Merge pull request #1 from xmatthias/ccxt-async-xmatt

some fixes and improvements hopefully

freqtrade/exchange/__init__.py

@@ -2,7 +2,7 @@
 """ Cryptocurrency Exchanges support """
 import logging
 from random import randint
-from typing import List, Dict, Any, Optional
+from typing import List, Dict, Tuple, Any, Optional
 from datetime import datetime
 from math import floor, ceil
 
@@ -95,7 +95,7 @@ class Exchange(object):
                 'secret': exchange_config.get('secret'),
                 'password': exchange_config.get('password'),
                 'uid': exchange_config.get('uid', ''),
-                #'enableRateLimit': True,
+                # 'enableRateLimit': True,
                 'enableRateLimit': False,
             })
         except (KeyError, AttributeError):
@@ -334,23 +334,23 @@ class Exchange(object):
             logger.info("returning cached ticker-data for %s", pair)
             return self._cached_ticker[pair]
 
-
     async def async_get_tickers_history(self, pairs, tick_interval):
         # COMMENTED CODE IS FOR DISCUSSION: where should we close the loop on async ?
-        #loop = asyncio.new_event_loop()
-        #asyncio.set_event_loop(loop)
-        input_coroutines = [self.async_get_ticker_history(symbol, tick_interval) for symbol in pairs]
+        # loop = asyncio.new_event_loop()
+        # asyncio.set_event_loop(loop)
+        input_coroutines = [self.async_get_ticker_history(
+            symbol, tick_interval) for symbol in pairs]
         tickers = await asyncio.gather(*input_coroutines, return_exceptions=True)
-        #await self._api_async.close()
+        # await self._api_async.close()
         return tickers
 
     async def async_get_ticker_history(self, pair: str, tick_interval: str,
-                           since_ms: Optional[int] = None) -> List[Dict]:
+                                       since_ms: Optional[int] = None) -> Tuple[str, List]:
         try:
             # fetch ohlcv asynchronously
-            print("fetching %s ..." % pair)
+            logger.debug("fetching %s ...",  pair)
             data = await self._api_async.fetch_ohlcv(pair, timeframe=tick_interval, since=since_ms)
-            print("done fetching %s ..." % pair)
+            logger.debug("done fetching %s ...", pair)
             return pair, data
 
         except ccxt.NotSupported as e:
@@ -363,6 +363,18 @@ class Exchange(object):
         except ccxt.BaseError as e:
             raise OperationalException(f'Could not fetch ticker data. Msg: {e}')
 
+    def refresh_tickers(self, pair_list: List[str], ticker_interval: str) -> Dict:
+        """
+        Refresh tickers asyncronously and return the result.
+        """
+        # TODO: maybe add since_ms to use async in the download-script?
+        # TODO: only refresh once per interval ? *may require this to move to freqtradebot.py
+        # TODO@ Add tests for this and the async stuff above
+        logger.debug("Refreshing klines for %d pairs", len(pair_list))
+        datatups = asyncio.get_event_loop().run_until_complete(
+            self.async_get_tickers_history(pair_list, ticker_interval))
+        return {pair: data for (pair, data) in datatups}
+
     @retrier
     def get_ticker_history(self, pair: str, tick_interval: str,
                            since_ms: Optional[int] = None) -> List[Dict]:

freqtrade/freqtradebot.py

@@ -8,7 +8,6 @@ import time
 import traceback
 from datetime import datetime
 from typing import Any, Callable, Dict, List, Optional
-import asyncio
 
 import arrow
 import requests
@@ -56,6 +55,7 @@ class FreqtradeBot(object):
         self.persistence = None
         self.exchange = Exchange(self.config)
         self._init_modules()
+        self._klines = {}
 
     def _init_modules(self) -> None:
         """
@@ -149,6 +149,8 @@ class FreqtradeBot(object):
             final_list = sanitized_list[:nb_assets] if nb_assets else sanitized_list
             self.config['exchange']['pair_whitelist'] = final_list
 
+            self._klines = self.exchange.refresh_tickers(final_list, self.strategy.ticker_interval)
+
             # Query trades from persistence layer
             trades = Trade.query.filter(Trade.is_open.is_(True)).all()
 
@@ -302,13 +304,7 @@ class FreqtradeBot(object):
             amount_reserve_percent += self.strategy.stoploss
         # it should not be more than 50%
         amount_reserve_percent = max(amount_reserve_percent, 0.5)
-        return min(min_stake_amounts)/amount_reserve_percent
-
-    async def async_get_tickers(self, exchange, pairs):
-        input_coroutines = [exchange.async_get_ticker_history(symbol, self.strategy.ticker_interval) for symbol in pairs]
-        tickers = await asyncio.gather(*input_coroutines, return_exceptions=True)
-        return tickers
-        #await exchange.close()
+        return min(min_stake_amounts) / amount_reserve_percent
 
     def create_trade(self) -> bool:
         """
@@ -337,17 +333,13 @@ class FreqtradeBot(object):
         if not whitelist:
             raise DependencyException('No currency pairs in whitelist')
 
-        
-        # fetching kline history for all pairs asynchronously and wait till all done
-        data = asyncio.get_event_loop().run_until_complete(self.exchange.async_get_tickers_history(whitelist, self.strategy.ticker_interval))
-        
         # list of pairs having buy signals
         buy_pairs = []
 
         # running get_signal on historical data fetched
         # to find buy signals
-        for _pair, thistory in data: 
-            (buy, sell) = self.strategy.get_signal(_pair, interval, thistory)
+        for _pair in whitelist:
+            (buy, sell) = self.strategy.get_signal(_pair, interval, self._klines.get(_pair))
             if buy and not sell:
                 buy_pairs.append(_pair)
 
@@ -518,7 +510,8 @@ class FreqtradeBot(object):
         (buy, sell) = (False, False)
         experimental = self.config.get('experimental', {})
         if experimental.get('use_sell_signal') or experimental.get('ignore_roi_if_buy_signal'):
-            ticker = self.exchange.get_ticker_history(trade.pair, self.strategy.ticker_interval)
+            # ticker = self.exchange.get_ticker_history(trade.pair, self.strategy.ticker_interval)
+            ticker = self._klines.get(trade.pair)
             (buy, sell) = self.strategy.get_signal(trade.pair, self.strategy.ticker_interval,
                                                    ticker)
 

freqtrade/tests/test_freqtradebot.py

@@ -44,6 +44,7 @@ def patch_get_signal(freqtrade: FreqtradeBot, value=(True, False)) -> None:
     """
     freqtrade.strategy.get_signal = lambda e, s, t: value
     freqtrade.exchange.get_ticker_history = lambda p, i: None
+    freqtrade.exchange.refresh_tickers = lambda pl, i: {}
 
 
 def patch_RPCManager(mocker) -> MagicMock: