diff --git a/freqtrade/exchange/exchange.py b/freqtrade/exchange/exchange.py index 4febe5652..cd13964c4 100644 --- a/freqtrade/exchange/exchange.py +++ b/freqtrade/exchange/exchange.py @@ -77,6 +77,7 @@ class Exchange: "mark_ohlcv_price": "mark", "mark_ohlcv_timeframe": "8h", "ccxt_futures_name": "swap", + "fee_cost_in_contracts": False, # Fee cost needs contract conversion "needs_trading_fees": False, # use fetch_trading_fees to cache fees } _ft_has: Dict = {} @@ -1631,27 +1632,35 @@ class Exchange: and order['fee']['cost'] is not None ) - def calculate_fee_rate(self, order: Dict) -> Optional[float]: + def calculate_fee_rate( + self, fee: Dict, symbol: str, cost: float, amount: float) -> Optional[float]: """ Calculate fee rate if it's not given by the exchange. - :param order: Order or trade (one trade) dict + :param fee: ccxt Fee dict - must contain cost / currency / rate + :param symbol: Symbol of the order + :param cost: Total cost of the order + :param amount: Amount of the order """ - if order['fee'].get('rate') is not None: - return order['fee'].get('rate') - fee_curr = order['fee']['currency'] + if fee.get('rate') is not None: + return fee.get('rate') + fee_curr = fee.get('currency') + if fee_curr is None: + return None + fee_cost = fee['cost'] + if self._ft_has['fee_cost_in_contracts']: + # Convert cost via "contracts" conversion + fee_cost = self._contracts_to_amount(symbol, fee['cost']) + # Calculate fee based on order details - if fee_curr in self.get_pair_base_currency(order['symbol']): + if fee_curr == self.get_pair_base_currency(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']): + return round(fee['cost'] / amount, 8) + elif fee_curr == self.get_pair_quote_currency(symbol): # Quote currency - divide by cost - return round(self._contracts_to_amount( - order['symbol'], order['fee']['cost']) / order['cost'], - 8) if order['cost'] else None + return round(fee_cost / cost, 8) if cost else None else: # If Fee currency is a different currency - if not order['cost']: + if not cost: # If cost is None or 0.0 -> falsy, return None return None try: @@ -1663,19 +1672,28 @@ class Exchange: fee_to_quote_rate = self._config['exchange'].get('unknown_fee_rate', None) if not fee_to_quote_rate: return None - return round((self._contracts_to_amount( - order['symbol'], order['fee']['cost']) * fee_to_quote_rate) / order['cost'], 8) + return round((fee_cost * fee_to_quote_rate) / cost, 8) - def extract_cost_curr_rate(self, order: Dict) -> Tuple[float, str, Optional[float]]: + def extract_cost_curr_rate(self, fee: Dict, symbol: str, cost: float, + amount: float) -> 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 + :param fee: ccxt Fee dict - must contain cost / currency / rate + :param symbol: Symbol of the order + :param cost: Total cost of the order + :param amount: Amount of the order :return: Tuple with cost, currency, rate of the given fee dict """ - return (order['fee']['cost'], - order['fee']['currency'], - self.calculate_fee_rate(order)) + return (fee['cost'], + fee['currency'], + self.calculate_fee_rate( + fee, + symbol, + cost, + amount + ) + ) # Historic data diff --git a/freqtrade/exchange/gateio.py b/freqtrade/exchange/gateio.py index bf50167da..b9de212de 100644 --- a/freqtrade/exchange/gateio.py +++ b/freqtrade/exchange/gateio.py @@ -32,7 +32,8 @@ class Gateio(Exchange): } _ft_has_futures: Dict = { - "needs_trading_fees": True + "needs_trading_fees": True, + "fee_cost_in_contracts": False, # Set explicitly to false for clarity } _supported_trading_mode_margin_pairs: List[Tuple[TradingMode, MarginMode]] = [ diff --git a/freqtrade/exchange/okx.py b/freqtrade/exchange/okx.py index 012f51080..afd7a672f 100644 --- a/freqtrade/exchange/okx.py +++ b/freqtrade/exchange/okx.py @@ -28,6 +28,7 @@ class Okx(Exchange): } _ft_has_futures: Dict = { "tickers_have_quoteVolume": False, + "fee_cost_in_contracts": True, } _supported_trading_mode_margin_pairs: List[Tuple[TradingMode, MarginMode]] = [ diff --git a/freqtrade/freqtradebot.py b/freqtrade/freqtradebot.py index d1404807d..469bfda7e 100644 --- a/freqtrade/freqtradebot.py +++ b/freqtrade/freqtradebot.py @@ -1742,7 +1742,8 @@ class FreqtradeBot(LoggingMixin): trade_base_currency = self.exchange.get_pair_base_currency(trade.pair) # use fee from order-dict if possible if self.exchange.order_has_fee(order): - fee_cost, fee_currency, fee_rate = self.exchange.extract_cost_curr_rate(order) + fee_cost, fee_currency, fee_rate = self.exchange.extract_cost_curr_rate( + order['fee'], order['symbol'], order['cost'], order_obj.safe_filled) logger.info(f"Fee for Trade {trade} [{order_obj.ft_order_side}]: " f"{fee_cost:.8g} {fee_currency} - rate: {fee_rate}") if fee_rate is None or fee_rate < 0.02: @@ -1780,7 +1781,15 @@ class FreqtradeBot(LoggingMixin): for exectrade in trades: amount += exectrade['amount'] if self.exchange.order_has_fee(exectrade): - fee_cost_, fee_currency, fee_rate_ = self.exchange.extract_cost_curr_rate(exectrade) + # Prefer singular fee + fees = [exectrade['fee']] + else: + fees = exectrade.get('fees', []) + for fee in fees: + + fee_cost_, fee_currency, fee_rate_ = self.exchange.extract_cost_curr_rate( + fee, exectrade['symbol'], exectrade['cost'], exectrade['amount'] + ) fee_cost += fee_cost_ if fee_rate_ is not None: fee_rate_array.append(fee_rate_) diff --git a/freqtrade/persistence/trade_model.py b/freqtrade/persistence/trade_model.py index 324002685..5f302de71 100644 --- a/freqtrade/persistence/trade_model.py +++ b/freqtrade/persistence/trade_model.py @@ -821,7 +821,7 @@ class LocalTrade(): self.open_rate = total_stake / total_amount self.stake_amount = total_stake / (self.leverage or 1.0) self.amount = total_amount - self.fee_open_cost = self.fee_open * self.stake_amount + self.fee_open_cost = self.fee_open * total_stake self.recalc_open_trade_value() if self.stop_loss_pct is not None and self.open_rate is not None: self.adjust_stop_loss(self.open_rate, self.stop_loss_pct) diff --git a/requirements.txt b/requirements.txt index 2ccadea30..2bce619d3 100644 --- a/requirements.txt +++ b/requirements.txt @@ -2,7 +2,7 @@ numpy==1.23.0 pandas==1.4.3 pandas-ta==0.3.14b -ccxt==1.89.96 +ccxt==1.90.40 # Pin cryptography for now due to rust build errors with piwheels cryptography==37.0.2 aiohttp==3.8.1 diff --git a/tests/exchange/test_exchange.py b/tests/exchange/test_exchange.py index 708a0e889..acd48b3fd 100644 --- a/tests/exchange/test_exchange.py +++ b/tests/exchange/test_exchange.py @@ -3544,7 +3544,7 @@ def test_order_has_fee(order, expected) -> None: def test_extract_cost_curr_rate(mocker, default_conf, order, expected) -> None: mocker.patch('freqtrade.exchange.Exchange.calculate_fee_rate', MagicMock(return_value=0.01)) ex = get_patched_exchange(mocker, default_conf) - assert ex.extract_cost_curr_rate(order) == expected + assert ex.extract_cost_curr_rate(order['fee'], order['symbol'], cost=20, amount=1) == expected @pytest.mark.parametrize("order,unknown_fee_rate,expected", [ @@ -3582,6 +3582,9 @@ def test_extract_cost_curr_rate(mocker, default_conf, order, expected) -> None: 'fee': {'currency': 'POINT', 'cost': 2.0, 'rate': None}}, 1, 4.0), ({'symbol': 'POINT/BTC', 'amount': 0.04, 'cost': 0.5, 'fee': {'currency': 'POINT', 'cost': 2.0, 'rate': None}}, 2, 8.0), + # Missing currency + ({'symbol': 'ETH/BTC', 'amount': 0.04, 'cost': 0.05, + 'fee': {'currency': None, 'cost': 0.005}}, None, None), ]) def test_calculate_fee_rate(mocker, default_conf, order, expected, unknown_fee_rate) -> None: mocker.patch('freqtrade.exchange.Exchange.fetch_ticker', return_value={'last': 0.081}) @@ -3590,7 +3593,8 @@ def test_calculate_fee_rate(mocker, default_conf, order, expected, unknown_fee_r ex = get_patched_exchange(mocker, default_conf) - assert ex.calculate_fee_rate(order) == expected + assert ex.calculate_fee_rate(order['fee'], order['symbol'], + cost=order['cost'], amount=order['amount']) == expected @pytest.mark.parametrize('retrycount,max_retries,expected', [