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Merge pull request #8386 from freqtrade/feature/price_to_precision_round

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price to precision rounding
This commit is contained in:
Matthias
2023-03-31 07:20:10 +02:00
committed by GitHub
parent 6dfb1a1d14 159090c0e7
commit 5e13b48648
13 changed files with 145 additions and 88 deletions
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18
freqtrade/exchange/__init__.py
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@@ -8,15 +8,15 @@ from freqtrade.exchange.bitpanda import Bitpanda
from freqtrade.exchange.bittrex import Bittrex
from freqtrade.exchange.bybit import Bybit
from freqtrade.exchange.coinbasepro import Coinbasepro
from freqtrade.exchange.exchange_utils import (amount_to_contract_precision, amount_to_contracts,
amount_to_precision, available_exchanges,
ccxt_exchanges, contracts_to_amount,
date_minus_candles, is_exchange_known_ccxt,
market_is_active, price_to_precision,
timeframe_to_minutes, timeframe_to_msecs,
timeframe_to_next_date, timeframe_to_prev_date,
timeframe_to_seconds, validate_exchange,
validate_exchanges)
from freqtrade.exchange.exchange_utils import (ROUND_DOWN, ROUND_UP, amount_to_contract_precision,
amount_to_contracts, amount_to_precision,
available_exchanges, ccxt_exchanges,
contracts_to_amount, date_minus_candles,
is_exchange_known_ccxt, market_is_active,
price_to_precision, timeframe_to_minutes,
timeframe_to_msecs, timeframe_to_next_date,
timeframe_to_prev_date, timeframe_to_seconds,
validate_exchange, validate_exchanges)
from freqtrade.exchange.gate import Gate
from freqtrade.exchange.hitbtc import Hitbtc
from freqtrade.exchange.huobi import Huobi

31
freqtrade/exchange/exchange.py
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@@ -30,13 +30,14 @@ from freqtrade.exceptions import (DDosProtection, ExchangeError, InsufficientFun
RetryableOrderError, TemporaryError)
from freqtrade.exchange.common import (API_FETCH_ORDER_RETRY_COUNT, remove_credentials, retrier,
retrier_async)
from freqtrade.exchange.exchange_utils import (CcxtModuleType, amount_to_contract_precision,
amount_to_contracts, amount_to_precision,
contracts_to_amount, date_minus_candles,
is_exchange_known_ccxt, market_is_active,
price_to_precision, timeframe_to_minutes,
timeframe_to_msecs, timeframe_to_next_date,
timeframe_to_prev_date, timeframe_to_seconds)
from freqtrade.exchange.exchange_utils import (ROUND, ROUND_DOWN, ROUND_UP, CcxtModuleType,
amount_to_contract_precision, amount_to_contracts,
amount_to_precision, contracts_to_amount,
date_minus_candles, is_exchange_known_ccxt,
market_is_active, price_to_precision,
timeframe_to_minutes, timeframe_to_msecs,
timeframe_to_next_date, timeframe_to_prev_date,
timeframe_to_seconds)
from freqtrade.exchange.types import OHLCVResponse, OrderBook, Ticker, Tickers
from freqtrade.misc import (chunks, deep_merge_dicts, file_dump_json, file_load_json,
safe_value_fallback2)
@@ -734,12 +735,14 @@ class Exchange:
"""
return amount_to_precision(amount, self.get_precision_amount(pair), self.precisionMode)
def price_to_precision(self, pair: str, price: float) -> float:
def price_to_precision(self, pair: str, price: float, *, rounding_mode: int = ROUND) -> float:
"""
Returns the price rounded up to the precision the Exchange accepts.
Rounds up
Returns the price rounded to the precision the Exchange accepts.
The default price_rounding_mode in conf is ROUND.
For stoploss calculations, must use ROUND_UP for longs, and ROUND_DOWN for shorts.
"""
return price_to_precision(price, self.get_precision_price(pair), self.precisionMode)
return price_to_precision(price, self.get_precision_price(pair),
self.precisionMode, rounding_mode=rounding_mode)
def price_get_one_pip(self, pair: str, price: float) -> float:
"""
@@ -1185,12 +1188,12 @@ class Exchange:
user_order_type = order_types.get('stoploss', 'market')
ordertype, user_order_type = self._get_stop_order_type(user_order_type)
stop_price_norm = self.price_to_precision(pair, stop_price)
round_mode = ROUND_DOWN if side == 'buy' else ROUND_UP
stop_price_norm = self.price_to_precision(pair, stop_price, rounding_mode=round_mode)
limit_rate = None
if user_order_type == 'limit':
limit_rate = self._get_stop_limit_rate(stop_price, order_types, side)
limit_rate = self.price_to_precision(pair, limit_rate)
limit_rate = self.price_to_precision(pair, limit_rate, rounding_mode=round_mode)
if self._config['dry_run']:
dry_order = self.create_dry_run_order(

51
freqtrade/exchange/exchange_utils.py
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@@ -2,11 +2,12 @@
Exchange support utils
"""
from datetime import datetime, timedelta, timezone
from math import ceil
from math import ceil, floor
from typing import Any, Dict, List, Optional, Tuple
import ccxt
from ccxt import ROUND_DOWN, ROUND_UP, TICK_SIZE, TRUNCATE, decimal_to_precision
from ccxt import (DECIMAL_PLACES, ROUND, ROUND_DOWN, ROUND_UP, SIGNIFICANT_DIGITS, TICK_SIZE,
TRUNCATE, decimal_to_precision)
from freqtrade.exchange.common import BAD_EXCHANGES, EXCHANGE_HAS_OPTIONAL, EXCHANGE_HAS_REQUIRED
from freqtrade.util import FtPrecise
@@ -219,35 +220,51 @@ def amount_to_contract_precision(
return amount
def price_to_precision(price: float, price_precision: Optional[float],
precisionMode: Optional[int]) -> float:
def price_to_precision(
price: float,
price_precision: Optional[float],
precisionMode: Optional[int],
*,
rounding_mode: int = ROUND,
) -> float:
"""
Returns the price rounded up to the precision the Exchange accepts.
Returns the price rounded to the precision the Exchange accepts.
Partial Re-implementation of ccxt internal method decimal_to_precision(),
which does not support rounding up
which does not support rounding up.
For stoploss calculations, must use ROUND_UP for longs, and ROUND_DOWN for shorts.
TODO: If ccxt supports ROUND_UP for decimal_to_precision(), we could remove this and
align with amount_to_precision().
!!! Rounds up
:param price: price to convert
:param price_precision: price precision to use. Used from markets[pair]['precision']['price']
:param precisionMode: precision mode to use. Should be used from precisionMode
one of ccxt's DECIMAL_PLACES, SIGNIFICANT_DIGITS, or TICK_SIZE
:param rounding_mode: rounding mode to use. Defaults to ROUND
:return: price rounded up to the precision the Exchange accepts
"""
if price_precision is not None and precisionMode is not None:
# price = float(decimal_to_precision(price, rounding_mode=ROUND,
# precision=price_precision,
# counting_mode=self.precisionMode,
# ))
if precisionMode == TICK_SIZE:
if rounding_mode == ROUND:
ticks = price / price_precision
rounded_ticks = round(ticks)
return rounded_ticks * price_precision
precision = FtPrecise(price_precision)
price_str = FtPrecise(price)
missing = price_str % precision
if not missing == FtPrecise("0"):
price = round(float(str(price_str - missing + precision)), 14)
else:
symbol_prec = price_precision
big_price = price * pow(10, symbol_prec)
price = ceil(big_price) / pow(10, symbol_prec)
return round(float(str(price_str - missing + precision)), 14)
return price
elif precisionMode in (SIGNIFICANT_DIGITS, DECIMAL_PLACES):
ndigits = round(price_precision)
if rounding_mode == ROUND:
return round(price, ndigits)
ticks = price * (10**ndigits)
if rounding_mode == ROUND_UP:
return ceil(ticks) / (10**ndigits)
if rounding_mode == TRUNCATE:
return int(ticks) / (10**ndigits)
if rounding_mode == ROUND_DOWN:
return floor(ticks) / (10**ndigits)
raise ValueError(f"Unknown rounding_mode {rounding_mode}")
raise ValueError(f"Unknown precisionMode {precisionMode}")
return price

6
freqtrade/exchange/kraken.py
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@@ -12,6 +12,7 @@ from freqtrade.exceptions import (DDosProtection, InsufficientFundsError, Invali
OperationalException, TemporaryError)
from freqtrade.exchange import Exchange
from freqtrade.exchange.common import retrier
from freqtrade.exchange.exchange_utils import ROUND_DOWN, ROUND_UP
from freqtrade.exchange.types import Tickers
@@ -109,6 +110,7 @@ class Kraken(Exchange):
if self.trading_mode == TradingMode.FUTURES:
params.update({'reduceOnly': True})
round_mode = ROUND_DOWN if side == 'buy' else ROUND_UP
if order_types.get('stoploss', 'market') == 'limit':
ordertype = "stop-loss-limit"
limit_price_pct = order_types.get('stoploss_on_exchange_limit_ratio', 0.99)
@@ -116,11 +118,11 @@ class Kraken(Exchange):
limit_rate = stop_price * limit_price_pct
else:
limit_rate = stop_price * (2 - limit_price_pct)
params['price2'] = self.price_to_precision(pair, limit_rate)
params['price2'] = self.price_to_precision(pair, limit_rate, rounding_mode=round_mode)
else:
ordertype = "stop-loss"
stop_price = self.price_to_precision(pair, stop_price)
stop_price = self.price_to_precision(pair, stop_price, rounding_mode=round_mode)
if self._config['dry_run']:
dry_order = self.create_dry_run_order(