Merge branch 'develop' of https://github.com/freqtrade/freqtrade into order_creation
This commit is contained in:
iuvbio
commit
71774bce6f
23
docs/faq.md
23
docs/faq.md
@ -1,4 +1,6 @@
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# freqtrade FAQ
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||||
# Freqtrade FAQ
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||||
|
||||
### Freqtrade commons
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||||
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||||
#### I have waited 5 minutes, why hasn't the bot made any trades yet?!
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||||
|
||||
@ -34,7 +36,9 @@ perform anymore BUYS?
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||||
|
||||
You can use the `/forcesell all` command from Telegram.
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||||
|
||||
### How many epoch do I need to get a good Hyperopt result?
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||||
### Hyperopt module
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||||
|
||||
#### How many epoch do I need to get a good Hyperopt result?
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||||
Per default Hyperopts without `-e` or `--epochs` parameter will only
|
||||
run 100 epochs, means 100 evals of your triggers, guards, .... Too few
|
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to find a great result (unless if you are very lucky), so you probably
|
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@ -68,3 +72,18 @@ but it will give the idea. With only these triggers and guards there is
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||||
already 8*10^9*10 evaluations. A roughly total of 80 billion evals.
|
||||
Did you run 100 000 evals? Congrats, you've done roughly 1 / 100 000 th
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||||
of the search space.
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||||
|
||||
### Edge module
|
||||
|
||||
#### Edge implements interesting approach for controlling position size, is there any theory behind it?
|
||||
|
||||
The Edge module is mostly a result of brainstorming of [@mishaker](https://github.com/mishaker) and [@creslinux](https://github.com/creslinux) freqtrade team members.
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||||
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||||
You can find further info on expectancy, winrate, risk management and position size in the following sources:
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||||
* https://www.tradeciety.com/ultimate-math-guide-for-traders/
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||||
* http://www.vantharp.com/tharp-concepts/expectancy.asp
|
||||
* https://samuraitradingacademy.com/trading-expectancy/
|
||||
* https://www.learningmarkets.com/determining-expectancy-in-your-trading/
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||||
* http://www.lonestocktrader.com/make-money-trading-positive-expectancy/
|
||||
* https://www.babypips.com/trading/trade-expectancy-matter
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||||
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||||
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@ -1,688 +1,2 @@
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# pragma pylint: disable=W0603
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||||
""" Cryptocurrency Exchanges support """
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||||
import logging
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||||
import inspect
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||||
from random import randint
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||||
from typing import List, Dict, Tuple, Any, Optional
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||||
from datetime import datetime
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||||
from math import floor, ceil
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||||
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||||
import arrow
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||||
import asyncio
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||||
import ccxt
|
||||
import ccxt.async_support as ccxt_async
|
||||
from pandas import DataFrame
|
||||
|
||||
from freqtrade import constants, OperationalException, DependencyException, TemporaryError
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from freqtrade.data.converter import parse_ticker_dataframe
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||||
logger = logging.getLogger(__name__)
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||||
|
||||
API_RETRY_COUNT = 4
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||||
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||||
|
||||
# Urls to exchange markets, insert quote and base with .format()
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_EXCHANGE_URLS = {
|
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ccxt.bittrex.__name__: '/Market/Index?MarketName={quote}-{base}',
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ccxt.binance.__name__: '/tradeDetail.html?symbol={base}_{quote}'
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||||
}
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||||
|
||||
|
||||
def retrier_async(f):
|
||||
async def wrapper(*args, **kwargs):
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count = kwargs.pop('count', API_RETRY_COUNT)
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try:
|
||||
return await f(*args, **kwargs)
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||||
except (TemporaryError, DependencyException) as ex:
|
||||
logger.warning('%s() returned exception: "%s"', f.__name__, ex)
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||||
if count > 0:
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||||
count -= 1
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kwargs.update({'count': count})
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||||
logger.warning('retrying %s() still for %s times', f.__name__, count)
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||||
return await wrapper(*args, **kwargs)
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||||
else:
|
||||
logger.warning('Giving up retrying: %s()', f.__name__)
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||||
raise ex
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||||
return wrapper
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|
||||
def retrier(f):
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def wrapper(*args, **kwargs):
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count = kwargs.pop('count', API_RETRY_COUNT)
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||||
try:
|
||||
return f(*args, **kwargs)
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||||
except (TemporaryError, DependencyException) as ex:
|
||||
logger.warning('%s() returned exception: "%s"', f.__name__, ex)
|
||||
if count > 0:
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||||
count -= 1
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kwargs.update({'count': count})
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logger.warning('retrying %s() still for %s times', f.__name__, count)
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||||
return wrapper(*args, **kwargs)
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||||
else:
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||||
logger.warning('Giving up retrying: %s()', f.__name__)
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raise ex
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return wrapper
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class Exchange(object):
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_conf: Dict = {}
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||||
_params: Dict = {}
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def __init__(self, config: dict) -> None:
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||||
"""
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||||
Initializes this module with the given config,
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||||
it does basic validation whether the specified
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||||
exchange and pairs are valid.
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||||
:return: None
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||||
"""
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self._conf.update(config)
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self._cached_ticker: Dict[str, Any] = {}
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# Holds last candle refreshed time of each pair
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self._pairs_last_refresh_time: Dict[Tuple[str, str], int] = {}
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# Holds candles
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self._klines: Dict[Tuple[str, str], DataFrame] = {}
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# Holds all open sell orders for dry_run
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self._dry_run_open_orders: Dict[str, Any] = {}
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||||
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if config['dry_run']:
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logger.info('Instance is running with dry_run enabled')
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exchange_config = config['exchange']
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self._api: ccxt.Exchange = self._init_ccxt(
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exchange_config, ccxt_kwargs=exchange_config.get('ccxt_config'))
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self._api_async: ccxt_async.Exchange = self._init_ccxt(
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exchange_config, ccxt_async, ccxt_kwargs=exchange_config.get('ccxt_async_config'))
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logger.info('Using Exchange "%s"', self.name)
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self.markets = self._load_markets()
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# Check if all pairs are available
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self.validate_pairs(config['exchange']['pair_whitelist'])
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self.validate_ordertypes(config.get('order_types', {}))
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self.validate_order_time_in_force(config.get('order_time_in_force', {}))
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if config.get('ticker_interval'):
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# Check if timeframe is available
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self.validate_timeframes(config['ticker_interval'])
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def __del__(self):
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"""
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Destructor - clean up async stuff
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"""
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logger.debug("Exchange object destroyed, closing async loop")
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if self._api_async and inspect.iscoroutinefunction(self._api_async.close):
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asyncio.get_event_loop().run_until_complete(self._api_async.close())
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def _init_ccxt(self, exchange_config: dict, ccxt_module=ccxt,
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ccxt_kwargs: dict = None) -> ccxt.Exchange:
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"""
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Initialize ccxt with given config and return valid
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||||
ccxt instance.
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"""
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# Find matching class for the given exchange name
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name = exchange_config['name']
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if name not in ccxt_module.exchanges:
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raise OperationalException(f'Exchange {name} is not supported')
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||||
ex_config = {
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'apiKey': exchange_config.get('key'),
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'secret': exchange_config.get('secret'),
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||||
'password': exchange_config.get('password'),
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||||
'uid': exchange_config.get('uid', ''),
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||||
'enableRateLimit': exchange_config.get('ccxt_rate_limit', True)
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||||
}
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||||
if ccxt_kwargs:
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logger.info('Applying additional ccxt config: %s', ccxt_kwargs)
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||||
ex_config.update(ccxt_kwargs)
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||||
try:
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||||
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||||
api = getattr(ccxt_module, name.lower())(ex_config)
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||||
except (KeyError, AttributeError):
|
||||
raise OperationalException(f'Exchange {name} is not supported')
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||||
|
||||
self.set_sandbox(api, exchange_config, name)
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||||
|
||||
return api
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||||
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||||
@property
|
||||
def name(self) -> str:
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||||
"""exchange Name (from ccxt)"""
|
||||
return self._api.name
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||||
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||||
@property
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||||
def id(self) -> str:
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||||
"""exchange ccxt id"""
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||||
return self._api.id
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||||
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||||
def klines(self, pair_interval: Tuple[str, str], copy=True) -> DataFrame:
|
||||
if pair_interval in self._klines:
|
||||
return self._klines[pair_interval].copy() if copy else self._klines[pair_interval]
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||||
else:
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||||
return DataFrame()
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||||
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||||
def set_sandbox(self, api, exchange_config: dict, name: str):
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||||
if exchange_config.get('sandbox'):
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||||
if api.urls.get('test'):
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api.urls['api'] = api.urls['test']
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logger.info("Enabled Sandbox API on %s", name)
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else:
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||||
logger.warning(name, "No Sandbox URL in CCXT, exiting. "
|
||||
"Please check your config.json")
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||||
raise OperationalException(f'Exchange {name} does not provide a sandbox api')
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||||
|
||||
def _load_async_markets(self) -> None:
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||||
try:
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||||
if self._api_async:
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||||
asyncio.get_event_loop().run_until_complete(self._api_async.load_markets())
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||||
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||||
except ccxt.BaseError as e:
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||||
logger.warning('Could not load async markets. Reason: %s', e)
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||||
return
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||||
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||||
def _load_markets(self) -> Dict[str, Any]:
|
||||
""" Initialize markets both sync and async """
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||||
try:
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||||
markets = self._api.load_markets()
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||||
self._load_async_markets()
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||||
return markets
|
||||
except ccxt.BaseError as e:
|
||||
logger.warning('Unable to initialize markets. Reason: %s', e)
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||||
return {}
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||||
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||||
def validate_pairs(self, pairs: List[str]) -> None:
|
||||
"""
|
||||
Checks if all given pairs are tradable on the current exchange.
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||||
Raises OperationalException if one pair is not available.
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||||
:param pairs: list of pairs
|
||||
:return: None
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||||
"""
|
||||
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||||
if not self.markets:
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||||
logger.warning('Unable to validate pairs (assuming they are correct).')
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||||
# return
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||||
|
||||
stake_cur = self._conf['stake_currency']
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||||
for pair in pairs:
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||||
# Note: ccxt has BaseCurrency/QuoteCurrency format for pairs
|
||||
# TODO: add a support for having coins in BTC/USDT format
|
||||
if not pair.endswith(stake_cur):
|
||||
raise OperationalException(
|
||||
f'Pair {pair} not compatible with stake_currency: {stake_cur}')
|
||||
if self.markets and pair not in self.markets:
|
||||
raise OperationalException(
|
||||
f'Pair {pair} is not available at {self.name}'
|
||||
f'Please remove {pair} from your whitelist.')
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||||
|
||||
def validate_timeframes(self, timeframe: List[str]) -> None:
|
||||
"""
|
||||
Checks if ticker interval from config is a supported timeframe on the exchange
|
||||
"""
|
||||
timeframes = self._api.timeframes
|
||||
if timeframe not in timeframes:
|
||||
raise OperationalException(
|
||||
f'Invalid ticker {timeframe}, this Exchange supports {timeframes}')
|
||||
|
||||
def validate_ordertypes(self, order_types: Dict) -> None:
|
||||
"""
|
||||
Checks if order-types configured in strategy/config are supported
|
||||
"""
|
||||
if any(v == 'market' for k, v in order_types.items()):
|
||||
if not self.exchange_has('createMarketOrder'):
|
||||
raise OperationalException(
|
||||
f'Exchange {self.name} does not support market orders.')
|
||||
|
||||
if order_types.get('stoploss_on_exchange'):
|
||||
if self.name != 'Binance':
|
||||
raise OperationalException(
|
||||
'On exchange stoploss is not supported for %s.' % self.name
|
||||
)
|
||||
|
||||
def validate_order_time_in_force(self, order_time_in_force: Dict) -> None:
|
||||
"""
|
||||
Checks if order time in force configured in strategy/config are supported
|
||||
"""
|
||||
if any(v != 'gtc' for k, v in order_time_in_force.items()):
|
||||
if self.name != 'Binance':
|
||||
raise OperationalException(
|
||||
f'Time in force policies are not supporetd for {self.name} yet.')
|
||||
|
||||
def exchange_has(self, endpoint: str) -> bool:
|
||||
"""
|
||||
Checks if exchange implements a specific API endpoint.
|
||||
Wrapper around ccxt 'has' attribute
|
||||
:param endpoint: Name of endpoint (e.g. 'fetchOHLCV', 'fetchTickers')
|
||||
:return: bool
|
||||
"""
|
||||
return endpoint in self._api.has and self._api.has[endpoint]
|
||||
|
||||
def symbol_amount_prec(self, pair, amount: float):
|
||||
'''
|
||||
Returns the amount to buy or sell to a precision the Exchange accepts
|
||||
Rounded down
|
||||
'''
|
||||
if self._api.markets[pair]['precision']['amount']:
|
||||
symbol_prec = self._api.markets[pair]['precision']['amount']
|
||||
big_amount = amount * pow(10, symbol_prec)
|
||||
amount = floor(big_amount) / pow(10, symbol_prec)
|
||||
return amount
|
||||
|
||||
def symbol_price_prec(self, pair, price: float):
|
||||
'''
|
||||
Returns the price buying or selling with to the precision the Exchange accepts
|
||||
Rounds up
|
||||
'''
|
||||
if self._api.markets[pair]['precision']['price']:
|
||||
symbol_prec = self._api.markets[pair]['precision']['price']
|
||||
big_price = price * pow(10, symbol_prec)
|
||||
price = ceil(big_price) / pow(10, symbol_prec)
|
||||
return price
|
||||
|
||||
def dry_run_order(self, pair: str, ordertype: str, side: str, amount: float,
|
||||
rate: float, params: Dict = {}) -> Dict[str, Any]:
|
||||
order_id = f'dry_run_{side}_{randint(0, 10**6)}'
|
||||
dry_order = { # TODO: additional entry should be added for stoploss limit
|
||||
"id": order_id,
|
||||
'pair': pair,
|
||||
'price': rate,
|
||||
'amount': amount,
|
||||
'type': ordertype,
|
||||
'side': 'buy',
|
||||
'remaining': 0.0,
|
||||
'datetime': arrow.utcnow().isoformat(),
|
||||
'status': 'closed',
|
||||
'fee': None
|
||||
}
|
||||
return dry_order
|
||||
|
||||
def create_order(self, pair: str, ordertype: str, side: str, amount: float,
|
||||
rate: float, params: Dict = {}) -> Dict:
|
||||
try:
|
||||
# Set the precision for amount and price(rate) as accepted by the exchange
|
||||
amount = self.symbol_amount_prec(pair, amount)
|
||||
rate = self.symbol_price_prec(pair, rate) if ordertype != 'market' else None
|
||||
|
||||
return self._api.create_order(pair, ordertype, side,
|
||||
amount, rate, params)
|
||||
|
||||
except ccxt.InsufficientFunds as e:
|
||||
raise DependencyException(
|
||||
f'Insufficient funds to create {ordertype} {side} order on market {pair}.'
|
||||
f'Tried to {side} amount {amount} at rate {rate} (total {rate*amount}).'
|
||||
f'Message: {e}')
|
||||
except ccxt.InvalidOrder as e:
|
||||
raise DependencyException(
|
||||
f'Could not create {ordertype} {side} order on market {pair}.'
|
||||
f'Tried to {side} amount {amount} at rate {rate} (total {rate*amount}).'
|
||||
f'Message: {e}')
|
||||
except (ccxt.NetworkError, ccxt.ExchangeError) as e:
|
||||
raise TemporaryError(
|
||||
f'Could not place {side} order due to {e.__class__.__name__}. Message: {e}')
|
||||
except ccxt.BaseError as e:
|
||||
raise OperationalException(e)
|
||||
|
||||
def buy(self, pair: str, ordertype: str, amount: float,
|
||||
rate: float, time_in_force) -> Dict:
|
||||
|
||||
if self._conf['dry_run']:
|
||||
dry_order = self.dry_run_order(pair, ordertype, "buy", amount, rate)
|
||||
self._dry_run_open_orders[dry_order["id"]] = dry_order
|
||||
return {"id": dry_order["id"]}
|
||||
|
||||
params = self._params.copy()
|
||||
if time_in_force != 'gtc':
|
||||
params.update({'timeInForce': time_in_force})
|
||||
|
||||
return self.create_order(pair, ordertype, 'buy', amount, rate, params)
|
||||
|
||||
def sell(self, pair: str, ordertype: str, amount: float,
|
||||
rate: float, time_in_force='gtc') -> Dict:
|
||||
|
||||
if self._conf['dry_run']:
|
||||
dry_order = self.dry_run_order(pair, ordertype, "sell", amount, rate)
|
||||
self._dry_run_open_orders[dry_order["id"]] = dry_order
|
||||
return {"id": dry_order["id"]}
|
||||
|
||||
params = self._params.copy()
|
||||
if time_in_force != 'gtc':
|
||||
params.update({'timeInForce': time_in_force})
|
||||
|
||||
return self.create_order(pair, ordertype, 'sell', amount, rate, params)
|
||||
|
||||
def stoploss_limit(self, pair: str, amount: float, stop_price: float, rate: float) -> Dict:
|
||||
"""
|
||||
creates a stoploss limit order.
|
||||
NOTICE: it is not supported by all exchanges. only binance is tested for now.
|
||||
"""
|
||||
ordertype = "stop_loss_limit"
|
||||
|
||||
stop_price = self.symbol_price_prec(pair, stop_price)
|
||||
|
||||
# Ensure rate is less than stop price
|
||||
if stop_price <= rate:
|
||||
raise OperationalException(
|
||||
'In stoploss limit order, stop price should be more than limit price')
|
||||
|
||||
if self._conf['dry_run']:
|
||||
dry_order = self.dry_run_order(
|
||||
pair, ordertype, "sell", amount, stop_price)
|
||||
dry_order.update({"info": {}, "remaining": amount, "status": "open"})
|
||||
self._dry_run_open_orders[dry_order["id"]] = dry_order
|
||||
return dry_order
|
||||
|
||||
params = self._params.copy()
|
||||
params.update({'stopPrice': stop_price})
|
||||
|
||||
order = self.create_order(pair, ordertype, 'sell', amount, rate, params)
|
||||
logger.info('stoploss limit order added for %s. '
|
||||
'stop price: %s. limit: %s' % (pair, stop_price, rate))
|
||||
return order
|
||||
|
||||
@retrier
|
||||
def get_balance(self, currency: str) -> float:
|
||||
if self._conf['dry_run']:
|
||||
return 999.9
|
||||
|
||||
# ccxt exception is already handled by get_balances
|
||||
balances = self.get_balances()
|
||||
balance = balances.get(currency)
|
||||
if balance is None:
|
||||
raise TemporaryError(
|
||||
f'Could not get {currency} balance due to malformed exchange response: {balances}')
|
||||
return balance['free']
|
||||
|
||||
@retrier
|
||||
def get_balances(self) -> dict:
|
||||
if self._conf['dry_run']:
|
||||
return {}
|
||||
|
||||
try:
|
||||
balances = self._api.fetch_balance()
|
||||
# Remove additional info from ccxt results
|
||||
balances.pop("info", None)
|
||||
balances.pop("free", None)
|
||||
balances.pop("total", None)
|
||||
balances.pop("used", None)
|
||||
|
||||
return balances
|
||||
except (ccxt.NetworkError, ccxt.ExchangeError) as e:
|
||||
raise TemporaryError(
|
||||
f'Could not get balance due to {e.__class__.__name__}. Message: {e}')
|
||||
except ccxt.BaseError as e:
|
||||
raise OperationalException(e)
|
||||
|
||||
@retrier
|
||||
def get_tickers(self) -> Dict:
|
||||
try:
|
||||
return self._api.fetch_tickers()
|
||||
except ccxt.NotSupported as e:
|
||||
raise OperationalException(
|
||||
f'Exchange {self._api.name} does not support fetching tickers in batch.'
|
||||
f'Message: {e}')
|
||||
except (ccxt.NetworkError, ccxt.ExchangeError) as e:
|
||||
raise TemporaryError(
|
||||
f'Could not load tickers due to {e.__class__.__name__}. Message: {e}')
|
||||
except ccxt.BaseError as e:
|
||||
raise OperationalException(e)
|
||||
|
||||
@retrier
|
||||
def get_ticker(self, pair: str, refresh: Optional[bool] = True) -> dict:
|
||||
if refresh or pair not in self._cached_ticker.keys():
|
||||
try:
|
||||
if pair not in self._api.markets:
|
||||
raise DependencyException(f"Pair {pair} not available")
|
||||
data = self._api.fetch_ticker(pair)
|
||||
try:
|
||||
self._cached_ticker[pair] = {
|
||||
'bid': float(data['bid']),
|
||||
'ask': float(data['ask']),
|
||||
}
|
||||
except KeyError:
|
||||
logger.debug("Could not cache ticker data for %s", pair)
|
||||
return data
|
||||
except (ccxt.NetworkError, ccxt.ExchangeError) as e:
|
||||
raise TemporaryError(
|
||||
f'Could not load ticker due to {e.__class__.__name__}. Message: {e}')
|
||||
except ccxt.BaseError as e:
|
||||
raise OperationalException(e)
|
||||
else:
|
||||
logger.info("returning cached ticker-data for %s", pair)
|
||||
return self._cached_ticker[pair]
|
||||
|
||||
def get_history(self, pair: str, tick_interval: str,
|
||||
since_ms: int) -> List:
|
||||
"""
|
||||
Gets candle history using asyncio and returns the list of candles.
|
||||
Handles all async doing.
|
||||
"""
|
||||
return asyncio.get_event_loop().run_until_complete(
|
||||
self._async_get_history(pair=pair, tick_interval=tick_interval,
|
||||
since_ms=since_ms))
|
||||
|
||||
async def _async_get_history(self, pair: str,
|
||||
tick_interval: str,
|
||||
since_ms: int) -> List:
|
||||
# Assume exchange returns 500 candles
|
||||
_LIMIT = 500
|
||||
|
||||
one_call = constants.TICKER_INTERVAL_MINUTES[tick_interval] * 60 * _LIMIT * 1000
|
||||
logger.debug("one_call: %s", one_call)
|
||||
input_coroutines = [self._async_get_candle_history(
|
||||
pair, tick_interval, since) for since in
|
||||
range(since_ms, arrow.utcnow().timestamp * 1000, one_call)]
|
||||
|
||||
tickers = await asyncio.gather(*input_coroutines, return_exceptions=True)
|
||||
|
||||
# Combine tickers
|
||||
data: List = []
|
||||
for p, ticker_interval, ticker in tickers:
|
||||
if p == pair:
|
||||
data.extend(ticker)
|
||||
# Sort data again after extending the result - above calls return in "async order"
|
||||
data = sorted(data, key=lambda x: x[0])
|
||||
logger.info("downloaded %s with length %s.", pair, len(data))
|
||||
return data
|
||||
|
||||
def refresh_latest_ohlcv(self, pair_list: List[Tuple[str, str]]) -> List[Tuple[str, List]]:
|
||||
"""
|
||||
Refresh in-memory ohlcv asyncronously and set `_klines` with the result
|
||||
"""
|
||||
logger.debug("Refreshing ohlcv data for %d pairs", len(pair_list))
|
||||
|
||||
input_coroutines = []
|
||||
|
||||
# Gather coroutines to run
|
||||
for pair, ticker_interval in set(pair_list):
|
||||
if (not ((pair, ticker_interval) in self._klines)
|
||||
or self._now_is_time_to_refresh(pair, ticker_interval)):
|
||||
input_coroutines.append(self._async_get_candle_history(pair, ticker_interval))
|
||||
else:
|
||||
logger.debug("Using cached ohlcv data for %s, %s ...", pair, ticker_interval)
|
||||
|
||||
tickers = asyncio.get_event_loop().run_until_complete(
|
||||
asyncio.gather(*input_coroutines, return_exceptions=True))
|
||||
|
||||
# handle caching
|
||||
for res in tickers:
|
||||
if isinstance(res, Exception):
|
||||
logger.warning("Async code raised an exception: %s", res.__class__.__name__)
|
||||
continue
|
||||
pair = res[0]
|
||||
tick_interval = res[1]
|
||||
ticks = res[2]
|
||||
# keeping last candle time as last refreshed time of the pair
|
||||
if ticks:
|
||||
self._pairs_last_refresh_time[(pair, tick_interval)] = ticks[-1][0] // 1000
|
||||
# keeping parsed dataframe in cache
|
||||
self._klines[(pair, tick_interval)] = parse_ticker_dataframe(
|
||||
ticks, tick_interval, fill_missing=True)
|
||||
return tickers
|
||||
|
||||
def _now_is_time_to_refresh(self, pair: str, ticker_interval: str) -> bool:
|
||||
# Calculating ticker interval in seconds
|
||||
interval_in_sec = constants.TICKER_INTERVAL_MINUTES[ticker_interval] * 60
|
||||
|
||||
return not ((self._pairs_last_refresh_time.get((pair, ticker_interval), 0)
|
||||
+ interval_in_sec) >= arrow.utcnow().timestamp)
|
||||
|
||||
@retrier_async
|
||||
async def _async_get_candle_history(self, pair: str, tick_interval: str,
|
||||
since_ms: Optional[int] = None) -> Tuple[str, str, List]:
|
||||
"""
|
||||
Asyncronously gets candle histories using fetch_ohlcv
|
||||
returns tuple: (pair, tick_interval, ohlcv_list)
|
||||
"""
|
||||
try:
|
||||
# fetch ohlcv asynchronously
|
||||
logger.debug("fetching %s, %s since %s ...", pair, tick_interval, since_ms)
|
||||
|
||||
data = await self._api_async.fetch_ohlcv(pair, timeframe=tick_interval,
|
||||
since=since_ms)
|
||||
|
||||
# Because some exchange sort Tickers ASC and other DESC.
|
||||
# Ex: Bittrex returns a list of tickers ASC (oldest first, newest last)
|
||||
# when GDAX returns a list of tickers DESC (newest first, oldest last)
|
||||
# Only sort if necessary to save computing time
|
||||
try:
|
||||
if data and data[0][0] > data[-1][0]:
|
||||
data = sorted(data, key=lambda x: x[0])
|
||||
except IndexError:
|
||||
logger.exception("Error loading %s. Result was %s.", pair, data)
|
||||
return pair, tick_interval, []
|
||||
logger.debug("done fetching %s, %s ...", pair, tick_interval)
|
||||
return pair, tick_interval, data
|
||||
|
||||
except ccxt.NotSupported as e:
|
||||
raise OperationalException(
|
||||
f'Exchange {self._api.name} does not support fetching historical candlestick data.'
|
||||
f'Message: {e}')
|
||||
except (ccxt.NetworkError, ccxt.ExchangeError) as e:
|
||||
raise TemporaryError(
|
||||
f'Could not load ticker history due to {e.__class__.__name__}. Message: {e}')
|
||||
except ccxt.BaseError as e:
|
||||
raise OperationalException(f'Could not fetch ticker data. Msg: {e}')
|
||||
|
||||
@retrier
|
||||
def cancel_order(self, order_id: str, pair: str) -> None:
|
||||
if self._conf['dry_run']:
|
||||
return
|
||||
|
||||
try:
|
||||
return self._api.cancel_order(order_id, pair)
|
||||
except ccxt.InvalidOrder as e:
|
||||
raise DependencyException(
|
||||
f'Could not cancel order. Message: {e}')
|
||||
except (ccxt.NetworkError, ccxt.ExchangeError) as e:
|
||||
raise TemporaryError(
|
||||
f'Could not cancel order due to {e.__class__.__name__}. Message: {e}')
|
||||
except ccxt.BaseError as e:
|
||||
raise OperationalException(e)
|
||||
|
||||
@retrier
|
||||
def get_order(self, order_id: str, pair: str) -> Dict:
|
||||
if self._conf['dry_run']:
|
||||
order = self._dry_run_open_orders[order_id]
|
||||
order.update({
|
||||
'id': order_id
|
||||
})
|
||||
return order
|
||||
try:
|
||||
return self._api.fetch_order(order_id, pair)
|
||||
except ccxt.InvalidOrder as e:
|
||||
raise DependencyException(
|
||||
f'Could not get order. Message: {e}')
|
||||
except (ccxt.NetworkError, ccxt.ExchangeError) as e:
|
||||
raise TemporaryError(
|
||||
f'Could not get order due to {e.__class__.__name__}. Message: {e}')
|
||||
except ccxt.BaseError as e:
|
||||
raise OperationalException(e)
|
||||
|
||||
@retrier
|
||||
def get_order_book(self, pair: str, limit: int = 100) -> dict:
|
||||
"""
|
||||
get order book level 2 from exchange
|
||||
|
||||
Notes:
|
||||
20180619: bittrex doesnt support limits -.-
|
||||
20180619: binance support limits but only on specific range
|
||||
"""
|
||||
try:
|
||||
if self._api.name == 'Binance':
|
||||
limit_range = [5, 10, 20, 50, 100, 500, 1000]
|
||||
# get next-higher step in the limit_range list
|
||||
limit = min(list(filter(lambda x: limit <= x, limit_range)))
|
||||
# above script works like loop below (but with slightly better performance):
|
||||
# for limitx in limit_range:
|
||||
# if limit <= limitx:
|
||||
# limit = limitx
|
||||
# break
|
||||
|
||||
return self._api.fetch_l2_order_book(pair, limit)
|
||||
except ccxt.NotSupported as e:
|
||||
raise OperationalException(
|
||||
f'Exchange {self._api.name} does not support fetching order book.'
|
||||
f'Message: {e}')
|
||||
except (ccxt.NetworkError, ccxt.ExchangeError) as e:
|
||||
raise TemporaryError(
|
||||
f'Could not get order book due to {e.__class__.__name__}. Message: {e}')
|
||||
except ccxt.BaseError as e:
|
||||
raise OperationalException(e)
|
||||
|
||||
@retrier
|
||||
def get_trades_for_order(self, order_id: str, pair: str, since: datetime) -> List:
|
||||
if self._conf['dry_run']:
|
||||
return []
|
||||
if not self.exchange_has('fetchMyTrades'):
|
||||
return []
|
||||
try:
|
||||
# Allow 5s offset to catch slight time offsets (discovered in #1185)
|
||||
my_trades = self._api.fetch_my_trades(pair, since.timestamp() - 5)
|
||||
matched_trades = [trade for trade in my_trades if trade['order'] == order_id]
|
||||
|
||||
return matched_trades
|
||||
|
||||
except ccxt.NetworkError as e:
|
||||
raise TemporaryError(
|
||||
f'Could not get trades due to networking error. Message: {e}')
|
||||
except ccxt.BaseError as e:
|
||||
raise OperationalException(e)
|
||||
|
||||
def get_pair_detail_url(self, pair: str) -> str:
|
||||
try:
|
||||
url_base = self._api.urls.get('www')
|
||||
base, quote = pair.split('/')
|
||||
|
||||
return url_base + _EXCHANGE_URLS[self._api.id].format(base=base, quote=quote)
|
||||
except KeyError:
|
||||
logger.warning('Could not get exchange url for %s', self.name)
|
||||
return ""
|
||||
|
||||
@retrier
|
||||
def get_markets(self) -> List[dict]:
|
||||
try:
|
||||
return self._api.fetch_markets()
|
||||
except (ccxt.NetworkError, ccxt.ExchangeError) as e:
|
||||
raise TemporaryError(
|
||||
f'Could not load markets due to {e.__class__.__name__}. Message: {e}')
|
||||
except ccxt.BaseError as e:
|
||||
raise OperationalException(e)
|
||||
|
||||
@retrier
|
||||
def get_fee(self, symbol='ETH/BTC', type='', side='', amount=1,
|
||||
price=1, taker_or_maker='maker') -> float:
|
||||
try:
|
||||
# validate that markets are loaded before trying to get fee
|
||||
if self._api.markets is None or len(self._api.markets) == 0:
|
||||
self._api.load_markets()
|
||||
|
||||
return self._api.calculate_fee(symbol=symbol, type=type, side=side, amount=amount,
|
||||
price=price, takerOrMaker=taker_or_maker)['rate']
|
||||
except (ccxt.NetworkError, ccxt.ExchangeError) as e:
|
||||
raise TemporaryError(
|
||||
f'Could not get fee info due to {e.__class__.__name__}. Message: {e}')
|
||||
except ccxt.BaseError as e:
|
||||
raise OperationalException(e)
|
||||
from freqtrade.exchange.exchange import Exchange # noqa: F401
|
||||
from freqtrade.exchange.kraken import Kraken # noqa: F401
|
||||
|
||||
688
freqtrade/exchange/exchange.py
Normal file
688
freqtrade/exchange/exchange.py
Normal file
@ -0,0 +1,688 @@
|
||||
# pragma pylint: disable=W0603
|
||||
""" Cryptocurrency Exchanges support """
|
||||
import logging
|
||||
import inspect
|
||||
from random import randint
|
||||
from typing import List, Dict, Tuple, Any, Optional
|
||||
from datetime import datetime
|
||||
from math import floor, ceil
|
||||
|
||||
import arrow
|
||||
import asyncio
|
||||
import ccxt
|
||||
import ccxt.async_support as ccxt_async
|
||||
from pandas import DataFrame
|
||||
|
||||
from freqtrade import constants, OperationalException, DependencyException, TemporaryError
|
||||
from freqtrade.data.converter import parse_ticker_dataframe
|
||||
|
||||
logger = logging.getLogger(__name__)
|
||||
|
||||
API_RETRY_COUNT = 4
|
||||
|
||||
|
||||
# Urls to exchange markets, insert quote and base with .format()
|
||||
_EXCHANGE_URLS = {
|
||||
ccxt.bittrex.__name__: '/Market/Index?MarketName={quote}-{base}',
|
||||
ccxt.binance.__name__: '/tradeDetail.html?symbol={base}_{quote}'
|
||||
}
|
||||
|
||||
|
||||
def retrier_async(f):
|
||||
async def wrapper(*args, **kwargs):
|
||||
count = kwargs.pop('count', API_RETRY_COUNT)
|
||||
try:
|
||||
return await f(*args, **kwargs)
|
||||
except (TemporaryError, DependencyException) as ex:
|
||||
logger.warning('%s() returned exception: "%s"', f.__name__, ex)
|
||||
if count > 0:
|
||||
count -= 1
|
||||
kwargs.update({'count': count})
|
||||
logger.warning('retrying %s() still for %s times', f.__name__, count)
|
||||
return await wrapper(*args, **kwargs)
|
||||
else:
|
||||
logger.warning('Giving up retrying: %s()', f.__name__)
|
||||
raise ex
|
||||
return wrapper
|
||||
|
||||
|
||||
def retrier(f):
|
||||
def wrapper(*args, **kwargs):
|
||||
count = kwargs.pop('count', API_RETRY_COUNT)
|
||||
try:
|
||||
return f(*args, **kwargs)
|
||||
except (TemporaryError, DependencyException) as ex:
|
||||
logger.warning('%s() returned exception: "%s"', f.__name__, ex)
|
||||
if count > 0:
|
||||
count -= 1
|
||||
kwargs.update({'count': count})
|
||||
logger.warning('retrying %s() still for %s times', f.__name__, count)
|
||||
return wrapper(*args, **kwargs)
|
||||
else:
|
||||
logger.warning('Giving up retrying: %s()', f.__name__)
|
||||
raise ex
|
||||
return wrapper
|
||||
|
||||
|
||||
class Exchange(object):
|
||||
|
||||
_conf: Dict = {}
|
||||
_params: Dict = {}
|
||||
|
||||
def __init__(self, config: dict) -> None:
|
||||
"""
|
||||
Initializes this module with the given config,
|
||||
it does basic validation whether the specified
|
||||
exchange and pairs are valid.
|
||||
:return: None
|
||||
"""
|
||||
self._conf.update(config)
|
||||
|
||||
self._cached_ticker: Dict[str, Any] = {}
|
||||
|
||||
# Holds last candle refreshed time of each pair
|
||||
self._pairs_last_refresh_time: Dict[Tuple[str, str], int] = {}
|
||||
|
||||
# Holds candles
|
||||
self._klines: Dict[Tuple[str, str], DataFrame] = {}
|
||||
|
||||
# Holds all open sell orders for dry_run
|
||||
self._dry_run_open_orders: Dict[str, Any] = {}
|
||||
|
||||
if config['dry_run']:
|
||||
logger.info('Instance is running with dry_run enabled')
|
||||
|
||||
exchange_config = config['exchange']
|
||||
self._api: ccxt.Exchange = self._init_ccxt(
|
||||
exchange_config, ccxt_kwargs=exchange_config.get('ccxt_config'))
|
||||
self._api_async: ccxt_async.Exchange = self._init_ccxt(
|
||||
exchange_config, ccxt_async, ccxt_kwargs=exchange_config.get('ccxt_async_config'))
|
||||
|
||||
logger.info('Using Exchange "%s"', self.name)
|
||||
|
||||
self.markets = self._load_markets()
|
||||
# Check if all pairs are available
|
||||
self.validate_pairs(config['exchange']['pair_whitelist'])
|
||||
self.validate_ordertypes(config.get('order_types', {}))
|
||||
self.validate_order_time_in_force(config.get('order_time_in_force', {}))
|
||||
if config.get('ticker_interval'):
|
||||
# Check if timeframe is available
|
||||
self.validate_timeframes(config['ticker_interval'])
|
||||
|
||||
def __del__(self):
|
||||
"""
|
||||
Destructor - clean up async stuff
|
||||
"""
|
||||
logger.debug("Exchange object destroyed, closing async loop")
|
||||
if self._api_async and inspect.iscoroutinefunction(self._api_async.close):
|
||||
asyncio.get_event_loop().run_until_complete(self._api_async.close())
|
||||
|
||||
def _init_ccxt(self, exchange_config: dict, ccxt_module=ccxt,
|
||||
ccxt_kwargs: dict = None) -> ccxt.Exchange:
|
||||
"""
|
||||
Initialize ccxt with given config and return valid
|
||||
ccxt instance.
|
||||
"""
|
||||
# Find matching class for the given exchange name
|
||||
name = exchange_config['name']
|
||||
|
||||
if name not in ccxt_module.exchanges:
|
||||
raise OperationalException(f'Exchange {name} is not supported')
|
||||
|
||||
ex_config = {
|
||||
'apiKey': exchange_config.get('key'),
|
||||
'secret': exchange_config.get('secret'),
|
||||
'password': exchange_config.get('password'),
|
||||
'uid': exchange_config.get('uid', ''),
|
||||
'enableRateLimit': exchange_config.get('ccxt_rate_limit', True)
|
||||
}
|
||||
if ccxt_kwargs:
|
||||
logger.info('Applying additional ccxt config: %s', ccxt_kwargs)
|
||||
ex_config.update(ccxt_kwargs)
|
||||
try:
|
||||
|
||||
api = getattr(ccxt_module, name.lower())(ex_config)
|
||||
except (KeyError, AttributeError):
|
||||
raise OperationalException(f'Exchange {name} is not supported')
|
||||
|
||||
self.set_sandbox(api, exchange_config, name)
|
||||
|
||||
return api
|
||||
|
||||
@property
|
||||
def name(self) -> str:
|
||||
"""exchange Name (from ccxt)"""
|
||||
return self._api.name
|
||||
|
||||
@property
|
||||
def id(self) -> str:
|
||||
"""exchange ccxt id"""
|
||||
return self._api.id
|
||||
|
||||
def klines(self, pair_interval: Tuple[str, str], copy=True) -> DataFrame:
|
||||
if pair_interval in self._klines:
|
||||
return self._klines[pair_interval].copy() if copy else self._klines[pair_interval]
|
||||
else:
|
||||
return DataFrame()
|
||||
|
||||
def set_sandbox(self, api, exchange_config: dict, name: str):
|
||||
if exchange_config.get('sandbox'):
|
||||
if api.urls.get('test'):
|
||||
api.urls['api'] = api.urls['test']
|
||||
logger.info("Enabled Sandbox API on %s", name)
|
||||
else:
|
||||
logger.warning(name, "No Sandbox URL in CCXT, exiting. "
|
||||
"Please check your config.json")
|
||||
raise OperationalException(f'Exchange {name} does not provide a sandbox api')
|
||||
|
||||
def _load_async_markets(self) -> None:
|
||||
try:
|
||||
if self._api_async:
|
||||
asyncio.get_event_loop().run_until_complete(self._api_async.load_markets())
|
||||
|
||||
except ccxt.BaseError as e:
|
||||
logger.warning('Could not load async markets. Reason: %s', e)
|
||||
return
|
||||
|
||||
def _load_markets(self) -> Dict[str, Any]:
|
||||
""" Initialize markets both sync and async """
|
||||
try:
|
||||
markets = self._api.load_markets()
|
||||
self._load_async_markets()
|
||||
return markets
|
||||
except ccxt.BaseError as e:
|
||||
logger.warning('Unable to initialize markets. Reason: %s', e)
|
||||
return {}
|
||||
|
||||
def validate_pairs(self, pairs: List[str]) -> None:
|
||||
"""
|
||||
Checks if all given pairs are tradable on the current exchange.
|
||||
Raises OperationalException if one pair is not available.
|
||||
:param pairs: list of pairs
|
||||
:return: None
|
||||
"""
|
||||
|
||||
if not self.markets:
|
||||
logger.warning('Unable to validate pairs (assuming they are correct).')
|
||||
# return
|
||||
|
||||
stake_cur = self._conf['stake_currency']
|
||||
for pair in pairs:
|
||||
# Note: ccxt has BaseCurrency/QuoteCurrency format for pairs
|
||||
# TODO: add a support for having coins in BTC/USDT format
|
||||
if not pair.endswith(stake_cur):
|
||||
raise OperationalException(
|
||||
f'Pair {pair} not compatible with stake_currency: {stake_cur}')
|
||||
if self.markets and pair not in self.markets:
|
||||
raise OperationalException(
|
||||
f'Pair {pair} is not available at {self.name}'
|
||||
f'Please remove {pair} from your whitelist.')
|
||||
|
||||
def validate_timeframes(self, timeframe: List[str]) -> None:
|
||||
"""
|
||||
Checks if ticker interval from config is a supported timeframe on the exchange
|
||||
"""
|
||||
timeframes = self._api.timeframes
|
||||
if timeframe not in timeframes:
|
||||
raise OperationalException(
|
||||
f'Invalid ticker {timeframe}, this Exchange supports {timeframes}')
|
||||
|
||||
def validate_ordertypes(self, order_types: Dict) -> None:
|
||||
"""
|
||||
Checks if order-types configured in strategy/config are supported
|
||||
"""
|
||||
if any(v == 'market' for k, v in order_types.items()):
|
||||
if not self.exchange_has('createMarketOrder'):
|
||||
raise OperationalException(
|
||||
f'Exchange {self.name} does not support market orders.')
|
||||
|
||||
if order_types.get('stoploss_on_exchange'):
|
||||
if self.name != 'Binance':
|
||||
raise OperationalException(
|
||||
'On exchange stoploss is not supported for %s.' % self.name
|
||||
)
|
||||
|
||||
def validate_order_time_in_force(self, order_time_in_force: Dict) -> None:
|
||||
"""
|
||||
Checks if order time in force configured in strategy/config are supported
|
||||
"""
|
||||
if any(v != 'gtc' for k, v in order_time_in_force.items()):
|
||||
if self.name != 'Binance':
|
||||
raise OperationalException(
|
||||
f'Time in force policies are not supporetd for {self.name} yet.')
|
||||
|
||||
def exchange_has(self, endpoint: str) -> bool:
|
||||
"""
|
||||
Checks if exchange implements a specific API endpoint.
|
||||
Wrapper around ccxt 'has' attribute
|
||||
:param endpoint: Name of endpoint (e.g. 'fetchOHLCV', 'fetchTickers')
|
||||
:return: bool
|
||||
"""
|
||||
return endpoint in self._api.has and self._api.has[endpoint]
|
||||
|
||||
def symbol_amount_prec(self, pair, amount: float):
|
||||
'''
|
||||
Returns the amount to buy or sell to a precision the Exchange accepts
|
||||
Rounded down
|
||||
'''
|
||||
if self._api.markets[pair]['precision']['amount']:
|
||||
symbol_prec = self._api.markets[pair]['precision']['amount']
|
||||
big_amount = amount * pow(10, symbol_prec)
|
||||
amount = floor(big_amount) / pow(10, symbol_prec)
|
||||
return amount
|
||||
|
||||
def symbol_price_prec(self, pair, price: float):
|
||||
'''
|
||||
Returns the price buying or selling with to the precision the Exchange accepts
|
||||
Rounds up
|
||||
'''
|
||||
if self._api.markets[pair]['precision']['price']:
|
||||
symbol_prec = self._api.markets[pair]['precision']['price']
|
||||
big_price = price * pow(10, symbol_prec)
|
||||
price = ceil(big_price) / pow(10, symbol_prec)
|
||||
return price
|
||||
|
||||
def dry_run_order(self, pair: str, ordertype: str, side: str, amount: float,
|
||||
rate: float, params: Dict = {}) -> Dict[str, Any]:
|
||||
order_id = f'dry_run_{side}_{randint(0, 10**6)}'
|
||||
dry_order = { # TODO: additional entry should be added for stoploss limit
|
||||
"id": order_id,
|
||||
'pair': pair,
|
||||
'price': rate,
|
||||
'amount': amount,
|
||||
'type': ordertype,
|
||||
'side': 'buy',
|
||||
'remaining': 0.0,
|
||||
'datetime': arrow.utcnow().isoformat(),
|
||||
'status': 'closed',
|
||||
'fee': None
|
||||
}
|
||||
return dry_order
|
||||
|
||||
def create_order(self, pair: str, ordertype: str, side: str, amount: float,
|
||||
rate: float, params: Dict = {}) -> Dict:
|
||||
try:
|
||||
# Set the precision for amount and price(rate) as accepted by the exchange
|
||||
amount = self.symbol_amount_prec(pair, amount)
|
||||
rate = self.symbol_price_prec(pair, rate) if ordertype != 'market' else None
|
||||
|
||||
return self._api.create_order(pair, ordertype, side,
|
||||
amount, rate, params)
|
||||
|
||||
except ccxt.InsufficientFunds as e:
|
||||
raise DependencyException(
|
||||
f'Insufficient funds to create {ordertype} {side} order on market {pair}.'
|
||||
f'Tried to {side} amount {amount} at rate {rate} (total {rate*amount}).'
|
||||
f'Message: {e}')
|
||||
except ccxt.InvalidOrder as e:
|
||||
raise DependencyException(
|
||||
f'Could not create {ordertype} {side} order on market {pair}.'
|
||||
f'Tried to {side} amount {amount} at rate {rate} (total {rate*amount}).'
|
||||
f'Message: {e}')
|
||||
except (ccxt.NetworkError, ccxt.ExchangeError) as e:
|
||||
raise TemporaryError(
|
||||
f'Could not place {side} order due to {e.__class__.__name__}. Message: {e}')
|
||||
except ccxt.BaseError as e:
|
||||
raise OperationalException(e)
|
||||
|
||||
def buy(self, pair: str, ordertype: str, amount: float,
|
||||
rate: float, time_in_force) -> Dict:
|
||||
|
||||
if self._conf['dry_run']:
|
||||
dry_order = self.dry_run_order(pair, ordertype, "buy", amount, rate)
|
||||
self._dry_run_open_orders[dry_order["id"]] = dry_order
|
||||
return {"id": dry_order["id"]}
|
||||
|
||||
params = self._params.copy()
|
||||
if time_in_force != 'gtc':
|
||||
params.update({'timeInForce': time_in_force})
|
||||
|
||||
return self.create_order(pair, ordertype, 'buy', amount, rate, params)
|
||||
|
||||
def sell(self, pair: str, ordertype: str, amount: float,
|
||||
rate: float, time_in_force='gtc') -> Dict:
|
||||
|
||||
if self._conf['dry_run']:
|
||||
dry_order = self.dry_run_order(pair, ordertype, "sell", amount, rate)
|
||||
self._dry_run_open_orders[dry_order["id"]] = dry_order
|
||||
return {"id": dry_order["id"]}
|
||||
|
||||
params = self._params.copy()
|
||||
if time_in_force != 'gtc':
|
||||
params.update({'timeInForce': time_in_force})
|
||||
|
||||
return self.create_order(pair, ordertype, 'sell', amount, rate, params)
|
||||
|
||||
def stoploss_limit(self, pair: str, amount: float, stop_price: float, rate: float) -> Dict:
|
||||
"""
|
||||
creates a stoploss limit order.
|
||||
NOTICE: it is not supported by all exchanges. only binance is tested for now.
|
||||
"""
|
||||
ordertype = "stop_loss_limit"
|
||||
|
||||
stop_price = self.symbol_price_prec(pair, stop_price)
|
||||
|
||||
# Ensure rate is less than stop price
|
||||
if stop_price <= rate:
|
||||
raise OperationalException(
|
||||
'In stoploss limit order, stop price should be more than limit price')
|
||||
|
||||
if self._conf['dry_run']:
|
||||
dry_order = self.dry_run_order(
|
||||
pair, ordertype, "sell", amount, stop_price)
|
||||
dry_order.update({"info": {}, "remaining": amount, "status": "open"})
|
||||
self._dry_run_open_orders[dry_order["id"]] = dry_order
|
||||
return dry_order
|
||||
|
||||
params = self._params.copy()
|
||||
params.update({'stopPrice': stop_price})
|
||||
|
||||
order = self.create_order(pair, ordertype, 'sell', amount, rate, params)
|
||||
logger.info('stoploss limit order added for %s. '
|
||||
'stop price: %s. limit: %s' % (pair, stop_price, rate))
|
||||
return order
|
||||
|
||||
@retrier
|
||||
def get_balance(self, currency: str) -> float:
|
||||
if self._conf['dry_run']:
|
||||
return 999.9
|
||||
|
||||
# ccxt exception is already handled by get_balances
|
||||
balances = self.get_balances()
|
||||
balance = balances.get(currency)
|
||||
if balance is None:
|
||||
raise TemporaryError(
|
||||
f'Could not get {currency} balance due to malformed exchange response: {balances}')
|
||||
return balance['free']
|
||||
|
||||
@retrier
|
||||
def get_balances(self) -> dict:
|
||||
if self._conf['dry_run']:
|
||||
return {}
|
||||
|
||||
try:
|
||||
balances = self._api.fetch_balance()
|
||||
# Remove additional info from ccxt results
|
||||
balances.pop("info", None)
|
||||
balances.pop("free", None)
|
||||
balances.pop("total", None)
|
||||
balances.pop("used", None)
|
||||
|
||||
return balances
|
||||
except (ccxt.NetworkError, ccxt.ExchangeError) as e:
|
||||
raise TemporaryError(
|
||||
f'Could not get balance due to {e.__class__.__name__}. Message: {e}')
|
||||
except ccxt.BaseError as e:
|
||||
raise OperationalException(e)
|
||||
|
||||
@retrier
|
||||
def get_tickers(self) -> Dict:
|
||||
try:
|
||||
return self._api.fetch_tickers()
|
||||
except ccxt.NotSupported as e:
|
||||
raise OperationalException(
|
||||
f'Exchange {self._api.name} does not support fetching tickers in batch.'
|
||||
f'Message: {e}')
|
||||
except (ccxt.NetworkError, ccxt.ExchangeError) as e:
|
||||
raise TemporaryError(
|
||||
f'Could not load tickers due to {e.__class__.__name__}. Message: {e}')
|
||||
except ccxt.BaseError as e:
|
||||
raise OperationalException(e)
|
||||
|
||||
@retrier
|
||||
def get_ticker(self, pair: str, refresh: Optional[bool] = True) -> dict:
|
||||
if refresh or pair not in self._cached_ticker.keys():
|
||||
try:
|
||||
if pair not in self._api.markets:
|
||||
raise DependencyException(f"Pair {pair} not available")
|
||||
data = self._api.fetch_ticker(pair)
|
||||
try:
|
||||
self._cached_ticker[pair] = {
|
||||
'bid': float(data['bid']),
|
||||
'ask': float(data['ask']),
|
||||
}
|
||||
except KeyError:
|
||||
logger.debug("Could not cache ticker data for %s", pair)
|
||||
return data
|
||||
except (ccxt.NetworkError, ccxt.ExchangeError) as e:
|
||||
raise TemporaryError(
|
||||
f'Could not load ticker due to {e.__class__.__name__}. Message: {e}')
|
||||
except ccxt.BaseError as e:
|
||||
raise OperationalException(e)
|
||||
else:
|
||||
logger.info("returning cached ticker-data for %s", pair)
|
||||
return self._cached_ticker[pair]
|
||||
|
||||
def get_history(self, pair: str, tick_interval: str,
|
||||
since_ms: int) -> List:
|
||||
"""
|
||||
Gets candle history using asyncio and returns the list of candles.
|
||||
Handles all async doing.
|
||||
"""
|
||||
return asyncio.get_event_loop().run_until_complete(
|
||||
self._async_get_history(pair=pair, tick_interval=tick_interval,
|
||||
since_ms=since_ms))
|
||||
|
||||
async def _async_get_history(self, pair: str,
|
||||
tick_interval: str,
|
||||
since_ms: int) -> List:
|
||||
# Assume exchange returns 500 candles
|
||||
_LIMIT = 500
|
||||
|
||||
one_call = constants.TICKER_INTERVAL_MINUTES[tick_interval] * 60 * _LIMIT * 1000
|
||||
logger.debug("one_call: %s", one_call)
|
||||
input_coroutines = [self._async_get_candle_history(
|
||||
pair, tick_interval, since) for since in
|
||||
range(since_ms, arrow.utcnow().timestamp * 1000, one_call)]
|
||||
|
||||
tickers = await asyncio.gather(*input_coroutines, return_exceptions=True)
|
||||
|
||||
# Combine tickers
|
||||
data: List = []
|
||||
for p, ticker_interval, ticker in tickers:
|
||||
if p == pair:
|
||||
data.extend(ticker)
|
||||
# Sort data again after extending the result - above calls return in "async order"
|
||||
data = sorted(data, key=lambda x: x[0])
|
||||
logger.info("downloaded %s with length %s.", pair, len(data))
|
||||
return data
|
||||
|
||||
def refresh_latest_ohlcv(self, pair_list: List[Tuple[str, str]]) -> List[Tuple[str, List]]:
|
||||
"""
|
||||
Refresh in-memory ohlcv asyncronously and set `_klines` with the result
|
||||
"""
|
||||
logger.debug("Refreshing ohlcv data for %d pairs", len(pair_list))
|
||||
|
||||
input_coroutines = []
|
||||
|
||||
# Gather coroutines to run
|
||||
for pair, ticker_interval in set(pair_list):
|
||||
if (not ((pair, ticker_interval) in self._klines)
|
||||
or self._now_is_time_to_refresh(pair, ticker_interval)):
|
||||
input_coroutines.append(self._async_get_candle_history(pair, ticker_interval))
|
||||
else:
|
||||
logger.debug("Using cached ohlcv data for %s, %s ...", pair, ticker_interval)
|
||||
|
||||
tickers = asyncio.get_event_loop().run_until_complete(
|
||||
asyncio.gather(*input_coroutines, return_exceptions=True))
|
||||
|
||||
# handle caching
|
||||
for res in tickers:
|
||||
if isinstance(res, Exception):
|
||||
logger.warning("Async code raised an exception: %s", res.__class__.__name__)
|
||||
continue
|
||||
pair = res[0]
|
||||
tick_interval = res[1]
|
||||
ticks = res[2]
|
||||
# keeping last candle time as last refreshed time of the pair
|
||||
if ticks:
|
||||
self._pairs_last_refresh_time[(pair, tick_interval)] = ticks[-1][0] // 1000
|
||||
# keeping parsed dataframe in cache
|
||||
self._klines[(pair, tick_interval)] = parse_ticker_dataframe(
|
||||
ticks, tick_interval, fill_missing=True)
|
||||
return tickers
|
||||
|
||||
def _now_is_time_to_refresh(self, pair: str, ticker_interval: str) -> bool:
|
||||
# Calculating ticker interval in seconds
|
||||
interval_in_sec = constants.TICKER_INTERVAL_MINUTES[ticker_interval] * 60
|
||||
|
||||
return not ((self._pairs_last_refresh_time.get((pair, ticker_interval), 0)
|
||||
+ interval_in_sec) >= arrow.utcnow().timestamp)
|
||||
|
||||
@retrier_async
|
||||
async def _async_get_candle_history(self, pair: str, tick_interval: str,
|
||||
since_ms: Optional[int] = None) -> Tuple[str, str, List]:
|
||||
"""
|
||||
Asyncronously gets candle histories using fetch_ohlcv
|
||||
returns tuple: (pair, tick_interval, ohlcv_list)
|
||||
"""
|
||||
try:
|
||||
# fetch ohlcv asynchronously
|
||||
logger.debug("fetching %s, %s since %s ...", pair, tick_interval, since_ms)
|
||||
|
||||
data = await self._api_async.fetch_ohlcv(pair, timeframe=tick_interval,
|
||||
since=since_ms)
|
||||
|
||||
# Because some exchange sort Tickers ASC and other DESC.
|
||||
# Ex: Bittrex returns a list of tickers ASC (oldest first, newest last)
|
||||
# when GDAX returns a list of tickers DESC (newest first, oldest last)
|
||||
# Only sort if necessary to save computing time
|
||||
try:
|
||||
if data and data[0][0] > data[-1][0]:
|
||||
data = sorted(data, key=lambda x: x[0])
|
||||
except IndexError:
|
||||
logger.exception("Error loading %s. Result was %s.", pair, data)
|
||||
return pair, tick_interval, []
|
||||
logger.debug("done fetching %s, %s ...", pair, tick_interval)
|
||||
return pair, tick_interval, data
|
||||
|
||||
except ccxt.NotSupported as e:
|
||||
raise OperationalException(
|
||||
f'Exchange {self._api.name} does not support fetching historical candlestick data.'
|
||||
f'Message: {e}')
|
||||
except (ccxt.NetworkError, ccxt.ExchangeError) as e:
|
||||
raise TemporaryError(
|
||||
f'Could not load ticker history due to {e.__class__.__name__}. Message: {e}')
|
||||
except ccxt.BaseError as e:
|
||||
raise OperationalException(f'Could not fetch ticker data. Msg: {e}')
|
||||
|
||||
@retrier
|
||||
def cancel_order(self, order_id: str, pair: str) -> None:
|
||||
if self._conf['dry_run']:
|
||||
return
|
||||
|
||||
try:
|
||||
return self._api.cancel_order(order_id, pair)
|
||||
except ccxt.InvalidOrder as e:
|
||||
raise DependencyException(
|
||||
f'Could not cancel order. Message: {e}')
|
||||
except (ccxt.NetworkError, ccxt.ExchangeError) as e:
|
||||
raise TemporaryError(
|
||||
f'Could not cancel order due to {e.__class__.__name__}. Message: {e}')
|
||||
except ccxt.BaseError as e:
|
||||
raise OperationalException(e)
|
||||
|
||||
@retrier
|
||||
def get_order(self, order_id: str, pair: str) -> Dict:
|
||||
if self._conf['dry_run']:
|
||||
order = self._dry_run_open_orders[order_id]
|
||||
order.update({
|
||||
'id': order_id
|
||||
})
|
||||
return order
|
||||
try:
|
||||
return self._api.fetch_order(order_id, pair)
|
||||
except ccxt.InvalidOrder as e:
|
||||
raise DependencyException(
|
||||
f'Could not get order. Message: {e}')
|
||||
except (ccxt.NetworkError, ccxt.ExchangeError) as e:
|
||||
raise TemporaryError(
|
||||
f'Could not get order due to {e.__class__.__name__}. Message: {e}')
|
||||
except ccxt.BaseError as e:
|
||||
raise OperationalException(e)
|
||||
|
||||
@retrier
|
||||
def get_order_book(self, pair: str, limit: int = 100) -> dict:
|
||||
"""
|
||||
get order book level 2 from exchange
|
||||
|
||||
Notes:
|
||||
20180619: bittrex doesnt support limits -.-
|
||||
20180619: binance support limits but only on specific range
|
||||
"""
|
||||
try:
|
||||
if self._api.name == 'Binance':
|
||||
limit_range = [5, 10, 20, 50, 100, 500, 1000]
|
||||
# get next-higher step in the limit_range list
|
||||
limit = min(list(filter(lambda x: limit <= x, limit_range)))
|
||||
# above script works like loop below (but with slightly better performance):
|
||||
# for limitx in limit_range:
|
||||
# if limit <= limitx:
|
||||
# limit = limitx
|
||||
# break
|
||||
|
||||
return self._api.fetch_l2_order_book(pair, limit)
|
||||
except ccxt.NotSupported as e:
|
||||
raise OperationalException(
|
||||
f'Exchange {self._api.name} does not support fetching order book.'
|
||||
f'Message: {e}')
|
||||
except (ccxt.NetworkError, ccxt.ExchangeError) as e:
|
||||
raise TemporaryError(
|
||||
f'Could not get order book due to {e.__class__.__name__}. Message: {e}')
|
||||
except ccxt.BaseError as e:
|
||||
raise OperationalException(e)
|
||||
|
||||
@retrier
|
||||
def get_trades_for_order(self, order_id: str, pair: str, since: datetime) -> List:
|
||||
if self._conf['dry_run']:
|
||||
return []
|
||||
if not self.exchange_has('fetchMyTrades'):
|
||||
return []
|
||||
try:
|
||||
# Allow 5s offset to catch slight time offsets (discovered in #1185)
|
||||
my_trades = self._api.fetch_my_trades(pair, since.timestamp() - 5)
|
||||
matched_trades = [trade for trade in my_trades if trade['order'] == order_id]
|
||||
|
||||
return matched_trades
|
||||
|
||||
except ccxt.NetworkError as e:
|
||||
raise TemporaryError(
|
||||
f'Could not get trades due to networking error. Message: {e}')
|
||||
except ccxt.BaseError as e:
|
||||
raise OperationalException(e)
|
||||
|
||||
def get_pair_detail_url(self, pair: str) -> str:
|
||||
try:
|
||||
url_base = self._api.urls.get('www')
|
||||
base, quote = pair.split('/')
|
||||
|
||||
return url_base + _EXCHANGE_URLS[self._api.id].format(base=base, quote=quote)
|
||||
except KeyError:
|
||||
logger.warning('Could not get exchange url for %s', self.name)
|
||||
return ""
|
||||
|
||||
@retrier
|
||||
def get_markets(self) -> List[dict]:
|
||||
try:
|
||||
return self._api.fetch_markets()
|
||||
except (ccxt.NetworkError, ccxt.ExchangeError) as e:
|
||||
raise TemporaryError(
|
||||
f'Could not load markets due to {e.__class__.__name__}. Message: {e}')
|
||||
except ccxt.BaseError as e:
|
||||
raise OperationalException(e)
|
||||
|
||||
@retrier
|
||||
def get_fee(self, symbol='ETH/BTC', type='', side='', amount=1,
|
||||
price=1, taker_or_maker='maker') -> float:
|
||||
try:
|
||||
# validate that markets are loaded before trying to get fee
|
||||
if self._api.markets is None or len(self._api.markets) == 0:
|
||||
self._api.load_markets()
|
||||
|
||||
return self._api.calculate_fee(symbol=symbol, type=type, side=side, amount=amount,
|
||||
price=price, takerOrMaker=taker_or_maker)['rate']
|
||||
except (ccxt.NetworkError, ccxt.ExchangeError) as e:
|
||||
raise TemporaryError(
|
||||
f'Could not get fee info due to {e.__class__.__name__}. Message: {e}')
|
||||
except ccxt.BaseError as e:
|
||||
raise OperationalException(e)
|
||||
@ -2,9 +2,9 @@
|
||||
This module loads custom exchanges
|
||||
"""
|
||||
import logging
|
||||
from pathlib import Path
|
||||
|
||||
from freqtrade.exchange import Exchange
|
||||
import freqtrade.exchange as exchanges
|
||||
from freqtrade.resolvers import IResolver
|
||||
|
||||
logger = logging.getLogger(__name__)
|
||||
@ -20,7 +20,7 @@ class ExchangeResolver(IResolver):
|
||||
def __init__(self, exchange_name: str, config: dict) -> None:
|
||||
"""
|
||||
Load the custom class from config parameter
|
||||
:param config: configuration dictionary or None
|
||||
:param config: configuration dictionary
|
||||
"""
|
||||
try:
|
||||
self.exchange = self._load_exchange(exchange_name, kwargs={'config': config})
|
||||
@ -32,22 +32,22 @@ class ExchangeResolver(IResolver):
|
||||
def _load_exchange(
|
||||
self, exchange_name: str, kwargs: dict) -> Exchange:
|
||||
"""
|
||||
Search and loads the specified exchange.
|
||||
Loads the specified exchange.
|
||||
Only checks for exchanges exported in freqtrade.exchanges
|
||||
:param exchange_name: name of the module to import
|
||||
:param extra_dir: additional directory to search for the given exchange
|
||||
:return: Exchange instance or None
|
||||
"""
|
||||
abs_path = Path(__file__).parent.parent.joinpath('exchange').resolve()
|
||||
|
||||
try:
|
||||
exchange = self._search_object(directory=abs_path, object_type=Exchange,
|
||||
object_name=exchange_name,
|
||||
kwargs=kwargs)
|
||||
ex_class = getattr(exchanges, exchange_name)
|
||||
|
||||
exchange = ex_class(kwargs['config'])
|
||||
if exchange:
|
||||
logger.info("Using resolved exchange %s from '%s'", exchange_name, abs_path)
|
||||
logger.info("Using resolved exchange %s", exchange_name)
|
||||
return exchange
|
||||
except FileNotFoundError:
|
||||
logger.warning('Path "%s" does not exist', abs_path.relative_to(Path.cwd()))
|
||||
except AttributeError:
|
||||
# Pass and raise ImportError instead
|
||||
pass
|
||||
|
||||
raise ImportError(
|
||||
"Impossible to load Exchange '{}'. This class does not exist"
|
||||
|
||||
@ -12,7 +12,8 @@ import pytest
|
||||
from pandas import DataFrame
|
||||
|
||||
from freqtrade import DependencyException, OperationalException, TemporaryError
|
||||
from freqtrade.exchange import API_RETRY_COUNT, Exchange
|
||||
from freqtrade.exchange import Exchange, Kraken
|
||||
from freqtrade.exchange.exchange import API_RETRY_COUNT
|
||||
from freqtrade.tests.conftest import get_patched_exchange, log_has, log_has_re
|
||||
from freqtrade.resolvers.exchange_resolver import ExchangeResolver
|
||||
|
||||
@ -120,6 +121,7 @@ def test_exchange_resolver(default_conf, mocker, caplog):
|
||||
|
||||
exchange = ExchangeResolver('Kraken', default_conf).exchange
|
||||
assert isinstance(exchange, Exchange)
|
||||
assert isinstance(exchange, Kraken)
|
||||
assert not log_has_re(r"No .* specific subclass found. Using the generic class instead.",
|
||||
caplog.record_tuples)
|
||||
|
||||
@ -1108,7 +1110,7 @@ async def test___async_get_candle_history_sort(default_conf, mocker):
|
||||
]
|
||||
exchange = get_patched_exchange(mocker, default_conf)
|
||||
exchange._api_async.fetch_ohlcv = get_mock_coro(tick)
|
||||
sort_mock = mocker.patch('freqtrade.exchange.sorted', MagicMock(side_effect=sort_data))
|
||||
sort_mock = mocker.patch('freqtrade.exchange.exchange.sorted', MagicMock(side_effect=sort_data))
|
||||
# Test the ticker history sort
|
||||
res = await exchange._async_get_candle_history('ETH/BTC', default_conf['ticker_interval'])
|
||||
assert res[0] == 'ETH/BTC'
|
||||
|
||||
@ -1,4 +1,4 @@
|
||||
ccxt==1.18.270
|
||||
ccxt==1.18.281
|
||||
SQLAlchemy==1.2.18
|
||||
python-telegram-bot==11.1.0
|
||||
arrow==0.13.1
|
||||
|
||||
Loading…
Reference in New Issue
Block a user