adelorenzo/stable
1
0
Fork 0
Code Issues Pull Requests Packages Projects Releases Wiki Activity

Merge pull request #2779 from freqtrade/stoploss_market

Browse Source 
Stoploss on exchange for Kraken
This commit is contained in:
hroff-1902
2020-02-02 14:48:45 +03:00
committed by GitHub
parent c1897fbc48 d64751687b
commit 6594679e52
12 changed files with 264 additions and 75 deletions
Download Patch File Download Diff File Expand all files Collapse all files

18
freqtrade/exchange/binance.py
View File

@@ -32,13 +32,23 @@ class Binance(Exchange):
return super().get_order_book(pair, limit)
def stoploss_limit(self, pair: str, amount: float, stop_price: float, rate: float) -> Dict:
def stoploss_adjust(self, stop_loss: float, order: Dict) -> bool:
"""
Verify stop_loss against stoploss-order value (limit or price)
Returns True if adjustment is necessary.
"""
return order['type'] == 'stop_loss_limit' and stop_loss > float(order['info']['stopPrice'])
def stoploss(self, pair: str, amount: float, stop_price: float, order_types: Dict) -> Dict:
"""
creates a stoploss limit order.
this stoploss-limit is binance-specific.
It may work with a limited number of other exchanges, but this has not been tested yet.
"""
# Limit price threshold: As limit price should always be below stop-price
limit_price_pct = order_types.get('stoploss_on_exchange_limit_ratio', 0.99)
rate = stop_price * limit_price_pct
ordertype = "stop_loss_limit"
stop_price = self.price_to_precision(pair, stop_price)
@@ -61,8 +71,8 @@ class Binance(Exchange):
rate = self.price_to_precision(pair, rate)
order = self._api.create_order(pair, ordertype, 'sell',
amount, rate, params)
order = self._api.create_order(symbol=pair, type=ordertype, side='sell',
amount=amount, price=stop_price, params=params)
logger.info('stoploss limit order added for %s. '
'stop price: %s. limit: %s', pair, stop_price, rate)
return order

20
freqtrade/exchange/exchange.py
View File

@@ -282,8 +282,8 @@ class Exchange:
quote_currencies = self.get_quote_currencies()
if stake_currency not in quote_currencies:
raise OperationalException(
f"{stake_currency} is not available as stake on {self.name}. "
f"Available currencies are: {', '.join(quote_currencies)}")
f"{stake_currency} is not available as stake on {self.name}. "
f"Available currencies are: {', '.join(quote_currencies)}")
def validate_pairs(self, pairs: List[str]) -> None:
"""
@@ -460,7 +460,7 @@ class Exchange:
"status": "closed",
"filled": closed_order["amount"],
"remaining": 0
})
})
if closed_order["type"] in ["stop_loss_limit"]:
closed_order["info"].update({"stopPrice": closed_order["price"]})
self._dry_run_open_orders[closed_order["id"]] = closed_order
@@ -519,9 +519,17 @@ class Exchange:
return self.create_order(pair, ordertype, 'sell', amount, rate, params)
def stoploss_limit(self, pair: str, amount: float, stop_price: float, rate: float) -> Dict:
def stoploss_adjust(self, stop_loss: float, order: Dict) -> bool:
"""
creates a stoploss limit order.
Verify stop_loss against stoploss-order value (limit or price)
Returns True if adjustment is necessary.
"""
raise OperationalException(f"stoploss is not implemented for {self.name}.")
def stoploss(self, pair: str, amount: float, stop_price: float, order_types: Dict) -> Dict:
"""
creates a stoploss order.
The precise ordertype is determined by the order_types dict or exchange default.
Since ccxt does not unify stoploss-limit orders yet, this needs to be implemented in each
exchange's subclass.
The exception below should never raise, since we disallow
@@ -529,7 +537,7 @@ class Exchange:
Note: Changes to this interface need to be applied to all sub-classes too.
"""
raise OperationalException(f"stoploss_limit is not implemented for {self.name}.")
raise OperationalException(f"stoploss is not implemented for {self.name}.")
@retrier
def get_balance(self, currency: str) -> float:

52
freqtrade/exchange/kraken.py
View File

@@ -4,7 +4,8 @@ from typing import Dict
import ccxt
from freqtrade.exceptions import OperationalException, TemporaryError
from freqtrade.exceptions import (DependencyException, InvalidOrderException,
OperationalException, TemporaryError)
from freqtrade.exchange import Exchange
from freqtrade.exchange.exchange import retrier
@@ -15,6 +16,7 @@ class Kraken(Exchange):
_params: Dict = {"trading_agreement": "agree"}
_ft_has: Dict = {
"stoploss_on_exchange": True,
"trades_pagination": "id",
"trades_pagination_arg": "since",
}
@@ -48,3 +50,51 @@ class Kraken(Exchange):
f'Could not get balance due to {e.__class__.__name__}. Message: {e}') from e
except ccxt.BaseError as e:
raise OperationalException(e) from e
def stoploss_adjust(self, stop_loss: float, order: Dict) -> bool:
"""
Verify stop_loss against stoploss-order value (limit or price)
Returns True if adjustment is necessary.
"""
return order['type'] == 'stop-loss' and stop_loss > float(order['price'])
def stoploss(self, pair: str, amount: float, stop_price: float, order_types: Dict) -> Dict:
"""
Creates a stoploss market order.
Stoploss market orders is the only stoploss type supported by kraken.
"""
ordertype = "stop-loss"
stop_price = self.price_to_precision(pair, stop_price)
if self._config['dry_run']:
dry_order = self.dry_run_order(
pair, ordertype, "sell", amount, stop_price)
return dry_order
try:
params = self._params.copy()
amount = self.amount_to_precision(pair, amount)
order = self._api.create_order(symbol=pair, type=ordertype, side='sell',
amount=amount, price=stop_price, params=params)
logger.info('stoploss order added for %s. '
'stop price: %s.', pair, stop_price)
return order
except ccxt.InsufficientFunds as e:
raise DependencyException(
f'Insufficient funds to create {ordertype} sell order on market {pair}.'
f'Tried to create stoploss with amount {amount} at stoploss {stop_price}. '
f'Message: {e}') from e
except ccxt.InvalidOrder as e:
raise InvalidOrderException(
f'Could not create {ordertype} sell order on market {pair}. '
f'Tried to create stoploss with amount {amount} at stoploss {stop_price}. '
f'Message: {e}') from e
except (ccxt.NetworkError, ccxt.ExchangeError) as e:
raise TemporaryError(
f'Could not place sell order due to {e.__class__.__name__}. Message: {e}') from e
except ccxt.BaseError as e:
raise OperationalException(e) from e

12
freqtrade/freqtradebot.py
View File

@@ -658,13 +658,10 @@ class FreqtradeBot:
Force-sells the pair (using EmergencySell reason) in case of Problems creating the order.
:return: True if the order succeeded, and False in case of problems.
"""
# Limit price threshold: As limit price should always be below stop-price
LIMIT_PRICE_PCT = self.strategy.order_types.get('stoploss_on_exchange_limit_ratio', 0.99)
try:
stoploss_order = self.exchange.stoploss_limit(pair=trade.pair, amount=trade.amount,
stop_price=stop_price,
rate=rate * LIMIT_PRICE_PCT)
stoploss_order = self.exchange.stoploss(pair=trade.pair, amount=trade.amount,
stop_price=stop_price,
order_types=self.strategy.order_types)
trade.stoploss_order_id = str(stoploss_order['id'])
return True
except InvalidOrderException as e:
@@ -743,8 +740,7 @@ class FreqtradeBot:
:param order: Current on exchange stoploss order
:return: None
"""
if trade.stop_loss > float(order['info']['stopPrice']):
if self.exchange.stoploss_adjust(trade.stop_loss, order):
# we check if the update is neccesary
update_beat = self.strategy.order_types.get('stoploss_on_exchange_interval', 60)
if (datetime.utcnow() - trade.stoploss_last_update).total_seconds() >= update_beat: