Implement first version of FTX stop
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Matthias
parent
04a2fb16aa
commit
78dea19ffb
@ -2,6 +2,10 @@
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import logging
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from typing import Dict
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import ccxt
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from freqtrade.exceptions import (DependencyException, InvalidOrderException,
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OperationalException, TemporaryError)
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from freqtrade.exchange import Exchange
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logger = logging.getLogger(__name__)
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@ -10,5 +14,54 @@ logger = logging.getLogger(__name__)
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class Ftx(Exchange):
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_ft_has: Dict = {
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"stoploss_on_exchange": True,
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"ohlcv_candle_limit": 1500,
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}
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def stoploss_adjust(self, stop_loss: float, order: Dict) -> bool:
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"""
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Verify stop_loss against stoploss-order value (limit or price)
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Returns True if adjustment is necessary.
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"""
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return order['type'] == 'stop' and stop_loss > float(order['price'])
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def stoploss(self, pair: str, amount: float, stop_price: float, order_types: Dict) -> Dict:
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"""
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Creates a stoploss market order.
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Stoploss market orders is the only stoploss type supported by kraken.
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"""
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ordertype = "stop"
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stop_price = self.price_to_precision(pair, stop_price)
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if self._config['dry_run']:
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dry_order = self.dry_run_order(
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pair, ordertype, "sell", amount, stop_price)
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return dry_order
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try:
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params = self._params.copy()
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amount = self.amount_to_precision(pair, amount)
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order = self._api.create_order(symbol=pair, type=ordertype, side='sell',
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amount=amount, price=stop_price, params=params)
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logger.info('stoploss order added for %s. '
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'stop price: %s.', pair, stop_price)
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return order
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except ccxt.InsufficientFunds as e:
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raise DependencyException(
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f'Insufficient funds to create {ordertype} sell order on market {pair}.'
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f'Tried to create stoploss with amount {amount} at stoploss {stop_price}. '
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f'Message: {e}') from e
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except ccxt.InvalidOrder as e:
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raise InvalidOrderException(
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f'Could not create {ordertype} sell order on market {pair}. '
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f'Tried to create stoploss with amount {amount} at stoploss {stop_price}. '
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f'Message: {e}') from e
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except (ccxt.NetworkError, ccxt.ExchangeError) as e:
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raise TemporaryError(
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f'Could not place sell order due to {e.__class__.__name__}. Message: {e}') from e
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except ccxt.BaseError as e:
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raise OperationalException(e) from e
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106
tests/exchange/test_ftx.py
Normal file
106
tests/exchange/test_ftx.py
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@ -0,0 +1,106 @@
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# pragma pylint: disable=missing-docstring, C0103, bad-continuation, global-statement
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# pragma pylint: disable=protected-access
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from random import randint
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from unittest.mock import MagicMock
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import ccxt
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import pytest
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from freqtrade.exceptions import (DependencyException, InvalidOrderException,
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OperationalException, TemporaryError)
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from tests.conftest import get_patched_exchange
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STOPLOSS_ORDERTYPE = 'stop'
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def test_stoploss_order_ftx(default_conf, mocker):
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api_mock = MagicMock()
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order_id = 'test_prod_buy_{}'.format(randint(0, 10 ** 6))
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api_mock.create_order = MagicMock(return_value={
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'id': order_id,
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'info': {
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'foo': 'bar'
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}
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})
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default_conf['dry_run'] = False
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mocker.patch('freqtrade.exchange.Exchange.amount_to_precision', lambda s, x, y: y)
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mocker.patch('freqtrade.exchange.Exchange.price_to_precision', lambda s, x, y: y)
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exchange = get_patched_exchange(mocker, default_conf, api_mock, 'ftx')
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# stoploss_on_exchange_limit_ratio is irrelevant for ftx market orders
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order = exchange.stoploss(pair='ETH/BTC', amount=1, stop_price=190,
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order_types={'stoploss_on_exchange_limit_ratio': 1.05})
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assert api_mock.create_order.call_count == 1
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api_mock.create_order.reset_mock()
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order = exchange.stoploss(pair='ETH/BTC', amount=1, stop_price=220, order_types={})
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assert 'id' in order
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assert 'info' in order
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assert order['id'] == order_id
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assert api_mock.create_order.call_args_list[0][1]['symbol'] == 'ETH/BTC'
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assert api_mock.create_order.call_args_list[0][1]['type'] == STOPLOSS_ORDERTYPE
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assert api_mock.create_order.call_args_list[0][1]['side'] == 'sell'
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assert api_mock.create_order.call_args_list[0][1]['amount'] == 1
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assert api_mock.create_order.call_args_list[0][1]['price'] == 220
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# test exception handling
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with pytest.raises(DependencyException):
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api_mock.create_order = MagicMock(side_effect=ccxt.InsufficientFunds("0 balance"))
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exchange = get_patched_exchange(mocker, default_conf, api_mock, 'ftx')
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exchange.stoploss(pair='ETH/BTC', amount=1, stop_price=220, order_types={})
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with pytest.raises(InvalidOrderException):
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api_mock.create_order = MagicMock(
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side_effect=ccxt.InvalidOrder("ftx Order would trigger immediately."))
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exchange = get_patched_exchange(mocker, default_conf, api_mock, 'ftx')
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exchange.stoploss(pair='ETH/BTC', amount=1, stop_price=220, order_types={})
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with pytest.raises(TemporaryError):
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api_mock.create_order = MagicMock(side_effect=ccxt.NetworkError("No connection"))
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exchange = get_patched_exchange(mocker, default_conf, api_mock, 'ftx')
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exchange.stoploss(pair='ETH/BTC', amount=1, stop_price=220, order_types={})
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with pytest.raises(OperationalException, match=r".*DeadBeef.*"):
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api_mock.create_order = MagicMock(side_effect=ccxt.BaseError("DeadBeef"))
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exchange = get_patched_exchange(mocker, default_conf, api_mock, 'ftx')
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exchange.stoploss(pair='ETH/BTC', amount=1, stop_price=220, order_types={})
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def test_stoploss_order_dry_run_ftx(default_conf, mocker):
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api_mock = MagicMock()
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default_conf['dry_run'] = True
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mocker.patch('freqtrade.exchange.Exchange.amount_to_precision', lambda s, x, y: y)
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mocker.patch('freqtrade.exchange.Exchange.price_to_precision', lambda s, x, y: y)
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exchange = get_patched_exchange(mocker, default_conf, api_mock, 'ftx')
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api_mock.create_order.reset_mock()
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order = exchange.stoploss(pair='ETH/BTC', amount=1, stop_price=220, order_types={})
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assert 'id' in order
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assert 'info' in order
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assert 'type' in order
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assert order['type'] == STOPLOSS_ORDERTYPE
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assert order['price'] == 220
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assert order['amount'] == 1
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def test_stoploss_adjust_ftx(mocker, default_conf):
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exchange = get_patched_exchange(mocker, default_conf, id='ftx')
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order = {
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'type': STOPLOSS_ORDERTYPE,
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'price': 1500,
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}
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assert exchange.stoploss_adjust(1501, order)
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assert not exchange.stoploss_adjust(1499, order)
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# Test with invalid order case ...
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order['type'] = 'stop_loss_limit'
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assert not exchange.stoploss_adjust(1501, order)
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@ -11,6 +11,8 @@ from freqtrade.exceptions import (DependencyException, InvalidOrderException,
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from tests.conftest import get_patched_exchange
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from tests.exchange.test_exchange import ccxt_exceptionhandlers
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STOPLOSS_ORDERTYPE = 'stop-loss'
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def test_buy_kraken_trading_agreement(default_conf, mocker):
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api_mock = MagicMock()
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@ -159,7 +161,6 @@ def test_get_balances_prod(default_conf, mocker):
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def test_stoploss_order_kraken(default_conf, mocker):
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api_mock = MagicMock()
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order_id = 'test_prod_buy_{}'.format(randint(0, 10 ** 6))
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order_type = 'stop-loss'
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api_mock.create_order = MagicMock(return_value={
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'id': order_id,
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@ -187,7 +188,7 @@ def test_stoploss_order_kraken(default_conf, mocker):
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assert 'info' in order
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assert order['id'] == order_id
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assert api_mock.create_order.call_args_list[0][1]['symbol'] == 'ETH/BTC'
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assert api_mock.create_order.call_args_list[0][1]['type'] == order_type
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assert api_mock.create_order.call_args_list[0][1]['type'] == STOPLOSS_ORDERTYPE
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assert api_mock.create_order.call_args_list[0][1]['side'] == 'sell'
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assert api_mock.create_order.call_args_list[0][1]['amount'] == 1
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assert api_mock.create_order.call_args_list[0][1]['price'] == 220
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@ -218,7 +219,6 @@ def test_stoploss_order_kraken(default_conf, mocker):
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def test_stoploss_order_dry_run_kraken(default_conf, mocker):
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api_mock = MagicMock()
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order_type = 'stop-loss'
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default_conf['dry_run'] = True
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mocker.patch('freqtrade.exchange.Exchange.amount_to_precision', lambda s, x, y: y)
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mocker.patch('freqtrade.exchange.Exchange.price_to_precision', lambda s, x, y: y)
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@ -233,7 +233,7 @@ def test_stoploss_order_dry_run_kraken(default_conf, mocker):
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assert 'info' in order
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assert 'type' in order
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assert order['type'] == order_type
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assert order['type'] == STOPLOSS_ORDERTYPE
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assert order['price'] == 220
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assert order['amount'] == 1
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@ -241,7 +241,7 @@ def test_stoploss_order_dry_run_kraken(default_conf, mocker):
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def test_stoploss_adjust_kraken(mocker, default_conf):
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exchange = get_patched_exchange(mocker, default_conf, id='kraken')
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order = {
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'type': 'stop-loss',
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'type': STOPLOSS_ORDERTYPE,
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'price': 1500,
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}
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assert exchange.stoploss_adjust(1501, order)
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