Merge get_buy_rate and get_sell_rate
This commit is contained in:
Sam Germain
parent
d652e6fcc4
commit
7c27525bd8
@ -551,7 +551,7 @@ class Exchange:
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amount_reserve_percent = 1.0 + self._config.get('amount_reserve_percent',
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DEFAULT_AMOUNT_RESERVE_PERCENT)
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amount_reserve_percent = (
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amount_reserve_percent / (1 - abs(stoploss)) if abs(stoploss) != 1 else 1.5
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amount_reserve_percent / (1 - abs(stoploss)) if abs(stoploss) != 1 else 1.5
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)
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# it should not be more than 50%
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amount_reserve_percent = max(min(amount_reserve_percent, 1.5), 1)
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@ -999,94 +999,61 @@ class Exchange:
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except ccxt.BaseError as e:
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raise OperationalException(e) from e
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def get_buy_rate(self, pair: str, refresh: bool) -> float:
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def get_rate(self, pair: str, refresh: bool, side: str = "buy") -> float:
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"""
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Calculates bid target between current ask price and last price
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:param pair: Pair to get rate for
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:param refresh: allow cached data
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:param side: "buy" or "sell"
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:return: float: Price
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:raises PricingError if orderbook price could not be determined.
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"""
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cache_rate: TTLCache = self._buy_rate_cache if side == "buy" else self._sell_rate_cache
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[strat_name, name] = ['bid_strategy', 'Buy'] if side == "buy" else ['ask_strategy', 'Sell']
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if not refresh:
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rate = self._buy_rate_cache.get(pair)
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rate = cache_rate.get(pair)
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# Check if cache has been invalidated
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if rate:
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logger.debug(f"Using cached buy rate for {pair}.")
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logger.debug(f"Using cached {side} rate for {pair}.")
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return rate
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bid_strategy = self._config.get('bid_strategy', {})
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if 'use_order_book' in bid_strategy and bid_strategy.get('use_order_book', False):
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strategy = self._config.get(strat_name, {})
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order_book_top = bid_strategy.get('order_book_top', 1)
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if strategy.get('use_order_book', False) and ('use_order_book' in strategy):
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order_book_top = strategy.get('order_book_top', 1)
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order_book = self.fetch_l2_order_book(pair, order_book_top)
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logger.debug('order_book %s', order_book)
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# top 1 = index 0
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try:
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rate_from_l2 = order_book[f"{bid_strategy['price_side']}s"][order_book_top - 1][0]
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rate = order_book[f"{strategy['price_side']}s"][order_book_top - 1][0]
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except (IndexError, KeyError) as e:
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logger.warning(
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"Buy Price from orderbook could not be determined."
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f"Orderbook: {order_book}"
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)
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raise PricingError from e
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logger.info(f"Buy price from orderbook {bid_strategy['price_side'].capitalize()} side "
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f"- top {order_book_top} order book buy rate {rate_from_l2:.8f}")
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used_rate = rate_from_l2
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else:
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logger.info(f"Using Last {bid_strategy['price_side'].capitalize()} / Last Price")
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ticker = self.fetch_ticker(pair)
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ticker_rate = ticker[bid_strategy['price_side']]
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if ticker['last'] and ticker_rate > ticker['last']:
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balance = bid_strategy['ask_last_balance']
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ticker_rate = ticker_rate + balance * (ticker['last'] - ticker_rate)
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used_rate = ticker_rate
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self._buy_rate_cache[pair] = used_rate
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return used_rate
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def get_sell_rate(self, pair: str, refresh: bool) -> float:
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"""
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Get sell rate - either using ticker bid or first bid based on orderbook
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or remain static in any other case since it's not updating.
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:param pair: Pair to get rate for
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:param refresh: allow cached data
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:return: Bid rate
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:raises PricingError if price could not be determined.
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"""
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if not refresh:
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rate = self._sell_rate_cache.get(pair)
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# Check if cache has been invalidated
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if rate:
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logger.debug(f"Using cached sell rate for {pair}.")
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return rate
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ask_strategy = self._config.get('ask_strategy', {})
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if ask_strategy.get('use_order_book', False):
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logger.debug(
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f"Getting price from order book {ask_strategy['price_side'].capitalize()} side."
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)
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order_book_top = ask_strategy.get('order_book_top', 1)
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order_book = self.fetch_l2_order_book(pair, order_book_top)
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try:
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rate = order_book[f"{ask_strategy['price_side']}s"][order_book_top - 1][0]
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except (IndexError, KeyError) as e:
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logger.warning(
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f"Sell Price at location {order_book_top} from orderbook could not be "
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f"{name} Price at location {order_book_top} from orderbook could not be "
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f"determined. Orderbook: {order_book}"
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)
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raise PricingError from e
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logger.info(f"{name} price from orderbook {strategy['price_side'].capitalize()}"
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f"side - top {order_book_top} order book {side} rate {rate:.8f}")
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else:
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logger.info(f"Using Last {strategy['price_side'].capitalize()} / Last Price")
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ticker = self.fetch_ticker(pair)
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ticker_rate = ticker[ask_strategy['price_side']]
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if ticker['last'] and ticker_rate < ticker['last']:
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balance = ask_strategy.get('bid_last_balance', 0.0)
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ticker_rate = ticker_rate - balance * (ticker_rate - ticker['last'])
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ticker_rate = ticker[strategy['price_side']]
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if ticker['last']:
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if side == 'buy' and ticker_rate > ticker['last']:
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balance = strategy['ask_last_balance']
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ticker_rate = ticker_rate + balance * (ticker['last'] - ticker_rate)
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elif side == 'sell' and ticker_rate < ticker['last']:
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balance = strategy.get('bid_last_balance', 0.0)
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ticker_rate = ticker_rate - balance * (ticker_rate - ticker['last'])
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rate = ticker_rate
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if rate is None:
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raise PricingError(f"Sell-Rate for {pair} was empty.")
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self._sell_rate_cache[pair] = rate
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if rate is None and side == "sell":
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raise PricingError(f"{name}-Rate for {pair} was empty.")
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cache_rate[pair] = rate
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return rate
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# Fee handling
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@ -1318,8 +1285,8 @@ class Exchange:
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self._pairs_last_refresh_time[(pair, timeframe)] = ticks[-1][0] // 1000
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# keeping parsed dataframe in cache
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ohlcv_df = ohlcv_to_dataframe(
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ticks, timeframe, pair=pair, fill_missing=True,
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drop_incomplete=self._ohlcv_partial_candle)
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ticks, timeframe, pair=pair, fill_missing=True,
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drop_incomplete=self._ohlcv_partial_candle)
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results_df[(pair, timeframe)] = ohlcv_df
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if cache:
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self._klines[(pair, timeframe)] = ohlcv_df
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@ -475,7 +475,7 @@ class FreqtradeBot(LoggingMixin):
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buy_limit_requested = price
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else:
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# Calculate price
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buy_limit_requested = self.exchange.get_buy_rate(pair, True)
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buy_limit_requested = self.exchange.get_rate(pair, refresh=True, side="buy")
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if not buy_limit_requested:
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raise PricingError('Could not determine buy price.')
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@ -609,7 +609,7 @@ class FreqtradeBot(LoggingMixin):
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"""
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Sends rpc notification when a buy cancel occurred.
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"""
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current_rate = self.exchange.get_buy_rate(trade.pair, False)
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current_rate = self.exchange.get_rate(trade.pair, refresh=False, side="buy")
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msg = {
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'trade_id': trade.id,
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@ -695,7 +695,7 @@ class FreqtradeBot(LoggingMixin):
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(buy, sell) = self.strategy.get_signal(trade.pair, self.strategy.timeframe, analyzed_df)
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logger.debug('checking sell')
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sell_rate = self.exchange.get_sell_rate(trade.pair, True)
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sell_rate = self.exchange.get_rate(trade.pair, refresh=True, side="sell")
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if self._check_and_execute_sell(trade, sell_rate, buy, sell):
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return True
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@ -1132,7 +1132,8 @@ class FreqtradeBot(LoggingMixin):
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profit_rate = trade.close_rate if trade.close_rate else trade.close_rate_requested
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profit_trade = trade.calc_profit(rate=profit_rate)
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# Use cached rates here - it was updated seconds ago.
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current_rate = self.exchange.get_sell_rate(trade.pair, False) if not fill else None
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current_rate = self.exchange.get_rate(
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trade.pair, refresh=False, side="sell") if not fill else None
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profit_ratio = trade.calc_profit_ratio(profit_rate)
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gain = "profit" if profit_ratio > 0 else "loss"
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@ -1177,7 +1178,7 @@ class FreqtradeBot(LoggingMixin):
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profit_rate = trade.close_rate if trade.close_rate else trade.close_rate_requested
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profit_trade = trade.calc_profit(rate=profit_rate)
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current_rate = self.exchange.get_sell_rate(trade.pair, False)
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current_rate = self.exchange.get_rate(trade.pair, refresh=False, side="sell")
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profit_ratio = trade.calc_profit_ratio(profit_rate)
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gain = "profit" if profit_ratio > 0 else "loss"
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@ -154,7 +154,8 @@ class RPC:
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# calculate profit and send message to user
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if trade.is_open:
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try:
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current_rate = self._freqtrade.exchange.get_sell_rate(trade.pair, False)
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current_rate = self._freqtrade.exchange.get_rate(
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trade.pair, refresh=False, side="sell")
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except (ExchangeError, PricingError):
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current_rate = NAN
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else:
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@ -213,7 +214,8 @@ class RPC:
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for trade in trades:
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# calculate profit and send message to user
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try:
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current_rate = self._freqtrade.exchange.get_sell_rate(trade.pair, False)
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current_rate = self._freqtrade.exchange.get_rate(
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trade.pair, refresh=False, side="sell")
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except (PricingError, ExchangeError):
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current_rate = NAN
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trade_percent = (100 * trade.calc_profit_ratio(current_rate))
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@ -272,10 +274,10 @@ class RPC:
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'date': key,
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'abs_profit': value["amount"],
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'fiat_value': self._fiat_converter.convert_amount(
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value['amount'],
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stake_currency,
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fiat_display_currency
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) if self._fiat_converter else 0,
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value['amount'],
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stake_currency,
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fiat_display_currency
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) if self._fiat_converter else 0,
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'trade_count': value["trades"],
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}
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for key, value in profit_days.items()
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@ -372,7 +374,8 @@ class RPC:
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else:
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# Get current rate
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try:
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current_rate = self._freqtrade.exchange.get_sell_rate(trade.pair, False)
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current_rate = self._freqtrade.exchange.get_rate(
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trade.pair, refresh=False, side="sell")
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except (PricingError, ExchangeError):
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current_rate = NAN
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profit_ratio = trade.calc_profit_ratio(rate=current_rate)
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@ -551,7 +554,8 @@ class RPC:
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if not fully_canceled:
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# Get current rate and execute sell
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current_rate = self._freqtrade.exchange.get_sell_rate(trade.pair, False)
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current_rate = self._freqtrade.exchange.get_rate(
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trade.pair, refresh=False, side="sell")
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sell_reason = SellCheckTuple(sell_type=SellType.FORCE_SELL)
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self._freqtrade.execute_sell(trade, current_rate, sell_reason)
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# ---- EOF def _exec_forcesell ----
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@ -1783,14 +1783,14 @@ def test_get_buy_rate(mocker, default_conf, caplog, side, ask, bid,
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mocker.patch('freqtrade.exchange.Exchange.fetch_ticker',
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return_value={'ask': ask, 'last': last, 'bid': bid})
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assert exchange.get_buy_rate('ETH/BTC', True) == expected
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assert exchange.get_rate('ETH/BTC', refresh=True, side="buy") == expected
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assert not log_has("Using cached buy rate for ETH/BTC.", caplog)
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assert exchange.get_buy_rate('ETH/BTC', False) == expected
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assert exchange.get_rate('ETH/BTC', refresh=False, side="buy") == expected
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assert log_has("Using cached buy rate for ETH/BTC.", caplog)
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# Running a 2nd time with Refresh on!
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caplog.clear()
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assert exchange.get_buy_rate('ETH/BTC', True) == expected
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assert exchange.get_rate('ETH/BTC', refresh=True, side="buy") == expected
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assert not log_has("Using cached buy rate for ETH/BTC.", caplog)
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@ -1825,12 +1825,12 @@ def test_get_sell_rate(default_conf, mocker, caplog, side, bid, ask,
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# Test regular mode
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exchange = get_patched_exchange(mocker, default_conf)
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rate = exchange.get_sell_rate(pair, True)
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rate = exchange.get_rate(pair, refresh=True, side="sell")
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assert not log_has("Using cached sell rate for ETH/BTC.", caplog)
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assert isinstance(rate, float)
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assert rate == expected
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# Use caching
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rate = exchange.get_sell_rate(pair, False)
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rate = exchange.get_rate(pair, refresh=False, side="sell")
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assert rate == expected
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assert log_has("Using cached sell rate for ETH/BTC.", caplog)
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@ -1848,11 +1848,11 @@ def test_get_sell_rate_orderbook(default_conf, mocker, caplog, side, expected, o
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pair = "ETH/BTC"
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mocker.patch('freqtrade.exchange.Exchange.fetch_l2_order_book', order_book_l2)
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exchange = get_patched_exchange(mocker, default_conf)
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rate = exchange.get_sell_rate(pair, True)
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rate = exchange.get_rate(pair, refresh=True, side="sell")
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assert not log_has("Using cached sell rate for ETH/BTC.", caplog)
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assert isinstance(rate, float)
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assert rate == expected
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rate = exchange.get_sell_rate(pair, False)
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rate = exchange.get_rate(pair, refresh=False, side="sell")
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assert rate == expected
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assert log_has("Using cached sell rate for ETH/BTC.", caplog)
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@ -1868,7 +1868,7 @@ def test_get_sell_rate_orderbook_exception(default_conf, mocker, caplog):
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return_value={'bids': [[]], 'asks': [[]]})
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exchange = get_patched_exchange(mocker, default_conf)
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with pytest.raises(PricingError):
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exchange.get_sell_rate(pair, True)
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exchange.get_rate(pair, refresh=True, side="sell")
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assert log_has_re(r"Sell Price at location 1 from orderbook could not be determined\..*",
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caplog)
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@ -1881,18 +1881,18 @@ def test_get_sell_rate_exception(default_conf, mocker, caplog):
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return_value={'ask': None, 'bid': 0.12, 'last': None})
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exchange = get_patched_exchange(mocker, default_conf)
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with pytest.raises(PricingError, match=r"Sell-Rate for ETH/BTC was empty."):
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exchange.get_sell_rate(pair, True)
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exchange.get_rate(pair, refresh=True, side="sell")
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exchange._config['ask_strategy']['price_side'] = 'bid'
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assert exchange.get_sell_rate(pair, True) == 0.12
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assert exchange.get_rate(pair, refresh=True, side="sell") == 0.12
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# Reverse sides
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mocker.patch('freqtrade.exchange.Exchange.fetch_ticker',
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return_value={'ask': 0.13, 'bid': None, 'last': None})
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with pytest.raises(PricingError, match=r"Sell-Rate for ETH/BTC was empty."):
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exchange.get_sell_rate(pair, True)
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exchange.get_rate(pair, refresh=True, side="sell")
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exchange._config['ask_strategy']['price_side'] = 'ask'
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assert exchange.get_sell_rate(pair, True) == 0.13
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assert exchange.get_rate(pair, refresh=True, side="sell") == 0.13
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def make_fetch_ohlcv_mock(data):
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@ -2203,7 +2203,7 @@ def test_cancel_order_dry_run(default_conf, mocker, exchange_name):
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({'status': 'canceled', 'filled': 10.0}, False),
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({'status': 'unknown', 'filled': 10.0}, False),
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({'result': 'testest123'}, False),
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])
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])
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def test_check_order_canceled_empty(mocker, default_conf, exchange_name, order, result):
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exchange = get_patched_exchange(mocker, default_conf, id=exchange_name)
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assert exchange.check_order_canceled_empty(order) == result
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@ -109,7 +109,7 @@ def test_rpc_trade_status(default_conf, ticker, fee, mocker) -> None:
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'exchange': 'binance',
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}
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mocker.patch('freqtrade.exchange.Exchange.get_sell_rate',
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mocker.patch('freqtrade.exchange.Exchange.get_rate',
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MagicMock(side_effect=ExchangeError("Pair 'ETH/BTC' not available")))
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results = rpc._rpc_trade_status()
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assert isnan(results[0]['current_profit'])
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@ -217,7 +217,7 @@ def test_rpc_status_table(default_conf, ticker, fee, mocker) -> None:
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assert '-0.41% (-0.06)' == result[0][3]
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assert '-0.06' == f'{fiat_profit_sum:.2f}'
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mocker.patch('freqtrade.exchange.Exchange.get_sell_rate',
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mocker.patch('freqtrade.exchange.Exchange.get_rate',
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MagicMock(side_effect=ExchangeError("Pair 'ETH/BTC' not available")))
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result, headers, fiat_profit_sum = rpc._rpc_status_table(default_conf['stake_currency'], 'USD')
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assert 'instantly' == result[0][2]
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@ -427,7 +427,7 @@ def test_rpc_trade_statistics(default_conf, ticker, ticker_sell_up, fee,
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assert prec_satoshi(stats['best_rate'], 6.2)
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# Test non-available pair
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mocker.patch('freqtrade.exchange.Exchange.get_sell_rate',
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mocker.patch('freqtrade.exchange.Exchange.get_rate',
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MagicMock(side_effect=ExchangeError("Pair 'ETH/BTC' not available")))
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stats = rpc._rpc_trade_statistics(stake_currency, fiat_display_currency)
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assert stats['trade_count'] == 2
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@ -847,7 +847,7 @@ def test_api_status(botclient, mocker, ticker, fee, markets):
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'exchange': 'binance',
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}
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mocker.patch('freqtrade.exchange.Exchange.get_sell_rate',
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mocker.patch('freqtrade.exchange.Exchange.get_rate',
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MagicMock(side_effect=ExchangeError("Pair 'ETH/BTC' not available")))
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rc = client_get(client, f"{BASE_URI}/status")
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@ -161,7 +161,7 @@ def test_get_trade_stake_amount(default_conf, ticker, mocker) -> None:
|
||||
(True, 0.0022, 3, 0.5, [0.001, 0.001, 0.0]),
|
||||
(True, 0.0027, 3, 0.5, [0.001, 0.001, 0.000673]),
|
||||
(True, 0.0022, 3, 1, [0.001, 0.001, 0.0]),
|
||||
])
|
||||
])
|
||||
def test_check_available_stake_amount(default_conf, ticker, mocker, fee, limit_buy_order_open,
|
||||
amend_last, wallet, max_open, lsamr, expected) -> None:
|
||||
patch_RPCManager(mocker)
|
||||
@ -784,7 +784,7 @@ def test_execute_buy(mocker, default_conf, fee, limit_buy_order, limit_buy_order
|
||||
buy_mm = MagicMock(return_value=limit_buy_order_open)
|
||||
mocker.patch.multiple(
|
||||
'freqtrade.exchange.Exchange',
|
||||
get_buy_rate=buy_rate_mock,
|
||||
get_rate=buy_rate_mock,
|
||||
fetch_ticker=MagicMock(return_value={
|
||||
'bid': 0.00001172,
|
||||
'ask': 0.00001173,
|
||||
@ -824,7 +824,7 @@ def test_execute_buy(mocker, default_conf, fee, limit_buy_order, limit_buy_order
|
||||
limit_buy_order_open['id'] = '33'
|
||||
fix_price = 0.06
|
||||
assert freqtrade.execute_buy(pair, stake_amount, fix_price)
|
||||
# Make sure get_buy_rate wasn't called again
|
||||
# Make sure get_rate wasn't called again
|
||||
assert buy_rate_mock.call_count == 0
|
||||
|
||||
assert buy_mm.call_count == 2
|
||||
@ -893,7 +893,7 @@ def test_execute_buy(mocker, default_conf, fee, limit_buy_order, limit_buy_order
|
||||
assert not freqtrade.execute_buy(pair, stake_amount)
|
||||
|
||||
# Fail to get price...
|
||||
mocker.patch('freqtrade.exchange.Exchange.get_buy_rate', MagicMock(return_value=0.0))
|
||||
mocker.patch('freqtrade.exchange.Exchange.get_rate', MagicMock(return_value=0.0))
|
||||
|
||||
with pytest.raises(PricingError, match="Could not determine buy price."):
|
||||
freqtrade.execute_buy(pair, stake_amount)
|
||||
@ -909,7 +909,7 @@ def test_execute_buy_confirm_error(mocker, default_conf, fee, limit_buy_order) -
|
||||
'last': 0.00001172
|
||||
}),
|
||||
buy=MagicMock(return_value=limit_buy_order),
|
||||
get_buy_rate=MagicMock(return_value=0.11),
|
||||
get_rate=MagicMock(return_value=0.11),
|
||||
get_min_pair_stake_amount=MagicMock(return_value=1),
|
||||
get_fee=fee,
|
||||
)
|
||||
@ -2513,7 +2513,7 @@ def test_handle_cancel_sell_limit(mocker, default_conf, fee) -> None:
|
||||
'freqtrade.exchange.Exchange',
|
||||
cancel_order=cancel_order_mock,
|
||||
)
|
||||
mocker.patch('freqtrade.exchange.Exchange.get_sell_rate', return_value=0.245441)
|
||||
mocker.patch('freqtrade.exchange.Exchange.get_rate', return_value=0.245441)
|
||||
|
||||
freqtrade = FreqtradeBot(default_conf)
|
||||
|
||||
@ -3956,7 +3956,7 @@ def test_order_book_depth_of_market_high_delta(default_conf, ticker, limit_buy_o
|
||||
|
||||
def test_order_book_bid_strategy1(mocker, default_conf, order_book_l2) -> None:
|
||||
"""
|
||||
test if function get_buy_rate will return the order book price
|
||||
test if function get_rate will return the order book price
|
||||
instead of the ask rate
|
||||
"""
|
||||
patch_exchange(mocker)
|
||||
@ -3974,7 +3974,7 @@ def test_order_book_bid_strategy1(mocker, default_conf, order_book_l2) -> None:
|
||||
default_conf['telegram']['enabled'] = False
|
||||
|
||||
freqtrade = FreqtradeBot(default_conf)
|
||||
assert freqtrade.exchange.get_buy_rate('ETH/BTC', True) == 0.043935
|
||||
assert freqtrade.exchange.get_rate('ETH/BTC', refresh=True, side="buy") == 0.043935
|
||||
assert ticker_mock.call_count == 0
|
||||
|
||||
|
||||
@ -3996,8 +3996,8 @@ def test_order_book_bid_strategy_exception(mocker, default_conf, caplog) -> None
|
||||
freqtrade = FreqtradeBot(default_conf)
|
||||
# orderbook shall be used even if tickers would be lower.
|
||||
with pytest.raises(PricingError):
|
||||
freqtrade.exchange.get_buy_rate('ETH/BTC', refresh=True)
|
||||
assert log_has_re(r'Buy Price from orderbook could not be determined.', caplog)
|
||||
freqtrade.exchange.get_rate('ETH/BTC', refresh=True, side="buy")
|
||||
assert log_has_re(r'Buy Price at location 1 from orderbook could not be determined.', caplog)
|
||||
|
||||
|
||||
def test_check_depth_of_market_buy(default_conf, mocker, order_book_l2) -> None:
|
||||
|
||||
Loading…
Reference in New Issue
Block a user