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Improve filling logic

This commit is contained in:
Matthias 2021-06-05 15:22:52 +02:00
parent db03a24109
commit c389d44e9a
6 changed files with 52 additions and 30 deletions
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36
freqtrade/exchange/exchange.py
View File

@ -587,13 +587,15 @@ class Exchange:
'average': average,
'cost': dry_order['amount'] * average,
})
self.add_dry_order_fee(pair, dry_order)
dry_order = self.add_dry_order_fee(pair, dry_order)
dry_order = self.check_dry_limit_order_filled(dry_order)
self._dry_run_open_orders[dry_order["id"]] = dry_order
# Copy order and close it - so the returned order is open unless it's a market order
return dry_order
def add_dry_order_fee(self, pair: str, dry_order: Dict[str, Any]):
def add_dry_order_fee(self, pair: str, dry_order: Dict[str, Any]) -> Dict[str, Any]:
dry_order.update({
'fee': {
'currency': self.get_pair_quote_currency(pair),
@ -601,6 +603,7 @@ class Exchange:
'rate': self.get_fee(pair)
}
})
return dry_order
def get_dry_market_fill_price(self, pair: str, side: str, amount: float, rate: float) -> float:
"""
@ -631,7 +634,7 @@ class Exchange:
return rate
def dry_limit_order_filled(self, pair: str, side: str, limit: float) -> bool:
def _is_dry_limit_order_filled(self, pair: str, side: str, limit: float) -> bool:
if not self.exchange_has('fetchL2OrderBook'):
return True
ob = self.fetch_l2_order_book(pair, 1)
@ -647,6 +650,22 @@ class Exchange:
return True
return False
def check_dry_limit_order_filled(self, order: Dict[str, Any]) -> Dict[str, Any]:
"""
Check dry-run limit order fill and update fee (if it filled).
"""
if order['status'] != "closed" and order['type'] in ["limit"]:
pair = order['symbol']
if self._is_dry_limit_order_filled(pair, order['side'], order['price']):
order.update({
'status': 'closed',
'filled': order['amount'],
'remaining': 0,
})
self.add_dry_order_fee(pair, order)
return order
def fetch_dry_run_order(self, order_id) -> Dict[str, Any]:
"""
Return dry-run order
@ -654,16 +673,7 @@ class Exchange:
"""
try:
order = self._dry_run_open_orders[order_id]
pair = order['symbol']
if order['status'] != "closed" and order['type'] in ["limit"]:
if self.dry_limit_order_filled(pair, order['side'], order['price']):
order.update({
'status': 'closed',
'filled': order['amount'],
'remaining': 0,
})
self.add_dry_order_fee(pair, order)
order = self.check_dry_limit_order_filled(order)
return order
except KeyError as e:
# Gracefully handle errors with dry-run orders.

4
tests/exchange/test_exchange.py
View File

@ -963,11 +963,13 @@ def test_create_dry_run_order_limit_fill(default_conf, mocker, side, startprice,
order = exchange.create_dry_run_order(
pair='LTC/USDT', ordertype='limit', side=side, amount=1, rate=startprice)
assert order_book_l2_usd.call_count == 1
assert 'id' in order
assert f'dry_run_{side}_' in order["id"]
assert order["side"] == side
assert order["type"] == "limit"
assert order["symbol"] == "LTC/USDT"
order_book_l2_usd.reset_mock()
order_closed = exchange.fetch_dry_run_order(order['id'])
assert order_book_l2_usd.call_count == 1
@ -2181,7 +2183,7 @@ def test_get_historic_trades_notsupported(default_conf, mocker, caplog, exchange
def test_cancel_order_dry_run(default_conf, mocker, exchange_name):
default_conf['dry_run'] = True
exchange = get_patched_exchange(mocker, default_conf, id=exchange_name)
mocker.patch('freqtrade.exchange.Exchange.dry_limit_order_filled', return_value=True)
mocker.patch('freqtrade.exchange.Exchange._is_dry_limit_order_filled', return_value=True)
assert exchange.cancel_order(order_id='123', pair='TKN/BTC') == {}
assert exchange.cancel_stoploss_order(order_id='123', pair='TKN/BTC') == {}

15
tests/rpc/test_rpc.py
View File

@ -679,6 +679,7 @@ def test_rpc_forcesell(default_conf, ticker, fee, mocker) -> None:
'filled': 0.0,
}
),
_is_dry_limit_order_filled=MagicMock(return_value=True),
get_fee=fee,
)
mocker.patch('freqtrade.wallets.Wallets.get_free', return_value=1000)
@ -703,8 +704,8 @@ def test_rpc_forcesell(default_conf, ticker, fee, mocker) -> None:
assert msg == {'result': 'Created sell orders for all open trades.'}
freqtradebot.enter_positions()
msg = rpc._rpc_forcesell('1')
assert msg == {'result': 'Created sell order for trade 1.'}
msg = rpc._rpc_forcesell('2')
assert msg == {'result': 'Created sell order for trade 2.'}
freqtradebot.state = State.STOPPED
with pytest.raises(RPCException, match=r'.*trader is not running*'):
@ -715,9 +716,11 @@ def test_rpc_forcesell(default_conf, ticker, fee, mocker) -> None:
freqtradebot.state = State.RUNNING
assert cancel_order_mock.call_count == 0
mocker.patch(
'freqtrade.exchange.Exchange._is_dry_limit_order_filled', MagicMock(return_value=False))
freqtradebot.enter_positions()
# make an limit-buy open trade
trade = Trade.query.filter(Trade.id == '1').first()
trade = Trade.query.filter(Trade.id == '3').first()
filled_amount = trade.amount / 2
# Fetch order - it's open first, and closed after cancel_order is called.
mocker.patch(
@ -738,7 +741,7 @@ def test_rpc_forcesell(default_conf, ticker, fee, mocker) -> None:
)
# check that the trade is called, which is done by ensuring exchange.cancel_order is called
# and trade amount is updated
rpc._rpc_forcesell('1')
rpc._rpc_forcesell('3')
assert cancel_order_mock.call_count == 1
assert trade.amount == filled_amount
@ -766,8 +769,8 @@ def test_rpc_forcesell(default_conf, ticker, fee, mocker) -> None:
}
)
# check that the trade is called, which is done by ensuring exchange.cancel_order is called
msg = rpc._rpc_forcesell('2')
assert msg == {'result': 'Created sell order for trade 2.'}
msg = rpc._rpc_forcesell('4')
assert msg == {'result': 'Created sell order for trade 4.'}
assert cancel_order_mock.call_count == 2
assert trade.amount == amount

2
tests/rpc/test_rpc_apiserver.py
View File

@ -997,7 +997,7 @@ def test_api_forcesell(botclient, mocker, ticker, fee, markets):
fetch_ticker=ticker,
get_fee=fee,
markets=PropertyMock(return_value=markets),
dry_limit_order_filled=MagicMock(return_value=True),
_is_dry_limit_order_filled=MagicMock(return_value=False),
)
patch_get_signal(ftbot, (True, False))

14
tests/rpc/test_rpc_telegram.py
View File

@ -225,7 +225,7 @@ def test_status_handle(default_conf, update, ticker, fee, mocker) -> None:
'freqtrade.exchange.Exchange',
fetch_ticker=ticker,
get_fee=fee,
dry_limit_order_filled=MagicMock(return_value=True),
_is_dry_limit_order_filled=MagicMock(return_value=True),
)
status_table = MagicMock()
mocker.patch.multiple(
@ -672,7 +672,7 @@ def test_telegram_forcesell_handle(default_conf, update, ticker, fee,
'freqtrade.exchange.Exchange',
fetch_ticker=ticker,
get_fee=fee,
dry_limit_order_filled=MagicMock(return_value=True),
_is_dry_limit_order_filled=MagicMock(return_value=True),
)
freqtradebot = FreqtradeBot(default_conf)
@ -731,7 +731,7 @@ def test_telegram_forcesell_down_handle(default_conf, update, ticker, fee,
'freqtrade.exchange.Exchange',
fetch_ticker=ticker,
get_fee=fee,
dry_limit_order_filled=MagicMock(return_value=True),
_is_dry_limit_order_filled=MagicMock(return_value=True),
)
freqtradebot = FreqtradeBot(default_conf)
@ -792,7 +792,7 @@ def test_forcesell_all_handle(default_conf, update, ticker, fee, mocker) -> None
'freqtrade.exchange.Exchange',
fetch_ticker=ticker,
get_fee=fee,
dry_limit_order_filled=MagicMock(return_value=True),
_is_dry_limit_order_filled=MagicMock(return_value=True),
)
default_conf['max_open_trades'] = 4
freqtradebot = FreqtradeBot(default_conf)
@ -809,9 +809,9 @@ def test_forcesell_all_handle(default_conf, update, ticker, fee, mocker) -> None
context.args = ["all"]
telegram._forcesell(update=update, context=context)
# Called for each trade 4 times
assert msg_mock.call_count == 12
msg = msg_mock.call_args_list[2][0][0]
# Called for each trade 2 times
assert msg_mock.call_count == 8
msg = msg_mock.call_args_list[1][0][0]
assert {
'type': RPCMessageType.SELL,
'trade_id': 1,

11
tests/test_freqtradebot.py
View File

@ -305,6 +305,7 @@ def test_total_open_trades_stakes(mocker, default_conf, ticker, fee) -> None:
'freqtrade.exchange.Exchange',
fetch_ticker=ticker,
get_fee=fee,
_is_dry_limit_order_filled=MagicMock(return_value=False),
)
freqtrade = FreqtradeBot(default_conf)
patch_get_signal(freqtrade)
@ -334,6 +335,7 @@ def test_create_trade(default_conf, ticker, limit_buy_order, fee, mocker) -> Non
'freqtrade.exchange.Exchange',
fetch_ticker=ticker,
get_fee=fee,
_is_dry_limit_order_filled=MagicMock(return_value=False),
)
# Save state of current whitelist
@ -2533,6 +2535,7 @@ def test_execute_sell_up(default_conf, ticker, fee, ticker_sell_up, mocker) -> N
'freqtrade.exchange.Exchange',
fetch_ticker=ticker,
get_fee=fee,
_is_dry_limit_order_filled=MagicMock(return_value=False),
)
patch_whitelist(mocker, default_conf)
freqtrade = FreqtradeBot(default_conf)
@ -2596,6 +2599,7 @@ def test_execute_sell_down(default_conf, ticker, fee, ticker_sell_down, mocker)
'freqtrade.exchange.Exchange',
fetch_ticker=ticker,
get_fee=fee,
_is_dry_limit_order_filled=MagicMock(return_value=False),
)
patch_whitelist(mocker, default_conf)
freqtrade = FreqtradeBot(default_conf)
@ -2648,6 +2652,7 @@ def test_execute_sell_down_stoploss_on_exchange_dry_run(default_conf, ticker, fe
'freqtrade.exchange.Exchange',
fetch_ticker=ticker,
get_fee=fee,
_is_dry_limit_order_filled=MagicMock(return_value=False),
)
patch_whitelist(mocker, default_conf)
freqtrade = FreqtradeBot(default_conf)
@ -2750,7 +2755,7 @@ def test_execute_sell_with_stoploss_on_exchange(default_conf, ticker, fee, ticke
price_to_precision=lambda s, x, y: y,
stoploss=stoploss,
cancel_stoploss_order=cancel_order,
dry_limit_order_filled=MagicMock(return_value=True),
_is_dry_limit_order_filled=MagicMock(side_effect=[True, False]),
)
freqtrade = FreqtradeBot(default_conf)
@ -2793,7 +2798,7 @@ def test_may_execute_sell_after_stoploss_on_exchange_hit(default_conf, ticker, f
get_fee=fee,
amount_to_precision=lambda s, x, y: y,
price_to_precision=lambda s, x, y: y,
dry_limit_order_filled=MagicMock(return_value=True),
_is_dry_limit_order_filled=MagicMock(side_effect=[False, True]),
)
stoploss = MagicMock(return_value={
@ -2862,6 +2867,7 @@ def test_execute_sell_market_order(default_conf, ticker, fee,
'freqtrade.exchange.Exchange',
fetch_ticker=ticker,
get_fee=fee,
_is_dry_limit_order_filled=MagicMock(return_value=False),
)
patch_whitelist(mocker, default_conf)
freqtrade = FreqtradeBot(default_conf)
@ -3467,6 +3473,7 @@ def test_disable_ignore_roi_if_buy_signal(default_conf, limit_buy_order, limit_b
}),
buy=MagicMock(return_value=limit_buy_order_open),
get_fee=fee,
_is_dry_limit_order_filled=MagicMock(return_value=False),
)
default_conf['ask_strategy'] = {
'ignore_roi_if_buy_signal': False