Merge pull request #5069 from freqtrade/dry_run_orders
Pricing refactor
This commit is contained in:
Matthias
GitHub
commit
3dab58e6db
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@ -22,8 +22,8 @@ from pandas import DataFrame
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from freqtrade.constants import DEFAULT_AMOUNT_RESERVE_PERCENT, ListPairsWithTimeframes
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from freqtrade.data.converter import ohlcv_to_dataframe, trades_dict_to_list
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from freqtrade.exceptions import (DDosProtection, ExchangeError, InsufficientFundsError,
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InvalidOrderException, OperationalException, RetryableOrderError,
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TemporaryError)
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InvalidOrderException, OperationalException, PricingError,
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RetryableOrderError, TemporaryError)
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from freqtrade.exchange.common import (API_FETCH_ORDER_RETRY_COUNT, BAD_EXCHANGES,
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EXCHANGE_HAS_OPTIONAL, EXCHANGE_HAS_REQUIRED, retrier,
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retrier_async)
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@ -88,6 +88,11 @@ class Exchange:
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# Cache for 10 minutes ...
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self._fetch_tickers_cache: TTLCache = TTLCache(maxsize=1, ttl=60 * 10)
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# Cache values for 1800 to avoid frequent polling of the exchange for prices
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# Caching only applies to RPC methods, so prices for open trades are still
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# refreshed once every iteration.
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self._sell_rate_cache: TTLCache = TTLCache(maxsize=100, ttl=1800)
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self._buy_rate_cache: TTLCache = TTLCache(maxsize=100, ttl=1800)
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# Holds candles
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self._klines: Dict[Tuple[str, str], DataFrame] = {}
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@ -550,6 +555,8 @@ class Exchange:
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# See also #2575 at github.
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return max(min_stake_amounts) * amount_reserve_percent
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# Dry-run methods
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def create_dry_run_order(self, pair: str, ordertype: str, side: str, amount: float,
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rate: float, params: Dict = {}) -> Dict[str, Any]:
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order_id = f'dry_run_{side}_{datetime.now().timestamp()}'
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@ -591,6 +598,21 @@ class Exchange:
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closed_order["info"].update({"stopPrice": closed_order["price"]})
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self._dry_run_open_orders[closed_order["id"]] = closed_order
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def fetch_dry_run_order(self, order_id) -> Dict[str, Any]:
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"""
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Return dry-run order
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Only call if running in dry-run mode.
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"""
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try:
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order = self._dry_run_open_orders[order_id]
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return order
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except KeyError as e:
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# Gracefully handle errors with dry-run orders.
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raise InvalidOrderException(
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f'Tried to get an invalid dry-run-order (id: {order_id}). Message: {e}') from e
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# Order handling
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def create_order(self, pair: str, ordertype: str, side: str, amount: float,
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rate: float, params: Dict = {}) -> Dict:
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try:
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@ -667,6 +689,128 @@ class Exchange:
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raise OperationalException(f"stoploss is not implemented for {self.name}.")
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@retrier(retries=API_FETCH_ORDER_RETRY_COUNT)
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def fetch_order(self, order_id: str, pair: str) -> Dict:
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if self._config['dry_run']:
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return self.fetch_dry_run_order(order_id)
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try:
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return self._api.fetch_order(order_id, pair)
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except ccxt.OrderNotFound as e:
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raise RetryableOrderError(
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f'Order not found (pair: {pair} id: {order_id}). Message: {e}') from e
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except ccxt.InvalidOrder as e:
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raise InvalidOrderException(
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f'Tried to get an invalid order (pair: {pair} id: {order_id}). Message: {e}') from e
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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 get order 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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# Assign method to fetch_stoploss_order to allow easy overriding in other classes
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fetch_stoploss_order = fetch_order
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def fetch_order_or_stoploss_order(self, order_id: str, pair: str,
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stoploss_order: bool = False) -> Dict:
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"""
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Simple wrapper calling either fetch_order or fetch_stoploss_order depending on
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the stoploss_order parameter
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:param stoploss_order: If true, uses fetch_stoploss_order, otherwise fetch_order.
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"""
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if stoploss_order:
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return self.fetch_stoploss_order(order_id, pair)
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return self.fetch_order(order_id, pair)
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def check_order_canceled_empty(self, order: Dict) -> bool:
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"""
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Verify if an order has been cancelled without being partially filled
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:param order: Order dict as returned from fetch_order()
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:return: True if order has been cancelled without being filled, False otherwise.
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"""
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return (order.get('status') in ('closed', 'canceled', 'cancelled')
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and order.get('filled') == 0.0)
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@retrier
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def cancel_order(self, order_id: str, pair: str) -> Dict:
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if self._config['dry_run']:
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try:
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order = self.fetch_dry_run_order(order_id)
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order.update({'status': 'canceled', 'filled': 0.0, 'remaining': order['amount']})
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return order
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except InvalidOrderException:
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return {}
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try:
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return self._api.cancel_order(order_id, pair)
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except ccxt.InvalidOrder as e:
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raise InvalidOrderException(
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f'Could not cancel order. Message: {e}') from e
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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 cancel order 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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# Assign method to cancel_stoploss_order to allow easy overriding in other classes
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cancel_stoploss_order = cancel_order
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def is_cancel_order_result_suitable(self, corder) -> bool:
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if not isinstance(corder, dict):
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return False
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required = ('fee', 'status', 'amount')
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return all(k in corder for k in required)
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def cancel_order_with_result(self, order_id: str, pair: str, amount: float) -> Dict:
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"""
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Cancel order returning a result.
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Creates a fake result if cancel order returns a non-usable result
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and fetch_order does not work (certain exchanges don't return cancelled orders)
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:param order_id: Orderid to cancel
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:param pair: Pair corresponding to order_id
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:param amount: Amount to use for fake response
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:return: Result from either cancel_order if usable, or fetch_order
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"""
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try:
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corder = self.cancel_order(order_id, pair)
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if self.is_cancel_order_result_suitable(corder):
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return corder
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except InvalidOrderException:
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logger.warning(f"Could not cancel order {order_id} for {pair}.")
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try:
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order = self.fetch_order(order_id, pair)
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except InvalidOrderException:
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logger.warning(f"Could not fetch cancelled order {order_id}.")
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order = {'fee': {}, 'status': 'canceled', 'amount': amount, 'info': {}}
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return order
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def cancel_stoploss_order_with_result(self, order_id: str, pair: str, amount: float) -> Dict:
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"""
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Cancel stoploss order returning a result.
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Creates a fake result if cancel order returns a non-usable result
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and fetch_order does not work (certain exchanges don't return cancelled orders)
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:param order_id: stoploss-order-id to cancel
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:param pair: Pair corresponding to order_id
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:param amount: Amount to use for fake response
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:return: Result from either cancel_order if usable, or fetch_order
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"""
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corder = self.cancel_stoploss_order(order_id, pair)
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if self.is_cancel_order_result_suitable(corder):
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return corder
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try:
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order = self.fetch_stoploss_order(order_id, pair)
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except InvalidOrderException:
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logger.warning(f"Could not fetch cancelled stoploss order {order_id}.")
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order = {'fee': {}, 'status': 'canceled', 'amount': amount, 'info': {}}
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return order
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@retrier
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def get_balances(self) -> dict:
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@ -713,6 +857,8 @@ class Exchange:
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except ccxt.BaseError as e:
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raise OperationalException(e) from e
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# Pricing info
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@retrier
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def fetch_ticker(self, pair: str) -> dict:
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try:
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@ -729,6 +875,264 @@ class Exchange:
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except ccxt.BaseError as e:
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raise OperationalException(e) from e
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@staticmethod
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def get_next_limit_in_list(limit: int, limit_range: Optional[List[int]],
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range_required: bool = True):
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"""
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Get next greater value in the list.
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Used by fetch_l2_order_book if the api only supports a limited range
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"""
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if not limit_range:
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return limit
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result = min([x for x in limit_range if limit <= x] + [max(limit_range)])
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if not range_required and limit > result:
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# Range is not required - we can use None as parameter.
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return None
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return result
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@retrier
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def fetch_l2_order_book(self, pair: str, limit: int = 100) -> dict:
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"""
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Get L2 order book from exchange.
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Can be limited to a certain amount (if supported).
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Returns a dict in the format
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{'asks': [price, volume], 'bids': [price, volume]}
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"""
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limit1 = self.get_next_limit_in_list(limit, self._ft_has['l2_limit_range'],
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self._ft_has['l2_limit_range_required'])
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try:
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return self._api.fetch_l2_order_book(pair, limit1)
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except ccxt.NotSupported as e:
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raise OperationalException(
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f'Exchange {self._api.name} does not support fetching order book.'
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f'Message: {e}') from e
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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 get order book 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 _order_book_gen(self, pair: str, side: str, order_book_max: int = 1,
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order_book_min: int = 1):
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"""
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Helper generator to query orderbook in loop (used for early sell-order placing)
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"""
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order_book = self.fetch_l2_order_book(pair, order_book_max)
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for i in range(order_book_min, order_book_max + 1):
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yield order_book[side][i - 1][0]
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def get_buy_rate(self, pair: str, refresh: bool) -> float:
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"""
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Calculates bid target between current ask price and last price
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:param pair: Pair to get rate for
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:param refresh: allow cached data
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:return: float: Price
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:raises PricingError if orderbook price could not be determined.
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"""
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if not refresh:
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rate = self._buy_rate_cache.get(pair)
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# Check if cache has been invalidated
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if rate:
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logger.debug(f"Using cached buy rate for {pair}.")
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return rate
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bid_strategy = self._config.get('bid_strategy', {})
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if 'use_order_book' in bid_strategy and bid_strategy.get('use_order_book', False):
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order_book_top = bid_strategy.get('order_book_top', 1)
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order_book = self.fetch_l2_order_book(pair, order_book_top)
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logger.debug('order_book %s', order_book)
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# top 1 = index 0
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try:
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rate_from_l2 = order_book[f"{bid_strategy['price_side']}s"][order_book_top - 1][0]
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except (IndexError, KeyError) as e:
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logger.warning(
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"Buy Price from orderbook could not be determined."
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f"Orderbook: {order_book}"
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)
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raise PricingError from e
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logger.info(f"Buy price from orderbook {bid_strategy['price_side'].capitalize()} side "
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f"- top {order_book_top} order book buy rate {rate_from_l2:.8f}")
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used_rate = rate_from_l2
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else:
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logger.info(f"Using Last {bid_strategy['price_side'].capitalize()} / Last Price")
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ticker = self.fetch_ticker(pair)
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ticker_rate = ticker[bid_strategy['price_side']]
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if ticker['last'] and ticker_rate > ticker['last']:
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balance = bid_strategy['ask_last_balance']
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ticker_rate = ticker_rate + balance * (ticker['last'] - ticker_rate)
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used_rate = ticker_rate
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self._buy_rate_cache[pair] = used_rate
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return used_rate
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def get_sell_rate(self, pair: str, refresh: bool) -> float:
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"""
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Get sell rate - either using ticker bid or first bid based on orderbook
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or remain static in any other case since it's not updating.
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:param pair: Pair to get rate for
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:param refresh: allow cached data
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:return: Bid rate
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:raises PricingError if price could not be determined.
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"""
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if not refresh:
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rate = self._sell_rate_cache.get(pair)
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# Check if cache has been invalidated
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if rate:
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logger.debug(f"Using cached sell rate for {pair}.")
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return rate
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ask_strategy = self._config.get('ask_strategy', {})
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if ask_strategy.get('use_order_book', False):
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# This code is only used for notifications, selling uses the generator directly
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logger.info(
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f"Getting price from order book {ask_strategy['price_side'].capitalize()} side."
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)
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try:
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rate = next(self._order_book_gen(pair, f"{ask_strategy['price_side']}s"))
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except (IndexError, KeyError) as e:
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logger.warning("Sell Price at location from orderbook could not be determined.")
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raise PricingError from e
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else:
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ticker = self.fetch_ticker(pair)
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ticker_rate = ticker[ask_strategy['price_side']]
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if ticker['last'] and ticker_rate < ticker['last']:
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balance = ask_strategy.get('bid_last_balance', 0.0)
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ticker_rate = ticker_rate - balance * (ticker_rate - ticker['last'])
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rate = ticker_rate
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if rate is None:
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raise PricingError(f"Sell-Rate for {pair} was empty.")
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self._sell_rate_cache[pair] = rate
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return rate
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# Fee handling
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@retrier
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def get_trades_for_order(self, order_id: str, pair: str, since: datetime) -> List:
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"""
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Fetch Orders using the "fetch_my_trades" endpoint and filter them by order-id.
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The "since" argument passed in is coming from the database and is in UTC,
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as timezone-native datetime object.
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From the python documentation:
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> Naive datetime instances are assumed to represent local time
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Therefore, calling "since.timestamp()" will get the UTC timestamp, after applying the
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transformation from local timezone to UTC.
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This works for timezones UTC+ since then the result will contain trades from a few hours
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instead of from the last 5 seconds, however fails for UTC- timezones,
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since we're then asking for trades with a "since" argument in the future.
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:param order_id order_id: Order-id as given when creating the order
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:param pair: Pair the order is for
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:param since: datetime object of the order creation time. Assumes object is in UTC.
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"""
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if self._config['dry_run']:
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return []
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if not self.exchange_has('fetchMyTrades'):
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return []
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try:
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# Allow 5s offset to catch slight time offsets (discovered in #1185)
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# since needs to be int in milliseconds
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my_trades = self._api.fetch_my_trades(
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pair, int((since.replace(tzinfo=timezone.utc).timestamp() - 5) * 1000))
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matched_trades = [trade for trade in my_trades if trade['order'] == order_id]
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return matched_trades
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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 get trades 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_order_id_conditional(self, order: Dict[str, Any]) -> str:
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return order['id']
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@retrier
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def get_fee(self, symbol: str, type: str = '', side: str = '', amount: float = 1,
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price: float = 1, taker_or_maker: str = 'maker') -> float:
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try:
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if self._config['dry_run'] and self._config.get('fee', None) is not None:
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return self._config['fee']
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# validate that markets are loaded before trying to get fee
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if self._api.markets is None or len(self._api.markets) == 0:
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self._api.load_markets()
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return self._api.calculate_fee(symbol=symbol, type=type, side=side, amount=amount,
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price=price, takerOrMaker=taker_or_maker)['rate']
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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 get fee info 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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@staticmethod
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def order_has_fee(order: Dict) -> bool:
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"""
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Verifies if the passed in order dict has the needed keys to extract fees,
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and that these keys (currency, cost) are not empty.
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:param order: Order or trade (one trade) dict
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:return: True if the fee substructure contains currency and cost, false otherwise
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"""
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if not isinstance(order, dict):
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return False
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return ('fee' in order and order['fee'] is not None
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and (order['fee'].keys() >= {'currency', 'cost'})
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and order['fee']['currency'] is not None
|
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and order['fee']['cost'] is not None
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)
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def calculate_fee_rate(self, order: Dict) -> Optional[float]:
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"""
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Calculate fee rate if it's not given by the exchange.
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:param order: Order or trade (one trade) dict
|
||||
"""
|
||||
if order['fee'].get('rate') is not None:
|
||||
return order['fee'].get('rate')
|
||||
fee_curr = order['fee']['currency']
|
||||
# Calculate fee based on order details
|
||||
if fee_curr in self.get_pair_base_currency(order['symbol']):
|
||||
# Base currency - divide by amount
|
||||
return round(
|
||||
order['fee']['cost'] / safe_value_fallback2(order, order, 'filled', 'amount'), 8)
|
||||
elif fee_curr in self.get_pair_quote_currency(order['symbol']):
|
||||
# Quote currency - divide by cost
|
||||
return round(order['fee']['cost'] / order['cost'], 8) if order['cost'] else None
|
||||
else:
|
||||
# If Fee currency is a different currency
|
||||
if not order['cost']:
|
||||
# If cost is None or 0.0 -> falsy, return None
|
||||
return None
|
||||
try:
|
||||
comb = self.get_valid_pair_combination(fee_curr, self._config['stake_currency'])
|
||||
tick = self.fetch_ticker(comb)
|
||||
|
||||
fee_to_quote_rate = safe_value_fallback2(tick, tick, 'last', 'ask')
|
||||
return round((order['fee']['cost'] * fee_to_quote_rate) / order['cost'], 8)
|
||||
except ExchangeError:
|
||||
return None
|
||||
|
||||
def extract_cost_curr_rate(self, order: Dict) -> Tuple[float, str, Optional[float]]:
|
||||
"""
|
||||
Extract tuple of cost, currency, rate.
|
||||
Requires order_has_fee to run first!
|
||||
:param order: Order or trade (one trade) dict
|
||||
:return: Tuple with cost, currency, rate of the given fee dict
|
||||
"""
|
||||
return (order['fee']['cost'],
|
||||
order['fee']['currency'],
|
||||
self.calculate_fee_rate(order))
|
||||
|
||||
# Historic data
|
||||
|
||||
def get_historic_ohlcv(self, pair: str, timeframe: str,
|
||||
since_ms: int) -> List:
|
||||
"""
|
||||
|
|
@ -896,6 +1300,8 @@ class Exchange:
|
|||
raise OperationalException(f'Could not fetch historical candle (OHLCV) data '
|
||||
f'for pair {pair}. Message: {e}') from e
|
||||
|
||||
# Fetch historic trades
|
||||
|
||||
@retrier_async
|
||||
async def _async_fetch_trades(self, pair: str,
|
||||
since: Optional[int] = None,
|
||||
|
|
@ -1054,292 +1460,6 @@ class Exchange:
|
|||
self._async_get_trade_history(pair=pair, since=since,
|
||||
until=until, from_id=from_id))
|
||||
|
||||
def check_order_canceled_empty(self, order: Dict) -> bool:
|
||||
"""
|
||||
Verify if an order has been cancelled without being partially filled
|
||||
:param order: Order dict as returned from fetch_order()
|
||||
:return: True if order has been cancelled without being filled, False otherwise.
|
||||
"""
|
||||
return (order.get('status') in ('closed', 'canceled', 'cancelled')
|
||||
and order.get('filled') == 0.0)
|
||||
|
||||
@retrier
|
||||
def cancel_order(self, order_id: str, pair: str) -> Dict:
|
||||
if self._config['dry_run']:
|
||||
order = self._dry_run_open_orders.get(order_id)
|
||||
if order:
|
||||
order.update({'status': 'canceled', 'filled': 0.0, 'remaining': order['amount']})
|
||||
return order
|
||||
else:
|
||||
return {}
|
||||
|
||||
try:
|
||||
return self._api.cancel_order(order_id, pair)
|
||||
except ccxt.InvalidOrder as e:
|
||||
raise InvalidOrderException(
|
||||
f'Could not cancel order. Message: {e}') from e
|
||||
except ccxt.DDoSProtection as e:
|
||||
raise DDosProtection(e) from e
|
||||
except (ccxt.NetworkError, ccxt.ExchangeError) as e:
|
||||
raise TemporaryError(
|
||||
f'Could not cancel order due to {e.__class__.__name__}. Message: {e}') from e
|
||||
except ccxt.BaseError as e:
|
||||
raise OperationalException(e) from e
|
||||
|
||||
# Assign method to cancel_stoploss_order to allow easy overriding in other classes
|
||||
cancel_stoploss_order = cancel_order
|
||||
|
||||
def is_cancel_order_result_suitable(self, corder) -> bool:
|
||||
if not isinstance(corder, dict):
|
||||
return False
|
||||
|
||||
required = ('fee', 'status', 'amount')
|
||||
return all(k in corder for k in required)
|
||||
|
||||
def cancel_order_with_result(self, order_id: str, pair: str, amount: float) -> Dict:
|
||||
"""
|
||||
Cancel order returning a result.
|
||||
Creates a fake result if cancel order returns a non-usable result
|
||||
and fetch_order does not work (certain exchanges don't return cancelled orders)
|
||||
:param order_id: Orderid to cancel
|
||||
:param pair: Pair corresponding to order_id
|
||||
:param amount: Amount to use for fake response
|
||||
:return: Result from either cancel_order if usable, or fetch_order
|
||||
"""
|
||||
try:
|
||||
corder = self.cancel_order(order_id, pair)
|
||||
if self.is_cancel_order_result_suitable(corder):
|
||||
return corder
|
||||
except InvalidOrderException:
|
||||
logger.warning(f"Could not cancel order {order_id} for {pair}.")
|
||||
try:
|
||||
order = self.fetch_order(order_id, pair)
|
||||
except InvalidOrderException:
|
||||
logger.warning(f"Could not fetch cancelled order {order_id}.")
|
||||
order = {'fee': {}, 'status': 'canceled', 'amount': amount, 'info': {}}
|
||||
|
||||
return order
|
||||
|
||||
def cancel_stoploss_order_with_result(self, order_id: str, pair: str, amount: float) -> Dict:
|
||||
"""
|
||||
Cancel stoploss order returning a result.
|
||||
Creates a fake result if cancel order returns a non-usable result
|
||||
and fetch_order does not work (certain exchanges don't return cancelled orders)
|
||||
:param order_id: stoploss-order-id to cancel
|
||||
:param pair: Pair corresponding to order_id
|
||||
:param amount: Amount to use for fake response
|
||||
:return: Result from either cancel_order if usable, or fetch_order
|
||||
"""
|
||||
corder = self.cancel_stoploss_order(order_id, pair)
|
||||
if self.is_cancel_order_result_suitable(corder):
|
||||
return corder
|
||||
try:
|
||||
order = self.fetch_stoploss_order(order_id, pair)
|
||||
except InvalidOrderException:
|
||||
logger.warning(f"Could not fetch cancelled stoploss order {order_id}.")
|
||||
order = {'fee': {}, 'status': 'canceled', 'amount': amount, 'info': {}}
|
||||
|
||||
return order
|
||||
|
||||
@retrier(retries=API_FETCH_ORDER_RETRY_COUNT)
|
||||
def fetch_order(self, order_id: str, pair: str) -> Dict:
|
||||
if self._config['dry_run']:
|
||||
try:
|
||||
order = self._dry_run_open_orders[order_id]
|
||||
return order
|
||||
except KeyError as e:
|
||||
# Gracefully handle errors with dry-run orders.
|
||||
raise InvalidOrderException(
|
||||
f'Tried to get an invalid dry-run-order (id: {order_id}). Message: {e}') from e
|
||||
try:
|
||||
return self._api.fetch_order(order_id, pair)
|
||||
except ccxt.OrderNotFound as e:
|
||||
raise RetryableOrderError(
|
||||
f'Order not found (pair: {pair} id: {order_id}). Message: {e}') from e
|
||||
except ccxt.InvalidOrder as e:
|
||||
raise InvalidOrderException(
|
||||
f'Tried to get an invalid order (pair: {pair} id: {order_id}). Message: {e}') from e
|
||||
except ccxt.DDoSProtection as e:
|
||||
raise DDosProtection(e) from e
|
||||
except (ccxt.NetworkError, ccxt.ExchangeError) as e:
|
||||
raise TemporaryError(
|
||||
f'Could not get order due to {e.__class__.__name__}. Message: {e}') from e
|
||||
except ccxt.BaseError as e:
|
||||
raise OperationalException(e) from e
|
||||
|
||||
# Assign method to fetch_stoploss_order to allow easy overriding in other classes
|
||||
fetch_stoploss_order = fetch_order
|
||||
|
||||
def fetch_order_or_stoploss_order(self, order_id: str, pair: str,
|
||||
stoploss_order: bool = False) -> Dict:
|
||||
"""
|
||||
Simple wrapper calling either fetch_order or fetch_stoploss_order depending on
|
||||
the stoploss_order parameter
|
||||
:param stoploss_order: If true, uses fetch_stoploss_order, otherwise fetch_order.
|
||||
"""
|
||||
if stoploss_order:
|
||||
return self.fetch_stoploss_order(order_id, pair)
|
||||
return self.fetch_order(order_id, pair)
|
||||
|
||||
@staticmethod
|
||||
def get_next_limit_in_list(limit: int, limit_range: Optional[List[int]],
|
||||
range_required: bool = True):
|
||||
"""
|
||||
Get next greater value in the list.
|
||||
Used by fetch_l2_order_book if the api only supports a limited range
|
||||
"""
|
||||
if not limit_range:
|
||||
return limit
|
||||
|
||||
result = min([x for x in limit_range if limit <= x] + [max(limit_range)])
|
||||
if not range_required and limit > result:
|
||||
# Range is not required - we can use None as parameter.
|
||||
return None
|
||||
return result
|
||||
|
||||
@retrier
|
||||
def fetch_l2_order_book(self, pair: str, limit: int = 100) -> dict:
|
||||
"""
|
||||
Get L2 order book from exchange.
|
||||
Can be limited to a certain amount (if supported).
|
||||
Returns a dict in the format
|
||||
{'asks': [price, volume], 'bids': [price, volume]}
|
||||
"""
|
||||
limit1 = self.get_next_limit_in_list(limit, self._ft_has['l2_limit_range'],
|
||||
self._ft_has['l2_limit_range_required'])
|
||||
try:
|
||||
|
||||
return self._api.fetch_l2_order_book(pair, limit1)
|
||||
except ccxt.NotSupported as e:
|
||||
raise OperationalException(
|
||||
f'Exchange {self._api.name} does not support fetching order book.'
|
||||
f'Message: {e}') from e
|
||||
except ccxt.DDoSProtection as e:
|
||||
raise DDosProtection(e) from e
|
||||
except (ccxt.NetworkError, ccxt.ExchangeError) as e:
|
||||
raise TemporaryError(
|
||||
f'Could not get order book due to {e.__class__.__name__}. Message: {e}') from e
|
||||
except ccxt.BaseError as e:
|
||||
raise OperationalException(e) from e
|
||||
|
||||
@retrier
|
||||
def get_trades_for_order(self, order_id: str, pair: str, since: datetime) -> List:
|
||||
"""
|
||||
Fetch Orders using the "fetch_my_trades" endpoint and filter them by order-id.
|
||||
The "since" argument passed in is coming from the database and is in UTC,
|
||||
as timezone-native datetime object.
|
||||
From the python documentation:
|
||||
> Naive datetime instances are assumed to represent local time
|
||||
Therefore, calling "since.timestamp()" will get the UTC timestamp, after applying the
|
||||
transformation from local timezone to UTC.
|
||||
This works for timezones UTC+ since then the result will contain trades from a few hours
|
||||
instead of from the last 5 seconds, however fails for UTC- timezones,
|
||||
since we're then asking for trades with a "since" argument in the future.
|
||||
|
||||
:param order_id order_id: Order-id as given when creating the order
|
||||
:param pair: Pair the order is for
|
||||
:param since: datetime object of the order creation time. Assumes object is in UTC.
|
||||
"""
|
||||
if self._config['dry_run']:
|
||||
return []
|
||||
if not self.exchange_has('fetchMyTrades'):
|
||||
return []
|
||||
try:
|
||||
# Allow 5s offset to catch slight time offsets (discovered in #1185)
|
||||
# since needs to be int in milliseconds
|
||||
my_trades = self._api.fetch_my_trades(
|
||||
pair, int((since.replace(tzinfo=timezone.utc).timestamp() - 5) * 1000))
|
||||
matched_trades = [trade for trade in my_trades if trade['order'] == order_id]
|
||||
|
||||
return matched_trades
|
||||
except ccxt.DDoSProtection as e:
|
||||
raise DDosProtection(e) from e
|
||||
except (ccxt.NetworkError, ccxt.ExchangeError) as e:
|
||||
raise TemporaryError(
|
||||
f'Could not get trades due to {e.__class__.__name__}. Message: {e}') from e
|
||||
except ccxt.BaseError as e:
|
||||
raise OperationalException(e) from e
|
||||
|
||||
def get_order_id_conditional(self, order: Dict[str, Any]) -> str:
|
||||
return order['id']
|
||||
|
||||
@retrier
|
||||
def get_fee(self, symbol: str, type: str = '', side: str = '', amount: float = 1,
|
||||
price: float = 1, taker_or_maker: str = 'maker') -> float:
|
||||
try:
|
||||
if self._config['dry_run'] and self._config.get('fee', None) is not None:
|
||||
return self._config['fee']
|
||||
# validate that markets are loaded before trying to get fee
|
||||
if self._api.markets is None or len(self._api.markets) == 0:
|
||||
self._api.load_markets()
|
||||
|
||||
return self._api.calculate_fee(symbol=symbol, type=type, side=side, amount=amount,
|
||||
price=price, takerOrMaker=taker_or_maker)['rate']
|
||||
except ccxt.DDoSProtection as e:
|
||||
raise DDosProtection(e) from e
|
||||
except (ccxt.NetworkError, ccxt.ExchangeError) as e:
|
||||
raise TemporaryError(
|
||||
f'Could not get fee info due to {e.__class__.__name__}. Message: {e}') from e
|
||||
except ccxt.BaseError as e:
|
||||
raise OperationalException(e) from e
|
||||
|
||||
@staticmethod
|
||||
def order_has_fee(order: Dict) -> bool:
|
||||
"""
|
||||
Verifies if the passed in order dict has the needed keys to extract fees,
|
||||
and that these keys (currency, cost) are not empty.
|
||||
:param order: Order or trade (one trade) dict
|
||||
:return: True if the fee substructure contains currency and cost, false otherwise
|
||||
"""
|
||||
if not isinstance(order, dict):
|
||||
return False
|
||||
return ('fee' in order and order['fee'] is not None
|
||||
and (order['fee'].keys() >= {'currency', 'cost'})
|
||||
and order['fee']['currency'] is not None
|
||||
and order['fee']['cost'] is not None
|
||||
)
|
||||
|
||||
def calculate_fee_rate(self, order: Dict) -> Optional[float]:
|
||||
"""
|
||||
Calculate fee rate if it's not given by the exchange.
|
||||
:param order: Order or trade (one trade) dict
|
||||
"""
|
||||
if order['fee'].get('rate') is not None:
|
||||
return order['fee'].get('rate')
|
||||
fee_curr = order['fee']['currency']
|
||||
# Calculate fee based on order details
|
||||
if fee_curr in self.get_pair_base_currency(order['symbol']):
|
||||
# Base currency - divide by amount
|
||||
return round(
|
||||
order['fee']['cost'] / safe_value_fallback2(order, order, 'filled', 'amount'), 8)
|
||||
elif fee_curr in self.get_pair_quote_currency(order['symbol']):
|
||||
# Quote currency - divide by cost
|
||||
return round(order['fee']['cost'] / order['cost'], 8) if order['cost'] else None
|
||||
else:
|
||||
# If Fee currency is a different currency
|
||||
if not order['cost']:
|
||||
# If cost is None or 0.0 -> falsy, return None
|
||||
return None
|
||||
try:
|
||||
comb = self.get_valid_pair_combination(fee_curr, self._config['stake_currency'])
|
||||
tick = self.fetch_ticker(comb)
|
||||
|
||||
fee_to_quote_rate = safe_value_fallback2(tick, tick, 'last', 'ask')
|
||||
return round((order['fee']['cost'] * fee_to_quote_rate) / order['cost'], 8)
|
||||
except ExchangeError:
|
||||
return None
|
||||
|
||||
def extract_cost_curr_rate(self, order: Dict) -> Tuple[float, str, Optional[float]]:
|
||||
"""
|
||||
Extract tuple of cost, currency, rate.
|
||||
Requires order_has_fee to run first!
|
||||
:param order: Order or trade (one trade) dict
|
||||
:return: Tuple with cost, currency, rate of the given fee dict
|
||||
"""
|
||||
return (order['fee']['cost'],
|
||||
order['fee']['currency'],
|
||||
self.calculate_fee_rate(order))
|
||||
|
||||
|
||||
def is_exchange_known_ccxt(exchange_name: str, ccxt_module: CcxtModuleType = None) -> bool:
|
||||
return exchange_name in ccxt_exchanges(ccxt_module)
|
||||
|
|
|
|||
|
|
@ -93,13 +93,8 @@ class Ftx(Exchange):
|
|||
@retrier(retries=API_FETCH_ORDER_RETRY_COUNT)
|
||||
def fetch_stoploss_order(self, order_id: str, pair: str) -> Dict:
|
||||
if self._config['dry_run']:
|
||||
try:
|
||||
order = self._dry_run_open_orders[order_id]
|
||||
return order
|
||||
except KeyError as e:
|
||||
# Gracefully handle errors with dry-run orders.
|
||||
raise InvalidOrderException(
|
||||
f'Tried to get an invalid dry-run-order (id: {order_id}). Message: {e}') from e
|
||||
return self.fetch_dry_run_order(order_id)
|
||||
|
||||
try:
|
||||
orders = self._api.fetch_orders(pair, None, params={'type': 'stop'})
|
||||
|
||||
|
|
|
|||
|
|
@ -10,7 +10,6 @@ from threading import Lock
|
|||
from typing import Any, Dict, List, Optional
|
||||
|
||||
import arrow
|
||||
from cachetools import TTLCache
|
||||
|
||||
from freqtrade import __version__, constants
|
||||
from freqtrade.configuration import validate_config_consistency
|
||||
|
|
@ -58,12 +57,6 @@ class FreqtradeBot(LoggingMixin):
|
|||
# Init objects
|
||||
self.config = config
|
||||
|
||||
# Cache values for 1800 to avoid frequent polling of the exchange for prices
|
||||
# Caching only applies to RPC methods, so prices for open trades are still
|
||||
# refreshed once every iteration.
|
||||
self._sell_rate_cache: TTLCache = TTLCache(maxsize=100, ttl=1800)
|
||||
self._buy_rate_cache: TTLCache = TTLCache(maxsize=100, ttl=1800)
|
||||
|
||||
self.strategy: IStrategy = StrategyResolver.load_strategy(self.config)
|
||||
|
||||
# Check config consistency here since strategies can set certain options
|
||||
|
|
@ -396,51 +389,6 @@ class FreqtradeBot(LoggingMixin):
|
|||
|
||||
return trades_created
|
||||
|
||||
def get_buy_rate(self, pair: str, refresh: bool) -> float:
|
||||
"""
|
||||
Calculates bid target between current ask price and last price
|
||||
:param pair: Pair to get rate for
|
||||
:param refresh: allow cached data
|
||||
:return: float: Price
|
||||
"""
|
||||
if not refresh:
|
||||
rate = self._buy_rate_cache.get(pair)
|
||||
# Check if cache has been invalidated
|
||||
if rate:
|
||||
logger.debug(f"Using cached buy rate for {pair}.")
|
||||
return rate
|
||||
|
||||
bid_strategy = self.config.get('bid_strategy', {})
|
||||
if 'use_order_book' in bid_strategy and bid_strategy.get('use_order_book', False):
|
||||
|
||||
order_book_top = bid_strategy.get('order_book_top', 1)
|
||||
order_book = self.exchange.fetch_l2_order_book(pair, order_book_top)
|
||||
logger.debug('order_book %s', order_book)
|
||||
# top 1 = index 0
|
||||
try:
|
||||
rate_from_l2 = order_book[f"{bid_strategy['price_side']}s"][order_book_top - 1][0]
|
||||
except (IndexError, KeyError) as e:
|
||||
logger.warning(
|
||||
"Buy Price from orderbook could not be determined."
|
||||
f"Orderbook: {order_book}"
|
||||
)
|
||||
raise PricingError from e
|
||||
logger.info(f"Buy price from orderbook {bid_strategy['price_side'].capitalize()} side "
|
||||
f"- top {order_book_top} order book buy rate {rate_from_l2:.8f}")
|
||||
used_rate = rate_from_l2
|
||||
else:
|
||||
logger.info(f"Using Last {bid_strategy['price_side'].capitalize()} / Last Price")
|
||||
ticker = self.exchange.fetch_ticker(pair)
|
||||
ticker_rate = ticker[bid_strategy['price_side']]
|
||||
if ticker['last'] and ticker_rate > ticker['last']:
|
||||
balance = bid_strategy['ask_last_balance']
|
||||
ticker_rate = ticker_rate + balance * (ticker['last'] - ticker_rate)
|
||||
used_rate = ticker_rate
|
||||
|
||||
self._buy_rate_cache[pair] = used_rate
|
||||
|
||||
return used_rate
|
||||
|
||||
def create_trade(self, pair: str) -> bool:
|
||||
"""
|
||||
Check the implemented trading strategy for buy signals.
|
||||
|
|
@ -532,7 +480,7 @@ class FreqtradeBot(LoggingMixin):
|
|||
buy_limit_requested = price
|
||||
else:
|
||||
# Calculate price
|
||||
buy_limit_requested = self.get_buy_rate(pair, True)
|
||||
buy_limit_requested = self.exchange.get_buy_rate(pair, True)
|
||||
|
||||
if not buy_limit_requested:
|
||||
raise PricingError('Could not determine buy price.')
|
||||
|
|
@ -657,7 +605,7 @@ class FreqtradeBot(LoggingMixin):
|
|||
"""
|
||||
Sends rpc notification when a buy cancel occurred.
|
||||
"""
|
||||
current_rate = self.get_buy_rate(trade.pair, False)
|
||||
current_rate = self.exchange.get_buy_rate(trade.pair, False)
|
||||
|
||||
msg = {
|
||||
'trade_id': trade.id,
|
||||
|
|
@ -723,56 +671,6 @@ class FreqtradeBot(LoggingMixin):
|
|||
|
||||
return trades_closed
|
||||
|
||||
def _order_book_gen(self, pair: str, side: str, order_book_max: int = 1,
|
||||
order_book_min: int = 1):
|
||||
"""
|
||||
Helper generator to query orderbook in loop (used for early sell-order placing)
|
||||
"""
|
||||
order_book = self.exchange.fetch_l2_order_book(pair, order_book_max)
|
||||
for i in range(order_book_min, order_book_max + 1):
|
||||
yield order_book[side][i - 1][0]
|
||||
|
||||
def get_sell_rate(self, pair: str, refresh: bool) -> float:
|
||||
"""
|
||||
Get sell rate - either using ticker bid or first bid based on orderbook
|
||||
The orderbook portion is only used for rpc messaging, which would otherwise fail
|
||||
for BitMex (has no bid/ask in fetch_ticker)
|
||||
or remain static in any other case since it's not updating.
|
||||
:param pair: Pair to get rate for
|
||||
:param refresh: allow cached data
|
||||
:return: Bid rate
|
||||
"""
|
||||
if not refresh:
|
||||
rate = self._sell_rate_cache.get(pair)
|
||||
# Check if cache has been invalidated
|
||||
if rate:
|
||||
logger.debug(f"Using cached sell rate for {pair}.")
|
||||
return rate
|
||||
|
||||
ask_strategy = self.config.get('ask_strategy', {})
|
||||
if ask_strategy.get('use_order_book', False):
|
||||
# This code is only used for notifications, selling uses the generator directly
|
||||
logger.info(
|
||||
f"Getting price from order book {ask_strategy['price_side'].capitalize()} side."
|
||||
)
|
||||
try:
|
||||
rate = next(self._order_book_gen(pair, f"{ask_strategy['price_side']}s"))
|
||||
except (IndexError, KeyError) as e:
|
||||
logger.warning("Sell Price at location from orderbook could not be determined.")
|
||||
raise PricingError from e
|
||||
else:
|
||||
ticker = self.exchange.fetch_ticker(pair)
|
||||
ticker_rate = ticker[ask_strategy['price_side']]
|
||||
if ticker['last'] and ticker_rate < ticker['last']:
|
||||
balance = ask_strategy.get('bid_last_balance', 0.0)
|
||||
ticker_rate = ticker_rate - balance * (ticker_rate - ticker['last'])
|
||||
rate = ticker_rate
|
||||
|
||||
if rate is None:
|
||||
raise PricingError(f"Sell-Rate for {pair} was empty.")
|
||||
self._sell_rate_cache[pair] = rate
|
||||
return rate
|
||||
|
||||
def handle_trade(self, trade: Trade) -> bool:
|
||||
"""
|
||||
Sells the current pair if the threshold is reached and updates the trade record.
|
||||
|
|
@ -800,9 +698,9 @@ class FreqtradeBot(LoggingMixin):
|
|||
logger.debug(f'Using order book between {order_book_min} and {order_book_max} '
|
||||
f'for selling {trade.pair}...')
|
||||
|
||||
order_book = self._order_book_gen(trade.pair, f"{config_ask_strategy['price_side']}s",
|
||||
order_book_min=order_book_min,
|
||||
order_book_max=order_book_max)
|
||||
order_book = self.exchange._order_book_gen(
|
||||
trade.pair, f"{config_ask_strategy['price_side']}s",
|
||||
order_book_min=order_book_min, order_book_max=order_book_max)
|
||||
for i in range(order_book_min, order_book_max + 1):
|
||||
try:
|
||||
sell_rate = next(order_book)
|
||||
|
|
@ -815,14 +713,14 @@ class FreqtradeBot(LoggingMixin):
|
|||
f"{sell_rate:0.8f}")
|
||||
# Assign sell-rate to cache - otherwise sell-rate is never updated in the cache,
|
||||
# resulting in outdated RPC messages
|
||||
self._sell_rate_cache[trade.pair] = sell_rate
|
||||
self.exchange._sell_rate_cache[trade.pair] = sell_rate
|
||||
|
||||
if self._check_and_execute_sell(trade, sell_rate, buy, sell):
|
||||
return True
|
||||
|
||||
else:
|
||||
logger.debug('checking sell')
|
||||
sell_rate = self.get_sell_rate(trade.pair, True)
|
||||
sell_rate = self.exchange.get_sell_rate(trade.pair, True)
|
||||
if self._check_and_execute_sell(trade, sell_rate, buy, sell):
|
||||
return True
|
||||
|
||||
|
|
@ -1254,7 +1152,7 @@ class FreqtradeBot(LoggingMixin):
|
|||
profit_rate = trade.close_rate if trade.close_rate else trade.close_rate_requested
|
||||
profit_trade = trade.calc_profit(rate=profit_rate)
|
||||
# Use cached rates here - it was updated seconds ago.
|
||||
current_rate = self.get_sell_rate(trade.pair, False) if not fill else None
|
||||
current_rate = self.exchange.get_sell_rate(trade.pair, False) if not fill else None
|
||||
profit_ratio = trade.calc_profit_ratio(profit_rate)
|
||||
gain = "profit" if profit_ratio > 0 else "loss"
|
||||
|
||||
|
|
@ -1299,7 +1197,7 @@ class FreqtradeBot(LoggingMixin):
|
|||
|
||||
profit_rate = trade.close_rate if trade.close_rate else trade.close_rate_requested
|
||||
profit_trade = trade.calc_profit(rate=profit_rate)
|
||||
current_rate = self.get_sell_rate(trade.pair, False)
|
||||
current_rate = self.exchange.get_sell_rate(trade.pair, False)
|
||||
profit_ratio = trade.calc_profit_ratio(profit_rate)
|
||||
gain = "profit" if profit_ratio > 0 else "loss"
|
||||
|
||||
|
|
|
|||
|
|
@ -171,7 +171,7 @@ class RPC:
|
|||
# calculate profit and send message to user
|
||||
if trade.is_open:
|
||||
try:
|
||||
current_rate = self._freqtrade.get_sell_rate(trade.pair, False)
|
||||
current_rate = self._freqtrade.exchange.get_sell_rate(trade.pair, False)
|
||||
except (ExchangeError, PricingError):
|
||||
current_rate = NAN
|
||||
else:
|
||||
|
|
@ -230,7 +230,7 @@ class RPC:
|
|||
for trade in trades:
|
||||
# calculate profit and send message to user
|
||||
try:
|
||||
current_rate = self._freqtrade.get_sell_rate(trade.pair, False)
|
||||
current_rate = self._freqtrade.exchange.get_sell_rate(trade.pair, False)
|
||||
except (PricingError, ExchangeError):
|
||||
current_rate = NAN
|
||||
trade_percent = (100 * trade.calc_profit_ratio(current_rate))
|
||||
|
|
@ -386,7 +386,7 @@ class RPC:
|
|||
else:
|
||||
# Get current rate
|
||||
try:
|
||||
current_rate = self._freqtrade.get_sell_rate(trade.pair, False)
|
||||
current_rate = self._freqtrade.exchange.get_sell_rate(trade.pair, False)
|
||||
except (PricingError, ExchangeError):
|
||||
current_rate = NAN
|
||||
profit_ratio = trade.calc_profit_ratio(rate=current_rate)
|
||||
|
|
@ -556,7 +556,7 @@ class RPC:
|
|||
|
||||
if not fully_canceled:
|
||||
# Get current rate and execute sell
|
||||
current_rate = self._freqtrade.get_sell_rate(trade.pair, False)
|
||||
current_rate = self._freqtrade.exchange.get_sell_rate(trade.pair, False)
|
||||
sell_reason = SellCheckTuple(sell_type=SellType.FORCE_SELL)
|
||||
self._freqtrade.execute_sell(trade, current_rate, sell_reason)
|
||||
# ---- EOF def _exec_forcesell ----
|
||||
|
|
|
|||
|
|
@ -11,7 +11,7 @@ import pytest
|
|||
from pandas import DataFrame
|
||||
|
||||
from freqtrade.exceptions import (DDosProtection, DependencyException, InvalidOrderException,
|
||||
OperationalException, TemporaryError)
|
||||
OperationalException, PricingError, TemporaryError)
|
||||
from freqtrade.exchange import Binance, Bittrex, Exchange, Kraken
|
||||
from freqtrade.exchange.common import (API_FETCH_ORDER_RETRY_COUNT, API_RETRY_COUNT,
|
||||
calculate_backoff)
|
||||
|
|
@ -1684,6 +1684,152 @@ def test_fetch_l2_order_book_exception(default_conf, mocker, exchange_name):
|
|||
exchange.fetch_l2_order_book(pair='ETH/BTC', limit=50)
|
||||
|
||||
|
||||
@pytest.mark.parametrize("side,ask,bid,last,last_ab,expected", [
|
||||
('ask', 20, 19, 10, 0.0, 20), # Full ask side
|
||||
('ask', 20, 19, 10, 1.0, 10), # Full last side
|
||||
('ask', 20, 19, 10, 0.5, 15), # Between ask and last
|
||||
('ask', 20, 19, 10, 0.7, 13), # Between ask and last
|
||||
('ask', 20, 19, 10, 0.3, 17), # Between ask and last
|
||||
('ask', 5, 6, 10, 1.0, 5), # last bigger than ask
|
||||
('ask', 5, 6, 10, 0.5, 5), # last bigger than ask
|
||||
('ask', 10, 20, None, 0.5, 10), # last not available - uses ask
|
||||
('ask', 4, 5, None, 0.5, 4), # last not available - uses ask
|
||||
('ask', 4, 5, None, 1, 4), # last not available - uses ask
|
||||
('ask', 4, 5, None, 0, 4), # last not available - uses ask
|
||||
('bid', 21, 20, 10, 0.0, 20), # Full bid side
|
||||
('bid', 21, 20, 10, 1.0, 10), # Full last side
|
||||
('bid', 21, 20, 10, 0.5, 15), # Between bid and last
|
||||
('bid', 21, 20, 10, 0.7, 13), # Between bid and last
|
||||
('bid', 21, 20, 10, 0.3, 17), # Between bid and last
|
||||
('bid', 6, 5, 10, 1.0, 5), # last bigger than bid
|
||||
('bid', 6, 5, 10, 0.5, 5), # last bigger than bid
|
||||
('bid', 21, 20, None, 0.5, 20), # last not available - uses bid
|
||||
('bid', 6, 5, None, 0.5, 5), # last not available - uses bid
|
||||
('bid', 6, 5, None, 1, 5), # last not available - uses bid
|
||||
('bid', 6, 5, None, 0, 5), # last not available - uses bid
|
||||
])
|
||||
def test_get_buy_rate(mocker, default_conf, caplog, side, ask, bid,
|
||||
last, last_ab, expected) -> None:
|
||||
caplog.set_level(logging.DEBUG)
|
||||
default_conf['bid_strategy']['ask_last_balance'] = last_ab
|
||||
default_conf['bid_strategy']['price_side'] = side
|
||||
exchange = get_patched_exchange(mocker, default_conf)
|
||||
mocker.patch('freqtrade.exchange.Exchange.fetch_ticker',
|
||||
return_value={'ask': ask, 'last': last, 'bid': bid})
|
||||
|
||||
assert exchange.get_buy_rate('ETH/BTC', True) == expected
|
||||
assert not log_has("Using cached buy rate for ETH/BTC.", caplog)
|
||||
|
||||
assert exchange.get_buy_rate('ETH/BTC', False) == expected
|
||||
assert log_has("Using cached buy rate for ETH/BTC.", caplog)
|
||||
# Running a 2nd time with Refresh on!
|
||||
caplog.clear()
|
||||
assert exchange.get_buy_rate('ETH/BTC', True) == expected
|
||||
assert not log_has("Using cached buy rate for ETH/BTC.", caplog)
|
||||
|
||||
|
||||
@pytest.mark.parametrize('side,ask,bid,last,last_ab,expected', [
|
||||
('bid', 12.0, 11.0, 11.5, 0.0, 11.0), # full bid side
|
||||
('bid', 12.0, 11.0, 11.5, 1.0, 11.5), # full last side
|
||||
('bid', 12.0, 11.0, 11.5, 0.5, 11.25), # between bid and lat
|
||||
('bid', 12.0, 11.2, 10.5, 0.0, 11.2), # Last smaller than bid
|
||||
('bid', 12.0, 11.2, 10.5, 1.0, 11.2), # Last smaller than bid - uses bid
|
||||
('bid', 12.0, 11.2, 10.5, 0.5, 11.2), # Last smaller than bid - uses bid
|
||||
('bid', 0.003, 0.002, 0.005, 0.0, 0.002),
|
||||
('ask', 12.0, 11.0, 12.5, 0.0, 12.0), # full ask side
|
||||
('ask', 12.0, 11.0, 12.5, 1.0, 12.5), # full last side
|
||||
('ask', 12.0, 11.0, 12.5, 0.5, 12.25), # between bid and lat
|
||||
('ask', 12.2, 11.2, 10.5, 0.0, 12.2), # Last smaller than ask
|
||||
('ask', 12.0, 11.0, 10.5, 1.0, 12.0), # Last smaller than ask - uses ask
|
||||
('ask', 12.0, 11.2, 10.5, 0.5, 12.0), # Last smaller than ask - uses ask
|
||||
('ask', 10.0, 11.0, 11.0, 0.0, 10.0),
|
||||
('ask', 10.11, 11.2, 11.0, 0.0, 10.11),
|
||||
('ask', 0.001, 0.002, 11.0, 0.0, 0.001),
|
||||
('ask', 0.006, 1.0, 11.0, 0.0, 0.006),
|
||||
])
|
||||
def test_get_sell_rate(default_conf, mocker, caplog, side, bid, ask,
|
||||
last, last_ab, expected) -> None:
|
||||
caplog.set_level(logging.DEBUG)
|
||||
|
||||
default_conf['ask_strategy']['price_side'] = side
|
||||
default_conf['ask_strategy']['bid_last_balance'] = last_ab
|
||||
mocker.patch('freqtrade.exchange.Exchange.fetch_ticker',
|
||||
return_value={'ask': ask, 'bid': bid, 'last': last})
|
||||
pair = "ETH/BTC"
|
||||
|
||||
# Test regular mode
|
||||
exchange = get_patched_exchange(mocker, default_conf)
|
||||
rate = exchange.get_sell_rate(pair, True)
|
||||
assert not log_has("Using cached sell rate for ETH/BTC.", caplog)
|
||||
assert isinstance(rate, float)
|
||||
assert rate == expected
|
||||
# Use caching
|
||||
rate = exchange.get_sell_rate(pair, False)
|
||||
assert rate == expected
|
||||
assert log_has("Using cached sell rate for ETH/BTC.", caplog)
|
||||
|
||||
|
||||
@pytest.mark.parametrize('side,expected', [
|
||||
('bid', 0.043936), # Value from order_book_l2 fiture - bids side
|
||||
('ask', 0.043949), # Value from order_book_l2 fiture - asks side
|
||||
])
|
||||
def test_get_sell_rate_orderbook(default_conf, mocker, caplog, side, expected, order_book_l2):
|
||||
caplog.set_level(logging.DEBUG)
|
||||
# Test orderbook mode
|
||||
default_conf['ask_strategy']['price_side'] = side
|
||||
default_conf['ask_strategy']['use_order_book'] = True
|
||||
default_conf['ask_strategy']['order_book_min'] = 1
|
||||
default_conf['ask_strategy']['order_book_max'] = 2
|
||||
pair = "ETH/BTC"
|
||||
mocker.patch('freqtrade.exchange.Exchange.fetch_l2_order_book', order_book_l2)
|
||||
exchange = get_patched_exchange(mocker, default_conf)
|
||||
rate = exchange.get_sell_rate(pair, True)
|
||||
assert not log_has("Using cached sell rate for ETH/BTC.", caplog)
|
||||
assert isinstance(rate, float)
|
||||
assert rate == expected
|
||||
rate = exchange.get_sell_rate(pair, False)
|
||||
assert rate == expected
|
||||
assert log_has("Using cached sell rate for ETH/BTC.", caplog)
|
||||
|
||||
|
||||
def test_get_sell_rate_orderbook_exception(default_conf, mocker, caplog):
|
||||
# Test orderbook mode
|
||||
default_conf['ask_strategy']['price_side'] = 'ask'
|
||||
default_conf['ask_strategy']['use_order_book'] = True
|
||||
default_conf['ask_strategy']['order_book_min'] = 1
|
||||
default_conf['ask_strategy']['order_book_max'] = 2
|
||||
pair = "ETH/BTC"
|
||||
# Test What happens if the exchange returns an empty orderbook.
|
||||
mocker.patch('freqtrade.exchange.Exchange.fetch_l2_order_book',
|
||||
return_value={'bids': [[]], 'asks': [[]]})
|
||||
exchange = get_patched_exchange(mocker, default_conf)
|
||||
with pytest.raises(PricingError):
|
||||
exchange.get_sell_rate(pair, True)
|
||||
assert log_has("Sell Price at location from orderbook could not be determined.", caplog)
|
||||
|
||||
|
||||
def test_get_sell_rate_exception(default_conf, mocker, caplog):
|
||||
# Ticker on one side can be empty in certain circumstances.
|
||||
default_conf['ask_strategy']['price_side'] = 'ask'
|
||||
pair = "ETH/BTC"
|
||||
mocker.patch('freqtrade.exchange.Exchange.fetch_ticker',
|
||||
return_value={'ask': None, 'bid': 0.12, 'last': None})
|
||||
exchange = get_patched_exchange(mocker, default_conf)
|
||||
with pytest.raises(PricingError, match=r"Sell-Rate for ETH/BTC was empty."):
|
||||
exchange.get_sell_rate(pair, True)
|
||||
|
||||
exchange._config['ask_strategy']['price_side'] = 'bid'
|
||||
assert exchange.get_sell_rate(pair, True) == 0.12
|
||||
# Reverse sides
|
||||
mocker.patch('freqtrade.exchange.Exchange.fetch_ticker',
|
||||
return_value={'ask': 0.13, 'bid': None, 'last': None})
|
||||
with pytest.raises(PricingError, match=r"Sell-Rate for ETH/BTC was empty."):
|
||||
exchange.get_sell_rate(pair, True)
|
||||
|
||||
exchange._config['ask_strategy']['price_side'] = 'ask'
|
||||
assert exchange.get_sell_rate(pair, True) == 0.13
|
||||
|
||||
|
||||
def make_fetch_ohlcv_mock(data):
|
||||
def fetch_ohlcv_mock(pair, timeframe, since):
|
||||
if since:
|
||||
|
|
|
|||
|
|
@ -109,7 +109,7 @@ def test_rpc_trade_status(default_conf, ticker, fee, mocker) -> None:
|
|||
'exchange': 'binance',
|
||||
}
|
||||
|
||||
mocker.patch('freqtrade.freqtradebot.FreqtradeBot.get_sell_rate',
|
||||
mocker.patch('freqtrade.exchange.Exchange.get_sell_rate',
|
||||
MagicMock(side_effect=ExchangeError("Pair 'ETH/BTC' not available")))
|
||||
results = rpc._rpc_trade_status()
|
||||
assert isnan(results[0]['current_profit'])
|
||||
|
|
@ -217,7 +217,7 @@ def test_rpc_status_table(default_conf, ticker, fee, mocker) -> None:
|
|||
assert '-0.41% (-0.06)' == result[0][3]
|
||||
assert '-0.06' == f'{fiat_profit_sum:.2f}'
|
||||
|
||||
mocker.patch('freqtrade.freqtradebot.FreqtradeBot.get_sell_rate',
|
||||
mocker.patch('freqtrade.exchange.Exchange.get_sell_rate',
|
||||
MagicMock(side_effect=ExchangeError("Pair 'ETH/BTC' not available")))
|
||||
result, headers, fiat_profit_sum = rpc._rpc_status_table(default_conf['stake_currency'], 'USD')
|
||||
assert 'instantly' == result[0][2]
|
||||
|
|
@ -427,7 +427,7 @@ def test_rpc_trade_statistics(default_conf, ticker, ticker_sell_up, fee,
|
|||
assert prec_satoshi(stats['best_rate'], 6.2)
|
||||
|
||||
# Test non-available pair
|
||||
mocker.patch('freqtrade.freqtradebot.FreqtradeBot.get_sell_rate',
|
||||
mocker.patch('freqtrade.exchange.Exchange.get_sell_rate',
|
||||
MagicMock(side_effect=ExchangeError("Pair 'ETH/BTC' not available")))
|
||||
stats = rpc._rpc_trade_statistics(stake_currency, fiat_display_currency)
|
||||
assert stats['trade_count'] == 2
|
||||
|
|
|
|||
|
|
@ -834,7 +834,7 @@ def test_api_status(botclient, mocker, ticker, fee, markets):
|
|||
'exchange': 'binance',
|
||||
}
|
||||
|
||||
mocker.patch('freqtrade.freqtradebot.FreqtradeBot.get_sell_rate',
|
||||
mocker.patch('freqtrade.exchange.Exchange.get_sell_rate',
|
||||
MagicMock(side_effect=ExchangeError("Pair 'ETH/BTC' not available")))
|
||||
|
||||
rc = client_get(client, f"{BASE_URI}/status")
|
||||
|
|
|
|||
|
|
@ -751,50 +751,6 @@ def test_process_informative_pairs_added(default_conf, ticker, mocker) -> None:
|
|||
assert ("ETH/BTC", default_conf["timeframe"]) in refresh_mock.call_args[0][0]
|
||||
|
||||
|
||||
@pytest.mark.parametrize("side,ask,bid,last,last_ab,expected", [
|
||||
('ask', 20, 19, 10, 0.0, 20), # Full ask side
|
||||
('ask', 20, 19, 10, 1.0, 10), # Full last side
|
||||
('ask', 20, 19, 10, 0.5, 15), # Between ask and last
|
||||
('ask', 20, 19, 10, 0.7, 13), # Between ask and last
|
||||
('ask', 20, 19, 10, 0.3, 17), # Between ask and last
|
||||
('ask', 5, 6, 10, 1.0, 5), # last bigger than ask
|
||||
('ask', 5, 6, 10, 0.5, 5), # last bigger than ask
|
||||
('ask', 10, 20, None, 0.5, 10), # last not available - uses ask
|
||||
('ask', 4, 5, None, 0.5, 4), # last not available - uses ask
|
||||
('ask', 4, 5, None, 1, 4), # last not available - uses ask
|
||||
('ask', 4, 5, None, 0, 4), # last not available - uses ask
|
||||
('bid', 21, 20, 10, 0.0, 20), # Full bid side
|
||||
('bid', 21, 20, 10, 1.0, 10), # Full last side
|
||||
('bid', 21, 20, 10, 0.5, 15), # Between bid and last
|
||||
('bid', 21, 20, 10, 0.7, 13), # Between bid and last
|
||||
('bid', 21, 20, 10, 0.3, 17), # Between bid and last
|
||||
('bid', 6, 5, 10, 1.0, 5), # last bigger than bid
|
||||
('bid', 6, 5, 10, 0.5, 5), # last bigger than bid
|
||||
('bid', 21, 20, None, 0.5, 20), # last not available - uses bid
|
||||
('bid', 6, 5, None, 0.5, 5), # last not available - uses bid
|
||||
('bid', 6, 5, None, 1, 5), # last not available - uses bid
|
||||
('bid', 6, 5, None, 0, 5), # last not available - uses bid
|
||||
])
|
||||
def test_get_buy_rate(mocker, default_conf, caplog, side, ask, bid,
|
||||
last, last_ab, expected) -> None:
|
||||
caplog.set_level(logging.DEBUG)
|
||||
default_conf['bid_strategy']['ask_last_balance'] = last_ab
|
||||
default_conf['bid_strategy']['price_side'] = side
|
||||
freqtrade = get_patched_freqtradebot(mocker, default_conf)
|
||||
mocker.patch('freqtrade.exchange.Exchange.fetch_ticker',
|
||||
return_value={'ask': ask, 'last': last, 'bid': bid})
|
||||
|
||||
assert freqtrade.get_buy_rate('ETH/BTC', True) == expected
|
||||
assert not log_has("Using cached buy rate for ETH/BTC.", caplog)
|
||||
|
||||
assert freqtrade.get_buy_rate('ETH/BTC', False) == expected
|
||||
assert log_has("Using cached buy rate for ETH/BTC.", caplog)
|
||||
# Running a 2nd time with Refresh on!
|
||||
caplog.clear()
|
||||
assert freqtrade.get_buy_rate('ETH/BTC', True) == expected
|
||||
assert not log_has("Using cached buy rate for ETH/BTC.", caplog)
|
||||
|
||||
|
||||
def test_execute_buy(mocker, default_conf, fee, limit_buy_order, limit_buy_order_open) -> None:
|
||||
patch_RPCManager(mocker)
|
||||
patch_exchange(mocker)
|
||||
|
|
@ -803,13 +759,10 @@ def test_execute_buy(mocker, default_conf, fee, limit_buy_order, limit_buy_order
|
|||
stake_amount = 2
|
||||
bid = 0.11
|
||||
buy_rate_mock = MagicMock(return_value=bid)
|
||||
mocker.patch.multiple(
|
||||
'freqtrade.freqtradebot.FreqtradeBot',
|
||||
get_buy_rate=buy_rate_mock,
|
||||
)
|
||||
buy_mm = MagicMock(return_value=limit_buy_order_open)
|
||||
mocker.patch.multiple(
|
||||
'freqtrade.exchange.Exchange',
|
||||
get_buy_rate=buy_rate_mock,
|
||||
fetch_ticker=MagicMock(return_value={
|
||||
'bid': 0.00001172,
|
||||
'ask': 0.00001173,
|
||||
|
|
@ -900,7 +853,7 @@ def test_execute_buy(mocker, default_conf, fee, limit_buy_order, limit_buy_order
|
|||
assert not freqtrade.execute_buy(pair, stake_amount)
|
||||
|
||||
# Fail to get price...
|
||||
mocker.patch('freqtrade.freqtradebot.FreqtradeBot.get_buy_rate', MagicMock(return_value=0.0))
|
||||
mocker.patch('freqtrade.exchange.Exchange.get_buy_rate', MagicMock(return_value=0.0))
|
||||
|
||||
with pytest.raises(PricingError, match="Could not determine buy price."):
|
||||
freqtrade.execute_buy(pair, stake_amount)
|
||||
|
|
@ -908,10 +861,6 @@ def test_execute_buy(mocker, default_conf, fee, limit_buy_order, limit_buy_order
|
|||
|
||||
def test_execute_buy_confirm_error(mocker, default_conf, fee, limit_buy_order) -> None:
|
||||
freqtrade = get_patched_freqtradebot(mocker, default_conf)
|
||||
mocker.patch.multiple(
|
||||
'freqtrade.freqtradebot.FreqtradeBot',
|
||||
get_buy_rate=MagicMock(return_value=0.11),
|
||||
)
|
||||
mocker.patch.multiple(
|
||||
'freqtrade.exchange.Exchange',
|
||||
fetch_ticker=MagicMock(return_value={
|
||||
|
|
@ -920,6 +869,7 @@ def test_execute_buy_confirm_error(mocker, default_conf, fee, limit_buy_order) -
|
|||
'last': 0.00001172
|
||||
}),
|
||||
buy=MagicMock(return_value=limit_buy_order),
|
||||
get_buy_rate=MagicMock(return_value=0.11),
|
||||
get_min_pair_stake_amount=MagicMock(return_value=1),
|
||||
get_fee=fee,
|
||||
)
|
||||
|
|
@ -2523,7 +2473,7 @@ def test_handle_cancel_sell_limit(mocker, default_conf, fee) -> None:
|
|||
'freqtrade.exchange.Exchange',
|
||||
cancel_order=cancel_order_mock,
|
||||
)
|
||||
mocker.patch('freqtrade.freqtradebot.FreqtradeBot.get_sell_rate', return_value=0.245441)
|
||||
mocker.patch('freqtrade.exchange.Exchange.get_sell_rate', return_value=0.245441)
|
||||
|
||||
freqtrade = FreqtradeBot(default_conf)
|
||||
|
||||
|
|
@ -3978,7 +3928,7 @@ def test_order_book_bid_strategy1(mocker, default_conf, order_book_l2) -> None:
|
|||
default_conf['telegram']['enabled'] = False
|
||||
|
||||
freqtrade = FreqtradeBot(default_conf)
|
||||
assert freqtrade.get_buy_rate('ETH/BTC', True) == 0.043935
|
||||
assert freqtrade.exchange.get_buy_rate('ETH/BTC', True) == 0.043935
|
||||
assert ticker_mock.call_count == 0
|
||||
|
||||
|
||||
|
|
@ -4000,7 +3950,7 @@ def test_order_book_bid_strategy_exception(mocker, default_conf, caplog) -> None
|
|||
freqtrade = FreqtradeBot(default_conf)
|
||||
# orderbook shall be used even if tickers would be lower.
|
||||
with pytest.raises(PricingError):
|
||||
freqtrade.get_buy_rate('ETH/BTC', refresh=True)
|
||||
freqtrade.exchange.get_buy_rate('ETH/BTC', refresh=True)
|
||||
assert log_has_re(r'Buy Price from orderbook could not be determined.', caplog)
|
||||
|
||||
|
||||
|
|
@ -4072,108 +4022,6 @@ def test_order_book_ask_strategy(default_conf, limit_buy_order_open, limit_buy_o
|
|||
assert log_has('Sell Price at location 1 from orderbook could not be determined.', caplog)
|
||||
|
||||
|
||||
@pytest.mark.parametrize('side,ask,bid,last,last_ab,expected', [
|
||||
('bid', 12.0, 11.0, 11.5, 0.0, 11.0), # full bid side
|
||||
('bid', 12.0, 11.0, 11.5, 1.0, 11.5), # full last side
|
||||
('bid', 12.0, 11.0, 11.5, 0.5, 11.25), # between bid and lat
|
||||
('bid', 12.0, 11.2, 10.5, 0.0, 11.2), # Last smaller than bid
|
||||
('bid', 12.0, 11.2, 10.5, 1.0, 11.2), # Last smaller than bid - uses bid
|
||||
('bid', 12.0, 11.2, 10.5, 0.5, 11.2), # Last smaller than bid - uses bid
|
||||
('bid', 0.003, 0.002, 0.005, 0.0, 0.002),
|
||||
('ask', 12.0, 11.0, 12.5, 0.0, 12.0), # full ask side
|
||||
('ask', 12.0, 11.0, 12.5, 1.0, 12.5), # full last side
|
||||
('ask', 12.0, 11.0, 12.5, 0.5, 12.25), # between bid and lat
|
||||
('ask', 12.2, 11.2, 10.5, 0.0, 12.2), # Last smaller than ask
|
||||
('ask', 12.0, 11.0, 10.5, 1.0, 12.0), # Last smaller than ask - uses ask
|
||||
('ask', 12.0, 11.2, 10.5, 0.5, 12.0), # Last smaller than ask - uses ask
|
||||
('ask', 10.0, 11.0, 11.0, 0.0, 10.0),
|
||||
('ask', 10.11, 11.2, 11.0, 0.0, 10.11),
|
||||
('ask', 0.001, 0.002, 11.0, 0.0, 0.001),
|
||||
('ask', 0.006, 1.0, 11.0, 0.0, 0.006),
|
||||
])
|
||||
def test_get_sell_rate(default_conf, mocker, caplog, side, bid, ask,
|
||||
last, last_ab, expected) -> None:
|
||||
caplog.set_level(logging.DEBUG)
|
||||
|
||||
default_conf['ask_strategy']['price_side'] = side
|
||||
default_conf['ask_strategy']['bid_last_balance'] = last_ab
|
||||
mocker.patch('freqtrade.exchange.Exchange.fetch_ticker',
|
||||
return_value={'ask': ask, 'bid': bid, 'last': last})
|
||||
pair = "ETH/BTC"
|
||||
|
||||
# Test regular mode
|
||||
ft = get_patched_freqtradebot(mocker, default_conf)
|
||||
rate = ft.get_sell_rate(pair, True)
|
||||
assert not log_has("Using cached sell rate for ETH/BTC.", caplog)
|
||||
assert isinstance(rate, float)
|
||||
assert rate == expected
|
||||
# Use caching
|
||||
rate = ft.get_sell_rate(pair, False)
|
||||
assert rate == expected
|
||||
assert log_has("Using cached sell rate for ETH/BTC.", caplog)
|
||||
|
||||
|
||||
@pytest.mark.parametrize('side,expected', [
|
||||
('bid', 0.043936), # Value from order_book_l2 fiture - bids side
|
||||
('ask', 0.043949), # Value from order_book_l2 fiture - asks side
|
||||
])
|
||||
def test_get_sell_rate_orderbook(default_conf, mocker, caplog, side, expected, order_book_l2):
|
||||
caplog.set_level(logging.DEBUG)
|
||||
# Test orderbook mode
|
||||
default_conf['ask_strategy']['price_side'] = side
|
||||
default_conf['ask_strategy']['use_order_book'] = True
|
||||
default_conf['ask_strategy']['order_book_min'] = 1
|
||||
default_conf['ask_strategy']['order_book_max'] = 2
|
||||
pair = "ETH/BTC"
|
||||
mocker.patch('freqtrade.exchange.Exchange.fetch_l2_order_book', order_book_l2)
|
||||
ft = get_patched_freqtradebot(mocker, default_conf)
|
||||
rate = ft.get_sell_rate(pair, True)
|
||||
assert not log_has("Using cached sell rate for ETH/BTC.", caplog)
|
||||
assert isinstance(rate, float)
|
||||
assert rate == expected
|
||||
rate = ft.get_sell_rate(pair, False)
|
||||
assert rate == expected
|
||||
assert log_has("Using cached sell rate for ETH/BTC.", caplog)
|
||||
|
||||
|
||||
def test_get_sell_rate_orderbook_exception(default_conf, mocker, caplog):
|
||||
# Test orderbook mode
|
||||
default_conf['ask_strategy']['price_side'] = 'ask'
|
||||
default_conf['ask_strategy']['use_order_book'] = True
|
||||
default_conf['ask_strategy']['order_book_min'] = 1
|
||||
default_conf['ask_strategy']['order_book_max'] = 2
|
||||
pair = "ETH/BTC"
|
||||
# Test What happens if the exchange returns an empty orderbook.
|
||||
mocker.patch('freqtrade.exchange.Exchange.fetch_l2_order_book',
|
||||
return_value={'bids': [[]], 'asks': [[]]})
|
||||
ft = get_patched_freqtradebot(mocker, default_conf)
|
||||
with pytest.raises(PricingError):
|
||||
ft.get_sell_rate(pair, True)
|
||||
assert log_has("Sell Price at location from orderbook could not be determined.", caplog)
|
||||
|
||||
|
||||
def test_get_sell_rate_exception(default_conf, mocker, caplog):
|
||||
# Ticker on one side can be empty in certain circumstances.
|
||||
default_conf['ask_strategy']['price_side'] = 'ask'
|
||||
pair = "ETH/BTC"
|
||||
mocker.patch('freqtrade.exchange.Exchange.fetch_ticker',
|
||||
return_value={'ask': None, 'bid': 0.12, 'last': None})
|
||||
ft = get_patched_freqtradebot(mocker, default_conf)
|
||||
with pytest.raises(PricingError, match=r"Sell-Rate for ETH/BTC was empty."):
|
||||
ft.get_sell_rate(pair, True)
|
||||
|
||||
ft.config['ask_strategy']['price_side'] = 'bid'
|
||||
assert ft.get_sell_rate(pair, True) == 0.12
|
||||
# Reverse sides
|
||||
mocker.patch('freqtrade.exchange.Exchange.fetch_ticker',
|
||||
return_value={'ask': 0.13, 'bid': None, 'last': None})
|
||||
with pytest.raises(PricingError, match=r"Sell-Rate for ETH/BTC was empty."):
|
||||
ft.get_sell_rate(pair, True)
|
||||
|
||||
ft.config['ask_strategy']['price_side'] = 'ask'
|
||||
assert ft.get_sell_rate(pair, True) == 0.13
|
||||
|
||||
|
||||
def test_startup_state(default_conf, mocker):
|
||||
default_conf['pairlist'] = {'method': 'VolumePairList',
|
||||
'config': {'number_assets': 20}
|
||||
|
|
|
|||
Loading…
Reference in New Issue