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

Merged feat/short into lev-strat

Browse Source
This commit is contained in:
Sam Germain
2021-09-19 17:44:12 -06:00
parent a89c67787b
commit 778f0d9d0a
41 changed files with 3173 additions and 614 deletions
Download Patch File Download Diff File Expand all files Collapse all files

172
freqtrade/exchange/exchange.py
View File

@@ -22,6 +22,7 @@ from pandas import DataFrame
from freqtrade.constants import (DEFAULT_AMOUNT_RESERVE_PERCENT, NON_OPEN_EXCHANGE_STATES,
ListPairsWithTimeframes)
from freqtrade.data.converter import ohlcv_to_dataframe, trades_dict_to_list
from freqtrade.enums import Collateral, TradingMode
from freqtrade.exceptions import (DDosProtection, ExchangeError, InsufficientFundsError,
InvalidOrderException, OperationalException, PricingError,
RetryableOrderError, TemporaryError)
@@ -48,9 +49,6 @@ class Exchange:
_config: Dict = {}
# Parameters to add directly to ccxt sync/async initialization.
_ccxt_config: Dict = {}
# Parameters to add directly to buy/sell calls (like agreeing to trading agreement)
_params: Dict = {}
@@ -74,6 +72,10 @@ class Exchange:
}
_ft_has: Dict = {}
_supported_trading_mode_collateral_pairs: List[Tuple[TradingMode, Collateral]] = [
# TradingMode.SPOT always supported and not required in this list
]
def __init__(self, config: Dict[str, Any], validate: bool = True) -> None:
"""
Initializes this module with the given config,
@@ -83,6 +85,7 @@ class Exchange:
self._api: ccxt.Exchange = None
self._api_async: ccxt_async.Exchange = None
self._markets: Dict = {}
self._leverage_brackets: Dict = {}
self._config.update(config)
@@ -125,14 +128,25 @@ class Exchange:
self._trades_pagination = self._ft_has['trades_pagination']
self._trades_pagination_arg = self._ft_has['trades_pagination_arg']
self.trading_mode: TradingMode = (
TradingMode(config.get('trading_mode'))
if config.get('trading_mode')
else TradingMode.SPOT
)
self.collateral: Optional[Collateral] = (
Collateral(config.get('collateral'))
if config.get('collateral')
else None
)
# Initialize ccxt objects
ccxt_config = self._ccxt_config.copy()
ccxt_config = self._ccxt_config
ccxt_config = deep_merge_dicts(exchange_config.get('ccxt_config', {}), ccxt_config)
ccxt_config = deep_merge_dicts(exchange_config.get('ccxt_sync_config', {}), ccxt_config)
self._api = self._init_ccxt(exchange_config, ccxt_kwargs=ccxt_config)
ccxt_async_config = self._ccxt_config.copy()
ccxt_async_config = self._ccxt_config
ccxt_async_config = deep_merge_dicts(exchange_config.get('ccxt_config', {}),
ccxt_async_config)
ccxt_async_config = deep_merge_dicts(exchange_config.get('ccxt_async_config', {}),
@@ -140,6 +154,9 @@ class Exchange:
self._api_async = self._init_ccxt(
exchange_config, ccxt_async, ccxt_kwargs=ccxt_async_config)
if self.trading_mode != TradingMode.SPOT:
self.fill_leverage_brackets()
logger.info('Using Exchange "%s"', self.name)
if validate:
@@ -157,7 +174,7 @@ class Exchange:
self.validate_order_time_in_force(config.get('order_time_in_force', {}))
self.validate_required_startup_candles(config.get('startup_candle_count', 0),
config.get('timeframe', ''))
self.validate_trading_mode_and_collateral(self.trading_mode, self.collateral)
# Converts the interval provided in minutes in config to seconds
self.markets_refresh_interval: int = exchange_config.get(
"markets_refresh_interval", 60) * 60
@@ -190,6 +207,7 @@ class Exchange:
'secret': exchange_config.get('secret'),
'password': exchange_config.get('password'),
'uid': exchange_config.get('uid', ''),
# 'options': exchange_config.get('options', {})
}
if ccxt_kwargs:
logger.info('Applying additional ccxt config: %s', ccxt_kwargs)
@@ -210,6 +228,11 @@ class Exchange:
return api
@property
def _ccxt_config(self) -> Dict:
# Parameters to add directly to ccxt sync/async initialization.
return {}
@property
def name(self) -> str:
"""exchange Name (from ccxt)"""
@@ -355,6 +378,7 @@ class Exchange:
# Also reload async markets to avoid issues with newly listed pairs
self._load_async_markets(reload=True)
self._last_markets_refresh = arrow.utcnow().int_timestamp
self.fill_leverage_brackets()
except ccxt.BaseError:
logger.exception("Could not reload markets.")
@@ -370,7 +394,7 @@ class Exchange:
raise OperationalException(
'Could not load markets, therefore cannot start. '
'Please investigate the above error for more details.'
)
)
quote_currencies = self.get_quote_currencies()
if stake_currency not in quote_currencies:
raise OperationalException(
@@ -482,6 +506,25 @@ class Exchange:
f"This strategy requires {startup_candles} candles to start. "
f"{self.name} only provides {candle_limit} for {timeframe}.")
def validate_trading_mode_and_collateral(
self,
trading_mode: TradingMode,
collateral: Optional[Collateral] # Only None when trading_mode = TradingMode.SPOT
):
"""
Checks if freqtrade can perform trades using the configured
trading mode(Margin, Futures) and Collateral(Cross, Isolated)
Throws OperationalException:
If the trading_mode/collateral type are not supported by freqtrade on this exchange
"""
if trading_mode != TradingMode.SPOT and (
(trading_mode, collateral) not in self._supported_trading_mode_collateral_pairs
):
collateral_value = collateral and collateral.value
raise OperationalException(
f"Freqtrade does not support {collateral_value} {trading_mode.value} on {self.name}"
)
def exchange_has(self, endpoint: str) -> bool:
"""
Checks if exchange implements a specific API endpoint.
@@ -541,8 +584,8 @@ class Exchange:
else:
return 1 / pow(10, precision)
def get_min_pair_stake_amount(self, pair: str, price: float,
stoploss: float) -> Optional[float]:
def get_min_pair_stake_amount(self, pair: str, price: float, stoploss: float,
leverage: Optional[float] = 1.0) -> Optional[float]:
try:
market = self.markets[pair]
except KeyError:
@@ -576,12 +619,24 @@ class Exchange:
# The value returned should satisfy both limits: for amount (base currency) and
# for cost (quote, stake currency), so max() is used here.
# See also #2575 at github.
return max(min_stake_amounts) * amount_reserve_percent
return self._get_stake_amount_considering_leverage(
max(min_stake_amounts) * amount_reserve_percent,
leverage or 1.0
)
def _get_stake_amount_considering_leverage(self, stake_amount: float, leverage: float):
"""
Takes the minimum stake amount for a pair with no leverage and returns the minimum
stake amount when leverage is considered
:param stake_amount: The stake amount for a pair before leverage is considered
:param leverage: The amount of leverage being used on the current trade
"""
return stake_amount / leverage
# Dry-run methods
def create_dry_run_order(self, pair: str, ordertype: str, side: str, amount: float,
rate: float, params: Dict = {}) -> Dict[str, Any]:
rate: float, leverage: float, params: Dict = {}) -> Dict[str, Any]:
order_id = f'dry_run_{side}_{datetime.now().timestamp()}'
_amount = self.amount_to_precision(pair, amount)
dry_order: Dict[str, Any] = {
@@ -598,7 +653,8 @@ class Exchange:
'timestamp': arrow.utcnow().int_timestamp * 1000,
'status': "closed" if ordertype == "market" else "open",
'fee': None,
'info': {}
'info': {},
'leverage': leverage
}
if dry_order["type"] in ["stop_loss_limit", "stop-loss-limit"]:
dry_order["info"] = {"stopPrice": dry_order["price"]}
@@ -608,7 +664,7 @@ class Exchange:
average = self.get_dry_market_fill_price(pair, side, amount, rate)
dry_order.update({
'average': average,
'cost': dry_order['amount'] * average,
'cost': (dry_order['amount'] * average) / leverage
})
dry_order = self.add_dry_order_fee(pair, dry_order)
@@ -716,17 +772,26 @@ class Exchange:
# Order handling
def create_order(self, pair: str, ordertype: str, side: str, amount: float,
rate: float, time_in_force: str = 'gtc') -> Dict:
if self._config['dry_run']:
dry_order = self.create_dry_run_order(pair, ordertype, side, amount, rate)
return dry_order
def _lev_prep(self, pair: str, leverage: float):
if self.trading_mode != TradingMode.SPOT:
self.set_margin_mode(pair, self.collateral)
self._set_leverage(leverage, pair)
def _get_params(self, ordertype: str, leverage: float, time_in_force: str = 'gtc') -> Dict:
params = self._params.copy()
if time_in_force != 'gtc' and ordertype != 'market':
param = self._ft_has.get('time_in_force_parameter', '')
params.update({param: time_in_force})
return params
def create_order(self, pair: str, ordertype: str, side: str, amount: float,
rate: float, leverage: float = 1.0, time_in_force: str = 'gtc') -> Dict:
# TODO-lev: remove default for leverage
if self._config['dry_run']:
dry_order = self.create_dry_run_order(pair, ordertype, side, amount, rate, leverage)
return dry_order
params = self._get_params(ordertype, leverage, time_in_force)
try:
# Set the precision for amount and price(rate) as accepted by the exchange
@@ -735,6 +800,7 @@ class Exchange:
or self._api.options.get("createMarketBuyOrderRequiresPrice", False))
rate_for_order = self.price_to_precision(pair, rate) if needs_price else None
self._lev_prep(pair, leverage)
order = self._api.create_order(pair, ordertype, side,
amount, rate_for_order, params)
self._log_exchange_response('create_order', order)
@@ -758,14 +824,15 @@ class Exchange:
except ccxt.BaseError as e:
raise OperationalException(e) from e
def stoploss_adjust(self, stop_loss: float, order: Dict) -> bool:
def stoploss_adjust(self, stop_loss: float, order: Dict, side: str) -> bool:
"""
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:
def stoploss(self, pair: str, amount: float, stop_price: float,
order_types: Dict, side: str, leverage: float) -> Dict:
"""
creates a stoploss order.
The precise ordertype is determined by the order_types dict or exchange default.
@@ -1528,6 +1595,69 @@ class Exchange:
self._async_get_trade_history(pair=pair, since=since,
until=until, from_id=from_id))
def fill_leverage_brackets(self):
"""
# TODO-lev: Should maybe be renamed, leverage_brackets might not be accurate for kraken
Assigns property _leverage_brackets to a dictionary of information about the leverage
allowed on each pair
"""
return
def get_max_leverage(self, pair: Optional[str], nominal_value: Optional[float]) -> float:
"""
Returns the maximum leverage that a pair can be traded at
:param pair: The base/quote currency pair being traded
:nominal_value: The total value of the trade in quote currency (collateral + debt)
"""
return 1.0
@retrier
def _set_leverage(
self,
leverage: float,
pair: Optional[str] = None,
trading_mode: Optional[TradingMode] = None
):
"""
Set's the leverage before making a trade, in order to not
have the same leverage on every trade
"""
# TODO-lev: Make a documentation page that says you can't run 2 bots
# TODO-lev: on the same account with leverage
if self._config['dry_run'] or not self.exchange_has("setLeverage"):
# Some exchanges only support one collateral type
return
try:
self._api.set_leverage(symbol=pair, leverage=leverage)
except ccxt.DDoSProtection as e:
raise DDosProtection(e) from e
except (ccxt.NetworkError, ccxt.ExchangeError) as e:
raise TemporaryError(
f'Could not set leverage due to {e.__class__.__name__}. Message: {e}') from e
except ccxt.BaseError as e:
raise OperationalException(e) from e
@retrier
def set_margin_mode(self, pair: str, collateral: Collateral, params: dict = {}):
'''
Set's the margin mode on the exchange to cross or isolated for a specific pair
:param symbol: base/quote currency pair (e.g. "ADA/USDT")
'''
if self._config['dry_run'] or not self.exchange_has("setMarginMode"):
# Some exchanges only support one collateral type
return
try:
self._api.set_margin_mode(pair, collateral.value, params)
except ccxt.DDoSProtection as e:
raise DDosProtection(e) from e
except (ccxt.NetworkError, ccxt.ExchangeError) as e:
raise TemporaryError(
f'Could not set margin mode due to {e.__class__.__name__}. Message: {e}') from e
except ccxt.BaseError as e:
raise OperationalException(e) from e
def is_exchange_known_ccxt(exchange_name: str, ccxt_module: CcxtModuleType = None) -> bool:
return exchange_name in ccxt_exchanges(ccxt_module)