Merge branch 'feat/short' into lev-exchange

freqtrade/exchange/__init__.py

@@ -15,6 +15,7 @@ from freqtrade.exchange.exchange import (available_exchanges, ccxt_exchanges,
                                          timeframe_to_seconds, validate_exchange,
                                          validate_exchanges)
 from freqtrade.exchange.ftx import Ftx
+from freqtrade.exchange.gateio import Gateio
 from freqtrade.exchange.hitbtc import Hitbtc
 from freqtrade.exchange.kraken import Kraken
 from freqtrade.exchange.kucoin import Kucoin

freqtrade/exchange/exchange.py

@@ -19,7 +19,8 @@ from ccxt.base.decimal_to_precision import (ROUND_DOWN, ROUND_UP, TICK_SIZE, TRU
                                             decimal_to_precision)
 from pandas import DataFrame
 
-from freqtrade.constants import DEFAULT_AMOUNT_RESERVE_PERCENT, ListPairsWithTimeframes
+from freqtrade.constants import (DEFAULT_AMOUNT_RESERVE_PERCENT, NON_OPEN_EXCHANGE_STATES,
+                                 ListPairsWithTimeframes)
 from freqtrade.data.converter import ohlcv_to_dataframe, trades_dict_to_list
 from freqtrade.enums import Collateral
 from freqtrade.exceptions import (DDosProtection, ExchangeError, InsufficientFundsError,
@@ -366,9 +367,16 @@ class Exchange:
     def validate_stakecurrency(self, stake_currency: str) -> None:
         """
         Checks stake-currency against available currencies on the exchange.
+        Only runs on startup. If markets have not been loaded, there's been a problem with
+        the connection to the exchange.
         :param stake_currency: Stake-currency to validate
         :raise: OperationalException if stake-currency is not available.
         """
+        if not self._markets:
+            raise OperationalException(
+                'Could not load markets, therefore cannot start. '
+                'Please investigate the above error for more details.'
+                )
         quote_currencies = self.get_quote_currencies()
         if stake_currency not in quote_currencies:
             raise OperationalException(
@@ -646,6 +654,8 @@ class Exchange:
         if self.exchange_has('fetchL2OrderBook'):
             ob = self.fetch_l2_order_book(pair, 20)
             ob_type = 'asks' if side == 'buy' else 'bids'
+            slippage = 0.05
+            max_slippage_val = rate * ((1 + slippage) if side == 'buy' else (1 - slippage))
 
             remaining_amount = amount
             filled_amount = 0
@@ -654,7 +664,9 @@ class Exchange:
                 book_entry_coin_volume = book_entry[1]
                 if remaining_amount > 0:
                     if remaining_amount < book_entry_coin_volume:
+                        # Orderbook at this slot bigger than remaining amount
                         filled_amount += remaining_amount * book_entry_price
+                        break
                     else:
                         filled_amount += book_entry_coin_volume * book_entry_price
                     remaining_amount -= book_entry_coin_volume
@@ -663,7 +675,14 @@ class Exchange:
             else:
                 # If remaining_amount wasn't consumed completely (break was not called)
                 filled_amount += remaining_amount * book_entry_price
-            forecast_avg_filled_price = filled_amount / amount
+            forecast_avg_filled_price = max(filled_amount, 0) / amount
+            # Limit max. slippage to specified value
+            if side == 'buy':
+                forecast_avg_filled_price = min(forecast_avg_filled_price, max_slippage_val)
+
+            else:
+                forecast_avg_filled_price = max(forecast_avg_filled_price, max_slippage_val)
+
             return self.price_to_precision(pair, forecast_avg_filled_price)
 
         return rate
@@ -822,7 +841,7 @@ class Exchange:
         :param order: Order dict as returned from fetch_order()
         :return: True if order has been cancelled without being filled, False otherwise.
         """
-        return (order.get('status') in ('closed', 'canceled', 'cancelled')
+        return (order.get('status') in NON_OPEN_EXCHANGE_STATES
                 and order.get('filled') == 0.0)
 
     @retrier
@@ -1056,7 +1075,7 @@ class Exchange:
             logger.debug(f"Using Last {conf_strategy['price_side'].capitalize()} / Last Price")
             ticker = self.fetch_ticker(pair)
             ticker_rate = ticker[conf_strategy['price_side']]
-            if ticker['last']:
+            if ticker['last'] and ticker_rate:
                 if side == 'buy' and ticker_rate > ticker['last']:
                     balance = conf_strategy['ask_last_balance']
                     ticker_rate = ticker_rate + balance * (ticker['last'] - ticker_rate)
@@ -1271,7 +1290,7 @@ class Exchange:
         logger.debug("Refreshing candle (OHLCV) data for %d pairs", len(pair_list))
 
         input_coroutines = []
-
+        cached_pairs = []
         # Gather coroutines to run
         for pair, timeframe in set(pair_list):
             if (((pair, timeframe) not in self._klines)
@@ -1283,6 +1302,7 @@ class Exchange:
                     "Using cached candle (OHLCV) data for pair %s, timeframe %s ...",
                     pair, timeframe
                 )
+                cached_pairs.append((pair, timeframe))
 
         results = asyncio.get_event_loop().run_until_complete(
             asyncio.gather(*input_coroutines, return_exceptions=True))
@@ -1305,6 +1325,10 @@ class Exchange:
             results_df[(pair, timeframe)] = ohlcv_df
             if cache:
                 self._klines[(pair, timeframe)] = ohlcv_df
+        # Return cached klines
+        for pair, timeframe in cached_pairs:
+            results_df[(pair, timeframe)] = self.klines((pair, timeframe), copy=False)
+
         return results_df
 
     def _now_is_time_to_refresh(self, pair: str, timeframe: str) -> bool:

freqtrade/exchange/gateio.py

@@ -0,0 +1,23 @@
+""" Gate.io exchange subclass """
+import logging
+from typing import Dict
+
+from freqtrade.exchange import Exchange
+
+
+logger = logging.getLogger(__name__)
+
+
+class Gateio(Exchange):
+    """
+    Gate.io exchange class. Contains adjustments needed for Freqtrade to work
+    with this exchange.
+
+    Please note that this exchange is not included in the list of exchanges
+    officially supported by the Freqtrade development team. So some features
+    may still not work as expected.
+    """
+
+    _ft_has: Dict = {
+        "ohlcv_candle_limit": 1000,
+    }