Order Book with tests
This commit is contained in:
Nullart2
parent
29dcd2ea43
commit
4a9bf78770
@ -37,7 +37,21 @@
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"experimental": {
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"use_sell_signal": false,
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"sell_profit_only": false,
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"ignore_roi_if_buy_signal": false
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"ignore_roi_if_buy_signal": false,
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"check_depth_of_market": {
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"enabled": false,
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"bids_to_ask_delta": 1
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},
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"bid_strategy": {
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"use_order_book": false,
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"order_book_top": 2,
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"percent_from_top": 0
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},
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"ask_strategy":{
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"use_order_book": false,
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"order_book_min": 1,
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"order_book_max": 9
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}
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},
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"telegram": {
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"enabled": true,
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@ -46,7 +46,21 @@
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"experimental": {
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"use_sell_signal": false,
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"sell_profit_only": false,
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"ignore_roi_if_buy_signal": false
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"ignore_roi_if_buy_signal": false,
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"check_depth_of_market": {
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"enabled": false,
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"bids_to_ask_delta": 1
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},
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"bid_strategy": {
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"use_order_book": false,
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"order_book_top": 2,
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"percent_from_top": 0
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},
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"ask_strategy":{
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"use_order_book": false,
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"order_book_min": 1,
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"order_book_max": 9
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}s
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},
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"telegram": {
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"enabled": true,
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@ -39,6 +39,13 @@ The table below will list all configuration parameters.
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| `experimental.use_sell_signal` | false | No | Use your sell strategy in addition of the `minimal_roi`.
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| `experimental.sell_profit_only` | false | No | waits until you have made a positive profit before taking a sell decision.
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| `experimental.ignore_roi_if_buy_signal` | false | No | Does not sell if the buy-signal is still active. Takes preference over `minimal_roi` and `use_sell_signal`
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| `experimental.check_depth_of_market` | false | No | Does not sell if the % difference of buy orders and sell orders is met in Order Book.
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| `experimental.bids_to_ask_delta` | 0 | No | The % difference of buy orders and sell orders found in Order Book. A value lesser than 1 means sell orders is greater, while value greater than 1 means buy orders is higher.
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| `experimental.bid_strategy.use_order_book` | false | No | Allows buying of pair using the rates in Order Book Bids.
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| `experimental.bid_strategy.order_book_top` | 0 | No | Bot will use the top N rate in Order Book Bids. Ie. a value of 2 will allow the bot to pick the 2nd bid rate in Order Book Bids.
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| `experimental.ask_strategy.use_order_book` | false | No | Allows selling of open traded pair using the rates in Order Book Asks.
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| `experimental.ask_strategy.order_book_min` | 0 | No | Bot will scan from the top min to max Order Book Asks searching for a profitable rate.
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| `experimental.ask_strategy.order_book_max` | 0 | No | Bot will scan from the top min to max Order Book Asks searching for a profitable rate.
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| `telegram.enabled` | true | Yes | Enable or not the usage of Telegram.
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| `telegram.token` | token | No | Your Telegram bot token. Only required if `telegram.enabled` is `true`.
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| `telegram.chat_id` | chat_id | No | Your personal Telegram account id. Only required if `telegram.enabled` is `true`.
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@ -89,7 +89,30 @@ CONF_SCHEMA = {
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'properties': {
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'use_sell_signal': {'type': 'boolean'},
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'sell_profit_only': {'type': 'boolean'},
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"ignore_roi_if_buy_signal_true": {'type': 'boolean'}
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'ignore_roi_if_buy_signal_true': {'type': 'boolean'},
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'check_depth_of_market': {
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'type': 'object',
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'properties': {
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'enabled': {'type': 'boolean'},
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'bids_to_ask_delta': {'type': 'number', 'minimum': 0},
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}
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},
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'bid_strategy': {
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'type': 'object',
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'properties': {
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'percent_from_top': {'type': 'number', 'minimum': 0},
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'use_order_book': {'type': 'boolean'},
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'order_book_top': {'type': 'number', 'maximum': 20, 'minimum': 1}
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}
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},
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'ask_strategy': {
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'type': 'object',
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'properties': {
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'use_order_book': {'type': 'boolean'},
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'order_book_min': {'type': 'number', 'minimum': 1},
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'order_book_max': {'type': 'number', 'minimum': 1, 'maximum': 50}
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}
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}
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}
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},
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'telegram': {
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@ -409,6 +409,29 @@ class Exchange(object):
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except ccxt.BaseError as e:
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raise OperationalException(e)
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@retrier
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def get_order_book(self, pair: str, limit: int = 100) -> dict:
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try:
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# 20180619: bittrex doesnt support limits -.-
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# 20180619: binance support limits but only on specific range
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if self._api.name == 'Binance':
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limit_range = [5, 10, 20, 50, 100, 500, 1000]
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for limitx in limit_range:
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if limit <= limitx:
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limit = limitx
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break
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return self._api.fetch_l2_order_book(pair, limit)
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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}')
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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}')
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except ccxt.BaseError as e:
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raise OperationalException(e)
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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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if self._conf['dry_run']:
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@ -2,6 +2,7 @@
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Functions to analyze ticker data with indicators and produce buy and sell signals
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"""
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import logging
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import pandas as pd
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from pandas import DataFrame, to_datetime
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logger = logging.getLogger(__name__)
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@ -31,3 +32,26 @@ def parse_ticker_dataframe(ticker: list) -> DataFrame:
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})
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frame.drop(frame.tail(1).index, inplace=True) # eliminate partial candle
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return frame
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def order_book_to_dataframe(data: list) -> DataFrame:
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"""
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Gets order book list, returns dataframe with below format per suggested by creslin
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-------------------------------------------------------------------
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b_sum b_size bids asks a_size a_sum
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-------------------------------------------------------------------
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"""
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cols = ['bids', 'b_size']
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bids_frame = DataFrame(data['bids'], columns=cols)
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# add cumulative sum column
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bids_frame['b_sum'] = bids_frame['b_size'].cumsum()
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cols2 = ['asks', 'a_size']
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asks_frame = DataFrame(data['asks'], columns=cols2)
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# add cumulative sum column
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asks_frame['a_sum'] = asks_frame['a_size'].cumsum()
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frame = pd.concat([bids_frame['b_sum'], bids_frame['b_size'], bids_frame['bids'],
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asks_frame['asks'], asks_frame['a_size'], asks_frame['a_sum']], axis=1,
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keys=['b_sum', 'b_size', 'bids', 'asks', 'a_size', 'a_sum'])
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# logger.info('order book %s', frame )
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return frame
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@ -21,6 +21,7 @@ from freqtrade.rpc import RPCManager, RPCMessageType
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from freqtrade.state import State
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from freqtrade.strategy.interface import SellType
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from freqtrade.strategy.resolver import IStrategy, StrategyResolver
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from freqtrade.exchange.exchange_helpers import order_book_to_dataframe
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logger = logging.getLogger(__name__)
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@ -233,16 +234,47 @@ class FreqtradeBot(object):
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return final_list
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def get_target_bid(self, ticker: Dict[str, float]) -> float:
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def get_target_bid(self, pair: str, ticker: Dict[str, float]) -> float:
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"""
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Calculates bid target between current ask price and last price
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:param ticker: Ticker to use for getting Ask and Last Price
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:return: float: Price
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"""
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if ticker['ask'] < ticker['last']:
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return ticker['ask']
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balance = self.config['bid_strategy']['ask_last_balance']
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return ticker['ask'] + balance * (ticker['last'] - ticker['ask'])
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ticker_rate = ticker['ask']
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else:
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balance = self.config['bid_strategy']['ask_last_balance']
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ticker_rate = ticker['ask'] + balance * (ticker['last'] - ticker['ask'])
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used_rate = ticker_rate
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experimental_bid_strategy = self.config.get('experimental', {}).get('bid_strategy', {})
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if 'use_order_book' in experimental_bid_strategy and\
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experimental_bid_strategy.get('use_order_book', False):
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logger.info('Getting price from order book')
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order_book_top = experimental_bid_strategy.get('order_book_top', 1)
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order_book = self.exchange.get_order_book(pair, order_book_top)
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# top 1 = index 0
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order_book_rate = order_book['bids'][order_book_top - 1][0]
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# if ticker has lower rate, then use ticker ( usefull if down trending )
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logger.info('...top %s order book buy rate %0.8f', order_book_top, order_book_rate)
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if ticker_rate < order_book_rate:
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logger.info('...using ticker rate instead %0.8f', ticker_rate)
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used_rate = ticker_rate
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used_rate = order_book_rate
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else:
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logger.info('Using Last Ask / Last Price')
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used_rate = ticker_rate
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percent_from_top = self.config.get('bid_strategy', {}).get('percent_from_top', 0)
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if percent_from_top > 0:
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used_rate = used_rate - (used_rate * percent_from_top)
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used_rate = self._trunc_num(used_rate, 8)
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logger.info('...percent_from_top enabled, new buy rate %0.8f', used_rate)
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return used_rate
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def _trunc_num(self, f, n):
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import math
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return math.floor(f * 10 ** n) / 10 ** n
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def _get_trade_stake_amount(self) -> Optional[float]:
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"""
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@ -334,9 +366,37 @@ class FreqtradeBot(object):
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(buy, sell) = self.strategy.get_signal(_pair, interval, thistory)
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if buy and not sell:
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experimental_check_depth_of_market = self.config.get('experimental', {}).\
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get('check_depth_of_market', {})
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if (experimental_check_depth_of_market.get('enabled', False)) and\
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(experimental_check_depth_of_market.get('bids_to_ask_delta', 0) > 0):
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if self._check_depth_of_market_buy(_pair):
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return self.execute_buy(_pair, stake_amount)
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else:
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return False
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return self.execute_buy(_pair, stake_amount)
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return False
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def _check_depth_of_market_buy(self, pair: str, ) -> bool:
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"""
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Checks depth of market before executing a buy
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"""
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experimental_check_depth_of_market = self.config.get('experimental', {}).\
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get('check_depth_of_market', {})
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conf_bids_to_ask_delta = experimental_check_depth_of_market.get('bids_to_ask_delta', 0)
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logger.info('checking depth of market for %s', pair)
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order_book = self.exchange.get_order_book(pair, 1000)
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order_book_data_frame = order_book_to_dataframe(order_book)
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order_book_bids = order_book_data_frame['b_size'].sum()
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order_book_asks = order_book_data_frame['a_size'].sum()
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bids_ask_delta = order_book_bids / order_book_asks
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logger.info('bids: %s, asks: %s, delta: %s', order_book_bids,
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order_book_asks,
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order_book_bids / order_book_asks)
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if bids_ask_delta >= conf_bids_to_ask_delta:
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return True
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return False
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def execute_buy(self, pair: str, stake_amount: float) -> bool:
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"""
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Executes a limit buy for the given pair
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@ -349,7 +409,7 @@ class FreqtradeBot(object):
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fiat_currency = self.config.get('fiat_display_currency', None)
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# Calculate amount
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buy_limit = self.get_target_bid(self.exchange.get_ticker(pair))
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buy_limit = self.get_target_bid(pair, self.exchange.get_ticker(pair))
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min_stake_amount = self._get_min_pair_stake_amount(pair_s, buy_limit)
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if min_stake_amount is not None and min_stake_amount > stake_amount:
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@ -492,7 +552,7 @@ class FreqtradeBot(object):
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raise ValueError(f'attempt to handle closed trade: {trade}')
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logger.debug('Handling %s ...', trade)
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current_rate = self.exchange.get_ticker(trade.pair)['bid']
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sell_rate = self.exchange.get_ticker(trade.pair)['bid']
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(buy, sell) = (False, False)
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experimental = self.config.get('experimental', {})
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@ -501,13 +561,44 @@ class FreqtradeBot(object):
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(buy, sell) = self.strategy.get_signal(trade.pair, self.strategy.ticker_interval,
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ticker)
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should_sell = self.strategy.should_sell(trade, current_rate, datetime.utcnow(), buy, sell)
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if should_sell.sell_flag:
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self.execute_sell(trade, current_rate, should_sell.sell_type)
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return True
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experimental_ask_strategy = self.config.get('experimental', {}).get('ask_strategy', {})
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if 'use_order_book' in experimental_ask_strategy and\
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experimental_ask_strategy.get('use_order_book', False):
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logger.info('Using order book for selling...')
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# logger.debug('Order book %s',orderBook)
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order_book_min = experimental_ask_strategy.get('order_book_min', 1)
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order_book_max = experimental_ask_strategy.get('order_book_max', 1)
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order_book = self.exchange.get_order_book(trade.pair, order_book_max)
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for i in range(order_book_min, order_book_max + 1):
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order_book_rate = order_book['asks'][i - 1][0]
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# if orderbook has higher rate (high profit),
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# use orderbook, otherwise just use bids rate
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logger.info(' order book asks top %s: %0.8f', i, order_book_rate)
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if sell_rate < order_book_rate:
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sell_rate = order_book_rate
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if self.check_sell(trade, sell_rate, buy, sell):
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return True
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break
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else:
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logger.info('checking sell')
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if self.check_sell(trade, sell_rate, buy, sell):
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return True
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logger.info('Found no sell signals for whitelisted currencies. Trying again..')
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return False
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def check_sell(self, trade: Trade, sell_rate: float, buy: bool, sell: bool) -> bool:
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should_sell = self.strategy.should_sell(trade, sell_rate, datetime.utcnow(), buy, sell)
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if should_sell.sell_flag:
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self.execute_sell(trade, sell_rate, should_sell.sell_type)
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logger.info('excuted sell')
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return True
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return False
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def check_handle_timedout(self) -> None:
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"""
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Check if any orders are timed out and cancel if neccessary
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@ -116,6 +116,22 @@ def default_conf():
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"NEO/BTC"
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]
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},
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"experimental": {
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"check_depth_of_market": {
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"enabled": False,
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"bids_to_ask_delta": 1
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},
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"bid_strategy": {
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"percent_from_top": 0,
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"use_order_book": False,
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"order_book_top": 1
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},
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"ask_strategy": {
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"use_order_book": False,
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"order_book_min": 1,
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"order_book_max": 1
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}
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},
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"telegram": {
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"enabled": True,
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"token": "token",
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@ -515,6 +515,16 @@ def test_get_ticker(default_conf, mocker):
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exchange.get_ticker(pair='ETH/BTC', refresh=True)
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def test_get_order_book(default_conf, mocker):
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default_conf['exchange']['name'] = 'binance'
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exchange = Exchange(default_conf)
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order_book = exchange.get_order_book(pair='ETH/BTC', limit=50)
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assert 'bids' in order_book
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assert 'asks' in order_book
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assert len(order_book['bids']) == 50
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assert len(order_book['asks']) == 50
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def make_fetch_ohlcv_mock(data):
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def fetch_ohlcv_mock(pair, timeframe, since):
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if since:
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@ -664,21 +664,21 @@ def test_balance_fully_ask_side(mocker, default_conf) -> None:
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default_conf['bid_strategy']['ask_last_balance'] = 0.0
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freqtrade = get_patched_freqtradebot(mocker, default_conf)
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assert freqtrade.get_target_bid({'ask': 20, 'last': 10}) == 20
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assert freqtrade.get_target_bid('ETH/BTC', {'ask': 20, 'last': 10}) == 20
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def test_balance_fully_last_side(mocker, default_conf) -> None:
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default_conf['bid_strategy']['ask_last_balance'] = 1.0
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freqtrade = get_patched_freqtradebot(mocker, default_conf)
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assert freqtrade.get_target_bid({'ask': 20, 'last': 10}) == 10
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assert freqtrade.get_target_bid('ETH/BTC', {'ask': 20, 'last': 10}) == 10
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def test_balance_bigger_last_ask(mocker, default_conf) -> None:
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default_conf['bid_strategy']['ask_last_balance'] = 1.0
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freqtrade = get_patched_freqtradebot(mocker, default_conf)
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assert freqtrade.get_target_bid({'ask': 5, 'last': 10}) == 5
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assert freqtrade.get_target_bid('ETH/BTC', {'ask': 5, 'last': 10}) == 5
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def test_process_maybe_execute_buy(mocker, default_conf) -> None:
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@ -1876,3 +1876,36 @@ def test_get_real_amount_open_trade(default_conf, mocker):
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freqtrade = FreqtradeBot(default_conf)
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patch_get_signal(freqtrade)
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assert freqtrade.get_real_amount(trade, order) == amount
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def test_order_book_depth_of_market(default_conf, ticker, limit_buy_order, fee, markets, mocker):
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default_conf['experimental']['check_depth_of_market']['enabled'] = True
|
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default_conf['experimental']['check_depth_of_market']['bids_to_ask_delta'] = 0.1
|
||||
patch_RPCManager(mocker)
|
||||
mocker.patch.multiple(
|
||||
'freqtrade.exchange.Exchange',
|
||||
validate_pairs=MagicMock(),
|
||||
get_ticker=ticker,
|
||||
buy=MagicMock(return_value={'id': limit_buy_order['id']}),
|
||||
get_fee=fee,
|
||||
get_markets=markets
|
||||
)
|
||||
|
||||
# Save state of current whitelist
|
||||
whitelist = deepcopy(default_conf['exchange']['pair_whitelist'])
|
||||
freqtrade = FreqtradeBot(default_conf)
|
||||
patch_get_signal(freqtrade)
|
||||
freqtrade.create_trade()
|
||||
|
||||
trade = Trade.query.first()
|
||||
assert trade is not None
|
||||
assert trade.stake_amount == 0.001
|
||||
assert trade.is_open
|
||||
assert trade.open_date is not None
|
||||
assert trade.exchange == 'bittrex'
|
||||
|
||||
# Simulate fulfilled LIMIT_BUY order for trade
|
||||
trade.update(limit_buy_order)
|
||||
|
||||
assert trade.open_rate == 0.00001099
|
||||
assert whitelist == default_conf['exchange']['pair_whitelist']
|
||||
|
||||
Loading…
Reference in New Issue
Block a user