diff --git a/freqtrade/exchange/binance.py b/freqtrade/exchange/binance.py index 96f72fcf5..12326f083 100644 --- a/freqtrade/exchange/binance.py +++ b/freqtrade/exchange/binance.py @@ -41,7 +41,7 @@ class Binance(Exchange): """ ordertype = "stop_loss_limit" - stop_price = self.symbol_price_prec(pair, stop_price) + stop_price = self.price_to_precision(pair, stop_price) # Ensure rate is less than stop price if stop_price <= rate: @@ -57,9 +57,9 @@ class Binance(Exchange): params = self._params.copy() params.update({'stopPrice': stop_price}) - amount = self.symbol_amount_prec(pair, amount) + amount = self.amount_to_precision(pair, amount) - rate = self.symbol_price_prec(pair, rate) + rate = self.price_to_precision(pair, rate) order = self._api.create_order(pair, ordertype, 'sell', amount, rate, params) diff --git a/freqtrade/exchange/exchange.py b/freqtrade/exchange/exchange.py index 714bb40e4..87c189457 100644 --- a/freqtrade/exchange/exchange.py +++ b/freqtrade/exchange/exchange.py @@ -7,14 +7,15 @@ import inspect import logging from copy import deepcopy from datetime import datetime, timezone -from math import ceil, floor +from math import ceil from random import randint from typing import Any, Dict, List, Optional, Tuple import arrow import ccxt import ccxt.async_support as ccxt_async -from ccxt.base.decimal_to_precision import ROUND_DOWN, ROUND_UP +from ccxt.base.decimal_to_precision import (ROUND_DOWN, ROUND_UP, TICK_SIZE, + TRUNCATE, decimal_to_precision) from pandas import DataFrame from freqtrade.data.converter import parse_ticker_dataframe @@ -189,6 +190,11 @@ class Exchange: self._load_markets() return self._api.markets + @property + def precisionMode(self) -> str: + """exchange ccxt precisionMode""" + return self._api.precisionMode + def get_markets(self, base_currencies: List[str] = None, quote_currencies: List[str] = None, pairs_only: bool = False, active_only: bool = False) -> Dict: """ @@ -386,32 +392,49 @@ class Exchange: """ return endpoint in self._api.has and self._api.has[endpoint] - def symbol_amount_prec(self, pair, amount: float): + def amount_to_precision(self, pair, amount: float) -> float: ''' Returns the amount to buy or sell to a precision the Exchange accepts - Rounded down + Reimplementation of ccxt internal methods - ensuring we can test the result is correct + based on our definitions. ''' if self.markets[pair]['precision']['amount']: - symbol_prec = self.markets[pair]['precision']['amount'] - big_amount = amount * pow(10, symbol_prec) - amount = floor(big_amount) / pow(10, symbol_prec) + amount = float(decimal_to_precision(amount, rounding_mode=TRUNCATE, + precision=self.markets[pair]['precision']['amount'], + counting_mode=self.precisionMode, + )) + return amount - def symbol_price_prec(self, pair, price: float): + def price_to_precision(self, pair, price: float) -> float: ''' - Returns the price buying or selling with to the precision the Exchange accepts + Returns the price rounded up to the precision the Exchange accepts. + Partial Reimplementation of ccxt internal method decimal_to_precision(), + which does not support rounding up + TODO: If ccxt supports ROUND_UP for decimal_to_precision(), we could remove this and + align with amount_to_precision(). Rounds up ''' if self.markets[pair]['precision']['price']: - symbol_prec = self.markets[pair]['precision']['price'] - big_price = price * pow(10, symbol_prec) - price = ceil(big_price) / pow(10, symbol_prec) + # price = float(decimal_to_precision(price, rounding_mode=ROUND, + # precision=self.markets[pair]['precision']['price'], + # counting_mode=self.precisionMode, + # )) + if self.precisionMode == TICK_SIZE: + precision = self.markets[pair]['precision']['price'] + missing = price % precision + if missing != 0: + price = price - missing + precision + else: + symbol_prec = self.markets[pair]['precision']['price'] + big_price = price * pow(10, symbol_prec) + price = ceil(big_price) / pow(10, symbol_prec) return price def dry_run_order(self, pair: str, ordertype: str, side: str, amount: float, rate: float, params: Dict = {}) -> Dict[str, Any]: order_id = f'dry_run_{side}_{randint(0, 10**6)}' - _amount = self.symbol_amount_prec(pair, amount) + _amount = self.amount_to_precision(pair, amount) dry_order = { "id": order_id, 'pair': pair, @@ -446,13 +469,13 @@ class Exchange: rate: float, params: Dict = {}) -> Dict: try: # Set the precision for amount and price(rate) as accepted by the exchange - amount = self.symbol_amount_prec(pair, amount) + amount = self.amount_to_precision(pair, amount) needs_price = (ordertype != 'market' or self._api.options.get("createMarketBuyOrderRequiresPrice", False)) - rate = self.symbol_price_prec(pair, rate) if needs_price else None + rate_for_order = self.price_to_precision(pair, rate) if needs_price else None return self._api.create_order(pair, ordertype, side, - amount, rate, params) + amount, rate_for_order, params) except ccxt.InsufficientFunds as e: raise DependencyException( diff --git a/freqtrade/pairlist/PrecisionFilter.py b/freqtrade/pairlist/PrecisionFilter.py index aedcc5a88..5d364795d 100644 --- a/freqtrade/pairlist/PrecisionFilter.py +++ b/freqtrade/pairlist/PrecisionFilter.py @@ -35,8 +35,8 @@ class PrecisionFilter(IPairList): """ stop_price = ticker['ask'] * stoploss # Adjust stop-prices to precision - sp = self._exchange.symbol_price_prec(ticker["symbol"], stop_price) - stop_gap_price = self._exchange.symbol_price_prec(ticker["symbol"], stop_price * 0.99) + sp = self._exchange.price_to_precision(ticker["symbol"], stop_price) + stop_gap_price = self._exchange.price_to_precision(ticker["symbol"], stop_price * 0.99) logger.debug(f"{ticker['symbol']} - {sp} : {stop_gap_price}") if sp <= stop_gap_price: logger.info(f"Removed {ticker['symbol']} from whitelist, " diff --git a/tests/conftest.py b/tests/conftest.py index ac1b10284..295c91f56 100644 --- a/tests/conftest.py +++ b/tests/conftest.py @@ -63,6 +63,7 @@ def patch_exchange(mocker, api_mock=None, id='bittrex', mock_markets=True) -> No mocker.patch('freqtrade.exchange.Exchange.validate_stakecurrency', MagicMock()) mocker.patch('freqtrade.exchange.Exchange.id', PropertyMock(return_value=id)) mocker.patch('freqtrade.exchange.Exchange.name', PropertyMock(return_value=id.title())) + mocker.patch('freqtrade.exchange.Exchange.precisionMode', PropertyMock(return_value=2)) if mock_markets: mocker.patch('freqtrade.exchange.Exchange.markets', PropertyMock(return_value=get_markets())) diff --git a/tests/exchange/test_binance.py b/tests/exchange/test_binance.py index 0a12c1cb1..4bc918c3d 100644 --- a/tests/exchange/test_binance.py +++ b/tests/exchange/test_binance.py @@ -22,8 +22,8 @@ def test_stoploss_limit_order(default_conf, mocker): }) default_conf['dry_run'] = False - mocker.patch('freqtrade.exchange.Exchange.symbol_amount_prec', lambda s, x, y: y) - mocker.patch('freqtrade.exchange.Exchange.symbol_price_prec', lambda s, x, y: y) + mocker.patch('freqtrade.exchange.Exchange.amount_to_precision', lambda s, x, y: y) + mocker.patch('freqtrade.exchange.Exchange.price_to_precision', lambda s, x, y: y) exchange = get_patched_exchange(mocker, default_conf, api_mock, 'binance') @@ -71,8 +71,8 @@ def test_stoploss_limit_order_dry_run(default_conf, mocker): api_mock = MagicMock() order_type = 'stop_loss_limit' default_conf['dry_run'] = True - mocker.patch('freqtrade.exchange.Exchange.symbol_amount_prec', lambda s, x, y: y) - mocker.patch('freqtrade.exchange.Exchange.symbol_price_prec', lambda s, x, y: y) + mocker.patch('freqtrade.exchange.Exchange.amount_to_precision', lambda s, x, y: y) + mocker.patch('freqtrade.exchange.Exchange.price_to_precision', lambda s, x, y: y) exchange = get_patched_exchange(mocker, default_conf, api_mock, 'binance') diff --git a/tests/exchange/test_exchange.py b/tests/exchange/test_exchange.py index 150ba3ea7..7064d76e1 100644 --- a/tests/exchange/test_exchange.py +++ b/tests/exchange/test_exchange.py @@ -175,35 +175,78 @@ def test_validate_order_time_in_force(default_conf, mocker, caplog): ex.validate_order_time_in_force(tif2) -def test_symbol_amount_prec(default_conf, mocker): +@pytest.mark.parametrize("amount,precision_mode,precision,expected", [ + (2.34559, 2, 4, 2.3455), + (2.34559, 2, 5, 2.34559), + (2.34559, 2, 3, 2.345), + (2.9999, 2, 3, 2.999), + (2.9909, 2, 3, 2.990), + # Tests for Tick-size + (2.34559, 4, 0.0001, 2.3455), + (2.34559, 4, 0.00001, 2.34559), + (2.34559, 4, 0.001, 2.345), + (2.9999, 4, 0.001, 2.999), + (2.9909, 4, 0.001, 2.990), + (2.9909, 4, 0.005, 2.990), + (2.9999, 4, 0.005, 2.995), +]) +def test_amount_to_precision(default_conf, mocker, amount, precision_mode, precision, expected): ''' - Test rounds down to 4 Decimal places + Test rounds down ''' - markets = PropertyMock(return_value={'ETH/BTC': {'precision': {'amount': 4}}}) + markets = PropertyMock(return_value={'ETH/BTC': {'precision': {'amount': precision}}}) + + exchange = get_patched_exchange(mocker, default_conf, id="binance") + # digits counting mode + # DECIMAL_PLACES = 2 + # SIGNIFICANT_DIGITS = 3 + # TICK_SIZE = 4 + mocker.patch('freqtrade.exchange.Exchange.precisionMode', + PropertyMock(return_value=precision_mode)) + mocker.patch('freqtrade.exchange.Exchange.markets', markets) + + pair = 'ETH/BTC' + assert exchange.amount_to_precision(pair, amount) == expected + + +@pytest.mark.parametrize("price,precision_mode,precision,expected", [ + (2.34559, 2, 4, 2.3456), + (2.34559, 2, 5, 2.34559), + (2.34559, 2, 3, 2.346), + (2.9999, 2, 3, 3.000), + (2.9909, 2, 3, 2.991), + # Tests for Tick_size + (2.34559, 4, 0.0001, 2.3456), + (2.34559, 4, 0.00001, 2.34559), + (2.34559, 4, 0.001, 2.346), + (2.9999, 4, 0.001, 3.000), + (2.9909, 4, 0.001, 2.991), + (2.9909, 4, 0.005, 2.995), + (2.9973, 4, 0.005, 3.0), + (2.9977, 4, 0.005, 3.0), + (234.43, 4, 0.5, 234.5), + (234.53, 4, 0.5, 235.0), + (0.891534, 4, 0.0001, 0.8916), + +]) +def test_price_to_precision(default_conf, mocker, price, precision_mode, precision, expected): + ''' + Test price to precision + ''' + markets = PropertyMock(return_value={'ETH/BTC': {'precision': {'price': precision}}}) exchange = get_patched_exchange(mocker, default_conf, id="binance") mocker.patch('freqtrade.exchange.Exchange.markets', markets) + # digits counting mode + # DECIMAL_PLACES = 2 + # SIGNIFICANT_DIGITS = 3 + # TICK_SIZE = 4 + mocker.patch('freqtrade.exchange.Exchange.precisionMode', + PropertyMock(return_value=precision_mode)) - amount = 2.34559 pair = 'ETH/BTC' - amount = exchange.symbol_amount_prec(pair, amount) - assert amount == 2.3455 - - -def test_symbol_price_prec(default_conf, mocker): - ''' - Test rounds up to 4 decimal places - ''' - markets = PropertyMock(return_value={'ETH/BTC': {'precision': {'price': 4}}}) - - exchange = get_patched_exchange(mocker, default_conf, id="binance") - mocker.patch('freqtrade.exchange.Exchange.markets', markets) - - price = 2.34559 - pair = 'ETH/BTC' - price = exchange.symbol_price_prec(pair, price) - assert price == 2.3456 + assert pytest.approx(exchange.price_to_precision(pair, price)) == expected def test_set_sandbox(default_conf, mocker): @@ -657,8 +700,8 @@ def test_create_order(default_conf, mocker, side, ordertype, rate, marketprice, } }) default_conf['dry_run'] = False - mocker.patch('freqtrade.exchange.Exchange.symbol_amount_prec', lambda s, x, y: y) - mocker.patch('freqtrade.exchange.Exchange.symbol_price_prec', lambda s, x, y: y) + mocker.patch('freqtrade.exchange.Exchange.amount_to_precision', lambda s, x, y: y) + mocker.patch('freqtrade.exchange.Exchange.price_to_precision', lambda s, x, y: y) exchange = get_patched_exchange(mocker, default_conf, api_mock, id=exchange_name) order = exchange.create_order( @@ -698,8 +741,8 @@ def test_buy_prod(default_conf, mocker, exchange_name): } }) default_conf['dry_run'] = False - mocker.patch('freqtrade.exchange.Exchange.symbol_amount_prec', lambda s, x, y: y) - mocker.patch('freqtrade.exchange.Exchange.symbol_price_prec', lambda s, x, y: y) + mocker.patch('freqtrade.exchange.Exchange.amount_to_precision', lambda s, x, y: y) + mocker.patch('freqtrade.exchange.Exchange.price_to_precision', lambda s, x, y: y) exchange = get_patched_exchange(mocker, default_conf, api_mock, id=exchange_name) order = exchange.buy(pair='ETH/BTC', ordertype=order_type, @@ -772,8 +815,8 @@ def test_buy_considers_time_in_force(default_conf, mocker, exchange_name): } }) default_conf['dry_run'] = False - mocker.patch('freqtrade.exchange.Exchange.symbol_amount_prec', lambda s, x, y: y) - mocker.patch('freqtrade.exchange.Exchange.symbol_price_prec', lambda s, x, y: y) + mocker.patch('freqtrade.exchange.Exchange.amount_to_precision', lambda s, x, y: y) + mocker.patch('freqtrade.exchange.Exchange.price_to_precision', lambda s, x, y: y) exchange = get_patched_exchange(mocker, default_conf, api_mock, id=exchange_name) order_type = 'limit' @@ -834,8 +877,8 @@ def test_sell_prod(default_conf, mocker, exchange_name): }) default_conf['dry_run'] = False - mocker.patch('freqtrade.exchange.Exchange.symbol_amount_prec', lambda s, x, y: y) - mocker.patch('freqtrade.exchange.Exchange.symbol_price_prec', lambda s, x, y: y) + mocker.patch('freqtrade.exchange.Exchange.amount_to_precision', lambda s, x, y: y) + mocker.patch('freqtrade.exchange.Exchange.price_to_precision', lambda s, x, y: y) exchange = get_patched_exchange(mocker, default_conf, api_mock, id=exchange_name) order = exchange.sell(pair='ETH/BTC', ordertype=order_type, amount=1, rate=200) @@ -898,8 +941,8 @@ def test_sell_considers_time_in_force(default_conf, mocker, exchange_name): }) api_mock.options = {} default_conf['dry_run'] = False - mocker.patch('freqtrade.exchange.Exchange.symbol_amount_prec', lambda s, x, y: y) - mocker.patch('freqtrade.exchange.Exchange.symbol_price_prec', lambda s, x, y: y) + mocker.patch('freqtrade.exchange.Exchange.amount_to_precision', lambda s, x, y: y) + mocker.patch('freqtrade.exchange.Exchange.price_to_precision', lambda s, x, y: y) exchange = get_patched_exchange(mocker, default_conf, api_mock, id=exchange_name) order_type = 'limit' diff --git a/tests/exchange/test_kraken.py b/tests/exchange/test_kraken.py index 3ad62d85a..8490ee1a2 100644 --- a/tests/exchange/test_kraken.py +++ b/tests/exchange/test_kraken.py @@ -21,8 +21,8 @@ def test_buy_kraken_trading_agreement(default_conf, mocker): }) default_conf['dry_run'] = False - mocker.patch('freqtrade.exchange.Exchange.symbol_amount_prec', lambda s, x, y: y) - mocker.patch('freqtrade.exchange.Exchange.symbol_price_prec', lambda s, x, y: y) + mocker.patch('freqtrade.exchange.Exchange.amount_to_precision', lambda s, x, y: y) + mocker.patch('freqtrade.exchange.Exchange.price_to_precision', lambda s, x, y: y) exchange = get_patched_exchange(mocker, default_conf, api_mock, id="kraken") order = exchange.buy(pair='ETH/BTC', ordertype=order_type, @@ -53,8 +53,8 @@ def test_sell_kraken_trading_agreement(default_conf, mocker): }) default_conf['dry_run'] = False - mocker.patch('freqtrade.exchange.Exchange.symbol_amount_prec', lambda s, x, y: y) - mocker.patch('freqtrade.exchange.Exchange.symbol_price_prec', lambda s, x, y: y) + mocker.patch('freqtrade.exchange.Exchange.amount_to_precision', lambda s, x, y: y) + mocker.patch('freqtrade.exchange.Exchange.price_to_precision', lambda s, x, y: y) exchange = get_patched_exchange(mocker, default_conf, api_mock, id="kraken") order = exchange.sell(pair='ETH/BTC', ordertype=order_type, amount=1, rate=200) diff --git a/tests/test_freqtradebot.py b/tests/test_freqtradebot.py index 1cba39c58..5a4820f2f 100644 --- a/tests/test_freqtradebot.py +++ b/tests/test_freqtradebot.py @@ -2435,8 +2435,8 @@ def test_execute_sell_with_stoploss_on_exchange(default_conf, ticker, fee, ticke 'freqtrade.exchange.Exchange', fetch_ticker=ticker, get_fee=fee, - symbol_amount_prec=lambda s, x, y: y, - symbol_price_prec=lambda s, x, y: y, + amount_to_precision=lambda s, x, y: y, + price_to_precision=lambda s, x, y: y, stoploss_limit=stoploss_limit, cancel_order=cancel_order, ) @@ -2478,8 +2478,8 @@ def test_may_execute_sell_after_stoploss_on_exchange_hit(default_conf, ticker, f 'freqtrade.exchange.Exchange', fetch_ticker=ticker, get_fee=fee, - symbol_amount_prec=lambda s, x, y: y, - symbol_price_prec=lambda s, x, y: y, + amount_to_precision=lambda s, x, y: y, + price_to_precision=lambda s, x, y: y, ) stoploss_limit = MagicMock(return_value={ diff --git a/tests/test_integration.py b/tests/test_integration.py index ad3e897f8..9cb071bb8 100644 --- a/tests/test_integration.py +++ b/tests/test_integration.py @@ -58,8 +58,8 @@ def test_may_execute_sell_stoploss_on_exchange_multi(default_conf, ticker, fee, 'freqtrade.exchange.Exchange', fetch_ticker=ticker, get_fee=fee, - symbol_amount_prec=lambda s, x, y: y, - symbol_price_prec=lambda s, x, y: y, + amount_to_precision=lambda s, x, y: y, + price_to_precision=lambda s, x, y: y, get_order=stoploss_order_mock, cancel_order=cancel_order_mock, ) @@ -137,8 +137,8 @@ def test_forcebuy_last_unlimited(default_conf, ticker, fee, limit_buy_order, moc 'freqtrade.exchange.Exchange', fetch_ticker=ticker, get_fee=fee, - symbol_amount_prec=lambda s, x, y: y, - symbol_price_prec=lambda s, x, y: y, + amount_to_precision=lambda s, x, y: y, + price_to_precision=lambda s, x, y: y, ) mocker.patch.multiple(