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separating unfulfilled timeouts for buy and sell

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Nullart 2018-06-14 09:32:52 +08:00 committed by xmatthias
parent 6dd5f85fb6
commit 98108a78f1
6 changed files with 36 additions and 15 deletions
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5
config.json.example
View File

@ -5,7 +5,10 @@
"fiat_display_currency": "USD",
"ticker_interval" : "5m",
"dry_run": false,
"unfilledtimeout": 600,
"unfilledtimeout": {
"buy":10,
"sell":30
}
"bid_strategy": {
"ask_last_balance": 0.0
},

5
config_full.json.example
View File

@ -12,7 +12,10 @@
"0": 0.04
},
"stoploss": -0.10,
"unfilledtimeout": 600,
"unfilledtimeout": {
"buy":10,
"sell":30
}
"bid_strategy": {
"ask_last_balance": 0.0
},

9
freqtrade/constants.py
View File

@ -61,7 +61,14 @@ CONF_SCHEMA = {
'minProperties': 1
},
'stoploss': {'type': 'number', 'maximum': 0, 'exclusiveMaximum': True},
'unfilledtimeout': {'type': 'integer', 'minimum': 0},
'unfilledtimeout': {
'type': 'object',
'properties': {
'use_book_order': {'type': 'boolean'},
'buy': {'type': 'number', 'minimum': 3},
'sell': {'type': 'number', 'minimum': 10}
}
},
'bid_strategy': {
'type': 'object',
'properties': {

19
freqtrade/freqtradebot.py
View File

@ -160,7 +160,7 @@ class FreqtradeBot(object):
if 'unfilledtimeout' in self.config:
# Check and handle any timed out open orders
self.check_handle_timedout(self.config['unfilledtimeout'])
self.check_handle_timedout()
Trade.session.flush()
except TemporaryError as error:
@ -492,13 +492,16 @@ with limit `{buy_limit:.8f} ({stake_amount:.6f} \
logger.info('Found no sell signals for whitelisted currencies. Trying again..')
return False
def check_handle_timedout(self, timeoutvalue: int) -> None:
def check_handle_timedout(self) -> None:
"""
Check if any orders are timed out and cancel if neccessary
:param timeoutvalue: Number of minutes until order is considered timed out
:return: None
"""
timeoutthreashold = arrow.utcnow().shift(minutes=-timeoutvalue).datetime
buy_timeout = self.config['unfilledtimeout']['buy']
sell_timeout = self.config['unfilledtimeout']['sell']
buy_timeoutthreashold = arrow.utcnow().shift(minutes=-buy_timeout).datetime
sell_timeoutthreashold = arrow.utcnow().shift(minutes=-sell_timeout).datetime
for trade in Trade.query.filter(Trade.open_order_id.isnot(None)).all():
try:
@ -521,10 +524,12 @@ with limit `{buy_limit:.8f} ({stake_amount:.6f} \
if int(order['remaining']) == 0:
continue
if order['side'] == 'buy' and ordertime < timeoutthreashold:
self.handle_timedout_limit_buy(trade, order)
elif order['side'] == 'sell' and ordertime < timeoutthreashold:
self.handle_timedout_limit_sell(trade, order)
# Check if trade is still actually open
if (order['status'] == 'open'):
if order['side'] == 'buy' and ordertime < buy_timeoutthreashold:
self.handle_timedout_limit_buy(trade, order)
elif order['side'] == 'sell' and ordertime < sell_timeoutthreashold:
self.handle_timedout_limit_sell(trade, order)
# FIX: 20180110, why is cancel.order unconditionally here, whereas
# it is conditionally called in the

5
freqtrade/tests/conftest.py
View File

@ -100,7 +100,10 @@ def default_conf():
"0": 0.04
},
"stoploss": -0.10,
"unfilledtimeout": 600,
"unfilledtimeout": {
"buy": 10,
"sell": 30
},
"bid_strategy": {
"ask_last_balance": 0.0
},

8
freqtrade/tests/test_freqtradebot.py
View File

@ -1124,7 +1124,7 @@ def test_check_handle_timedout_buy(default_conf, ticker, limit_buy_order_old, fe
Trade.session.add(trade_buy)
# check it does cancel buy orders over the time limit
freqtrade.check_handle_timedout(600)
freqtrade.check_handle_timedout()
assert cancel_order_mock.call_count == 1
assert rpc_mock.call_count == 1
trades = Trade.query.filter(Trade.open_order_id.is_(trade_buy.open_order_id)).all()
@ -1165,7 +1165,7 @@ def test_check_handle_timedout_sell(default_conf, ticker, limit_sell_order_old,
Trade.session.add(trade_sell)
# check it does cancel sell orders over the time limit
freqtrade.check_handle_timedout(600)
freqtrade.check_handle_timedout()
assert cancel_order_mock.call_count == 1
assert rpc_mock.call_count == 1
assert trade_sell.is_open is True
@ -1205,7 +1205,7 @@ def test_check_handle_timedout_partial(default_conf, ticker, limit_buy_order_old
# check it does cancel buy orders over the time limit
# note this is for a partially-complete buy order
freqtrade.check_handle_timedout(600)
freqtrade.check_handle_timedout()
assert cancel_order_mock.call_count == 1
assert rpc_mock.call_count == 1
trades = Trade.query.filter(Trade.open_order_id.is_(trade_buy.open_order_id)).all()
@ -1256,7 +1256,7 @@ def test_check_handle_timedout_exception(default_conf, ticker, mocker, caplog) -
'recent call last):\n.*'
)
freqtrade.check_handle_timedout(600)
freqtrade.check_handle_timedout()
assert filter(regexp.match, caplog.record_tuples)