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

Merge pull request #7216 from freqtrade/precise_calcs

Browse Source 
Precise calcs
This commit is contained in:
Matthias
2022-08-17 14:32:02 +02:00
committed by GitHub
parent c615e1bc62 b9667f50cf
commit 83ca168bb8
19 changed files with 279 additions and 203 deletions
Download Patch File Download Diff File Expand all files Collapse all files

106
freqtrade/exchange/exchange.py
View File

@@ -681,45 +681,35 @@ class Exchange:
"""
return endpoint in self._api.has and self._api.has[endpoint]
def get_precision_amount(self, pair: str) -> Optional[float]:
"""
Returns the amount precision of the exchange.
:param pair: Pair to get precision for
:return: precision for amount or None. Must be used in combination with precisionMode
"""
return self.markets.get(pair, {}).get('precision', {}).get('amount', None)
def get_precision_price(self, pair: str) -> Optional[float]:
"""
Returns the price precision of the exchange.
:param pair: Pair to get precision for
:return: precision for price or None. Must be used in combination with precisionMode
"""
return self.markets.get(pair, {}).get('precision', {}).get('price', None)
def amount_to_precision(self, pair: str, amount: float) -> float:
"""
Returns the amount to buy or sell to a precision the Exchange accepts
Re-implementation of ccxt internal methods - ensuring we can test the result is correct
based on our definitions.
"""
if self.markets[pair]['precision']['amount'] is not None:
amount = float(decimal_to_precision(amount, rounding_mode=TRUNCATE,
precision=self.markets[pair]['precision']['amount'],
counting_mode=self.precisionMode,
))
return amount
"""
return amount_to_precision(amount, self.get_precision_amount(pair), self.precisionMode)
def price_to_precision(self, pair: str, price: float) -> float:
"""
Returns the price rounded up to the precision the Exchange accepts.
Partial Re-implementation of ccxt internal method decimal_to_precision(),
which does not support rounding up
TODO: If ccxt supports ROUND_UP for decimal_to_precision(), we could remove this and
align with amount_to_precision().
Rounds up
"""
if self.markets[pair]['precision']['price']:
# price = float(decimal_to_precision(price, rounding_mode=ROUND,
# precision=self.markets[pair]['precision']['price'],
# counting_mode=self.precisionMode,
# ))
if self.precisionMode == TICK_SIZE:
precision = FtPrecise(self.markets[pair]['precision']['price'])
price_str = FtPrecise(price)
missing = price_str % precision
if not missing == FtPrecise("0"):
price = round(float(str(price_str - missing + precision)), 14)
else:
symbol_prec = self.markets[pair]['precision']['price']
big_price = price * pow(10, symbol_prec)
price = ceil(big_price) / pow(10, symbol_prec)
return price
return price_to_precision(price, self.get_precision_price(pair), self.precisionMode)
def price_get_one_pip(self, pair: str, price: float) -> float:
"""
@@ -2862,3 +2852,61 @@ def market_is_active(market: Dict) -> bool:
# See https://github.com/ccxt/ccxt/issues/4874,
# https://github.com/ccxt/ccxt/issues/4075#issuecomment-434760520
return market.get('active', True) is not False
def amount_to_precision(amount: float, amount_precision: Optional[float],
precisionMode: Optional[int]) -> float:
"""
Returns the amount to buy or sell to a precision the Exchange accepts
Re-implementation of ccxt internal methods - ensuring we can test the result is correct
based on our definitions.
:param amount: amount to truncate
:param amount_precision: amount precision to use.
should be retrieved from markets[pair]['precision']['amount']
:param precisionMode: precision mode to use. Should be used from precisionMode
one of ccxt's DECIMAL_PLACES, SIGNIFICANT_DIGITS, or TICK_SIZE
:return: truncated amount
"""
if amount_precision is not None and precisionMode is not None:
precision = int(amount_precision) if precisionMode != TICK_SIZE else amount_precision
# precision must be an int for non-ticksize inputs.
amount = float(decimal_to_precision(amount, rounding_mode=TRUNCATE,
precision=precision,
counting_mode=precisionMode,
))
return amount
def price_to_precision(price: float, price_precision: Optional[float],
precisionMode: Optional[int]) -> float:
"""
Returns the price rounded up to the precision the Exchange accepts.
Partial Re-implementation of ccxt internal method decimal_to_precision(),
which does not support rounding up
TODO: If ccxt supports ROUND_UP for decimal_to_precision(), we could remove this and
align with amount_to_precision().
!!! Rounds up
:param price: price to convert
:param price_precision: price precision to use. Used from markets[pair]['precision']['price']
:param precisionMode: precision mode to use. Should be used from precisionMode
one of ccxt's DECIMAL_PLACES, SIGNIFICANT_DIGITS, or TICK_SIZE
:return: price rounded up to the precision the Exchange accepts
"""
if price_precision is not None and precisionMode is not None:
# price = float(decimal_to_precision(price, rounding_mode=ROUND,
# precision=price_precision,
# counting_mode=self.precisionMode,
# ))
if precisionMode == TICK_SIZE:
precision = FtPrecise(price_precision)
price_str = FtPrecise(price)
missing = price_str % precision
if not missing == FtPrecise("0"):
price = round(float(str(price_str - missing + precision)), 14)
else:
symbol_prec = price_precision
big_price = price * pow(10, symbol_prec)
price = ceil(big_price) / pow(10, symbol_prec)
return price