adelorenzo/stable
1
0
Fork 0
Code Issues Pull Requests Packages Projects Releases Wiki Activity

Merge pull request #2206 from freqtrade/sloe_handling

Browse Source 
Improve stoploss on exchange handling
This commit is contained in:
hroff-1902
2019-09-04 10:00:53 +03:00
committed by GitHub
parent 962d487edb 88f823f899
commit caec5ac941
9 changed files with 133 additions and 72 deletions
Download Patch File Download Diff File Expand all files Collapse all files

1
freqtrade/constants.py
View File

@@ -121,6 +121,7 @@ CONF_SCHEMA = {
'properties': {
'buy': {'type': 'string', 'enum': ORDERTYPE_POSSIBILITIES},
'sell': {'type': 'string', 'enum': ORDERTYPE_POSSIBILITIES},
'emergencysell': {'type': 'string', 'enum': ORDERTYPE_POSSIBILITIES},
'stoploss': {'type': 'string', 'enum': ORDERTYPE_POSSIBILITIES},
'stoploss_on_exchange': {'type': 'boolean'},
'stoploss_on_exchange_interval': {'type': 'number'}

11
freqtrade/exchange/binance.py
View File

@@ -4,7 +4,8 @@ from typing import Dict
import ccxt
from freqtrade import DependencyException, OperationalException, TemporaryError
from freqtrade import (DependencyException, InvalidOrderException,
OperationalException, TemporaryError)
from freqtrade.exchange import Exchange
logger = logging.getLogger(__name__)
@@ -66,12 +67,14 @@ class Binance(Exchange):
except ccxt.InsufficientFunds as e:
raise DependencyException(
f'Insufficient funds to create {ordertype} sell order on market {pair}.'
f'Tried to sell amount {amount} at rate {rate}.'
f'Tried to sell amount {amount} at rate {rate}. '
f'Message: {e}') from e
except ccxt.InvalidOrder as e:
raise DependencyException(
# Errors:
# `binance Order would trigger immediately.`
raise InvalidOrderException(
f'Could not create {ordertype} sell order on market {pair}. '
f'Tried to sell amount {amount} at rate {rate}.'
f'Tried to sell amount {amount} at rate {rate}. '
f'Message: {e}') from e
except (ccxt.NetworkError, ccxt.ExchangeError) as e:
raise TemporaryError(

100
freqtrade/freqtradebot.py
View File

@@ -611,6 +611,33 @@ class FreqtradeBot(object):
logger.debug('Found no sell signal for %s.', trade)
return False
def create_stoploss_order(self, trade: Trade, stop_price: float, rate: float) -> bool:
"""
Abstracts creating stoploss orders from the logic.
Handles errors and updates the trade database object.
Force-sells the pair (using EmergencySell reason) in case of Problems creating the order.
:return: True if the order succeeded, and False in case of problems.
"""
# Limit price threshold: As limit price should always be below price
LIMIT_PRICE_PCT = 0.99
try:
stoploss_order = self.exchange.stoploss_limit(pair=trade.pair, amount=trade.amount,
stop_price=stop_price,
rate=rate * LIMIT_PRICE_PCT)
trade.stoploss_order_id = str(stoploss_order['id'])
return True
except InvalidOrderException as e:
trade.stoploss_order_id = None
logger.error(f'Unable to place a stoploss order on exchange. {e}')
logger.warning('Selling the trade forcefully')
self.execute_sell(trade, trade.stop_loss, sell_reason=SellType.EMERGENCY_SELL)
except DependencyException:
trade.stoploss_order_id = None
logger.exception('Unable to place a stoploss order on exchange.')
return False
def handle_stoploss_on_exchange(self, trade: Trade) -> bool:
"""
Check if trade is fulfilled in which case the stoploss
@@ -629,49 +656,25 @@ class FreqtradeBot(object):
except InvalidOrderException as exception:
logger.warning('Unable to fetch stoploss order: %s', exception)
# If trade open order id does not exist: buy order is fulfilled
buy_order_fulfilled = not trade.open_order_id
# Limit price threshold: As limit price should always be below price
limit_price_pct = 0.99
# If buy order is fulfilled but there is no stoploss, we add a stoploss on exchange
if (buy_order_fulfilled and not stoploss_order):
if self.edge:
stoploss = self.edge.stoploss(pair=trade.pair)
else:
stoploss = self.strategy.stoploss
if (not trade.open_order_id and not stoploss_order):
stoploss = self.edge.stoploss(pair=trade.pair) if self.edge else self.strategy.stoploss
stop_price = trade.open_rate * (1 + stoploss)
# limit price should be less than stop price.
limit_price = stop_price * limit_price_pct
try:
stoploss_order_id = self.exchange.stoploss_limit(
pair=trade.pair, amount=trade.amount, stop_price=stop_price, rate=limit_price
)['id']
trade.stoploss_order_id = str(stoploss_order_id)
if self.create_stoploss_order(trade=trade, stop_price=stop_price, rate=stop_price):
trade.stoploss_last_update = datetime.now()
return False
except DependencyException as exception:
trade.stoploss_order_id = None
logger.warning('Unable to place a stoploss order on exchange: %s', exception)
# If stoploss order is canceled for some reason we add it
if stoploss_order and stoploss_order['status'] == 'canceled':
try:
stoploss_order_id = self.exchange.stoploss_limit(
pair=trade.pair, amount=trade.amount,
stop_price=trade.stop_loss, rate=trade.stop_loss * limit_price_pct
)['id']
trade.stoploss_order_id = str(stoploss_order_id)
if self.create_stoploss_order(trade=trade, stop_price=trade.stop_loss,
rate=trade.stop_loss):
return False
except DependencyException as exception:
else:
trade.stoploss_order_id = None
logger.warning('Stoploss order was cancelled, '
'but unable to recreate one: %s', exception)
logger.warning('Stoploss order was cancelled, but unable to recreate one.')
# We check if stoploss order is fulfilled
if stoploss_order and stoploss_order['status'] == 'closed':
@@ -680,7 +683,7 @@ class FreqtradeBot(object):
# Lock pair for one candle to prevent immediate rebuys
self.strategy.lock_pair(trade.pair,
timeframe_to_next_date(self.config['ticker_interval']))
self._notify_sell(trade)
self._notify_sell(trade, "stoploss")
return True
# Finally we check if stoploss on exchange should be moved up because of trailing.
@@ -714,17 +717,13 @@ class FreqtradeBot(object):
logger.exception(f"Could not cancel stoploss order {order['id']} "
f"for pair {trade.pair}")
try:
# creating the new one
stoploss_order_id = self.exchange.stoploss_limit(
pair=trade.pair, amount=trade.amount,
stop_price=trade.stop_loss, rate=trade.stop_loss * 0.99
)['id']
trade.stoploss_order_id = str(stoploss_order_id)
except DependencyException:
trade.stoploss_order_id = None
logger.exception(f"Could not create trailing stoploss order "
f"for pair {trade.pair}.")
# Create new stoploss order
if self.create_stoploss_order(trade=trade, stop_price=trade.stop_loss,
rate=trade.stop_loss):
return False
else:
logger.warning(f"Could not create trailing stoploss order "
f"for pair {trade.pair}.")
def _check_and_execute_sell(self, trade: Trade, sell_rate: float,
buy: bool, sell: bool) -> bool:
@@ -877,9 +876,14 @@ class FreqtradeBot(object):
except InvalidOrderException:
logger.exception(f"Could not cancel stoploss order {trade.stoploss_order_id}")
ordertype = self.strategy.order_types[sell_type]
if sell_reason == SellType.EMERGENCY_SELL:
# Emergencysells (default to market!)
ordertype = self.strategy.order_types.get("emergencysell", "market")
# Execute sell and update trade record
order = self.exchange.sell(pair=str(trade.pair),
ordertype=self.strategy.order_types[sell_type],
ordertype=ordertype,
amount=trade.amount, rate=limit,
time_in_force=self.strategy.order_time_in_force['sell']
)
@@ -895,9 +899,9 @@ class FreqtradeBot(object):
# Lock pair for one candle to prevent immediate rebuys
self.strategy.lock_pair(trade.pair, timeframe_to_next_date(self.config['ticker_interval']))
self._notify_sell(trade)
self._notify_sell(trade, ordertype)
def _notify_sell(self, trade: Trade):
def _notify_sell(self, trade: Trade, order_type: str):
"""
Sends rpc notification when a sell occured.
"""
@@ -914,7 +918,7 @@ class FreqtradeBot(object):
'pair': trade.pair,
'gain': gain,
'limit': trade.close_rate_requested,
'order_type': self.strategy.order_types['sell'],
'order_type': order_type,
'amount': trade.amount,
'open_rate': trade.open_rate,
'current_rate': current_rate,

1
freqtrade/strategy/interface.py
View File

@@ -39,6 +39,7 @@ class SellType(Enum):
TRAILING_STOP_LOSS = "trailing_stop_loss"
SELL_SIGNAL = "sell_signal"
FORCE_SELL = "force_sell"
EMERGENCY_SELL = "emergency_sell"
NONE = ""

8
freqtrade/tests/exchange/test_binance.py
View File

@@ -4,7 +4,8 @@ from unittest.mock import MagicMock
import ccxt
import pytest
from freqtrade import DependencyException, OperationalException, TemporaryError
from freqtrade import (DependencyException, InvalidOrderException,
OperationalException, TemporaryError)
from freqtrade.tests.conftest import get_patched_exchange
@@ -49,8 +50,9 @@ def test_stoploss_limit_order(default_conf, mocker):
exchange = get_patched_exchange(mocker, default_conf, api_mock, 'binance')
exchange.stoploss_limit(pair='ETH/BTC', amount=1, stop_price=220, rate=200)
with pytest.raises(DependencyException):
api_mock.create_order = MagicMock(side_effect=ccxt.InvalidOrder("Order not found"))
with pytest.raises(InvalidOrderException):
api_mock.create_order = MagicMock(
side_effect=ccxt.InvalidOrder("binance Order would trigger immediately."))
exchange = get_patched_exchange(mocker, default_conf, api_mock, 'binance')
exchange.stoploss_limit(pair='ETH/BTC', amount=1, stop_price=220, rate=200)

46
freqtrade/tests/test_freqtradebot.py
View File

@@ -1152,7 +1152,7 @@ def test_handle_stoploss_on_exchange(mocker, default_conf, fee, caplog,
side_effect=DependencyException()
)
freqtrade.handle_stoploss_on_exchange(trade)
assert log_has('Unable to place a stoploss order on exchange: ', caplog)
assert log_has('Unable to place a stoploss order on exchange.', caplog)
assert trade.stoploss_order_id is None
# Fifth case: get_order returns InvalidOrder
@@ -1200,6 +1200,50 @@ def test_handle_sle_cancel_cant_recreate(mocker, default_conf, fee, caplog,
assert trade.is_open is True
def test_create_stoploss_order_invalid_order(mocker, default_conf, caplog, fee,
markets, limit_buy_order, limit_sell_order):
rpc_mock = patch_RPCManager(mocker)
patch_exchange(mocker)
sell_mock = MagicMock(return_value={'id': limit_sell_order['id']})
mocker.patch.multiple(
'freqtrade.exchange.Exchange',
get_ticker=MagicMock(return_value={
'bid': 0.00001172,
'ask': 0.00001173,
'last': 0.00001172
}),
buy=MagicMock(return_value={'id': limit_buy_order['id']}),
sell=sell_mock,
get_fee=fee,
markets=PropertyMock(return_value=markets),
get_order=MagicMock(return_value={'status': 'canceled'}),
stoploss_limit=MagicMock(side_effect=InvalidOrderException()),
)
freqtrade = FreqtradeBot(default_conf)
patch_get_signal(freqtrade)
freqtrade.strategy.order_types['stoploss_on_exchange'] = True
freqtrade.create_trades()
trade = Trade.query.first()
caplog.clear()
freqtrade.create_stoploss_order(trade, 200, 199)
assert trade.stoploss_order_id is None
assert trade.sell_reason == SellType.EMERGENCY_SELL.value
assert log_has("Unable to place a stoploss order on exchange. ", caplog)
assert log_has("Selling the trade forcefully", caplog)
# Should call a market sell
assert sell_mock.call_count == 1
assert sell_mock.call_args[1]['ordertype'] == 'market'
assert sell_mock.call_args[1]['pair'] == trade.pair
assert sell_mock.call_args[1]['amount'] == trade.amount
# Rpc is sending first buy, then sell
assert rpc_mock.call_count == 2
assert rpc_mock.call_args_list[1][0][0]['sell_reason'] == SellType.EMERGENCY_SELL.value
assert rpc_mock.call_args_list[1][0][0]['order_type'] == 'market'
def test_handle_stoploss_on_exchange_trailing(mocker, default_conf, fee, caplog,
markets, limit_buy_order, limit_sell_order) -> None:
# When trailing stoploss is set