not timeout and will ignore your unfilledtimeout for buy orders, so use this option wisely. <br>*Defaults to `true`.* <br> ***Datatype:*** *Boolean*
| `bid_strategy.use_order_book` | Enable buying using the rates in [Order Book Bids](#buy-price-with-orderbook-enabled). <br> ***Datatype:*** *Boolean*
| `bid_strategy.order_book_top` | Bot will use the top N rate in Order Book Bids to buy. I.e. a value of 2 will allow the bot to pick the 2nd bid rate in [Order Book Bids](#buy-price-with-orderbook-enabled). <br>*Defaults to `1`.* <br> ***Datatype:*** *Positive Integer*
| `bid_strategy. check_depth_of_market.enabled` | Do not buy if the difference of buy orders and sell orders is met in Order Book. [Check market depth](#check-depth-of-market). <br>*Defaults to `false`.* <br> ***Datatype:*** *Boolean*
@ -128,7 +128,7 @@ Values set in the configuration file always overwrite values set in the strategy
* `order_time_in_force`
* `stake_currency`
* `stake_amount`
* `unfilledtimeout`
* `unfilled_timeout`
* `use_sell_signal` (ask_strategy)
* `sell_profit_only` (ask_strategy)
* `ignore_roi_if_buy_signal` (ask_strategy)

20
freqtrade/constants.py
View File

@ -94,11 +94,22 @@ CONF_SCHEMA = {
'trailing_stop_positive': {'type': 'number', 'minimum': 0, 'maximum': 1},
'trailing_stop_positive_offset': {'type': 'number', 'minimum': 0, 'maximum': 1},
'trailing_only_offset_is_reached': {'type': 'boolean'},
'unfilledtimeout': {
'unfilled_timeout': {
'type': 'object',
'properties': {
'buy': {'type': 'number', 'minimum': 1},
'sell': {'type': 'number', 'minimum': 1}
'buy': {
'type': 'object',
'properties': {
'after': {'type': 'number', 'minimum': 1},
'if_buy_signal_still_valid': {'type': 'boolean'},
},
},
'sell': {
'type': 'object',
'properties': {
'after': {'type': 'number', 'minimum': 1},
}
}
}
},
'bid_strategy': {
@ -110,7 +121,6 @@ CONF_SCHEMA = {
'maximum': 1,
'exclusiveMaximum': False,
},
'timeout_even_if_buy_signal_valid': {'type': 'boolean'},
'use_order_book': {'type': 'boolean'},
'order_book_top': {'type': 'integer', 'maximum': 20, 'minimum': 1},
'check_depth_of_market': {
@ -286,7 +296,7 @@ SCHEMA_TRADE_REQUIRED = [
'dry_run',
'dry_run_wallet',
'bid_strategy',
'unfilledtimeout',
'unfilled_timeout',
'stoploss',
'minimal_roi',
]

107
freqtrade/freqtradebot.py
View File

@ -785,7 +785,7 @@ class FreqtradeBot:
"""
Check if timeout is active, and if the order is still open and timed out
"""
timeout = self.config.get('unfilledtimeout', {}).get(side)
timeout = self.config.get('unfilled_timeout', {}).get(side).get('after')
ordertime = arrow.get(order['datetime']).datetime
if timeout is not None:
timeout_threshold = arrow.utcnow().shift(minutes=-timeout).datetime
@ -821,8 +821,20 @@ class FreqtradeBot:
if ((order['side'] == 'buy' and order['status'] == 'canceled')
or (self._check_timed_out('buy', order))):
self.handle_timedout_limit_buy(trade, order)
self.wallets.update()
# running get_signal on historical data fetched
(buy, sell) = self.strategy.get_signal(
trade.pair, self.strategy.ticker_interval,
self.dataprovider.ohlcv(trade.pair, self.strategy.ticker_interval))
# proceed to cancel buy order by timeout if configuration
# unfilled_timeout.if_buy_signal_still_valid is true (original behaviour) -OR-
# cancel buy order only if buying condition is no longer valid OR if there's
# a sell signal present
config_buy_signal_still_valid = self.config.get('unfilled_timeout', {}) \
.get('buy').get('if_buy_signal_still_valid')
if (config_buy_signal_still_valid) or (not buy or sell):
self.handle_timedout_limit_buy(trade, order)
self.wallets.update()
elif ((order['side'] == 'sell' and order['status'] == 'canceled')
or (self._check_timed_out('sell', order))):
@ -846,59 +858,44 @@ class FreqtradeBot:
"""
reason = "cancelled due to timeout"
# running get_signal on historical data fetched
(buy, sell) = self.strategy.get_signal(
trade.pair, self.strategy.ticker_interval,
self.dataprovider.ohlcv(trade.pair, self.strategy.ticker_interval))
# get config for bid strategy
config_bid_strategy = self.config.get('bid_strategy', {})
# proceed to cancel buy order by timeout if timeout_even_if_buy_signal_valid
# is true (original behaviour) -OR-
# cancel buy order only if buying condition is no longer valid OR if there's
# a sell signal present
if config_bid_strategy.get('timeout_even_if_buy_signal_valid', True) or (not buy or sell):
if order['status'] != 'canceled':
corder = self.exchange.cancel_order(trade.open_order_id, trade.pair)
else:
# Order was cancelled already, so we can reuse the existing dict
corder = order
reason = "canceled on exchange"
if corder.get('remaining', order['remaining']) == order['amount']:
# if trade is not partially completed, just delete the trade
self.handle_buy_order_full_cancel(trade, reason)
return True
# if trade is partially complete, edit the stake details for the trade
# and close the order
# cancel_order may not contain the full order dict, so we need to fallback
# to the order dict aquired before cancelling.
# we need to fall back to the values from order if corder does not contain these keys.
trade.amount = order['amount'] - corder.get('remaining', order['remaining'])
trade.stake_amount = trade.amount * trade.open_rate
# verify if fees were taken from amount to avoid problems during selling
try:
new_amount = self.get_real_amount(trade, corder if 'fee' in corder else order,
trade.amount)
if not isclose(order['amount'], new_amount, abs_tol=constants.MATH_CLOSE_PREC):
trade.amount = new_amount
# Fee was applied, so set to 0
trade.fee_open = 0
trade.recalc_open_trade_price()
except DependencyException as e:
logger.warning("Could not update trade amount: %s", e)
trade.open_order_id = None
logger.info(f"Partial buy order timeout for {trade.pair}")
self.rpc.send_msg({
'type': RPCMessageType.STATUS_NOTIFICATION,
'status': f"Remaining buy order for {trade.pair} cancelled due to timeout"
})
return False
if order['status'] != 'canceled':
corder = self.exchange.cancel_order(trade.open_order_id, trade.pair)
else:
return False
# Order was cancelled already, so we can reuse the existing dict
corder = order
reason = "canceled on exchange"
if corder.get('remaining', order['remaining']) == order['amount']:
# if trade is not partially completed, just delete the trade
self.handle_buy_order_full_cancel(trade, reason)
return True
# if trade is partially complete, edit the stake details for the trade
# and close the order
# cancel_order may not contain the full order dict, so we need to fallback
# to the order dict aquired before cancelling.
# we need to fall back to the values from order if corder does not contain these keys.
trade.amount = order['amount'] - corder.get('remaining', order['remaining'])
trade.stake_amount = trade.amount * trade.open_rate
# verify if fees were taken from amount to avoid problems during selling
try:
new_amount = self.get_real_amount(trade, corder if 'fee' in corder else order,
trade.amount)
if not isclose(order['amount'], new_amount, abs_tol=constants.MATH_CLOSE_PREC):
trade.amount = new_amount
# Fee was applied, so set to 0
trade.fee_open = 0
trade.recalc_open_trade_price()
except DependencyException as e:
logger.warning("Could not update trade amount: %s", e)
trade.open_order_id = None
logger.info(f"Partial buy order timeout for {trade.pair}")
self.rpc.send_msg({
'type': RPCMessageType.STATUS_NOTIFICATION,
'status': f"Remaining buy order for {trade.pair} cancelled due to timeout"
})
return False
def handle_timedout_limit_sell(self, trade: Trade, order: Dict) -> bool:
"""

2
freqtrade/resolvers/strategy_resolver.py
View File

@ -66,7 +66,7 @@ class StrategyResolver(IResolver):
("stake_currency", None, False),
("stake_amount", None, False),
("startup_candle_count", None, False),
("unfilledtimeout", None, False),
("unfilled_timeout", None, False),
("use_sell_signal", True, True),
("sell_profit_only", False, True),
("ignore_roi_if_buy_signal", False, True),

12
tests/conftest.py
View File

@ -210,13 +210,17 @@ def default_conf(testdatadir):
"0": 0.04
},
"stoploss": -0.10,
"unfilledtimeout": {
"buy": 10,
"sell": 30
"unfilled_timeout": {
"buy": {
"after": 10,
"if_buy_signal_still_valid": False
},
"sell": {
"after": 30
}
},
"bid_strategy": {
"ask_last_balance": 0.0,
"timeout_even_if_buy_signal_valid": True,
"use_order_book": False,
"order_book_top": 1,
"check_depth_of_market": {