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Merge pull request #6275 from freqtrade/extract_timedout_from_ftbot

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Extract timedout from ftbot
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Matthias 2022-01-23 17:28:10 +01:00 committed by GitHub
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3 changed files with 46 additions and 37 deletions
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20
docs/strategy-callbacks.md
View File

@ -413,7 +413,7 @@ It applies a tight timeout for higher priced assets, while allowing more time to
The function must return either `True` (cancel order) or `False` (keep order alive).
``` python
from datetime import datetime, timedelta, timezone
from datetime import datetime, timedelta
from freqtrade.persistence import Trade
class AwesomeStrategy(IStrategy):
@ -426,22 +426,24 @@ class AwesomeStrategy(IStrategy):
'sell': 60 * 25
}
def check_buy_timeout(self, pair: str, trade: 'Trade', order: dict, **kwargs) -> bool:
if trade.open_rate > 100 and trade.open_date_utc < datetime.now(timezone.utc) - timedelta(minutes=5):
def check_buy_timeout(self, pair: str, trade: 'Trade', order: dict,
current_time: datetime, **kwargs) -> bool:
if trade.open_rate > 100 and trade.open_date_utc < current_time - timedelta(minutes=5):
return True
elif trade.open_rate > 10 and trade.open_date_utc < datetime.now(timezone.utc) - timedelta(minutes=3):
elif trade.open_rate > 10 and trade.open_date_utc < current_time - timedelta(minutes=3):
return True
elif trade.open_rate < 1 and trade.open_date_utc < datetime.now(timezone.utc) - timedelta(hours=24):
elif trade.open_rate < 1 and trade.open_date_utc < current_time - timedelta(hours=24):
return True
return False
def check_sell_timeout(self, pair: str, trade: 'Trade', order: dict, **kwargs) -> bool:
if trade.open_rate > 100 and trade.open_date_utc < datetime.now(timezone.utc) - timedelta(minutes=5):
def check_sell_timeout(self, pair: str, trade: Trade, order: dict,
current_time: datetime, **kwargs) -> bool:
if trade.open_rate > 100 and trade.open_date_utc < current_time - timedelta(minutes=5):
return True
elif trade.open_rate > 10 and trade.open_date_utc < datetime.now(timezone.utc) - timedelta(minutes=3):
elif trade.open_rate > 10 and trade.open_date_utc < current_time - timedelta(minutes=3):
return True
elif trade.open_rate < 1 and trade.open_date_utc < datetime.now(timezone.utc) - timedelta(hours=24):
elif trade.open_rate < 1 and trade.open_date_utc < current_time - timedelta(hours=24):
return True
return False
```

32
freqtrade/freqtradebot.py
View File

@ -9,8 +9,6 @@ from math import isclose
from threading import Lock
from typing import Any, Dict, List, Optional, Tuple
import arrow
from freqtrade import __version__, constants
from freqtrade.configuration import validate_config_consistency
from freqtrade.data.converter import order_book_to_dataframe
@ -959,20 +957,6 @@ class FreqtradeBot(LoggingMixin):
return True
return False
def _check_timed_out(self, side: str, order: dict) -> bool:
"""
Check if timeout is active, and if the order is still open and timed out
"""
timeout = self.config.get('unfilledtimeout', {}).get(side)
ordertime = arrow.get(order['datetime']).datetime
if timeout is not None:
timeout_unit = self.config.get('unfilledtimeout', {}).get('unit', 'minutes')
timeout_kwargs = {timeout_unit: -timeout}
timeout_threshold = arrow.utcnow().shift(**timeout_kwargs).datetime
return (order['status'] == 'open' and order['side'] == side
and ordertime < timeout_threshold)
return False
def check_handle_timedout(self) -> None:
"""
Check if any orders are timed out and cancel if necessary
@ -993,20 +977,16 @@ class FreqtradeBot(LoggingMixin):
if (order['side'] == 'buy' and (order['status'] == 'open' or fully_cancelled) and (
fully_cancelled
or self._check_timed_out('buy', order)
or strategy_safe_wrapper(self.strategy.check_buy_timeout,
default_retval=False)(pair=trade.pair,
trade=trade,
order=order))):
or self.strategy.ft_check_timed_out(
'buy', trade, order, datetime.now(timezone.utc))
)):
self.handle_cancel_enter(trade, order, constants.CANCEL_REASON['TIMEOUT'])
elif (order['side'] == 'sell' and (order['status'] == 'open' or fully_cancelled) and (
fully_cancelled
or self._check_timed_out('sell', order)
or strategy_safe_wrapper(self.strategy.check_sell_timeout,
default_retval=False)(pair=trade.pair,
trade=trade,
order=order))):
or self.strategy.ft_check_timed_out(
'sell', trade, order, datetime.now(timezone.utc)))
):
self.handle_cancel_exit(trade, order, constants.CANCEL_REASON['TIMEOUT'])
canceled_count = trade.get_exit_order_count()
max_timeouts = self.config.get('unfilledtimeout', {}).get('exit_timeout_count', 0)

31
freqtrade/strategy/interface.py
View File

@ -188,7 +188,8 @@ class IStrategy(ABC, HyperStrategyMixin):
"""
return dataframe
def check_buy_timeout(self, pair: str, trade: Trade, order: dict, **kwargs) -> bool:
def check_buy_timeout(self, pair: str, trade: Trade, order: dict,
current_time: datetime, **kwargs) -> bool:
"""
Check buy timeout function callback.
This method can be used to override the buy-timeout.
@ -201,12 +202,14 @@ class IStrategy(ABC, HyperStrategyMixin):
:param pair: Pair the trade is for
:param trade: trade object.
:param order: Order dictionary as returned from CCXT.
:param current_time: datetime object, containing the current datetime
:param **kwargs: Ensure to keep this here so updates to this won't break your strategy.
:return bool: When True is returned, then the buy-order is cancelled.
"""
return False
def check_sell_timeout(self, pair: str, trade: Trade, order: dict, **kwargs) -> bool:
def check_sell_timeout(self, pair: str, trade: Trade, order: dict,
current_time: datetime, **kwargs) -> bool:
"""
Check sell timeout function callback.
This method can be used to override the sell-timeout.
@ -219,6 +222,7 @@ class IStrategy(ABC, HyperStrategyMixin):
:param pair: Pair the trade is for
:param trade: trade object.
:param order: Order dictionary as returned from CCXT.
:param current_time: datetime object, containing the current datetime
:param **kwargs: Ensure to keep this here so updates to this won't break your strategy.
:return bool: When True is returned, then the sell-order is cancelled.
"""
@ -852,6 +856,29 @@ class IStrategy(ABC, HyperStrategyMixin):
else:
return current_profit > roi
def ft_check_timed_out(self, side: str, trade: Trade, order: Dict,
current_time: datetime) -> bool:
"""
FT Internal method.
Check if timeout is active, and if the order is still open and timed out
"""
timeout = self.config.get('unfilledtimeout', {}).get(side)
ordertime = arrow.get(order['datetime']).datetime
if timeout is not None:
timeout_unit = self.config.get('unfilledtimeout', {}).get('unit', 'minutes')
timeout_kwargs = {timeout_unit: -timeout}
timeout_threshold = current_time + timedelta(**timeout_kwargs)
timedout = (order['status'] == 'open' and order['side'] == side
and ordertime < timeout_threshold)
if timedout:
return True
time_method = self.check_sell_timeout if order['side'] == 'sell' else self.check_buy_timeout
return strategy_safe_wrapper(time_method,
default_retval=False)(
pair=trade.pair, trade=trade, order=order,
current_time=current_time)
def advise_all_indicators(self, data: Dict[str, DataFrame]) -> Dict[str, DataFrame]:
"""
Populates indicators for given candle (OHLCV) data (for multiple pairs)