Merge pull request #2954 from freqtrade/rate_caching
Improve and fix buy / sell Rate caching
This commit is contained in:
hroff-1902
GitHub
commit
c9b6bb1229
|
|
@ -66,8 +66,6 @@ class Exchange:
|
|||
|
||||
self._config.update(config)
|
||||
|
||||
self._cached_ticker: Dict[str, Any] = {}
|
||||
|
||||
# Holds last candle refreshed time of each pair
|
||||
self._pairs_last_refresh_time: Dict[Tuple[str, str], int] = {}
|
||||
# Timestamp of last markets refresh
|
||||
|
|
@ -591,28 +589,17 @@ class Exchange:
|
|||
raise OperationalException(e) from e
|
||||
|
||||
@retrier
|
||||
def fetch_ticker(self, pair: str, refresh: Optional[bool] = True) -> dict:
|
||||
if refresh or pair not in self._cached_ticker.keys():
|
||||
try:
|
||||
if pair not in self._api.markets or not self._api.markets[pair].get('active'):
|
||||
raise DependencyException(f"Pair {pair} not available")
|
||||
data = self._api.fetch_ticker(pair)
|
||||
try:
|
||||
self._cached_ticker[pair] = {
|
||||
'bid': float(data['bid']),
|
||||
'ask': float(data['ask']),
|
||||
}
|
||||
except KeyError:
|
||||
logger.debug("Could not cache ticker data for %s", pair)
|
||||
return data
|
||||
except (ccxt.NetworkError, ccxt.ExchangeError) as e:
|
||||
raise TemporaryError(
|
||||
f'Could not load ticker due to {e.__class__.__name__}. Message: {e}') from e
|
||||
except ccxt.BaseError as e:
|
||||
raise OperationalException(e) from e
|
||||
else:
|
||||
logger.info("returning cached ticker-data for %s", pair)
|
||||
return self._cached_ticker[pair]
|
||||
def fetch_ticker(self, pair: str) -> dict:
|
||||
try:
|
||||
if pair not in self._api.markets or not self._api.markets[pair].get('active'):
|
||||
raise DependencyException(f"Pair {pair} not available")
|
||||
data = self._api.fetch_ticker(pair)
|
||||
return data
|
||||
except (ccxt.NetworkError, ccxt.ExchangeError) as e:
|
||||
raise TemporaryError(
|
||||
f'Could not load ticker due to {e.__class__.__name__}. Message: {e}') from e
|
||||
except ccxt.BaseError as e:
|
||||
raise OperationalException(e) from e
|
||||
|
||||
def get_historic_ohlcv(self, pair: str, timeframe: str,
|
||||
since_ms: int) -> List:
|
||||
|
|
|
|||
|
|
@ -10,6 +10,7 @@ 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
|
||||
|
|
@ -51,6 +52,9 @@ class FreqtradeBot:
|
|||
# Init objects
|
||||
self.config = config
|
||||
|
||||
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)
|
||||
|
||||
# Check config consistency here since strategies can set certain options
|
||||
|
|
@ -224,11 +228,20 @@ 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
|
||||
"""
|
||||
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
|
||||
|
||||
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):
|
||||
|
|
@ -241,11 +254,8 @@ class FreqtradeBot:
|
|||
logger.info('...top %s order book buy rate %0.8f', order_book_top, order_book_rate)
|
||||
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
|
||||
logger.info('Using Last Ask / Last Price')
|
||||
ticker = self.exchange.fetch_ticker(pair)
|
||||
if ticker['ask'] < ticker['last']:
|
||||
ticker_rate = ticker['ask']
|
||||
else:
|
||||
|
|
@ -253,6 +263,8 @@ class FreqtradeBot:
|
|||
ticker_rate = ticker['ask'] + balance * (ticker['last'] - ticker['ask'])
|
||||
used_rate = ticker_rate
|
||||
|
||||
self._buy_rate_cache[pair] = used_rate
|
||||
|
||||
return used_rate
|
||||
|
||||
def get_trade_stake_amount(self, pair: str) -> float:
|
||||
|
|
@ -556,7 +568,7 @@ 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,
|
||||
|
|
@ -611,8 +623,17 @@ class FreqtradeBot:
|
|||
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
|
||||
"""
|
||||
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
|
||||
|
||||
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')
|
||||
|
|
@ -621,7 +642,8 @@ class FreqtradeBot:
|
|||
rate = order_book['bids'][0][0]
|
||||
|
||||
else:
|
||||
rate = self.exchange.fetch_ticker(pair, refresh)['bid']
|
||||
rate = self.exchange.fetch_ticker(pair)['bid']
|
||||
self._sell_rate_cache[pair] = rate
|
||||
return rate
|
||||
|
||||
def handle_trade(self, trade: Trade) -> bool:
|
||||
|
|
@ -1048,7 +1070,7 @@ 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)
|
||||
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"
|
||||
|
||||
|
|
|
|||
|
|
@ -1121,25 +1121,16 @@ def test_fetch_ticker(default_conf, mocker, exchange_name):
|
|||
assert ticker['bid'] == 0.5
|
||||
assert ticker['ask'] == 1
|
||||
|
||||
assert 'ETH/BTC' in exchange._cached_ticker
|
||||
assert exchange._cached_ticker['ETH/BTC']['bid'] == 0.5
|
||||
assert exchange._cached_ticker['ETH/BTC']['ask'] == 1
|
||||
|
||||
# Test caching
|
||||
api_mock.fetch_ticker = MagicMock()
|
||||
exchange.fetch_ticker(pair='ETH/BTC', refresh=False)
|
||||
assert api_mock.fetch_ticker.call_count == 0
|
||||
|
||||
ccxt_exceptionhandlers(mocker, default_conf, api_mock, exchange_name,
|
||||
"fetch_ticker", "fetch_ticker",
|
||||
pair='ETH/BTC', refresh=True)
|
||||
pair='ETH/BTC')
|
||||
|
||||
api_mock.fetch_ticker = MagicMock(return_value={})
|
||||
exchange = get_patched_exchange(mocker, default_conf, api_mock, id=exchange_name)
|
||||
exchange.fetch_ticker(pair='ETH/BTC', refresh=True)
|
||||
exchange.fetch_ticker(pair='ETH/BTC')
|
||||
|
||||
with pytest.raises(DependencyException, match=r'Pair XRP/ETH not available'):
|
||||
exchange.fetch_ticker(pair='XRP/ETH', refresh=True)
|
||||
exchange.fetch_ticker(pair='XRP/ETH')
|
||||
|
||||
|
||||
@pytest.mark.parametrize("exchange_name", EXCHANGES)
|
||||
|
|
|
|||
|
|
@ -65,10 +65,8 @@ def test_rpc_trade_status(default_conf, ticker, fee, mocker) -> None:
|
|||
'open_order': '(limit buy rem=0.00000000)'
|
||||
} == results[0]
|
||||
|
||||
mocker.patch('freqtrade.exchange.Exchange.fetch_ticker',
|
||||
mocker.patch('freqtrade.freqtradebot.FreqtradeBot.get_sell_rate',
|
||||
MagicMock(side_effect=DependencyException(f"Pair 'ETH/BTC' not available")))
|
||||
# invalidate ticker cache
|
||||
rpc._freqtrade.exchange._cached_ticker = {}
|
||||
results = rpc._rpc_trade_status()
|
||||
assert isnan(results[0]['current_profit'])
|
||||
assert isnan(results[0]['current_rate'])
|
||||
|
|
@ -134,10 +132,8 @@ def test_rpc_status_table(default_conf, ticker, fee, mocker) -> None:
|
|||
assert 'ETH/BTC' in result[0][1]
|
||||
assert '-0.59% (-0.09)' == result[0][3]
|
||||
|
||||
mocker.patch('freqtrade.exchange.Exchange.fetch_ticker',
|
||||
mocker.patch('freqtrade.freqtradebot.FreqtradeBot.get_sell_rate',
|
||||
MagicMock(side_effect=DependencyException(f"Pair 'ETH/BTC' not available")))
|
||||
# invalidate ticker cache
|
||||
rpc._freqtrade.exchange._cached_ticker = {}
|
||||
result, headers = rpc._rpc_status_table(default_conf['stake_currency'], 'USD')
|
||||
assert 'instantly' == result[0][2]
|
||||
assert 'ETH/BTC' in result[0][1]
|
||||
|
|
@ -260,10 +256,8 @@ def test_rpc_trade_statistics(default_conf, ticker, ticker_sell_up, fee,
|
|||
assert prec_satoshi(stats['best_rate'], 6.2)
|
||||
|
||||
# Test non-available pair
|
||||
mocker.patch('freqtrade.exchange.Exchange.fetch_ticker',
|
||||
mocker.patch('freqtrade.freqtradebot.FreqtradeBot.get_sell_rate',
|
||||
MagicMock(side_effect=DependencyException(f"Pair 'ETH/BTC' not available")))
|
||||
# invalidate ticker cache
|
||||
rpc._freqtrade.exchange._cached_ticker = {}
|
||||
stats = rpc._rpc_trade_statistics(stake_currency, fiat_display_currency)
|
||||
assert stats['trade_count'] == 2
|
||||
assert stats['first_trade_date'] == 'just now'
|
||||
|
|
|
|||
|
|
@ -915,13 +915,21 @@ def test_process_informative_pairs_added(default_conf, ticker, mocker) -> None:
|
|||
(5, 10, 1.0, 5), # last bigger than ask
|
||||
(5, 10, 0.5, 5), # last bigger than ask
|
||||
])
|
||||
def test_get_buy_rate(mocker, default_conf, ask, last, last_ab, expected) -> None:
|
||||
def test_get_buy_rate(mocker, default_conf, caplog, ask, last, last_ab, expected) -> None:
|
||||
default_conf['bid_strategy']['ask_last_balance'] = last_ab
|
||||
freqtrade = get_patched_freqtradebot(mocker, default_conf)
|
||||
mocker.patch('freqtrade.exchange.Exchange.fetch_ticker',
|
||||
MagicMock(return_value={'ask': ask, 'last': last}))
|
||||
|
||||
assert freqtrade.get_buy_rate('ETH/BTC', True) == expected
|
||||
assert not log_has("Using cached buy rate for ETH/BTC.", caplog)
|
||||
|
||||
assert freqtrade.get_buy_rate('ETH/BTC', False) == expected
|
||||
assert log_has("Using cached buy rate for ETH/BTC.", caplog)
|
||||
# Running a 2nd time with Refresh on!
|
||||
caplog.clear()
|
||||
assert freqtrade.get_buy_rate('ETH/BTC', True) == expected
|
||||
assert not log_has("Using cached buy rate for ETH/BTC.", caplog)
|
||||
|
||||
|
||||
def test_execute_buy(mocker, default_conf, fee, limit_buy_order) -> None:
|
||||
|
|
@ -3614,7 +3622,7 @@ def test_order_book_ask_strategy(default_conf, limit_buy_order, limit_sell_order
|
|||
assert freqtrade.handle_trade(trade) is True
|
||||
|
||||
|
||||
def test_get_sell_rate(default_conf, mocker, ticker, order_book_l2) -> None:
|
||||
def test_get_sell_rate(default_conf, mocker, caplog, ticker, order_book_l2) -> None:
|
||||
|
||||
mocker.patch.multiple(
|
||||
'freqtrade.exchange.Exchange',
|
||||
|
|
@ -3626,8 +3634,15 @@ def test_get_sell_rate(default_conf, mocker, ticker, order_book_l2) -> None:
|
|||
# Test regular mode
|
||||
ft = get_patched_freqtradebot(mocker, default_conf)
|
||||
rate = ft.get_sell_rate(pair, True)
|
||||
assert not log_has("Using cached sell rate for ETH/BTC.", caplog)
|
||||
assert isinstance(rate, float)
|
||||
assert rate == 0.00001098
|
||||
# Use caching
|
||||
rate = ft.get_sell_rate(pair, False)
|
||||
assert rate == 0.00001098
|
||||
assert log_has("Using cached sell rate for ETH/BTC.", caplog)
|
||||
|
||||
caplog.clear()
|
||||
|
||||
# Test orderbook mode
|
||||
default_conf['ask_strategy']['use_order_book'] = True
|
||||
|
|
@ -3635,8 +3650,12 @@ def test_get_sell_rate(default_conf, mocker, ticker, order_book_l2) -> None:
|
|||
default_conf['ask_strategy']['order_book_max'] = 2
|
||||
ft = get_patched_freqtradebot(mocker, default_conf)
|
||||
rate = ft.get_sell_rate(pair, True)
|
||||
assert not log_has("Using cached sell rate for ETH/BTC.", caplog)
|
||||
assert isinstance(rate, float)
|
||||
assert rate == 0.043936
|
||||
rate = ft.get_sell_rate(pair, False)
|
||||
assert rate == 0.043936
|
||||
assert log_has("Using cached sell rate for ETH/BTC.", caplog)
|
||||
|
||||
|
||||
def test_startup_state(default_conf, mocker):
|
||||
|
|
|
|||
Loading…
Reference in New Issue