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

Merge pull request #6550 from freqtrade/short_tickerproblems

Browse Source 
Short tickerproblems
This commit is contained in:
Matthias
2022-03-19 15:43:40 +01:00
committed by GitHub
parent 9f34f824af f44601d0cc
commit 7d8ca63752
11 changed files with 246 additions and 42 deletions
Download Patch File Download Diff File Expand all files Collapse all files

15
freqtrade/exchange/binance.py
View File

@@ -12,6 +12,7 @@ from freqtrade.enums import CandleType, MarginMode, TradingMode
from freqtrade.exceptions import DDosProtection, OperationalException, TemporaryError
from freqtrade.exchange import Exchange
from freqtrade.exchange.common import retrier
from freqtrade.misc import deep_merge_dicts
logger = logging.getLogger(__name__)
@@ -22,7 +23,6 @@ class Binance(Exchange):
_ft_has: Dict = {
"stoploss_on_exchange": True,
"stoploss_order_types": {"limit": "stop_loss_limit"},
"stoploss_order_types_futures": {"limit": "stop"},
"order_time_in_force": ['gtc', 'fok', 'ioc'],
"time_in_force_parameter": "timeInForce",
"ohlcv_candle_limit": 1000,
@@ -31,6 +31,10 @@ class Binance(Exchange):
"l2_limit_range": [5, 10, 20, 50, 100, 500, 1000],
"ccxt_futures_name": "future"
}
_ft_has_futures: Dict = {
"stoploss_order_types": {"limit": "stop"},
"tickers_have_price": False,
}
_supported_trading_mode_margin_pairs: List[Tuple[TradingMode, MarginMode]] = [
# TradingMode.SPOT always supported and not required in this list
@@ -53,6 +57,15 @@ class Binance(Exchange):
(side == "buy" and stop_loss < float(order['info']['stopPrice']))
)
def get_tickers(self, symbols: List[str] = None, cached: bool = False) -> Dict:
tickers = super().get_tickers(symbols=symbols, cached=cached)
if self.trading_mode == TradingMode.FUTURES:
# Binance's future result has no bid/ask values.
# Therefore we must fetch that from fetch_bids_asks and combine the two results.
bidsasks = self.fetch_bids_asks(symbols, cached)
tickers = deep_merge_dicts(bidsasks, tickers, allow_null_overrides=False)
return tickers
@retrier
def _set_leverage(
self,

69
freqtrade/exchange/exchange.py
View File

@@ -65,6 +65,8 @@ class Exchange:
"ohlcv_partial_candle": True,
# Check https://github.com/ccxt/ccxt/issues/10767 for removal of ohlcv_volume_currency
"ohlcv_volume_currency": "base", # "base" or "quote"
"tickers_have_quoteVolume": True,
"tickers_have_price": True,
"trades_pagination": "time", # Possible are "time" or "id"
"trades_pagination_arg": "since",
"l2_limit_range": None,
@@ -74,6 +76,7 @@ class Exchange:
"ccxt_futures_name": "swap",
}
_ft_has: Dict = {}
_ft_has_futures: Dict = {}
_supported_trading_mode_margin_pairs: List[Tuple[TradingMode, MarginMode]] = [
# TradingMode.SPOT always supported and not required in this list
@@ -101,7 +104,7 @@ class Exchange:
self._last_markets_refresh: int = 0
# Cache for 10 minutes ...
self._fetch_tickers_cache: TTLCache = TTLCache(maxsize=1, ttl=60 * 10)
self._fetch_tickers_cache: TTLCache = TTLCache(maxsize=2, ttl=60 * 10)
# Cache values for 1800 to avoid frequent polling of the exchange for prices
# Caching only applies to RPC methods, so prices for open trades are still
# refreshed once every iteration.
@@ -121,8 +124,19 @@ class Exchange:
exchange_config = config['exchange']
self.log_responses = exchange_config.get('log_responses', False)
# Leverage properties
self.trading_mode: TradingMode = config.get('trading_mode', TradingMode.SPOT)
self.margin_mode: Optional[MarginMode] = (
MarginMode(config.get('margin_mode'))
if config.get('margin_mode')
else None
)
self.liquidation_buffer = config.get('liquidation_buffer', 0.05)
# Deep merge ft_has with default ft_has options
self._ft_has = deep_merge_dicts(self._ft_has, deepcopy(self._ft_has_default))
if self.trading_mode == TradingMode.FUTURES:
self._ft_has = deep_merge_dicts(self._ft_has_futures, self._ft_has)
if exchange_config.get('_ft_has_params'):
self._ft_has = deep_merge_dicts(exchange_config.get('_ft_has_params'),
self._ft_has)
@@ -134,15 +148,6 @@ class Exchange:
self._trades_pagination = self._ft_has['trades_pagination']
self._trades_pagination_arg = self._ft_has['trades_pagination_arg']
# Leverage properties
self.trading_mode: TradingMode = config.get('trading_mode', TradingMode.SPOT)
self.margin_mode: Optional[MarginMode] = (
MarginMode(config.get('margin_mode'))
if config.get('margin_mode')
else None
)
self.liquidation_buffer = config.get('liquidation_buffer', 0.05)
# Initialize ccxt objects
ccxt_config = self._ccxt_config
ccxt_config = deep_merge_dicts(exchange_config.get('ccxt_config', {}), ccxt_config)
@@ -176,6 +181,8 @@ class Exchange:
self.required_candle_call_count = self.validate_required_startup_candles(
config.get('startup_candle_count', 0), config.get('timeframe', ''))
self.validate_trading_mode_and_margin_mode(self.trading_mode, self.margin_mode)
self.validate_pricing(config['ask_strategy'])
self.validate_pricing(config['bid_strategy'])
# Converts the interval provided in minutes in config to seconds
self.markets_refresh_interval: int = exchange_config.get(
@@ -569,6 +576,14 @@ class Exchange:
f'On exchange stoploss is not supported for {self.name}.'
)
def validate_pricing(self, pricing: Dict) -> None:
if pricing.get('use_order_book', False) and not self.exchange_has('fetchL2OrderBook'):
raise OperationalException(f'Orderbook not available for {self.name}.')
if (not pricing.get('use_order_book', False) and (
not self.exchange_has('fetchTicker')
or not self._ft_has['tickers_have_price'])):
raise OperationalException(f'Ticker pricing not available for {self.name}.')
def validate_order_time_in_force(self, order_time_in_force: Dict) -> None:
"""
Checks if order time in force configured in strategy/config are supported
@@ -1010,10 +1025,6 @@ class Exchange:
def _get_stop_order_type(self, user_order_type) -> Tuple[str, str]:
available_order_Types: Dict[str, str] = self._ft_has["stoploss_order_types"]
if self.trading_mode == TradingMode.FUTURES:
# Optionally use different order type for stop order
available_order_Types = self._ft_has.get('stoploss_order_types_futures',
self._ft_has["stoploss_order_types"])
if user_order_type in available_order_Types.keys():
ordertype = available_order_Types[user_order_type]
@@ -1288,6 +1299,34 @@ class Exchange:
except ccxt.BaseError as e:
raise OperationalException(e) from e
@retrier
def fetch_bids_asks(self, symbols: List[str] = None, cached: bool = False) -> Dict:
"""
:param cached: Allow cached result
:return: fetch_tickers result
"""
if not self.exchange_has('fetchBidsAsks'):
return {}
if cached:
tickers = self._fetch_tickers_cache.get('fetch_bids_asks')
if tickers:
return tickers
try:
tickers = self._api.fetch_bids_asks(symbols)
self._fetch_tickers_cache['fetch_bids_asks'] = tickers
return tickers
except ccxt.NotSupported as e:
raise OperationalException(
f'Exchange {self._api.name} does not support fetching bids/asks in batch. '
f'Message: {e}') from e
except ccxt.DDoSProtection as e:
raise DDosProtection(e) from e
except (ccxt.NetworkError, ccxt.ExchangeError) as e:
raise TemporaryError(
f'Could not load bids/asks due to {e.__class__.__name__}. Message: {e}') from e
except ccxt.BaseError as e:
raise OperationalException(e) from e
@retrier
def get_tickers(self, symbols: List[str] = None, cached: bool = False) -> Dict:
"""
@@ -1397,7 +1436,7 @@ class Exchange:
conf_strategy = self._config.get(strat_name, {})
if conf_strategy.get('use_order_book', False) and ('use_order_book' in conf_strategy):
if conf_strategy.get('use_order_book', False):
order_book_top = conf_strategy.get('order_book_top', 1)
order_book = self.fetch_l2_order_book(pair, order_book_top)

3
freqtrade/exchange/okx.py
View File

@@ -23,6 +23,9 @@ class Okx(Exchange):
"mark_ohlcv_timeframe": "4h",
"funding_fee_timeframe": "8h",
}
_ft_has_futures: Dict = {
"tickers_have_quoteVolume": False,
}
_supported_trading_mode_margin_pairs: List[Tuple[TradingMode, MarginMode]] = [
# TradingMode.SPOT always supported and not required in this list