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Merge branch 'develop' into feat/short

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Sam Germain
2022-03-03 13:51:52 -06:00
parent 1d3ce5bef4 c0e12d632f
commit 488da9b875
39 changed files with 604 additions and 210 deletions
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1
freqtrade/exchange/__init__.py
View File

@@ -18,6 +18,7 @@ from freqtrade.exchange.exchange import (available_exchanges, ccxt_exchanges,
from freqtrade.exchange.ftx import Ftx
from freqtrade.exchange.gateio import Gateio
from freqtrade.exchange.hitbtc import Hitbtc
from freqtrade.exchange.huobi import Huobi
from freqtrade.exchange.kraken import Kraken
from freqtrade.exchange.kucoin import Kucoin
from freqtrade.exchange.okx import Okx

82
freqtrade/exchange/binance.py
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@@ -6,13 +6,10 @@ from pathlib import Path
from typing import Dict, List, Optional, Tuple
import arrow
import ccxt
from freqtrade.enums import CandleType, MarginMode, TradingMode
from freqtrade.exceptions import (DDosProtection, InsufficientFundsError, InvalidOrderException,
OperationalException, TemporaryError)
from freqtrade.exceptions import (DDosProtection, OperationalException, TemporaryError)
from freqtrade.exchange import Exchange
from freqtrade.exchange.common import retrier
logger = logging.getLogger(__name__)
@@ -22,6 +19,7 @@ class Binance(Exchange):
_ft_has: Dict = {
"stoploss_on_exchange": True,
"stoploss_order_types": {"limit": "stop_loss_limit"},
"order_time_in_force": ['gtc', 'fok', 'ioc'],
"time_in_force_parameter": "timeInForce",
"ohlcv_candle_limit": 1000,
@@ -52,82 +50,6 @@ class Binance(Exchange):
(side == "buy" and stop_loss < float(order['info']['stopPrice']))
)
@retrier(retries=0)
def stoploss(self, pair: str, amount: float, stop_price: float,
order_types: Dict, side: str, leverage: float) -> Dict:
"""
creates a stoploss limit order.
this stoploss-limit is binance-specific.
It may work with a limited number of other exchanges, but this has not been tested yet.
:param side: "buy" or "sell"
"""
# Limit price threshold: As limit price should always be below stop-price
limit_price_pct = order_types.get('stoploss_on_exchange_limit_ratio', 0.99)
if side == "sell":
# TODO: Name limit_rate in other exchange subclasses
rate = stop_price * limit_price_pct
else:
rate = stop_price * (2 - limit_price_pct)
ordertype = 'stop' if self.trading_mode == TradingMode.FUTURES else 'stop_loss_limit'
stop_price = self.price_to_precision(pair, stop_price)
bad_stop_price = (stop_price <= rate) if side == "sell" else (stop_price >= rate)
# Ensure rate is less than stop price
if bad_stop_price:
raise OperationalException(
'In stoploss limit order, stop price should be better than limit price')
if self._config['dry_run']:
dry_order = self.create_dry_run_order(
pair, ordertype, side, amount, stop_price, leverage)
return dry_order
try:
params = self._params.copy()
params.update({'stopPrice': stop_price})
if self.trading_mode == TradingMode.FUTURES:
params.update({'reduceOnly': True})
amount = self.amount_to_precision(pair, amount)
rate = self.price_to_precision(pair, rate)
self._lev_prep(pair, leverage, side)
order = self._api.create_order(
symbol=pair,
type=ordertype,
side=side,
amount=amount,
price=rate,
params=params
)
logger.info('stoploss limit order added for %s. '
'stop price: %s. limit: %s', pair, stop_price, rate)
self._log_exchange_response('create_stoploss_order', order)
return order
except ccxt.InsufficientFunds as e:
raise InsufficientFundsError(
f'Insufficient funds to create {ordertype} {side} order on market {pair}. '
f'Tried to {side} amount {amount} at rate {rate}. '
f'Message: {e}') from e
except ccxt.InvalidOrder as e:
# Errors:
# `binance Order would trigger immediately.`
raise InvalidOrderException(
f'Could not create {ordertype} {side} order on market {pair}. '
f'Tried to {side} amount {amount} at rate {rate}. '
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 place {side} order due to {e.__class__.__name__}. Message: {e}') from e
except ccxt.BaseError as e:
raise OperationalException(e) from e
@retrier
def _set_leverage(
self,

112
freqtrade/exchange/exchange.py
View File

@@ -769,7 +769,8 @@ class Exchange:
# Dry-run methods
def create_dry_run_order(self, pair: str, ordertype: str, side: str, amount: float,
rate: float, leverage: float, params: Dict = {}) -> Dict[str, Any]:
rate: float, leverage: float, params: Dict = {},
stop_loss: bool = False) -> Dict[str, Any]:
order_id = f'dry_run_{side}_{datetime.now().timestamp()}'
_amount = self.amount_to_precision(pair, amount)
dry_order: Dict[str, Any] = {
@@ -785,15 +786,18 @@ class Exchange:
'remaining': _amount,
'datetime': arrow.utcnow().strftime('%Y-%m-%dT%H:%M:%S.%fZ'),
'timestamp': arrow.utcnow().int_timestamp * 1000,
'status': "closed" if ordertype == "market" else "open",
'status': "closed" if ordertype == "market" and not stop_loss else "open",
'fee': None,
'info': {},
'leverage': leverage
}
if dry_order["type"] in ["stop_loss_limit", "stop-loss-limit"]:
if stop_loss:
dry_order["info"] = {"stopPrice": dry_order["price"]}
dry_order["stopPrice"] = dry_order["price"]
# Workaround to avoid filling stoploss orders immediately
dry_order["ft_order_type"] = "stoploss"
if dry_order["type"] == "market":
if dry_order["type"] == "market" and not dry_order.get("ft_order_type"):
# Update market order pricing
average = self.get_dry_market_fill_price(pair, side, amount, rate)
dry_order.update({
@@ -884,7 +888,9 @@ class Exchange:
"""
Check dry-run limit order fill and update fee (if it filled).
"""
if order['status'] != "closed" and order['type'] in ["limit"]:
if (order['status'] != "closed"
and order['type'] in ["limit"]
and not order.get('ft_order_type')):
pair = order['symbol']
if self._is_dry_limit_order_filled(pair, order['side'], order['price']):
order.update({
@@ -1002,19 +1008,99 @@ class Exchange:
"""
raise OperationalException(f"stoploss is not implemented for {self.name}.")
def stoploss(self, pair: str, amount: float, stop_price: float,
order_types: Dict, side: str, leverage: float) -> Dict:
def _get_stop_params(self, ordertype: str, stop_price: float) -> Dict:
params = self._params.copy()
# Verify if stopPrice works for your exchange!
params.update({'stopPrice': stop_price})
return params
@retrier(retries=0)
def stoploss(self, pair: str, amount: float, stop_price: float, order_types: Dict, side: str, leverage: float) -> Dict:
"""
creates a stoploss order.
requires `_ft_has['stoploss_order_types']` to be set as a dict mapping limit and market
to the corresponding exchange type.
The precise ordertype is determined by the order_types dict or exchange default.
Since ccxt does not unify stoploss-limit orders yet, this needs to be implemented in each
exchange's subclass.
The exception below should never raise, since we disallow
starting the bot in validate_ordertypes()
Note: Changes to this interface need to be applied to all sub-classes too.
"""
raise OperationalException(f"stoploss is not implemented for {self.name}.")
This may work with a limited number of other exchanges, but correct working
needs to be tested individually.
WARNING: setting `stoploss_on_exchange` to True will NOT auto-enable stoploss on exchange.
`stoploss_adjust` must still be implemented for this to work.
"""
if not self._ft_has['stoploss_on_exchange']:
raise OperationalException(f"stoploss is not implemented for {self.name}.")
user_order_type = order_types.get('stoploss', 'market')
if user_order_type in self._ft_has["stoploss_order_types"].keys():
ordertype = self._ft_has["stoploss_order_types"][user_order_type]
else:
# Otherwise pick only one available
ordertype = list(self._ft_has["stoploss_order_types"].values())[0]
user_order_type = list(self._ft_has["stoploss_order_types"].keys())[0]
stop_price_norm = self.price_to_precision(pair, stop_price)
rate = None
if user_order_type == 'limit':
# Limit price threshold: As limit price should always be below stop-price
limit_price_pct = order_types.get('stoploss_on_exchange_limit_ratio', 0.99)
rate = stop_price * limit_price_pct
# Ensure rate is less than stop price
if stop_price_norm <= rate:
raise OperationalException(
'In stoploss limit order, stop price should be more than limit price')
rate = self.price_to_precision(pair, rate)
if self._config['dry_run']:
dry_order = self.create_dry_run_order(
pair,
ordertype,
side,
amount,
stop_price_norm,
stop_loss=True,
leverage=leverage,
)
return dry_order
try:
params = self._get_stop_params(ordertype=ordertype, stop_price=stop_price_norm)
if self.trading_mode == TradingMode.FUTURES:
params['reduceOnly'] = True
amount = self.amount_to_precision(pair, amount)
self._lev_prep(pair, leverage, side)
order = self._api.create_order(symbol=pair, type=ordertype, side=side,
amount=amount, price=rate, params=params)
logger.info(f"stoploss {user_order_type} order added for {pair}. "
f"stop price: {stop_price}. limit: {rate}")
self._log_exchange_response('create_stoploss_order', order)
return order
except ccxt.InsufficientFunds as e:
raise InsufficientFundsError(
f'Insufficient funds to create {ordertype} sell order on market {pair}. '
f'Tried to sell amount {amount} at rate {rate}. '
f'Message: {e}') from e
except ccxt.InvalidOrder as e:
# Errors:
# `Order would trigger immediately.`
raise InvalidOrderException(
f'Could not create {ordertype} sell order on market {pair}. '
f'Tried to sell amount {amount} at rate {rate}. '
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 place stoploss order due to {e.__class__.__name__}. "
f"Message: {e}") from e
except ccxt.BaseError as e:
raise OperationalException(e) from e
@retrier(retries=API_FETCH_ORDER_RETRY_COUNT)
def fetch_order(self, order_id: str, pair: str) -> Dict:
@@ -2384,7 +2470,7 @@ def is_exchange_known_ccxt(exchange_name: str, ccxt_module: CcxtModuleType = Non
def is_exchange_officially_supported(exchange_name: str) -> bool:
return exchange_name in ['bittrex', 'binance', 'kraken', 'ftx', 'gateio', 'okx']
return exchange_name in ['binance', 'bittrex', 'ftx', 'gateio', 'huobi', 'kraken', 'okx']
def ccxt_exchanges(ccxt_module: CcxtModuleType = None) -> List[str]:

2
freqtrade/exchange/ftx.py
View File

@@ -62,7 +62,7 @@ class Ftx(Exchange):
if self._config['dry_run']:
dry_order = self.create_dry_run_order(
pair, ordertype, side, amount, stop_price, leverage)
pair, ordertype, side, amount, stop_price, leverage, stop_loss=True)
return dry_order
try:

39
freqtrade/exchange/huobi.py Normal file
View File

@@ -0,0 +1,39 @@
""" Huobi exchange subclass """
import logging
from typing import Dict
from freqtrade.exchange import Exchange
logger = logging.getLogger(__name__)
class Huobi(Exchange):
"""
Huobi exchange class. Contains adjustments needed for Freqtrade to work
with this exchange.
"""
_ft_has: Dict = {
"stoploss_on_exchange": True,
"stoploss_order_types": {"limit": "stop-limit"},
"ohlcv_candle_limit": 1000,
"l2_limit_range": [5, 10, 20],
"l2_limit_range_required": False,
}
def stoploss_adjust(self, stop_loss: float, order: Dict) -> bool:
"""
Verify stop_loss against stoploss-order value (limit or price)
Returns True if adjustment is necessary.
"""
return order['type'] == 'stop' and stop_loss > float(order['stopPrice'])
def _get_stop_params(self, ordertype: str, stop_price: float) -> Dict:
params = self._params.copy()
params.update({
"stopPrice": stop_price,
"operator": "lte",
})
return params

4
freqtrade/exchange/kraken.py
View File

@@ -99,6 +99,8 @@ class Kraken(Exchange):
"""
Creates a stoploss market order.
Stoploss market orders is the only stoploss type supported by kraken.
TODO: investigate if this can be combined with generic implementation
(careful, prices are reversed)
"""
params = self._params.copy()
if self.trading_mode == TradingMode.FUTURES:
@@ -119,7 +121,7 @@ class Kraken(Exchange):
if self._config['dry_run']:
dry_order = self.create_dry_run_order(
pair, ordertype, side, amount, stop_price, leverage)
pair, ordertype, side, amount, stop_price, leverage, stop_loss=True)
return dry_order
try:

18
freqtrade/exchange/kucoin.py
View File

@@ -19,8 +19,26 @@ class Kucoin(Exchange):
"""
_ft_has: Dict = {
"stoploss_on_exchange": True,
"stoploss_order_types": {"limit": "limit", "market": "market"},
"l2_limit_range": [20, 100],
"l2_limit_range_required": False,
"order_time_in_force": ['gtc', 'fok', 'ioc'],
"time_in_force_parameter": "timeInForce",
}
def stoploss_adjust(self, stop_loss: float, order: Dict) -> bool:
"""
Verify stop_loss against stoploss-order value (limit or price)
Returns True if adjustment is necessary.
"""
return order['info'].get('stop') is not None and stop_loss > float(order['stopPrice'])
def _get_stop_params(self, ordertype: str, stop_price: float) -> Dict:
params = self._params.copy()
params.update({
'stopPrice': stop_price,
'stop': 'loss'
})
return params