Merge pull request #6275 from freqtrade/extract_timedout_from_ftbot

Extract timedout from ftbot

docs/strategy-callbacks.md

@@ -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:
+    def check_buy_timeout(self, pair: str, trade: 'Trade', order: dict, 
-        if trade.open_rate > 100 and trade.open_date_utc < datetime.now(timezone.utc) - timedelta(minutes=5):
+                          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:
+    def check_sell_timeout(self, pair: str, trade: Trade, order: dict,
-        if trade.open_rate > 100 and trade.open_date_utc < datetime.now(timezone.utc) - timedelta(minutes=5):
+                           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
 ```

freqtrade/freqtradebot.py

@@ -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 self.strategy.ft_check_timed_out(
-                    or strategy_safe_wrapper(self.strategy.check_buy_timeout,
+                        'buy', trade, order, datetime.now(timezone.utc))
-                                             default_retval=False)(pair=trade.pair,
+                        )):
-                                                                   trade=trade,
-                                                                   order=order))):
                 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 self.strategy.ft_check_timed_out(
-                  or strategy_safe_wrapper(self.strategy.check_sell_timeout,
+                      'sell', trade, order, datetime.now(timezone.utc)))
-                                           default_retval=False)(pair=trade.pair,
+                  ):
-                                                                 trade=trade,
-                                                                 order=order))):
                 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)

freqtrade/strategy/interface.py

@@ -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)