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Merge branch 'freqtrade:feat/short' into feat/short

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Adriance 2022-03-28 20:20:11 +08:00 committed by GitHub
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13 changed files with 172 additions and 16 deletions
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4
freqtrade/data/history/hdf5datahandler.py
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@ -206,7 +206,9 @@ class HDF5DataHandler(IDataHandler):
@classmethod
def _pair_ohlcv_key(cls, pair: str, timeframe: str) -> str:
return f"{pair}/ohlcv/tf_{timeframe}"
# Escape futures pairs to avoid warnings
pair_esc = pair.replace(':', '_')
return f"{pair_esc}/ohlcv/tf_{timeframe}"
@classmethod
def _pair_trades_key(cls, pair: str) -> str:

26
freqtrade/exchange/exchange.py
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@ -75,6 +75,7 @@ class Exchange:
"mark_ohlcv_price": "mark",
"mark_ohlcv_timeframe": "8h",
"ccxt_futures_name": "swap",
"needs_trading_fees": False, # use fetch_trading_fees to cache fees
}
_ft_has: Dict = {}
_ft_has_futures: Dict = {}
@ -92,6 +93,7 @@ class Exchange:
self._api: ccxt.Exchange = None
self._api_async: ccxt_async.Exchange = None
self._markets: Dict = {}
self._trading_fees: Dict[str, Any] = {}
self._leverage_tiers: Dict[str, List[Dict]] = {}
self.loop = asyncio.new_event_loop()
asyncio.set_event_loop(self.loop)
@ -451,6 +453,9 @@ class Exchange:
self._markets = self._api.load_markets()
self._load_async_markets()
self._last_markets_refresh = arrow.utcnow().int_timestamp
if self._ft_has['needs_trading_fees']:
self._trading_fees = self.fetch_trading_fees()
except ccxt.BaseError:
logger.exception('Unable to initialize markets.')
@ -1299,6 +1304,27 @@ class Exchange:
except ccxt.BaseError as e:
raise OperationalException(e) from e
@retrier
def fetch_trading_fees(self) -> Dict[str, Any]:
"""
Fetch user account trading fees
Can be cached, should not update often.
"""
if (self._config['dry_run'] or self.trading_mode != TradingMode.FUTURES
or not self.exchange_has('fetchTradingFees')):
return {}
try:
trading_fees: Dict[str, Any] = self._api.fetch_trading_fees()
self._log_exchange_response('fetch_trading_fees', trading_fees)
return trading_fees
except ccxt.DDoSProtection as e:
raise DDosProtection(e) from e
except (ccxt.NetworkError, ccxt.ExchangeError) as e:
raise TemporaryError(
f'Could not fetch trading fees due to {e.__class__.__name__}. Message: {e}') from e
except ccxt.BaseError as e:
raise OperationalException(e) from e
@retrier
def fetch_bids_asks(self, symbols: List[str] = None, cached: bool = False) -> Dict:
"""

31
freqtrade/exchange/gateio.py
View File

@ -1,6 +1,7 @@
""" Gate.io exchange subclass """
import logging
from typing import Dict, List, Tuple
from datetime import datetime
from typing import Dict, List, Optional, Tuple
from freqtrade.enums import MarginMode, TradingMode
from freqtrade.exceptions import OperationalException
@ -27,6 +28,10 @@ class Gateio(Exchange):
"stoploss_on_exchange": True,
}
_ft_has_futures: Dict = {
"needs_trading_fees": True
}
_supported_trading_mode_margin_pairs: List[Tuple[TradingMode, MarginMode]] = [
# TradingMode.SPOT always supported and not required in this list
# (TradingMode.MARGIN, MarginMode.CROSS),
@ -42,6 +47,30 @@ class Gateio(Exchange):
raise OperationalException(
f'Exchange {self.name} does not support market orders.')
def get_trades_for_order(self, order_id: str, pair: str, since: datetime,
params: Optional[Dict] = None) -> List:
trades = super().get_trades_for_order(order_id, pair, since, params)
if self.trading_mode == TradingMode.FUTURES:
# Futures usually don't contain fees in the response.
# As such, futures orders on gateio will not contain a fee, which causes
# a repeated "update fee" cycle and wrong calculations.
# Therefore we patch the response with fees if it's not available.
# An alternative also contianing fees would be
# privateFuturesGetSettleAccountBook({"settle": "usdt"})
pair_fees = self._trading_fees.get(pair, {})
if pair_fees:
for idx, trade in enumerate(trades):
if trade.get('fee', {}).get('cost') is None:
takerOrMaker = trade.get('takerOrMaker', 'taker')
if pair_fees.get(takerOrMaker) is not None:
trades[idx]['fee'] = {
'currency': self.get_pair_quote_currency(pair),
'cost': trade['cost'] * pair_fees[takerOrMaker],
'rate': pair_fees[takerOrMaker],
}
return trades
def fetch_stoploss_order(self, order_id: str, pair: str, params={}) -> Dict:
return self.fetch_order(
order_id=order_id,

10
freqtrade/freqtradebot.py
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@ -511,7 +511,7 @@ class FreqtradeBot(LoggingMixin):
return
else:
logger.debug("Max adjustment entries is set to unlimited.")
current_rate = self.exchange.get_rate(trade.pair, refresh=True, side="buy")
current_rate = self.exchange.get_rate(trade.pair, refresh=True, side=trade.enter_side)
current_profit = trade.calc_profit_ratio(current_rate)
min_stake_amount = self.exchange.get_min_pair_stake_amount(trade.pair,
@ -536,12 +536,7 @@ class FreqtradeBot(LoggingMixin):
logger.error(f"Unable to decrease trade position / sell partially"
f" for pair {trade.pair}, feature not implemented.")
def _check_depth_of_market(
self,
pair: str,
conf: Dict,
side: SignalDirection
) -> bool:
def _check_depth_of_market(self, pair: str, conf: Dict, side: SignalDirection) -> bool:
"""
Checks depth of market before executing a buy
"""
@ -1564,6 +1559,7 @@ class FreqtradeBot(LoggingMixin):
if not order_obj:
raise DependencyException(
f"Order_obj not found for {order_id}. This should not have happened.")
self.handle_order_fee(trade, order_obj, order)
trade.update_trade(order_obj)

2
requirements.txt
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@ -2,7 +2,7 @@ numpy==1.22.3
pandas==1.4.1
pandas-ta==0.3.14b
ccxt==1.76.65
ccxt==1.77.29
# Pin cryptography for now due to rust build errors with piwheels
cryptography==36.0.2
aiohttp==3.8.1

2
setup.py
View File

@ -42,7 +42,7 @@ setup(
],
install_requires=[
# from requirements.txt
'ccxt>=1.76.5',
'ccxt>=1.77.29',
'SQLAlchemy',
'python-telegram-bot>=13.4',
'arrow>=0.17.0',

4
tests/data/test_history.py
View File

@ -683,7 +683,7 @@ def test_datahandler_ohlcv_get_pairs(testdatadir):
assert set(pairs) == {'XRP/USDT'}
pairs = HDF5DataHandler.ohlcv_get_pairs(testdatadir, '1h', candle_type=CandleType.MARK)
assert set(pairs) == {'UNITTEST/USDT'}
assert set(pairs) == {'UNITTEST/USDT:USDT'}
@pytest.mark.parametrize('filename,pair,timeframe,candletype', [
@ -914,7 +914,7 @@ def test_hdf5datahandler_trades_purge(mocker, testdatadir):
# Data goes from 2018-01-10 - 2018-01-30
('UNITTEST/BTC', '5m', 'spot', '', '2018-01-15', '2018-01-19'),
# Mark data goes from to 2021-11-15 2021-11-19
('UNITTEST/USDT', '1h', 'mark', '-mark', '2021-11-16', '2021-11-18'),
('UNITTEST/USDT:USDT', '1h', 'mark', '-mark', '2021-11-16', '2021-11-18'),
])
def test_hdf5datahandler_ohlcv_load_and_resave(
testdatadir,

2
tests/exchange/test_ccxt_compat.py
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@ -134,7 +134,7 @@ def exchange_futures(request, exchange_conf, class_mocker):
class_mocker.patch(
'freqtrade.exchange.binance.Binance.fill_leverage_tiers')
class_mocker.patch('freqtrade.exchange.exchange.Exchange.fetch_trading_fees')
exchange = ExchangeResolver.load_exchange(request.param, exchange_conf, validate=True)
yield exchange, request.param

56
tests/exchange/test_exchange.py
View File

@ -1624,6 +1624,62 @@ def test_fetch_positions(default_conf, mocker, exchange_name):
"fetch_positions", "fetch_positions")
def test_fetch_trading_fees(default_conf, mocker):
api_mock = MagicMock()
tick = {
'1INCH/USDT:USDT': {
'info': {'user_id': '',
'taker_fee': '0.0018',
'maker_fee': '0.0018',
'gt_discount': False,
'gt_taker_fee': '0',
'gt_maker_fee': '0',
'loan_fee': '0.18',
'point_type': '1',
'futures_taker_fee': '0.0005',
'futures_maker_fee': '0'},
'symbol': '1INCH/USDT:USDT',
'maker': 0.0,
'taker': 0.0005},
'ETH/USDT:USDT': {
'info': {'user_id': '',
'taker_fee': '0.0018',
'maker_fee': '0.0018',
'gt_discount': False,
'gt_taker_fee': '0',
'gt_maker_fee': '0',
'loan_fee': '0.18',
'point_type': '1',
'futures_taker_fee': '0.0005',
'futures_maker_fee': '0'},
'symbol': 'ETH/USDT:USDT',
'maker': 0.0,
'taker': 0.0005}
}
exchange_name = 'gateio'
default_conf['dry_run'] = False
default_conf['trading_mode'] = TradingMode.FUTURES
default_conf['margin_mode'] = MarginMode.ISOLATED
api_mock.fetch_trading_fees = MagicMock(return_value=tick)
mocker.patch('freqtrade.exchange.Exchange.exchange_has', return_value=True)
exchange = get_patched_exchange(mocker, default_conf, api_mock, id=exchange_name)
assert '1INCH/USDT:USDT' in exchange._trading_fees
assert 'ETH/USDT:USDT' in exchange._trading_fees
assert api_mock.fetch_trading_fees.call_count == 1
api_mock.fetch_trading_fees.reset_mock()
ccxt_exceptionhandlers(mocker, default_conf, api_mock, exchange_name,
"fetch_trading_fees", "fetch_trading_fees")
api_mock.fetch_trading_fees = MagicMock(return_value={})
exchange = get_patched_exchange(mocker, default_conf, api_mock, id=exchange_name)
exchange.fetch_trading_fees()
mocker.patch('freqtrade.exchange.Exchange.exchange_has', return_value=True)
assert exchange.fetch_trading_fees() == {}
def test_fetch_bids_asks(default_conf, mocker):
api_mock = MagicMock()
tick = {'ETH/BTC': {

46
tests/exchange/test_gateio.py
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@ -1,7 +1,9 @@
from datetime import datetime, timezone
from unittest.mock import MagicMock
import pytest
from freqtrade.enums import MarginMode, TradingMode
from freqtrade.exceptions import OperationalException
from freqtrade.exchange import Gateio
from freqtrade.resolvers.exchange_resolver import ExchangeResolver
@ -70,3 +72,47 @@ def test_stoploss_adjust_gateio(mocker, default_conf, sl1, sl2, sl3, side):
}
assert exchange.stoploss_adjust(sl1, order, side)
assert not exchange.stoploss_adjust(sl2, order, side)
@pytest.mark.parametrize('takerormaker,rate,cost', [
('taker', 0.0005, 0.0001554325),
('maker', 0.0, 0.0),
])
def test_fetch_my_trades_gateio(mocker, default_conf, takerormaker, rate, cost):
mocker.patch('freqtrade.exchange.Exchange.exchange_has', return_value=True)
tick = {'ETH/USDT:USDT': {
'info': {'user_id': '',
'taker_fee': '0.0018',
'maker_fee': '0.0018',
'gt_discount': False,
'gt_taker_fee': '0',
'gt_maker_fee': '0',
'loan_fee': '0.18',
'point_type': '1',
'futures_taker_fee': '0.0005',
'futures_maker_fee': '0'},
'symbol': 'ETH/USDT:USDT',
'maker': 0.0,
'taker': 0.0005}
}
default_conf['dry_run'] = False
default_conf['trading_mode'] = TradingMode.FUTURES
default_conf['margin_mode'] = MarginMode.ISOLATED
api_mock = MagicMock()
api_mock.fetch_my_trades = MagicMock(return_value=[{
'fee': {'cost': None},
'price': 3108.65,
'cost': 0.310865,
'order': '22255',
'takerOrMaker': takerormaker,
'amount': 1, # 1 contract
}])
exchange = get_patched_exchange(mocker, default_conf, api_mock=api_mock, id='gateio')
exchange._trading_fees = tick
trades = exchange.get_trades_for_order('22255', 'ETH/USDT:USDT', datetime.now(timezone.utc))
trade = trades[0]
assert trade['fee']
assert trade['fee']['rate'] == rate
assert trade['fee']['currency'] == 'USDT'
assert trade['fee']['cost'] == cost

3
tests/test_integration.py
View File

@ -311,8 +311,7 @@ def test_dca_short(default_conf_usdt, ticker_usdt, fee, mocker) -> None:
# Reduce bid amount
ticker_usdt_modif = ticker_usdt.return_value
ticker_usdt_modif['ask'] = ticker_usdt_modif['ask'] * 1.015
ticker_usdt_modif['bid'] = ticker_usdt_modif['bid'] * 1.0125
ticker_usdt_modif['ask'] = ticker_usdt_modif['ask'] * 1.004
mocker.patch('freqtrade.exchange.Exchange.fetch_ticker', return_value=ticker_usdt_modif)
# additional buy order

2
tests/test_misc.py
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@ -73,6 +73,8 @@ def test_file_load_json(mocker, testdatadir) -> None:
("ETH/BTC", 'ETH_BTC'),
("ETH/USDT", 'ETH_USDT'),
("ETH/USDT:USDT", 'ETH_USDT_USDT'), # swap with USDT as settlement currency
("ETH/USD:USD", 'ETH_USD_USD'), # swap with USD as settlement currency
("AAVE/USD:USD", 'AAVE_USD_USD'), # swap with USDT as settlement currency
("ETH/USDT:USDT-210625", 'ETH_USDT_USDT-210625'), # expiring futures
("Fabric Token/ETH", 'Fabric_Token_ETH'),
("ETHH20", 'ETHH20'),

BIN
tests/testdata/futures/UNITTEST_USDT-1h-mark.h5 → tests/testdata/futures/UNITTEST_USDT_USDT-1h-mark.h5 vendored
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