Merge pull request #2206 from freqtrade/sloe_handling
Improve stoploss on exchange handling
This commit is contained in:
hroff-1902
GitHub
commit
caec5ac941
@ -38,6 +38,7 @@
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"order_types": {
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"buy": "limit",
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"sell": "limit",
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"emergencysell": "market",
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"stoploss": "market",
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"stoploss_on_exchange": false,
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"stoploss_on_exchange_interval": 60
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@ -192,19 +192,20 @@ end up paying more then would probably have been necessary.
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### Understand order_types
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The `order_types` configuration parameter contains a dict mapping order-types to
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market-types as well as stoploss on or off exchange type and stoploss on exchange
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update interval in seconds. This allows to buy using limit orders, sell using
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limit-orders, and create stoploss orders using market. It also allows to set the
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stoploss "on exchange" which means stoploss order would be placed immediately once
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the buy order is fulfilled. In case stoploss on exchange and `trailing_stop` are
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both set, then the bot will use `stoploss_on_exchange_interval` to check it periodically
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and update it if necessary (e.x. in case of trailing stoploss).
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This can be set in the configuration file or in the strategy.
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Values set in the configuration file overwrites values set in the strategy.
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The `order_types` configuration parameter maps actions (`buy`, `sell`, `stoploss`) to order-types (`market`, `limit`, ...) as well as configures stoploss to be on the exchange and defines stoploss on exchange update interval in seconds.
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If this is configured, all 4 values (`buy`, `sell`, `stoploss` and
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`stoploss_on_exchange`) need to be present, otherwise the bot will warn about it and fail to start.
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This allows to buy using limit orders, sell using
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limit-orders, and create stoplosses using using market orders. It also allows to set the
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stoploss "on exchange" which means stoploss order would be placed immediately once
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the buy order is fulfilled.
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If `stoploss_on_exchange` and `trailing_stop` are both set, then the bot will use `stoploss_on_exchange_interval` to check and update the stoploss on exchange periodically.
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`order_types` can be set in the configuration file or in the strategy.
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`order_types` set in the configuration file overwrites values set in the strategy as a whole, so you need to configure the whole `order_types` dictionary in one place.
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If this is configured, the following 4 values (`buy`, `sell`, `stoploss` and
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`stoploss_on_exchange`) need to be present, otherwise the bot will fail to start.
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`emergencysell` is an optional value, which defaults to `market` and is used when creating stoploss on exchange orders fails.
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The below is the default which is used if this is not configured in either strategy or configuration file.
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Syntax for Strategy:
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@ -213,6 +214,7 @@ Syntax for Strategy:
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order_types = {
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"buy": "limit",
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"sell": "limit",
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"emergencysell": "market",
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"stoploss": "market",
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"stoploss_on_exchange": False,
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"stoploss_on_exchange_interval": 60
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@ -225,6 +227,7 @@ Configuration:
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"order_types": {
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"buy": "limit",
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"sell": "limit",
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"emergencysell": "market",
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"stoploss": "market",
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"stoploss_on_exchange": false,
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"stoploss_on_exchange_interval": 60
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@ -239,11 +242,13 @@ Configuration:
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!!! Note
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Stoploss on exchange interval is not mandatory. Do not change its value if you are
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unsure of what you are doing. For more information about how stoploss works please
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read [the stoploss documentation](stoploss.md).
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refer to [the stoploss documentation](stoploss.md).
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!!! Note
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In case of stoploss on exchange if the stoploss is cancelled manually then
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the bot would recreate one.
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If `stoploss_on_exchange` is enabled and the stoploss is cancelled manually on the exchange, then the bot will create a new order.
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!!! Warning stoploss_on_exchange failures
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If stoploss on exchange creation fails for some reason, then an "emergency sell" is initiated. By default, this will sell the asset using a market order. The order-type for the emergency-sell can be changed by setting the `emergencysell` value in the `order_types` dictionary - however this is not advised.
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### Understand order_time_in_force
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@ -224,7 +224,7 @@ This would signify a stoploss of -10%.
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For the full documentation on stoploss features, look at the dedicated [stoploss page](stoploss.md).
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If your exchange supports it, it's recommended to also set `"stoploss_on_exchange"` in the order dict, so your stoploss is on the exchange and cannot be missed for network-problems (or other problems).
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If your exchange supports it, it's recommended to also set `"stoploss_on_exchange"` in the order_types dictionary, so your stoploss is on the exchange and cannot be missed due to network problems, high load or other reasons.
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For more information on order_types please look [here](configuration.md#understand-order_types).
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@ -121,6 +121,7 @@ CONF_SCHEMA = {
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'properties': {
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'buy': {'type': 'string', 'enum': ORDERTYPE_POSSIBILITIES},
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'sell': {'type': 'string', 'enum': ORDERTYPE_POSSIBILITIES},
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'emergencysell': {'type': 'string', 'enum': ORDERTYPE_POSSIBILITIES},
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'stoploss': {'type': 'string', 'enum': ORDERTYPE_POSSIBILITIES},
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'stoploss_on_exchange': {'type': 'boolean'},
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'stoploss_on_exchange_interval': {'type': 'number'}
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@ -4,7 +4,8 @@ from typing import Dict
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import ccxt
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from freqtrade import DependencyException, OperationalException, TemporaryError
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from freqtrade import (DependencyException, InvalidOrderException,
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OperationalException, TemporaryError)
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from freqtrade.exchange import Exchange
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logger = logging.getLogger(__name__)
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@ -66,12 +67,14 @@ class Binance(Exchange):
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except ccxt.InsufficientFunds as e:
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raise DependencyException(
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f'Insufficient funds to create {ordertype} sell order on market {pair}.'
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f'Tried to sell amount {amount} at rate {rate}.'
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f'Tried to sell amount {amount} at rate {rate}. '
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f'Message: {e}') from e
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except ccxt.InvalidOrder as e:
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raise DependencyException(
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# Errors:
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# `binance Order would trigger immediately.`
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raise InvalidOrderException(
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f'Could not create {ordertype} sell order on market {pair}. '
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f'Tried to sell amount {amount} at rate {rate}.'
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f'Tried to sell amount {amount} at rate {rate}. '
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f'Message: {e}') from e
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except (ccxt.NetworkError, ccxt.ExchangeError) as e:
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raise TemporaryError(
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@ -611,6 +611,33 @@ class FreqtradeBot(object):
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logger.debug('Found no sell signal for %s.', trade)
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return False
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def create_stoploss_order(self, trade: Trade, stop_price: float, rate: float) -> bool:
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"""
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Abstracts creating stoploss orders from the logic.
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Handles errors and updates the trade database object.
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Force-sells the pair (using EmergencySell reason) in case of Problems creating the order.
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:return: True if the order succeeded, and False in case of problems.
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"""
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# Limit price threshold: As limit price should always be below price
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LIMIT_PRICE_PCT = 0.99
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try:
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stoploss_order = self.exchange.stoploss_limit(pair=trade.pair, amount=trade.amount,
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stop_price=stop_price,
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rate=rate * LIMIT_PRICE_PCT)
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trade.stoploss_order_id = str(stoploss_order['id'])
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return True
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except InvalidOrderException as e:
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trade.stoploss_order_id = None
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logger.error(f'Unable to place a stoploss order on exchange. {e}')
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logger.warning('Selling the trade forcefully')
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self.execute_sell(trade, trade.stop_loss, sell_reason=SellType.EMERGENCY_SELL)
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except DependencyException:
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trade.stoploss_order_id = None
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logger.exception('Unable to place a stoploss order on exchange.')
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return False
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def handle_stoploss_on_exchange(self, trade: Trade) -> bool:
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"""
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Check if trade is fulfilled in which case the stoploss
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@ -629,49 +656,25 @@ class FreqtradeBot(object):
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except InvalidOrderException as exception:
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logger.warning('Unable to fetch stoploss order: %s', exception)
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# If trade open order id does not exist: buy order is fulfilled
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buy_order_fulfilled = not trade.open_order_id
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# Limit price threshold: As limit price should always be below price
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limit_price_pct = 0.99
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# If buy order is fulfilled but there is no stoploss, we add a stoploss on exchange
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if (buy_order_fulfilled and not stoploss_order):
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if self.edge:
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stoploss = self.edge.stoploss(pair=trade.pair)
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else:
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stoploss = self.strategy.stoploss
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if (not trade.open_order_id and not stoploss_order):
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stoploss = self.edge.stoploss(pair=trade.pair) if self.edge else self.strategy.stoploss
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stop_price = trade.open_rate * (1 + stoploss)
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# limit price should be less than stop price.
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limit_price = stop_price * limit_price_pct
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try:
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stoploss_order_id = self.exchange.stoploss_limit(
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pair=trade.pair, amount=trade.amount, stop_price=stop_price, rate=limit_price
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)['id']
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trade.stoploss_order_id = str(stoploss_order_id)
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if self.create_stoploss_order(trade=trade, stop_price=stop_price, rate=stop_price):
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trade.stoploss_last_update = datetime.now()
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return False
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except DependencyException as exception:
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trade.stoploss_order_id = None
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logger.warning('Unable to place a stoploss order on exchange: %s', exception)
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# If stoploss order is canceled for some reason we add it
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if stoploss_order and stoploss_order['status'] == 'canceled':
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try:
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stoploss_order_id = self.exchange.stoploss_limit(
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pair=trade.pair, amount=trade.amount,
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stop_price=trade.stop_loss, rate=trade.stop_loss * limit_price_pct
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)['id']
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trade.stoploss_order_id = str(stoploss_order_id)
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if self.create_stoploss_order(trade=trade, stop_price=trade.stop_loss,
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rate=trade.stop_loss):
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return False
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except DependencyException as exception:
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else:
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trade.stoploss_order_id = None
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logger.warning('Stoploss order was cancelled, '
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'but unable to recreate one: %s', exception)
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logger.warning('Stoploss order was cancelled, but unable to recreate one.')
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# We check if stoploss order is fulfilled
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if stoploss_order and stoploss_order['status'] == 'closed':
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@ -680,7 +683,7 @@ class FreqtradeBot(object):
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# Lock pair for one candle to prevent immediate rebuys
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self.strategy.lock_pair(trade.pair,
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timeframe_to_next_date(self.config['ticker_interval']))
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self._notify_sell(trade)
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self._notify_sell(trade, "stoploss")
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return True
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# Finally we check if stoploss on exchange should be moved up because of trailing.
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@ -714,16 +717,12 @@ class FreqtradeBot(object):
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logger.exception(f"Could not cancel stoploss order {order['id']} "
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f"for pair {trade.pair}")
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try:
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# creating the new one
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stoploss_order_id = self.exchange.stoploss_limit(
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pair=trade.pair, amount=trade.amount,
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stop_price=trade.stop_loss, rate=trade.stop_loss * 0.99
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)['id']
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trade.stoploss_order_id = str(stoploss_order_id)
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except DependencyException:
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trade.stoploss_order_id = None
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logger.exception(f"Could not create trailing stoploss order "
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# Create new stoploss order
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if self.create_stoploss_order(trade=trade, stop_price=trade.stop_loss,
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rate=trade.stop_loss):
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return False
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else:
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logger.warning(f"Could not create trailing stoploss order "
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f"for pair {trade.pair}.")
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def _check_and_execute_sell(self, trade: Trade, sell_rate: float,
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@ -877,9 +876,14 @@ class FreqtradeBot(object):
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except InvalidOrderException:
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logger.exception(f"Could not cancel stoploss order {trade.stoploss_order_id}")
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ordertype = self.strategy.order_types[sell_type]
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if sell_reason == SellType.EMERGENCY_SELL:
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# Emergencysells (default to market!)
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ordertype = self.strategy.order_types.get("emergencysell", "market")
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# Execute sell and update trade record
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order = self.exchange.sell(pair=str(trade.pair),
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ordertype=self.strategy.order_types[sell_type],
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ordertype=ordertype,
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amount=trade.amount, rate=limit,
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time_in_force=self.strategy.order_time_in_force['sell']
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)
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@ -895,9 +899,9 @@ class FreqtradeBot(object):
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# Lock pair for one candle to prevent immediate rebuys
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self.strategy.lock_pair(trade.pair, timeframe_to_next_date(self.config['ticker_interval']))
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self._notify_sell(trade)
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self._notify_sell(trade, ordertype)
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def _notify_sell(self, trade: Trade):
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def _notify_sell(self, trade: Trade, order_type: str):
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"""
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Sends rpc notification when a sell occured.
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"""
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@ -914,7 +918,7 @@ class FreqtradeBot(object):
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'pair': trade.pair,
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'gain': gain,
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'limit': trade.close_rate_requested,
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'order_type': self.strategy.order_types['sell'],
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'order_type': order_type,
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'amount': trade.amount,
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'open_rate': trade.open_rate,
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'current_rate': current_rate,
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@ -39,6 +39,7 @@ class SellType(Enum):
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TRAILING_STOP_LOSS = "trailing_stop_loss"
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SELL_SIGNAL = "sell_signal"
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FORCE_SELL = "force_sell"
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EMERGENCY_SELL = "emergency_sell"
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NONE = ""
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@ -4,7 +4,8 @@ from unittest.mock import MagicMock
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import ccxt
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import pytest
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from freqtrade import DependencyException, OperationalException, TemporaryError
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from freqtrade import (DependencyException, InvalidOrderException,
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OperationalException, TemporaryError)
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from freqtrade.tests.conftest import get_patched_exchange
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@ -49,8 +50,9 @@ def test_stoploss_limit_order(default_conf, mocker):
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exchange = get_patched_exchange(mocker, default_conf, api_mock, 'binance')
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exchange.stoploss_limit(pair='ETH/BTC', amount=1, stop_price=220, rate=200)
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with pytest.raises(DependencyException):
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api_mock.create_order = MagicMock(side_effect=ccxt.InvalidOrder("Order not found"))
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with pytest.raises(InvalidOrderException):
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api_mock.create_order = MagicMock(
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side_effect=ccxt.InvalidOrder("binance Order would trigger immediately."))
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exchange = get_patched_exchange(mocker, default_conf, api_mock, 'binance')
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exchange.stoploss_limit(pair='ETH/BTC', amount=1, stop_price=220, rate=200)
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@ -1152,7 +1152,7 @@ def test_handle_stoploss_on_exchange(mocker, default_conf, fee, caplog,
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side_effect=DependencyException()
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)
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freqtrade.handle_stoploss_on_exchange(trade)
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assert log_has('Unable to place a stoploss order on exchange: ', caplog)
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assert log_has('Unable to place a stoploss order on exchange.', caplog)
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assert trade.stoploss_order_id is None
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# Fifth case: get_order returns InvalidOrder
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@ -1200,6 +1200,50 @@ def test_handle_sle_cancel_cant_recreate(mocker, default_conf, fee, caplog,
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assert trade.is_open is True
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def test_create_stoploss_order_invalid_order(mocker, default_conf, caplog, fee,
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markets, limit_buy_order, limit_sell_order):
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rpc_mock = patch_RPCManager(mocker)
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patch_exchange(mocker)
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sell_mock = MagicMock(return_value={'id': limit_sell_order['id']})
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mocker.patch.multiple(
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'freqtrade.exchange.Exchange',
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get_ticker=MagicMock(return_value={
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'bid': 0.00001172,
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'ask': 0.00001173,
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'last': 0.00001172
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}),
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buy=MagicMock(return_value={'id': limit_buy_order['id']}),
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sell=sell_mock,
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get_fee=fee,
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markets=PropertyMock(return_value=markets),
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get_order=MagicMock(return_value={'status': 'canceled'}),
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stoploss_limit=MagicMock(side_effect=InvalidOrderException()),
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)
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freqtrade = FreqtradeBot(default_conf)
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patch_get_signal(freqtrade)
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freqtrade.strategy.order_types['stoploss_on_exchange'] = True
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freqtrade.create_trades()
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trade = Trade.query.first()
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caplog.clear()
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freqtrade.create_stoploss_order(trade, 200, 199)
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assert trade.stoploss_order_id is None
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assert trade.sell_reason == SellType.EMERGENCY_SELL.value
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assert log_has("Unable to place a stoploss order on exchange. ", caplog)
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assert log_has("Selling the trade forcefully", caplog)
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# Should call a market sell
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assert sell_mock.call_count == 1
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assert sell_mock.call_args[1]['ordertype'] == 'market'
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assert sell_mock.call_args[1]['pair'] == trade.pair
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assert sell_mock.call_args[1]['amount'] == trade.amount
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# Rpc is sending first buy, then sell
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assert rpc_mock.call_count == 2
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assert rpc_mock.call_args_list[1][0][0]['sell_reason'] == SellType.EMERGENCY_SELL.value
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assert rpc_mock.call_args_list[1][0][0]['order_type'] == 'market'
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def test_handle_stoploss_on_exchange_trailing(mocker, default_conf, fee, caplog,
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markets, limit_buy_order, limit_sell_order) -> None:
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# When trailing stoploss is set
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Block a user