Merge pull request #8360 from freqtrade/okx_stop
Okx stoploss on exchange
This commit is contained in:
Matthias
GitHub
commit
7b5e322ef2
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@ -1,14 +1,16 @@
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import logging
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from typing import Dict, List, Optional, Tuple
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from typing import Any, Dict, List, Optional, Tuple
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import ccxt
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from freqtrade.constants import BuySell
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from freqtrade.enums import CandleType, MarginMode, TradingMode
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from freqtrade.enums.pricetype import PriceType
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from freqtrade.exceptions import DDosProtection, OperationalException, TemporaryError
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from freqtrade.exceptions import (DDosProtection, OperationalException, RetryableOrderError,
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TemporaryError)
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from freqtrade.exchange import Exchange, date_minus_candles
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from freqtrade.exchange.common import retrier
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from freqtrade.misc import safe_value_fallback2
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logger = logging.getLogger(__name__)
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@ -24,11 +26,13 @@ class Okx(Exchange):
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"ohlcv_candle_limit": 100, # Warning, special case with data prior to X months
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"mark_ohlcv_timeframe": "4h",
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"funding_fee_timeframe": "8h",
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"stoploss_order_types": {"limit": "limit"},
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"stoploss_on_exchange": True,
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}
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_ft_has_futures: Dict = {
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"tickers_have_quoteVolume": False,
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"fee_cost_in_contracts": True,
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"stop_price_type_field": "tpTriggerPxType",
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"stop_price_type_field": "slTriggerPxType",
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"stop_price_type_value_mapping": {
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PriceType.LAST: "last",
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PriceType.MARK: "index",
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@ -157,3 +161,78 @@ class Okx(Exchange):
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pair_tiers = self._leverage_tiers[pair]
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return pair_tiers[-1]['maxNotional'] / leverage
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def _get_stop_params(self, side: BuySell, ordertype: str, stop_price: float) -> Dict:
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params = self._params.copy()
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# Verify if stopPrice works for your exchange!
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params.update({'stopLossPrice': stop_price})
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if self.trading_mode == TradingMode.FUTURES and self.margin_mode:
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params['tdMode'] = self.margin_mode.value
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params['posSide'] = self._get_posSide(side, True)
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return params
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def stoploss_adjust(self, stop_loss: float, order: Dict, side: str) -> bool:
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"""
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OKX uses non-default stoploss price naming.
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"""
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if not self._ft_has.get('stoploss_on_exchange'):
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raise OperationalException(f"stoploss is not implemented for {self.name}.")
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return (
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order.get('stopLossPrice', None) is None
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or ((side == "sell" and stop_loss > float(order['stopLossPrice'])) or
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(side == "buy" and stop_loss < float(order['stopLossPrice'])))
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)
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def fetch_stoploss_order(self, order_id: str, pair: str, params: Dict = {}) -> Dict:
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if self._config['dry_run']:
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return self.fetch_dry_run_order(order_id)
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try:
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params1 = {'stop': True}
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order_reg = self._api.fetch_order(order_id, pair, params=params1)
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self._log_exchange_response('fetch_stoploss_order', order_reg)
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return order_reg
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except ccxt.OrderNotFound:
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pass
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params2 = {'stop': True, 'ordType': 'conditional'}
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for method in (self._api.fetch_open_orders, self._api.fetch_closed_orders,
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self._api.fetch_canceled_orders):
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try:
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orders = method(pair, params=params2)
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orders_f = [order for order in orders if order['id'] == order_id]
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if orders_f:
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order = orders_f[0]
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if (order['status'] == 'closed'
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and (real_order_id := order.get('info', {}).get('ordId')) is not None):
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# Once a order triggered, we fetch the regular followup order.
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order_reg = self.fetch_order(real_order_id, pair)
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self._log_exchange_response('fetch_stoploss_order1', order_reg)
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order_reg['id_stop'] = order_reg['id']
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order_reg['id'] = order_id
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order_reg['type'] = 'stoploss'
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order_reg['status_stop'] = 'triggered'
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return order_reg
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order['type'] = 'stoploss'
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return order
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except ccxt.BaseError:
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pass
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raise RetryableOrderError(
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f'StoplossOrder not found (pair: {pair} id: {order_id}).')
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def get_order_id_conditional(self, order: Dict[str, Any]) -> str:
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if order['type'] == 'stop':
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return safe_value_fallback2(order, order, 'id_stop', 'id')
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return order['id']
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def cancel_stoploss_order(self, order_id: str, pair: str, params: Dict = {}) -> Dict:
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params1 = {'stop': True}
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# 'ordType': 'conditional'
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#
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return self.cancel_order(
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order_id=order_id,
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pair=pair,
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params=params1,
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)
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@ -1039,9 +1039,9 @@ def test_validate_ordertypes(default_conf, mocker):
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('bybit', 'last', True),
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('bybit', 'mark', True),
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('bybit', 'index', True),
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# ('okx', 'last', True),
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# ('okx', 'mark', True),
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# ('okx', 'index', True),
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('okx', 'last', True),
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('okx', 'mark', True),
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('okx', 'index', True),
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('gate', 'last', True),
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('gate', 'mark', True),
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('gate', 'index', True),
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@ -2,11 +2,13 @@ from datetime import datetime, timedelta, timezone
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from pathlib import Path
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from unittest.mock import MagicMock, PropertyMock
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import ccxt
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import pytest
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from freqtrade.enums import CandleType, MarginMode, TradingMode
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from freqtrade.exceptions import RetryableOrderError
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from freqtrade.exchange.exchange import timeframe_to_minutes
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from tests.conftest import get_mock_coro, get_patched_exchange, log_has
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from tests.conftest import EXMS, get_mock_coro, get_patched_exchange, log_has
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from tests.exchange.test_exchange import ccxt_exceptionhandlers
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@ -476,3 +478,84 @@ def test_load_leverage_tiers_okx(default_conf, mocker, markets, tmpdir, caplog,
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exchange.load_leverage_tiers()
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assert log_has(logmsg, caplog)
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@pytest.mark.usefixtures("init_persistence")
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def test_fetch_stoploss_order_okx(default_conf, mocker):
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default_conf['dry_run'] = False
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api_mock = MagicMock()
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api_mock.fetch_order = MagicMock()
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exchange = get_patched_exchange(mocker, default_conf, api_mock, id='okx')
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exchange.fetch_stoploss_order('1234', 'ETH/BTC')
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assert api_mock.fetch_order.call_count == 1
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assert api_mock.fetch_order.call_args_list[0][0][0] == '1234'
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assert api_mock.fetch_order.call_args_list[0][0][1] == 'ETH/BTC'
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assert api_mock.fetch_order.call_args_list[0][1]['params'] == {'stop': True}
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api_mock.fetch_order = MagicMock(side_effect=ccxt.OrderNotFound)
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api_mock.fetch_open_orders = MagicMock(return_value=[])
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api_mock.fetch_closed_orders = MagicMock(return_value=[])
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api_mock.fetch_canceled_orders = MagicMock(creturn_value=[])
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with pytest.raises(RetryableOrderError):
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exchange.fetch_stoploss_order('1234', 'ETH/BTC')
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assert api_mock.fetch_order.call_count == 1
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assert api_mock.fetch_open_orders.call_count == 1
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assert api_mock.fetch_closed_orders.call_count == 1
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assert api_mock.fetch_canceled_orders.call_count == 1
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api_mock.fetch_order.reset_mock()
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api_mock.fetch_open_orders.reset_mock()
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api_mock.fetch_closed_orders.reset_mock()
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api_mock.fetch_canceled_orders.reset_mock()
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api_mock.fetch_closed_orders = MagicMock(return_value=[
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{
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'id': '1234',
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'status': 'closed',
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'info': {'ordId': '123455'}
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}
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])
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mocker.patch(f"{EXMS}.fetch_order", MagicMock(return_value={'id': '123455'}))
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resp = exchange.fetch_stoploss_order('1234', 'ETH/BTC')
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assert api_mock.fetch_order.call_count == 1
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assert api_mock.fetch_open_orders.call_count == 1
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assert api_mock.fetch_closed_orders.call_count == 1
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assert api_mock.fetch_canceled_orders.call_count == 0
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assert resp['id'] == '1234'
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assert resp['id_stop'] == '123455'
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assert resp['type'] == 'stoploss'
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default_conf['dry_run'] = True
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exchange = get_patched_exchange(mocker, default_conf, api_mock, id='okx')
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dro_mock = mocker.patch(f"{EXMS}.fetch_dry_run_order", MagicMock(return_value={'id': '123455'}))
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api_mock.fetch_order.reset_mock()
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api_mock.fetch_open_orders.reset_mock()
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api_mock.fetch_closed_orders.reset_mock()
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api_mock.fetch_canceled_orders.reset_mock()
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resp = exchange.fetch_stoploss_order('1234', 'ETH/BTC')
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assert api_mock.fetch_order.call_count == 0
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assert api_mock.fetch_open_orders.call_count == 0
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assert api_mock.fetch_closed_orders.call_count == 0
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assert api_mock.fetch_canceled_orders.call_count == 0
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assert dro_mock.call_count == 1
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@pytest.mark.parametrize('sl1,sl2,sl3,side', [
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(1501, 1499, 1501, "sell"),
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(1499, 1501, 1499, "buy")
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])
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def test_stoploss_adjust_okx(mocker, default_conf, sl1, sl2, sl3, side):
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exchange = get_patched_exchange(mocker, default_conf, id='okx')
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order = {
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'type': 'stoploss',
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'price': 1500,
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'stopLossPrice': 1500,
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}
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assert exchange.stoploss_adjust(sl1, order, side=side)
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assert not exchange.stoploss_adjust(sl2, order, side=side)
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