Merge branch 'develop' into setup-permissions

.github/workflows/ci.yml

@@ -324,6 +324,8 @@ jobs:
   notify-complete:
     needs: [ build_linux, build_macos, build_windows, docs_check, mypy_version_check ]
     runs-on: ubuntu-20.04
+    # Discord notification can't handle schedule events
+    if: (github.event_name != 'schedule')
     permissions:
       repository-projects: read  
     steps:

README.md

@@ -39,6 +39,14 @@ Please read the [exchange specific notes](docs/exchanges.md) to learn about even
 - [X] [OKX](https://okx.com/) (Former OKEX)
 - [ ] [potentially many others](https://github.com/ccxt/ccxt/). _(We cannot guarantee they will work)_
 
+### Experimentally, freqtrade also supports futures on the following exchanges
+
+- [X] [Binance](https://www.binance.com/)
+- [X] [Gate.io](https://www.gate.io/ref/6266643)
+- [X] [OKX](https://okx.com/).
+
+Please make sure to read the [exchange specific notes](docs/exchanges.md), as well as the [trading with leverage](docs/leverage.md) documentation before diving in.
+
 ### Community tested
 
 Exchanges confirmed working by the community:

docs/index.md

@@ -51,6 +51,14 @@ Please read the [exchange specific notes](exchanges.md) to learn about eventual,
 - [X] [OKX](https://okx.com/) (Former OKEX)
 - [ ] [potentially many others through <img alt="ccxt" width="30px" src="assets/ccxt-logo.svg" />](https://github.com/ccxt/ccxt/). _(We cannot guarantee they will work)_
 
+### Experimentally, freqtrade also supports futures on the following exchanges:
+
+- [X] [Binance](https://www.binance.com/)
+- [X] [Gate.io](https://www.gate.io/ref/6266643)
+- [X] [OKX](https://okx.com/).
+
+Please make sure to read the [exchange specific notes](exchanges.md), as well as the [trading with leverage](leverage.md) documentation before diving in.
+
 ### Community tested
 
 Exchanges confirmed working by the community:

docs/strategy-callbacks.md

@@ -376,7 +376,7 @@ class AwesomeStrategy(IStrategy):
 
     def custom_exit_price(self, pair: str, trade: Trade,
                           current_time: datetime, proposed_rate: float,
-                          current_profit: float, **kwargs) -> float:
+                          current_profit: float, exit_tag: Optional[str], **kwargs) -> float:
 
         dataframe, last_updated = self.dp.get_analyzed_dataframe(pair=pair,
                                                                 timeframe=self.timeframe)

freqtrade/exchange/exchange.py

@@ -9,6 +9,7 @@ import logging
 from copy import deepcopy
 from datetime import datetime, timedelta, timezone
 from math import ceil
+from threading import Lock
 from typing import Any, Coroutine, Dict, List, Literal, Optional, Tuple, Union
 
 import arrow
@@ -96,6 +97,9 @@ class Exchange:
         self._markets: Dict = {}
         self._trading_fees: Dict[str, Any] = {}
         self._leverage_tiers: Dict[str, List[Dict]] = {}
+        # Lock event loop. This is necessary to avoid race-conditions when using force* commands
+        # Due to funding fee fetching.
+        self._loop_lock = Lock()
         self.loop = asyncio.new_event_loop()
         asyncio.set_event_loop(self.loop)
         self._config: Dict = {}
@@ -785,7 +789,9 @@ class Exchange:
                              rate: float, leverage: float, params: Dict = {},
                              stop_loss: bool = False) -> Dict[str, Any]:
         order_id = f'dry_run_{side}_{datetime.now().timestamp()}'
-        _amount = self.amount_to_precision(pair, amount)
+        # Rounding here must respect to contract sizes
+        _amount = self._contracts_to_amount(
+            pair, self.amount_to_precision(pair, self._amount_to_contracts(pair, amount)))
         dry_order: Dict[str, Any] = {
             'id': order_id,
             'symbol': pair,
@@ -1775,6 +1781,7 @@ class Exchange:
             async def gather_stuff():
                 return await asyncio.gather(*input_coro, return_exceptions=True)
 
+            with self._loop_lock:
                 results = self.loop.run_until_complete(gather_stuff())
 
             for res in results:
@@ -2032,6 +2039,7 @@ class Exchange:
         if not self.exchange_has("fetchTrades"):
             raise OperationalException("This exchange does not support downloading Trades.")
 
+        with self._loop_lock:
             return self.loop.run_until_complete(
                 self._async_get_trade_history(pair=pair, since=since,
                                               until=until, from_id=from_id))

freqtrade/freqtradebot.py

@@ -585,7 +585,6 @@ class FreqtradeBot(LoggingMixin):
         Executes a limit buy for the given pair
         :param pair: pair for which we want to create a LIMIT_BUY
         :param stake_amount: amount of stake-currency for the pair
-        :param leverage: amount of leverage applied to this trade
         :return: True if a buy order is created, false if it fails.
         """
         time_in_force = self.strategy.order_time_in_force['entry']
@@ -664,16 +663,6 @@ class FreqtradeBot(LoggingMixin):
             amount = safe_value_fallback(order, 'filled', 'amount')
             enter_limit_filled_price = safe_value_fallback(order, 'average', 'price')
 
-        # TODO: this might be unnecessary, as we're calling it in update_trade_state.
-        isolated_liq = self.exchange.get_liquidation_price(
-            leverage=leverage,
-            pair=pair,
-            amount=amount,
-            open_rate=enter_limit_filled_price,
-            is_short=is_short
-        )
-        interest_rate = self.exchange.get_interest_rate()
-
         # Fee is applied twice because we make a LIMIT_BUY and LIMIT_SELL
         fee = self.exchange.get_fee(symbol=pair, taker_or_maker='maker')
         base_currency = self.exchange.get_pair_base_currency(pair)
@@ -702,8 +691,6 @@ class FreqtradeBot(LoggingMixin):
                 timeframe=timeframe_to_minutes(self.config['timeframe']),
                 leverage=leverage,
                 is_short=is_short,
-                interest_rate=interest_rate,
-                liquidation_price=isolated_liq,
                 trading_mode=self.trading_mode,
                 funding_fees=funding_fees
             )
@@ -1373,7 +1360,8 @@ class FreqtradeBot(LoggingMixin):
                                                   default_retval=proposed_limit_rate)(
             pair=trade.pair, trade=trade,
             current_time=datetime.now(timezone.utc),
-            proposed_rate=proposed_limit_rate, current_profit=current_profit)
+            proposed_rate=proposed_limit_rate, current_profit=current_profit,
+            exit_tag=exit_check.exit_reason)
 
         limit = self.get_valid_price(custom_exit_price, proposed_limit_rate)
 

freqtrade/optimize/backtesting.py

@@ -54,6 +54,11 @@ ESHORT_IDX = 8  # Exit short
 ENTER_TAG_IDX = 9
 EXIT_TAG_IDX = 10
 
+# Every change to this headers list must evaluate further usages of the resulting tuple
+# and eventually change the constants for indexes at the top
+HEADERS = ['date', 'open', 'high', 'low', 'close', 'enter_long', 'exit_long',
+           'enter_short', 'exit_short', 'enter_tag', 'exit_tag']
+
 
 class Backtesting:
     """
@@ -305,10 +310,7 @@ class Backtesting:
         :param processed: a processed dictionary with format {pair, data}, which gets cleared to
         optimize memory usage!
         """
-        # Every change to this headers list must evaluate further usages of the resulting tuple
+
-        # and eventually change the constants for indexes at the top
-        headers = ['date', 'open', 'high', 'low', 'close', 'enter_long', 'exit_long',
-                   'enter_short', 'exit_short', 'enter_tag', 'exit_tag']
         data: Dict = {}
         self.progress.init_step(BacktestState.CONVERT, len(processed))
 
@@ -320,7 +322,7 @@ class Backtesting:
 
             if not pair_data.empty:
                 # Cleanup from prior runs
-                pair_data.drop(headers[5:] + ['buy', 'sell'], axis=1, errors='ignore')
+                pair_data.drop(HEADERS[5:] + ['buy', 'sell'], axis=1, errors='ignore')
 
             df_analyzed = self.strategy.advise_exit(
                 self.strategy.advise_entry(pair_data, {'pair': pair}),
@@ -339,7 +341,7 @@ class Backtesting:
 
             # To avoid using data from future, we use entry/exit signals shifted
             # from the previous candle
-            for col in headers[5:]:
+            for col in HEADERS[5:]:
                 tag_col = col in ('enter_tag', 'exit_tag')
                 if col in df_analyzed.columns:
                     df_analyzed.loc[:, col] = df_analyzed.loc[:, col].replace(
@@ -351,7 +353,7 @@ class Backtesting:
 
             # Convert from Pandas to list for performance reasons
             # (Looping Pandas is slow.)
-            data[pair] = df_analyzed[headers].values.tolist() if not df_analyzed.empty else []
+            data[pair] = df_analyzed[HEADERS].values.tolist() if not df_analyzed.empty else []
         return data
 
     def _get_close_rate(self, row: Tuple, trade: LocalTrade, exit: ExitCheckTuple,
@@ -515,10 +517,10 @@ class Backtesting:
 
         exit_candle_time: datetime = row[DATE_IDX].to_pydatetime()
         enter = row[SHORT_IDX] if trade.is_short else row[LONG_IDX]
-        exit_ = row[ESHORT_IDX] if trade.is_short else row[ELONG_IDX]
+        exit_sig = row[ESHORT_IDX] if trade.is_short else row[ELONG_IDX]
         exit_ = self.strategy.should_exit(
             trade, row[OPEN_IDX], exit_candle_time,  # type: ignore
-            enter=enter, exit_=exit_,
+            enter=enter, exit_=exit_sig,
             low=row[LOW_IDX], high=row[HIGH_IDX]
         )
 
@@ -540,7 +542,8 @@ class Backtesting:
                                                       default_retval=closerate)(
                         pair=trade.pair, trade=trade,
                         current_time=exit_candle_time,
-                        proposed_rate=closerate, current_profit=current_profit)
+                        proposed_rate=closerate, current_profit=current_profit,
+                        exit_tag=exit_.exit_reason)
                     # We can't place orders lower than current low.
                     # freqtrade does not support this in live, and the order would fill immediately
                     if trade.is_short:
@@ -567,6 +570,7 @@ class Backtesting:
                 len(row) > EXIT_TAG_IDX
                 and row[EXIT_TAG_IDX] is not None
                 and len(row[EXIT_TAG_IDX]) > 0
+                and exit_.exit_type in (ExitType.EXIT_SIGNAL,)
             ):
                 trade.exit_reason = row[EXIT_TAG_IDX]
 
@@ -625,9 +629,7 @@ class Backtesting:
             detail_data.loc[:, 'exit_short'] = row[ESHORT_IDX]
             detail_data.loc[:, 'enter_tag'] = row[ENTER_TAG_IDX]
             detail_data.loc[:, 'exit_tag'] = row[EXIT_TAG_IDX]
-            headers = ['date', 'open', 'high', 'low', 'close', 'enter_long', 'exit_long',
+            for det_row in detail_data[HEADERS].values.tolist():
-                       'enter_short', 'exit_short', 'enter_tag', 'exit_tag']
-            for det_row in detail_data[headers].values.tolist():
                 res = self._get_exit_trade_entry_for_candle(trade, det_row)
                 if res:
                     return res

freqtrade/optimize/hyperopt.py

@@ -468,6 +468,7 @@ class Hyperopt:
         self.backtesting.exchange._api = None
         self.backtesting.exchange._api_async = None
         self.backtesting.exchange.loop = None  # type: ignore
+        self.backtesting.exchange._loop_lock = None  # type: ignore
         # self.backtesting.exchange = None  # type: ignore
         self.backtesting.pairlists = None  # type: ignore
 

freqtrade/persistence/models.py

@@ -429,12 +429,10 @@ class LocalTrade():
 
     def __repr__(self):
         open_since = self.open_date.strftime(DATETIME_PRINT_FORMAT) if self.is_open else 'closed'
-        leverage = self.leverage or 1.0
-        is_short = self.is_short or False
 
         return (
             f'Trade(id={self.id}, pair={self.pair}, amount={self.amount:.8f}, '
-            f'is_short={is_short}, leverage={leverage}, '
+            f'is_short={self.is_short or False}, leverage={self.leverage or 1.0}, '
             f'open_rate={self.open_rate:.8f}, open_since={open_since})'
         )
 

freqtrade/rpc/telegram.py

@@ -943,7 +943,7 @@ class Telegram(RPCHandler):
         else:
             fiat_currency = self._config.get('fiat_display_currency', '')
             try:
-                statlist, head, fiat_profit_sum = self._rpc._rpc_status_table(
+                statlist, _, _ = self._rpc._rpc_status_table(
                     self._config['stake_currency'], fiat_currency)
             except RPCException:
                 self._send_msg(msg='No open trade found.')

freqtrade/strategy/interface.py

@@ -355,7 +355,7 @@ class IStrategy(ABC, HyperStrategyMixin):
 
     def custom_exit_price(self, pair: str, trade: Trade,
                           current_time: datetime, proposed_rate: float,
-                          current_profit: float, **kwargs) -> float:
+                          current_profit: float, exit_tag: Optional[str], **kwargs) -> float:
         """
         Custom exit price logic, returning the new exit price.
 
@@ -368,6 +368,7 @@ class IStrategy(ABC, HyperStrategyMixin):
         :param current_time: datetime object, containing the current datetime
         :param proposed_rate: Rate, calculated based on pricing settings in exit_pricing.
         :param current_profit: Current profit (as ratio), calculated based on current_rate.
+        :param exit_tag: Exit reason.
         :param **kwargs: Ensure to keep this here so updates to this won't break your strategy.
         :return float: New exit price value if provided
         """

freqtrade/templates/subtemplates/strategy_methods_advanced.j2

@@ -32,7 +32,7 @@ def custom_entry_price(self, pair: str, current_time: 'datetime', proposed_rate:
 
 def custom_exit_price(self, pair: str, trade: 'Trade',
                       current_time: 'datetime', proposed_rate: float,
-                      current_profit: float, **kwargs) -> float:
+                      current_profit: float, exit_tag: Optional[str], **kwargs) -> float:
     """
     Custom exit price logic, returning the new exit price.
 
@@ -45,6 +45,7 @@ def custom_exit_price(self, pair: str, trade: 'Trade',
     :param current_time: datetime object, containing the current datetime
     :param proposed_rate: Rate, calculated based on pricing settings in exit_pricing.
     :param current_profit: Current profit (as ratio), calculated based on current_rate.
+    :param exit_tag: Exit reason.
     :param **kwargs: Ensure to keep this here so updates to this won't break your strategy.
     :return float: New exit price value if provided
     """

tests/test_freqtradebot.py

@@ -717,12 +717,12 @@ def test_process_informative_pairs_added(default_conf_usdt, ticker_usdt, mocker)
     (True, 'spot', 'gateio', None, 0.0, None),
     (False, 'spot', 'okx', None, 0.0, None),
     (True, 'spot', 'okx', None, 0.0, None),
-    (True, 'futures', 'binance', 'isolated', 0.0, 11.89108910891089),
+    (True, 'futures', 'binance', 'isolated', 0.0, 11.88151815181518),
-    (False, 'futures', 'binance', 'isolated', 0.0, 8.070707070707071),
+    (False, 'futures', 'binance', 'isolated', 0.0, 8.080471380471382),
     (True, 'futures', 'gateio', 'isolated', 0.0, 11.87413417771621),
     (False, 'futures', 'gateio', 'isolated', 0.0, 8.085708510208207),
-    (True, 'futures', 'binance', 'isolated', 0.05, 11.796534653465345),
+    (True, 'futures', 'binance', 'isolated', 0.05, 11.7874422442244),
-    (False, 'futures', 'binance', 'isolated', 0.05, 8.167171717171717),
+    (False, 'futures', 'binance', 'isolated', 0.05, 8.17644781144781),
     (True, 'futures', 'gateio', 'isolated', 0.05, 11.7804274688304),
     (False, 'futures', 'gateio', 'isolated', 0.05, 8.181423084697796),
     (True, 'futures', 'okx', 'isolated', 0.0, 11.87413417771621),
@@ -845,6 +845,7 @@ def test_execute_entry(mocker, default_conf_usdt, fee, limit_order,
     assert trade.open_order_id is None
     assert trade.open_rate == 10
     assert trade.stake_amount == round(order['price'] * order['filled'] / leverage, 8)
+    assert pytest.approx(trade.liquidation_price) == liq_price
 
     # In case of rejected or expired order and partially filled
     order['status'] = 'expired'
@@ -932,8 +933,6 @@ def test_execute_entry(mocker, default_conf_usdt, fee, limit_order,
     assert trade.open_rate_requested == 10
 
     # In case of custom entry price not float type
-    freqtrade.exchange.get_maintenance_ratio_and_amt = MagicMock(return_value=(0.01, 0.01))
-    freqtrade.exchange.name = exchange_name
     order['status'] = 'open'
     order['id'] = '5568'
     freqtrade.strategy.custom_entry_price = lambda **kwargs: "string price"
@@ -946,7 +945,6 @@ def test_execute_entry(mocker, default_conf_usdt, fee, limit_order,
     trade.is_short = is_short
     assert trade
     assert trade.open_rate_requested == 10
-    assert trade.liquidation_price == liq_price
 
     # In case of too high stake amount
 
@@ -3221,7 +3219,7 @@ def test_execute_trade_exit_custom_exit_price(
     freqtrade.execute_trade_exit(
         trade=trade,
         limit=ticker_usdt_sell_up()['ask' if is_short else 'bid'],
-        exit_check=ExitCheckTuple(exit_type=ExitType.EXIT_SIGNAL)
+        exit_check=ExitCheckTuple(exit_type=ExitType.EXIT_SIGNAL, exit_reason='foo')
     )
 
     # Sell price must be different to default bid price
@@ -3249,8 +3247,8 @@ def test_execute_trade_exit_custom_exit_price(
         'profit_ratio': profit_ratio,
         'stake_currency': 'USDT',
         'fiat_currency': 'USD',
-        'sell_reason': ExitType.EXIT_SIGNAL.value,
+        'sell_reason': 'foo',
-        'exit_reason': ExitType.EXIT_SIGNAL.value,
+        'exit_reason': 'foo',
         'open_date': ANY,
         'close_date': ANY,
         'close_rate': ANY,