Merge pull request #6590 from freqtrade/short_gateio

Fix gateio fee handling for futures

freqtrade/exchange/exchange.py

@@ -75,6 +75,7 @@ class Exchange:
         "mark_ohlcv_price": "mark",
         "mark_ohlcv_timeframe": "8h",
         "ccxt_futures_name": "swap",
+        "needs_trading_fees": False,  # use fetch_trading_fees to cache fees
     }
     _ft_has: Dict = {}
     _ft_has_futures: Dict = {}
@@ -92,6 +93,7 @@ class Exchange:
         self._api: ccxt.Exchange = None
         self._api_async: ccxt_async.Exchange = None
         self._markets: Dict = {}
+        self._trading_fees: Dict[str, Any] = {}
         self._leverage_tiers: Dict[str, List[Dict]] = {}
         self.loop = asyncio.new_event_loop()
         asyncio.set_event_loop(self.loop)
@@ -451,6 +453,9 @@ class Exchange:
             self._markets = self._api.load_markets()
             self._load_async_markets()
             self._last_markets_refresh = arrow.utcnow().int_timestamp
+            if self._ft_has['needs_trading_fees']:
+                self._trading_fees = self.fetch_trading_fees()
+
         except ccxt.BaseError:
             logger.exception('Unable to initialize markets.')
 
@@ -1299,6 +1304,27 @@ class Exchange:
         except ccxt.BaseError as e:
             raise OperationalException(e) from e
 
+    @retrier
+    def fetch_trading_fees(self) -> Dict[str, Any]:
+        """
+        Fetch user account trading fees
+        Can be cached, should not update often.
+        """
+        if (self._config['dry_run'] or self.trading_mode != TradingMode.FUTURES
+                or not self.exchange_has('fetchTradingFees')):
+            return {}
+        try:
+            trading_fees: Dict[str, Any] = self._api.fetch_trading_fees()
+            self._log_exchange_response('fetch_trading_fees', trading_fees)
+            return trading_fees
+        except ccxt.DDoSProtection as e:
+            raise DDosProtection(e) from e
+        except (ccxt.NetworkError, ccxt.ExchangeError) as e:
+            raise TemporaryError(
+                f'Could not fetch trading fees due to {e.__class__.__name__}. Message: {e}') from e
+        except ccxt.BaseError as e:
+            raise OperationalException(e) from e
+
     @retrier
     def fetch_bids_asks(self, symbols: List[str] = None, cached: bool = False) -> Dict:
         """

freqtrade/exchange/gateio.py

@@ -1,6 +1,7 @@
 """ Gate.io exchange subclass """
 import logging
-from typing import Dict, List, Tuple
+from datetime import datetime
+from typing import Dict, List, Optional, Tuple
 
 from freqtrade.enums import MarginMode, TradingMode
 from freqtrade.exceptions import OperationalException
@@ -27,6 +28,10 @@ class Gateio(Exchange):
         "stoploss_on_exchange": True,
     }
 
+    _ft_has_futures: Dict = {
+        "needs_trading_fees": True
+    }
+
     _supported_trading_mode_margin_pairs: List[Tuple[TradingMode, MarginMode]] = [
         # TradingMode.SPOT always supported and not required in this list
         # (TradingMode.MARGIN, MarginMode.CROSS),
@@ -42,6 +47,30 @@ class Gateio(Exchange):
                 raise OperationalException(
                     f'Exchange {self.name} does not support market orders.')
 
+    def get_trades_for_order(self, order_id: str, pair: str, since: datetime,
+                             params: Optional[Dict] = None) -> List:
+        trades = super().get_trades_for_order(order_id, pair, since, params)
+
+        if self.trading_mode == TradingMode.FUTURES:
+            # Futures usually don't contain fees in the response.
+            # As such, futures orders on gateio will not contain a fee, which causes
+            # a repeated "update fee" cycle and wrong calculations.
+            # Therefore we patch the response with fees if it's not available.
+            # An alternative also contianing fees would be
+            # privateFuturesGetSettleAccountBook({"settle": "usdt"})
+            pair_fees = self._trading_fees.get(pair, {})
+            if pair_fees:
+                for idx, trade in enumerate(trades):
+                    if trade.get('fee', {}).get('cost') is None:
+                        takerOrMaker = trade.get('takerOrMaker', 'taker')
+                        if pair_fees.get(takerOrMaker) is not None:
+                            trades[idx]['fee'] = {
+                                'currency': self.get_pair_quote_currency(pair),
+                                'cost': trade['cost'] * pair_fees[takerOrMaker],
+                                'rate': pair_fees[takerOrMaker],
+                            }
+        return trades
+
     def fetch_stoploss_order(self, order_id: str, pair: str, params={}) -> Dict:
         return self.fetch_order(
             order_id=order_id,

freqtrade/freqtradebot.py

@@ -1564,6 +1564,7 @@ class FreqtradeBot(LoggingMixin):
         if not order_obj:
             raise DependencyException(
                 f"Order_obj not found for {order_id}. This should not have happened.")
+
         self.handle_order_fee(trade, order_obj, order)
 
         trade.update_trade(order_obj)

tests/exchange/test_ccxt_compat.py

@@ -134,7 +134,7 @@ def exchange_futures(request, exchange_conf, class_mocker):
 
         class_mocker.patch(
             'freqtrade.exchange.binance.Binance.fill_leverage_tiers')
-
+        class_mocker.patch('freqtrade.exchange.exchange.Exchange.fetch_trading_fees')
         exchange = ExchangeResolver.load_exchange(request.param, exchange_conf, validate=True)
 
         yield exchange, request.param

tests/exchange/test_exchange.py

@@ -1624,6 +1624,62 @@ def test_fetch_positions(default_conf, mocker, exchange_name):
                            "fetch_positions", "fetch_positions")
 
 
+def test_fetch_trading_fees(default_conf, mocker):
+    api_mock = MagicMock()
+    tick = {
+        '1INCH/USDT:USDT': {
+            'info': {'user_id': '',
+                     'taker_fee': '0.0018',
+                     'maker_fee': '0.0018',
+                     'gt_discount': False,
+                     'gt_taker_fee': '0',
+                     'gt_maker_fee': '0',
+                     'loan_fee': '0.18',
+                     'point_type': '1',
+                     'futures_taker_fee': '0.0005',
+                     'futures_maker_fee': '0'},
+            'symbol': '1INCH/USDT:USDT',
+            'maker': 0.0,
+            'taker': 0.0005},
+        'ETH/USDT:USDT': {
+            'info': {'user_id': '',
+                     'taker_fee': '0.0018',
+                     'maker_fee': '0.0018',
+                     'gt_discount': False,
+                     'gt_taker_fee': '0',
+                     'gt_maker_fee': '0',
+                     'loan_fee': '0.18',
+                     'point_type': '1',
+                     'futures_taker_fee': '0.0005',
+                     'futures_maker_fee': '0'},
+            'symbol': 'ETH/USDT:USDT',
+            'maker': 0.0,
+            'taker': 0.0005}
+    }
+    exchange_name = 'gateio'
+    default_conf['dry_run'] = False
+    default_conf['trading_mode'] = TradingMode.FUTURES
+    default_conf['margin_mode'] = MarginMode.ISOLATED
+    api_mock.fetch_trading_fees = MagicMock(return_value=tick)
+    mocker.patch('freqtrade.exchange.Exchange.exchange_has', return_value=True)
+    exchange = get_patched_exchange(mocker, default_conf, api_mock, id=exchange_name)
+
+    assert '1INCH/USDT:USDT' in exchange._trading_fees
+    assert 'ETH/USDT:USDT' in exchange._trading_fees
+    assert api_mock.fetch_trading_fees.call_count == 1
+
+    api_mock.fetch_trading_fees.reset_mock()
+
+    ccxt_exceptionhandlers(mocker, default_conf, api_mock, exchange_name,
+                           "fetch_trading_fees", "fetch_trading_fees")
+
+    api_mock.fetch_trading_fees = MagicMock(return_value={})
+    exchange = get_patched_exchange(mocker, default_conf, api_mock, id=exchange_name)
+    exchange.fetch_trading_fees()
+    mocker.patch('freqtrade.exchange.Exchange.exchange_has', return_value=True)
+    assert exchange.fetch_trading_fees() == {}
+
+
 def test_fetch_bids_asks(default_conf, mocker):
     api_mock = MagicMock()
     tick = {'ETH/BTC': {

tests/exchange/test_gateio.py

@@ -1,7 +1,9 @@
+from datetime import datetime, timezone
 from unittest.mock import MagicMock
 
 import pytest
 
+from freqtrade.enums import MarginMode, TradingMode
 from freqtrade.exceptions import OperationalException
 from freqtrade.exchange import Gateio
 from freqtrade.resolvers.exchange_resolver import ExchangeResolver
@@ -70,3 +72,47 @@ def test_stoploss_adjust_gateio(mocker, default_conf, sl1, sl2, sl3, side):
     }
     assert exchange.stoploss_adjust(sl1, order, side)
     assert not exchange.stoploss_adjust(sl2, order, side)
+
+
+@pytest.mark.parametrize('takerormaker,rate,cost', [
+    ('taker', 0.0005, 0.0001554325),
+    ('maker', 0.0, 0.0),
+])
+def test_fetch_my_trades_gateio(mocker, default_conf, takerormaker, rate, cost):
+    mocker.patch('freqtrade.exchange.Exchange.exchange_has', return_value=True)
+    tick = {'ETH/USDT:USDT': {
+        'info': {'user_id': '',
+                 'taker_fee': '0.0018',
+                 'maker_fee': '0.0018',
+                 'gt_discount': False,
+                 'gt_taker_fee': '0',
+                 'gt_maker_fee': '0',
+                 'loan_fee': '0.18',
+                 'point_type': '1',
+                 'futures_taker_fee': '0.0005',
+                 'futures_maker_fee': '0'},
+            'symbol': 'ETH/USDT:USDT',
+            'maker': 0.0,
+            'taker': 0.0005}
+            }
+    default_conf['dry_run'] = False
+    default_conf['trading_mode'] = TradingMode.FUTURES
+    default_conf['margin_mode'] = MarginMode.ISOLATED
+
+    api_mock = MagicMock()
+    api_mock.fetch_my_trades = MagicMock(return_value=[{
+        'fee': {'cost': None},
+        'price': 3108.65,
+        'cost': 0.310865,
+        'order': '22255',
+        'takerOrMaker': takerormaker,
+        'amount': 1,  # 1 contract
+    }])
+    exchange = get_patched_exchange(mocker, default_conf, api_mock=api_mock, id='gateio')
+    exchange._trading_fees = tick
+    trades = exchange.get_trades_for_order('22255', 'ETH/USDT:USDT', datetime.now(timezone.utc))
+    trade = trades[0]
+    assert trade['fee']
+    assert trade['fee']['rate'] == rate
+    assert trade['fee']['currency'] == 'USDT'
+    assert trade['fee']['cost'] == cost