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Merge branch 'develop' into interface_ordertimeoutcallback

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Matthias
2020-03-15 14:56:14 +01:00
parent 0f2d771634 3b89e7d393
commit a1bbeaa668
101 changed files with 2205 additions and 1228 deletions
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132
freqtrade/freqtradebot.py
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@@ -6,11 +6,11 @@ import logging
import traceback
from datetime import datetime
from math import isclose
from os import getpid
from threading import Lock
from typing import Any, Dict, List, Optional, Tuple
import arrow
from cachetools import TTLCache
from requests.exceptions import RequestException
from freqtrade import __version__, constants, persistence
@@ -53,9 +53,8 @@ class FreqtradeBot:
# Init objects
self.config = config
self._heartbeat_msg = 0
self.heartbeat_interval = self.config.get('internals', {}).get('heartbeat_interval', 60)
self._sell_rate_cache = TTLCache(maxsize=100, ttl=5)
self._buy_rate_cache = TTLCache(maxsize=100, ttl=5)
self.strategy: IStrategy = StrategyResolver.load_strategy(self.config)
@@ -160,11 +159,6 @@ class FreqtradeBot:
self.check_handle_timedout()
Trade.session.flush()
if (self.heartbeat_interval
and (arrow.utcnow().timestamp - self._heartbeat_msg > self.heartbeat_interval)):
logger.info(f"Bot heartbeat. PID={getpid()}")
self._heartbeat_msg = arrow.utcnow().timestamp
def _refresh_whitelist(self, trades: List[Trade] = []) -> List[str]:
"""
Refresh whitelist from pairlist or edge and extend it with trades.
@@ -179,8 +173,8 @@ class FreqtradeBot:
_whitelist = self.edge.adjust(_whitelist)
if trades:
# Extend active-pair whitelist with pairs from open trades
# It ensures that tickers are downloaded for open trades
# Extend active-pair whitelist with pairs of open trades
# It ensures that candle (OHLCV) data are downloaded for open trades as well
_whitelist.extend([trade.pair for trade in trades if trade.pair not in _whitelist])
return _whitelist
@@ -235,35 +229,43 @@ class FreqtradeBot:
return trades_created
def get_buy_rate(self, pair: str, refresh: bool, tick: Dict = None) -> float:
def get_buy_rate(self, pair: str, refresh: bool) -> float:
"""
Calculates bid target between current ask price and last price
:param pair: Pair to get rate for
:param refresh: allow cached data
:return: float: Price
"""
config_bid_strategy = self.config.get('bid_strategy', {})
if 'use_order_book' in config_bid_strategy and\
config_bid_strategy.get('use_order_book', False):
logger.info('Getting price from order book')
order_book_top = config_bid_strategy.get('order_book_top', 1)
if not refresh:
rate = self._buy_rate_cache.get(pair)
# Check if cache has been invalidated
if rate:
logger.info(f"Using cached buy rate for {pair}.")
return rate
bid_strategy = self.config.get('bid_strategy', {})
if 'use_order_book' in bid_strategy and bid_strategy.get('use_order_book', False):
logger.info(
f"Getting price from order book {bid_strategy['price_side'].capitalize()} side."
)
order_book_top = bid_strategy.get('order_book_top', 1)
order_book = self.exchange.get_order_book(pair, order_book_top)
logger.debug('order_book %s', order_book)
# top 1 = index 0
order_book_rate = order_book['bids'][order_book_top - 1][0]
logger.info('...top %s order book buy rate %0.8f', order_book_top, order_book_rate)
order_book_rate = order_book[f"{bid_strategy['price_side']}s"][order_book_top - 1][0]
logger.info(f'...top {order_book_top} order book buy rate {order_book_rate:.8f}')
used_rate = order_book_rate
else:
if not tick:
logger.info('Using Last Ask / Last Price')
ticker = self.exchange.fetch_ticker(pair, refresh)
else:
ticker = tick
if ticker['ask'] < ticker['last']:
ticker_rate = ticker['ask']
else:
logger.info(f"Using Last {bid_strategy['price_side'].capitalize()} / Last Price")
ticker = self.exchange.fetch_ticker(pair)
ticker_rate = ticker[bid_strategy['price_side']]
if ticker['last'] and ticker_rate > ticker['last']:
balance = self.config['bid_strategy']['ask_last_balance']
ticker_rate = ticker['ask'] + balance * (ticker['last'] - ticker['ask'])
ticker_rate = ticker_rate + balance * (ticker['last'] - ticker_rate)
used_rate = ticker_rate
self._buy_rate_cache[pair] = used_rate
return used_rate
def get_trade_stake_amount(self, pair: str) -> float:
@@ -567,7 +569,7 @@ class FreqtradeBot:
"""
Sends rpc notification when a buy cancel occured.
"""
current_rate = self.get_buy_rate(trade.pair, True)
current_rate = self.get_buy_rate(trade.pair, False)
msg = {
'type': RPCMessageType.BUY_CANCEL_NOTIFICATION,
@@ -616,23 +618,43 @@ class FreqtradeBot:
return trades_closed
def _order_book_gen(self, pair: str, side: str, order_book_max: int = 1,
order_book_min: int = 1):
"""
Helper generator to query orderbook in loop (used for early sell-order placing)
"""
order_book = self.exchange.get_order_book(pair, order_book_max)
for i in range(order_book_min, order_book_max + 1):
yield order_book[side][i - 1][0]
def get_sell_rate(self, pair: str, refresh: bool) -> float:
"""
Get sell rate - either using get-ticker bid or first bid based on orderbook
Get sell rate - either using ticker bid or first bid based on orderbook
The orderbook portion is only used for rpc messaging, which would otherwise fail
for BitMex (has no bid/ask in fetch_ticker)
or remain static in any other case since it's not updating.
:param pair: Pair to get rate for
:param refresh: allow cached data
:return: Bid rate
"""
config_ask_strategy = self.config.get('ask_strategy', {})
if config_ask_strategy.get('use_order_book', False):
logger.debug('Using order book to get sell rate')
if not refresh:
rate = self._sell_rate_cache.get(pair)
# Check if cache has been invalidated
if rate:
logger.info(f"Using cached sell rate for {pair}.")
return rate
order_book = self.exchange.get_order_book(pair, 1)
rate = order_book['bids'][0][0]
ask_strategy = self.config.get('ask_strategy', {})
if ask_strategy.get('use_order_book', False):
# This code is only used for notifications, selling uses the generator directly
logger.info(
f"Getting price from order book {ask_strategy['price_side'].capitalize()} side."
)
rate = next(self._order_book_gen(pair, f"{ask_strategy['price_side']}s"))
else:
rate = self.exchange.fetch_ticker(pair, refresh)['bid']
rate = self.exchange.fetch_ticker(pair)[ask_strategy['price_side']]
self._sell_rate_cache[pair] = rate
return rate
def handle_trade(self, trade: Trade) -> bool:
@@ -650,7 +672,7 @@ class FreqtradeBot:
config_ask_strategy = self.config.get('ask_strategy', {})
if (config_ask_strategy.get('use_sell_signal', True) or
config_ask_strategy.get('ignore_roi_if_buy_signal')):
config_ask_strategy.get('ignore_roi_if_buy_signal', False)):
(buy, sell) = self.strategy.get_signal(
trade.pair, self.strategy.ticker_interval,
self.dataprovider.ohlcv(trade.pair, self.strategy.ticker_interval))
@@ -661,12 +683,13 @@ class FreqtradeBot:
order_book_min = config_ask_strategy.get('order_book_min', 1)
order_book_max = config_ask_strategy.get('order_book_max', 1)
order_book = self.exchange.get_order_book(trade.pair, order_book_max)
order_book = self._order_book_gen(trade.pair, f"{config_ask_strategy['price_side']}s",
order_book_min=order_book_min,
order_book_max=order_book_max)
for i in range(order_book_min, order_book_max + 1):
order_book_rate = order_book['asks'][i - 1][0]
logger.debug(' order book asks top %s: %0.8f', i, order_book_rate)
sell_rate = order_book_rate
sell_rate = next(order_book)
logger.debug(f" order book {config_ask_strategy['price_side']} top {i}: "
f"{sell_rate:0.8f}")
if self._check_and_execute_sell(trade, sell_rate, buy, sell):
return True
@@ -960,8 +983,8 @@ class FreqtradeBot:
"""
# Update wallets to ensure amounts tied up in a stoploss is now free!
self.wallets.update()
wallet_amount = self.wallets.get_free(pair.split('/')[0])
trade_base_currency = self.exchange.get_pair_base_currency(pair)
wallet_amount = self.wallets.get_free(trade_base_currency)
logger.debug(f"{pair} - Wallet: {wallet_amount} - Trade-amount: {amount}")
if wallet_amount >= amount:
return amount
@@ -1032,10 +1055,10 @@ class FreqtradeBot:
"""
profit_rate = trade.close_rate if trade.close_rate else trade.close_rate_requested
profit_trade = trade.calc_profit(rate=profit_rate)
# Use cached ticker here - it was updated seconds ago.
# Use cached rates here - it was updated seconds ago.
current_rate = self.get_sell_rate(trade.pair, False)
profit_percent = trade.calc_profit_ratio(profit_rate)
gain = "profit" if profit_percent > 0 else "loss"
profit_ratio = trade.calc_profit_ratio(profit_rate)
gain = "profit" if profit_ratio > 0 else "loss"
msg = {
'type': RPCMessageType.SELL_NOTIFICATION,
@@ -1048,7 +1071,7 @@ class FreqtradeBot:
'open_rate': trade.open_rate,
'current_rate': current_rate,
'profit_amount': profit_trade,
'profit_percent': profit_percent,
'profit_ratio': profit_ratio,
'sell_reason': trade.sell_reason,
'open_date': trade.open_date,
'close_date': trade.close_date or datetime.utcnow(),
@@ -1070,9 +1093,9 @@ class FreqtradeBot:
"""
profit_rate = trade.close_rate if trade.close_rate else trade.close_rate_requested
profit_trade = trade.calc_profit(rate=profit_rate)
current_rate = self.get_sell_rate(trade.pair, True)
profit_percent = trade.calc_profit_ratio(profit_rate)
gain = "profit" if profit_percent > 0 else "loss"
current_rate = self.get_sell_rate(trade.pair, False)
profit_ratio = trade.calc_profit_ratio(profit_rate)
gain = "profit" if profit_ratio > 0 else "loss"
msg = {
'type': RPCMessageType.SELL_CANCEL_NOTIFICATION,
@@ -1085,7 +1108,7 @@ class FreqtradeBot:
'open_rate': trade.open_rate,
'current_rate': current_rate,
'profit_amount': profit_trade,
'profit_percent': profit_percent,
'profit_ratio': profit_ratio,
'sell_reason': trade.sell_reason,
'open_date': trade.open_date,
'close_date': trade.close_date,
@@ -1147,12 +1170,13 @@ class FreqtradeBot:
if trade.fee_open == 0 or order['status'] == 'open':
return order_amount
trade_base_currency = self.exchange.get_pair_base_currency(trade.pair)
# use fee from order-dict if possible
if ('fee' in order and order['fee'] is not None and
(order['fee'].keys() >= {'currency', 'cost'})):
if (order['fee']['currency'] is not None and
order['fee']['cost'] is not None and
trade.pair.startswith(order['fee']['currency'])):
trade_base_currency == order['fee']['currency']):
new_amount = order_amount - order['fee']['cost']
logger.info("Applying fee on amount for %s (from %s to %s) from Order",
trade, order['amount'], new_amount)
@@ -1174,7 +1198,7 @@ class FreqtradeBot:
# only applies if fee is in quote currency!
if (exectrade['fee']['currency'] is not None and
exectrade['fee']['cost'] is not None and
trade.pair.startswith(exectrade['fee']['currency'])):
trade_base_currency == exectrade['fee']['currency']):
fee_abs += exectrade['fee']['cost']
if not isclose(amount, order_amount, abs_tol=constants.MATH_CLOSE_PREC):