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merged with feat/short

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This commit is contained in:
Sam Germain
2021-09-15 22:28:10 -06:00
parent 8e83cb4d64
commit 98b00e8daf
93 changed files with 673 additions and 2067 deletions
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2
freqtrade/exchange/__init__.py
View File

@@ -1,6 +1,6 @@
# flake8: noqa: F401
# isort: off
from freqtrade.exchange.common import MAP_EXCHANGE_CHILDCLASS
from freqtrade.exchange.common import remove_credentials, MAP_EXCHANGE_CHILDCLASS
from freqtrade.exchange.exchange import Exchange
# isort: on
from freqtrade.exchange.bibox import Bibox

24
freqtrade/exchange/binance.py
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@@ -3,6 +3,7 @@ import logging
from datetime import datetime
from typing import Dict, List, Optional
import arrow
import ccxt
from freqtrade.exceptions import (DDosProtection, InsufficientFundsError, InvalidOrderException,
@@ -19,6 +20,7 @@ class Binance(Exchange):
_ft_has: Dict = {
"stoploss_on_exchange": True,
"order_time_in_force": ['gtc', 'fok', 'ioc'],
"time_in_force_parameter": "timeInForce",
"ohlcv_candle_limit": 1000,
"trades_pagination": "id",
"trades_pagination_arg": "fromId",
@@ -117,5 +119,25 @@ class Binance(Exchange):
if premium_index is None:
raise OperationalException("Funding rate cannot be None for Binance._get_funding_fee")
nominal_value = mark_price * contract_size
adjustment = nominal_value * _calculate_funding_rate(pair, premium_index)
funding_rate = self._calculate_funding_rate(pair, premium_index)
if funding_rate is None:
raise OperationalException("Funding rate should never be none on Binance")
adjustment = nominal_value * funding_rate
return adjustment
async def _async_get_historic_ohlcv(self, pair: str, timeframe: str,
since_ms: int, is_new_pair: bool
) -> List:
"""
Overwrite to introduce "fast new pair" functionality by detecting the pair's listing date
Does not work for other exchanges, which don't return the earliest data when called with "0"
"""
if is_new_pair:
x = await self._async_get_candle_history(pair, timeframe, 0)
if x and x[2] and x[2][0] and x[2][0][0] > since_ms:
# Set starting date to first available candle.
since_ms = x[2][0][0]
logger.info(f"Candle-data for {pair} available starting with "
f"{arrow.get(since_ms // 1000).isoformat()}.")
return await super()._async_get_historic_ohlcv(
pair=pair, timeframe=timeframe, since_ms=since_ms, is_new_pair=is_new_pair)

13
freqtrade/exchange/common.py
View File

@@ -51,6 +51,19 @@ EXCHANGE_HAS_OPTIONAL = [
]
def remove_credentials(config) -> None:
"""
Removes exchange keys from the configuration and specifies dry-run
Used for backtesting / hyperopt / edge and utils.
Modifies the input dict!
"""
if config.get('dry_run', False):
config['exchange']['key'] = ''
config['exchange']['secret'] = ''
config['exchange']['password'] = ''
config['exchange']['uid'] = ''
def calculate_backoff(retrycount, max_retries):
"""
Calculate backoff

59
freqtrade/exchange/exchange.py
View File

@@ -26,9 +26,9 @@ from freqtrade.exceptions import (DDosProtection, ExchangeError, InsufficientFun
InvalidOrderException, OperationalException, PricingError,
RetryableOrderError, TemporaryError)
from freqtrade.exchange.common import (API_FETCH_ORDER_RETRY_COUNT, BAD_EXCHANGES,
EXCHANGE_HAS_OPTIONAL, EXCHANGE_HAS_REQUIRED, retrier,
retrier_async)
from freqtrade.misc import deep_merge_dicts, safe_value_fallback2
EXCHANGE_HAS_OPTIONAL, EXCHANGE_HAS_REQUIRED,
remove_credentials, retrier, retrier_async)
from freqtrade.misc import chunks, deep_merge_dicts, safe_value_fallback2
from freqtrade.plugins.pairlist.pairlist_helpers import expand_pairlist
@@ -54,12 +54,16 @@ class Exchange:
# Parameters to add directly to buy/sell calls (like agreeing to trading agreement)
_params: Dict = {}
# Additional headers - added to the ccxt object
_headers: Dict = {}
# Dict to specify which options each exchange implements
# This defines defaults, which can be selectively overridden by subclasses using _ft_has
# or by specifying them in the configuration.
_ft_has_default: Dict = {
"stoploss_on_exchange": False,
"order_time_in_force": ["gtc"],
"time_in_force_parameter": "timeInForce",
"ohlcv_params": {},
"ohlcv_candle_limit": 500,
"ohlcv_partial_candle": True,
@@ -101,6 +105,7 @@ class Exchange:
# Holds all open sell orders for dry_run
self._dry_run_open_orders: Dict[str, Any] = {}
remove_credentials(config)
if config['dry_run']:
logger.info('Instance is running with dry_run enabled')
@@ -170,7 +175,7 @@ class Exchange:
asyncio.get_event_loop().run_until_complete(self._api_async.close())
def _init_ccxt(self, exchange_config: Dict[str, Any], ccxt_module: CcxtModuleType = ccxt,
ccxt_kwargs: dict = None) -> ccxt.Exchange:
ccxt_kwargs: Dict = {}) -> ccxt.Exchange:
"""
Initialize ccxt with given config and return valid
ccxt instance.
@@ -189,6 +194,10 @@ class Exchange:
}
if ccxt_kwargs:
logger.info('Applying additional ccxt config: %s', ccxt_kwargs)
if self._headers:
# Inject static headers after the above output to not confuse users.
ccxt_kwargs = deep_merge_dicts({'headers': self._headers}, ccxt_kwargs)
if ccxt_kwargs:
ex_config.update(ccxt_kwargs)
try:
@@ -717,7 +726,8 @@ class Exchange:
params = self._params.copy()
if time_in_force != 'gtc' and ordertype != 'market':
params.update({'timeInForce': time_in_force})
param = self._ft_has.get('time_in_force_parameter', '')
params.update({param: time_in_force})
try:
# Set the precision for amount and price(rate) as accepted by the exchange
@@ -1186,7 +1196,7 @@ class Exchange:
# Historic data
def get_historic_ohlcv(self, pair: str, timeframe: str,
since_ms: int) -> List:
since_ms: int, is_new_pair: bool = False) -> List:
"""
Get candle history using asyncio and returns the list of candles.
Handles all async work for this.
@@ -1198,7 +1208,7 @@ class Exchange:
"""
return asyncio.get_event_loop().run_until_complete(
self._async_get_historic_ohlcv(pair=pair, timeframe=timeframe,
since_ms=since_ms))
since_ms=since_ms, is_new_pair=is_new_pair))
def get_historic_ohlcv_as_df(self, pair: str, timeframe: str,
since_ms: int) -> DataFrame:
@@ -1213,11 +1223,12 @@ class Exchange:
return ohlcv_to_dataframe(ticks, timeframe, pair=pair, fill_missing=True,
drop_incomplete=self._ohlcv_partial_candle)
async def _async_get_historic_ohlcv(self, pair: str,
timeframe: str,
since_ms: int) -> List:
async def _async_get_historic_ohlcv(self, pair: str, timeframe: str,
since_ms: int, is_new_pair: bool
) -> List:
"""
Download historic ohlcv
:param is_new_pair: used by binance subclass to allow "fast" new pair downloading
"""
one_call = timeframe_to_msecs(timeframe) * self.ohlcv_candle_limit(timeframe)
@@ -1230,21 +1241,22 @@ class Exchange:
pair, timeframe, since) for since in
range(since_ms, arrow.utcnow().int_timestamp * 1000, one_call)]
results = await asyncio.gather(*input_coroutines, return_exceptions=True)
# Combine gathered results
data: List = []
for res in results:
if isinstance(res, Exception):
logger.warning("Async code raised an exception: %s", res.__class__.__name__)
continue
# Deconstruct tuple if it's not an exception
p, _, new_data = res
if p == pair:
data.extend(new_data)
# Chunk requests into batches of 100 to avoid overwelming ccxt Throttling
for input_coro in chunks(input_coroutines, 100):
results = await asyncio.gather(*input_coro, return_exceptions=True)
for res in results:
if isinstance(res, Exception):
logger.warning("Async code raised an exception: %s", res.__class__.__name__)
continue
# Deconstruct tuple if it's not an exception
p, _, new_data = res
if p == pair:
data.extend(new_data)
# Sort data again after extending the result - above calls return in "async order"
data = sorted(data, key=lambda x: x[0])
logger.info("Downloaded data for %s with length %s.", pair, len(data))
logger.info(f"Downloaded data for {pair} with length {len(data)}.")
return data
def refresh_latest_ohlcv(self, pair_list: ListPairsWithTimeframes, *,
@@ -1564,9 +1576,10 @@ class Exchange:
def _get_funding_fee(
self,
pair: str,
contract_size: float,
mark_price: float,
funding_rate: Optional[float],
premium_index: Optional[float],
# index_price: float,
# interest_rate: float)
) -> float:

5
freqtrade/exchange/ftx.py
View File

@@ -161,9 +161,12 @@ class Ftx(Exchange):
def _get_funding_fee(
self,
pair: str,
contract_size: float,
mark_price: float,
funding_rate: Optional[float],
premium_index: Optional[float],
# index_price: float,
# interest_rate: float)
) -> float:
"""
Calculates a single funding fee

2
freqtrade/exchange/gateio.py
View File

@@ -21,3 +21,5 @@ class Gateio(Exchange):
_ft_has: Dict = {
"ohlcv_candle_limit": 1000,
}
_headers = {'X-Gate-Channel-Id': 'freqtrade'}

2
freqtrade/exchange/kucoin.py
View File

@@ -21,4 +21,6 @@ class Kucoin(Exchange):
_ft_has: Dict = {
"l2_limit_range": [20, 100],
"l2_limit_range_required": False,
"order_time_in_force": ['gtc', 'fok', 'ioc'],
"time_in_force_parameter": "timeInForce",
}