Add exception handlers for orderbook logic

freqtrade/freqtradebot.py

@@ -18,7 +18,7 @@ from freqtrade.configuration import validate_config_consistency
 from freqtrade.data.converter import order_book_to_dataframe
 from freqtrade.data.dataprovider import DataProvider
 from freqtrade.edge import Edge
-from freqtrade.exceptions import DependencyException, InvalidOrderException
+from freqtrade.exceptions import DependencyException, InvalidOrderException, PricingException
 from freqtrade.exchange import timeframe_to_minutes, timeframe_to_next_date
 from freqtrade.misc import safe_value_fallback
 from freqtrade.pairlist.pairlistmanager import PairListManager
@@ -263,9 +263,16 @@ class FreqtradeBot:
             order_book = self.exchange.get_order_book(pair, order_book_top)
             logger.debug('order_book %s', order_book)
             # top 1 = index 0
-            order_book_rate = order_book[f"{bid_strategy['price_side']}s"][order_book_top - 1][0]
+            try:
-            logger.info(f'...top {order_book_top} order book buy rate {order_book_rate:.8f}')
+                rate_from_l2 = order_book[f"{bid_strategy['price_side']}s"][order_book_top - 1][0]
-            used_rate = order_book_rate
+            except (IndexError, KeyError) as e:
+                logger.warning(
+                    "Buy Price from orderbook could not be determined."
+                    f"Orderbook: {order_book}"
+                 )
+                raise PricingException from e
+            logger.info(f'...top {order_book_top} order book buy rate {rate_from_l2:.8f}')
+            used_rate = rate_from_l2
         else:
             logger.info(f"Using Last {bid_strategy['price_side'].capitalize()} / Last Price")
             ticker = self.exchange.fetch_ticker(pair)
@@ -662,8 +669,13 @@ class FreqtradeBot:
             logger.info(
                 f"Getting price from order book {ask_strategy['price_side'].capitalize()} side."
             )
+            try:
                 rate = next(self._order_book_gen(pair, f"{ask_strategy['price_side']}s"))
-
+            except (IndexError, KeyError) as e:
+                logger.warning(
+                    f"Sell Price at location from orderbook could not be determined."
+                )
+                raise PricingException from e
         else:
             rate = self.exchange.fetch_ticker(pair)[ask_strategy['price_side']]
         self._sell_rate_cache[pair] = rate
@@ -690,16 +702,23 @@ class FreqtradeBot:
                 self.dataprovider.ohlcv(trade.pair, self.strategy.ticker_interval))
 
         if config_ask_strategy.get('use_order_book', False):
-            logger.debug(f'Using order book for selling {trade.pair}...')
             # logger.debug('Order book %s',orderBook)
             order_book_min = config_ask_strategy.get('order_book_min', 1)
             order_book_max = config_ask_strategy.get('order_book_max', 1)
+            logger.info(f'Using order book between {order_book_min} and {order_book_max} '
+                        f'for selling {trade.pair}...')
 
             order_book = self._order_book_gen(trade.pair, f"{config_ask_strategy['price_side']}s",
                                               order_book_min=order_book_min,
                                               order_book_max=order_book_max)
             for i in range(order_book_min, order_book_max + 1):
+                try:
                     sell_rate = next(order_book)
+                except (IndexError, KeyError) as e:
+                    logger.warning(
+                        f"Sell Price at location {i} from orderbook could not be determined."
+                    )
+                    raise PricingException from e
                 logger.debug(f"  order book {config_ask_strategy['price_side']} top {i}: "
                              f"{sell_rate:0.8f}")
 

tests/test_freqtradebot.py

@@ -11,18 +11,21 @@ import arrow
 import pytest
 import requests
 
-from freqtrade.constants import MATH_CLOSE_PREC, UNLIMITED_STAKE_AMOUNT, CANCEL_REASON
+from freqtrade.constants import (CANCEL_REASON, MATH_CLOSE_PREC,
+                                 UNLIMITED_STAKE_AMOUNT)
 from freqtrade.exceptions import (DependencyException, InvalidOrderException,
-                                  OperationalException, TemporaryError)
+                                  OperationalException, PricingException,
+                                  TemporaryError)
 from freqtrade.freqtradebot import FreqtradeBot
 from freqtrade.persistence import Trade
 from freqtrade.rpc import RPCMessageType
 from freqtrade.state import RunMode, State
 from freqtrade.strategy.interface import SellCheckTuple, SellType
 from freqtrade.worker import Worker
-from tests.conftest import (get_patched_freqtradebot, get_patched_worker,
+from tests.conftest import (create_mock_trades, get_patched_freqtradebot,
-                            log_has, log_has_re, patch_edge, patch_exchange,
+                            get_patched_worker, log_has, log_has_re,
-                            patch_get_signal, patch_wallet, patch_whitelist, create_mock_trades)
+                            patch_edge, patch_exchange, patch_get_signal,
+                            patch_wallet, patch_whitelist)
 
 
 def patch_RPCManager(mocker) -> MagicMock:
@@ -3772,29 +3775,26 @@ def test_order_book_bid_strategy1(mocker, default_conf, order_book_l2) -> None:
     assert ticker_mock.call_count == 0
 
 
-def test_order_book_bid_strategy2(mocker, default_conf, order_book_l2) -> None:
+def test_order_book_bid_strategy_exception(mocker, default_conf, caplog) -> None:
-    """
-    test if function get_buy_rate will return the ask rate (since its value is lower)
-    instead of the order book rate (even if enabled)
-    """
     patch_exchange(mocker)
     ticker_mock = MagicMock(return_value={'ask': 0.042, 'last': 0.046})
     mocker.patch.multiple(
         'freqtrade.exchange.Exchange',
-        get_order_book=order_book_l2,
+        get_order_book=MagicMock(return_value={'bids': [[]], 'asks': [[]]}),
         fetch_ticker=ticker_mock,
 
     )
     default_conf['exchange']['name'] = 'binance'
     default_conf['bid_strategy']['use_order_book'] = True
-    default_conf['bid_strategy']['order_book_top'] = 2
+    default_conf['bid_strategy']['order_book_top'] = 1
     default_conf['bid_strategy']['ask_last_balance'] = 0
     default_conf['telegram']['enabled'] = False
 
     freqtrade = FreqtradeBot(default_conf)
     # orderbook shall be used even if tickers would be lower.
-    assert freqtrade.get_buy_rate('ETH/BTC', True) != 0.042
+    with pytest.raises(PricingException):
-    assert ticker_mock.call_count == 0
+        freqtrade.get_buy_rate('ETH/BTC', refresh=True)
+    assert log_has_re(r'Buy Price from orderbook could not be determined.', caplog)
 
 
 def test_check_depth_of_market_buy(default_conf, mocker, order_book_l2) -> None: