Merge pull request #5069 from freqtrade/dry_run_orders

Pricing refactor

freqtrade/exchange/exchange.py

@@ -22,8 +22,8 @@ from pandas import DataFrame
 from freqtrade.constants import DEFAULT_AMOUNT_RESERVE_PERCENT, ListPairsWithTimeframes
 from freqtrade.data.converter import ohlcv_to_dataframe, trades_dict_to_list
 from freqtrade.exceptions import (DDosProtection, ExchangeError, InsufficientFundsError,
-                                  InvalidOrderException, OperationalException, RetryableOrderError,
+                                  InvalidOrderException, OperationalException, PricingError,
-                                  TemporaryError)
+                                  RetryableOrderError, TemporaryError)
 from freqtrade.exchange.common import (API_FETCH_ORDER_RETRY_COUNT, BAD_EXCHANGES,
                                        EXCHANGE_HAS_OPTIONAL, EXCHANGE_HAS_REQUIRED, retrier,
                                        retrier_async)
@@ -88,6 +88,11 @@ class Exchange:
 
         # Cache for 10 minutes ...
         self._fetch_tickers_cache: TTLCache = TTLCache(maxsize=1, ttl=60 * 10)
+        # 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)
 
         # Holds candles
         self._klines: Dict[Tuple[str, str], DataFrame] = {}
@@ -550,6 +555,8 @@ class Exchange:
         # See also #2575 at github.
         return max(min_stake_amounts) * amount_reserve_percent
 
+    # Dry-run methods
+
     def create_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}_{datetime.now().timestamp()}'
@@ -591,6 +598,21 @@ class Exchange:
             closed_order["info"].update({"stopPrice": closed_order["price"]})
         self._dry_run_open_orders[closed_order["id"]] = closed_order
 
+    def fetch_dry_run_order(self, order_id) -> Dict[str, Any]:
+        """
+        Return dry-run order
+        Only call if running in dry-run mode.
+        """
+        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
+
+    # Order handling
+
     def create_order(self, pair: str, ordertype: str, side: str, amount: float,
                      rate: float, params: Dict = {}) -> Dict:
         try:
@@ -667,6 +689,128 @@ class Exchange:
 
         raise OperationalException(f"stoploss is not implemented for {self.name}.")
 
+    @retrier(retries=API_FETCH_ORDER_RETRY_COUNT)
+    def fetch_order(self, order_id: str, pair: str) -> Dict:
+        if self._config['dry_run']:
+            return self.fetch_dry_run_order(order_id)
+        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)
+
+    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']:
+            try:
+                order = self.fetch_dry_run_order(order_id)
+
+                order.update({'status': 'canceled', 'filled': 0.0, 'remaining': order['amount']})
+                return order
+            except InvalidOrderException:
+                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
     def get_balances(self) -> dict:
 
@@ -713,6 +857,8 @@ class Exchange:
         except ccxt.BaseError as e:
             raise OperationalException(e) from e
 
+    # Pricing info
+
     @retrier
     def fetch_ticker(self, pair: str) -> dict:
         try:
@@ -729,6 +875,264 @@ class Exchange:
         except ccxt.BaseError as e:
             raise OperationalException(e) from e
 
+    @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
+
+    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.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_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
+        :raises PricingError if orderbook price could not be determined.
+        """
+        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.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.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 get_sell_rate(self, pair: str, refresh: bool) -> float:
+        """
+        Get sell rate - either using ticker bid or first bid based on orderbook
+        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
+        :raises PricingError if price could not be determined.
+        """
+        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.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
+
+    # Fee handling
+
+    @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))
+
+    # 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)

freqtrade/exchange/ftx.py

@@ -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:
+            return self.fetch_dry_run_order(order_id)
-                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:
             orders = self._api.fetch_orders(pair, None, params={'type': 'stop'})
 

freqtrade/freqtradebot.py

@@ -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 = self.exchange._order_book_gen(
-                                              order_book_min=order_book_min,
+                trade.pair, f"{config_ask_strategy['price_side']}s",
-                                              order_book_max=order_book_max)
+                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"
 

freqtrade/rpc/rpc.py

@@ -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 ----

tests/exchange/test_exchange.py

@@ -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:

tests/rpc/test_rpc.py

@@ -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

tests/rpc/test_rpc_apiserver.py

@@ -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")

tests/test_freqtradebot.py

@@ -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}