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merge upstream

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மனோஜ்குமார் பழனிச்சாமி
2022-05-08 13:14:07 +05:30
parent 5739c6aa79 45b328af2e
commit ce433b2a37
29 changed files with 772 additions and 129 deletions
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129
freqtrade/freqtradebot.py
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@@ -14,7 +14,7 @@ from schedule import Scheduler
from freqtrade import __version__, constants
from freqtrade.configuration import validate_config_consistency
from freqtrade.constants import LongShort
from freqtrade.constants import BuySell, LongShort
from freqtrade.data.converter import order_book_to_dataframe
from freqtrade.data.dataprovider import DataProvider
from freqtrade.edge import Edge
@@ -23,6 +23,7 @@ from freqtrade.enums import (ExitCheckTuple, ExitType, RPCMessageType, RunMode,
from freqtrade.exceptions import (DependencyException, ExchangeError, InsufficientFundsError,
InvalidOrderException, PricingError)
from freqtrade.exchange import timeframe_to_minutes, timeframe_to_seconds
from freqtrade.exchange.exchange import timeframe_to_next_date
from freqtrade.misc import safe_value_fallback, safe_value_fallback2
from freqtrade.mixins import LoggingMixin
from freqtrade.persistence import Order, PairLocks, Trade, cleanup_db, init_db
@@ -191,8 +192,8 @@ class FreqtradeBot(LoggingMixin):
self.strategy.analyze(self.active_pair_whitelist)
with self._exit_lock:
# Check and handle any timed out open orders
self.check_handle_timedout()
# Check for exchange cancelations, timeouts and user requested replace
self.manage_open_orders()
# Protect from collisions with force_exit.
# Without this, freqtrade my try to recreate stoploss_on_exchange orders
@@ -616,7 +617,8 @@ class FreqtradeBot(LoggingMixin):
"""
time_in_force = self.strategy.order_time_in_force['entry']
[side, name] = ['sell', 'Short'] if is_short else ['buy', 'Long']
side: BuySell = 'sell' if is_short else 'buy'
name = 'Short' if is_short else 'Long'
trade_side: LongShort = 'short' if is_short else 'long'
pos_adjust = trade is not None
@@ -1140,13 +1142,13 @@ class FreqtradeBot(LoggingMixin):
return True
return False
def check_handle_timedout(self) -> None:
def manage_open_orders(self) -> None:
"""
Check if any orders are timed out and cancel if necessary
:param timeoutvalue: Number of minutes until order is considered timed out
Management of open orders on exchange. Unfilled orders might be cancelled if timeout
was met or replaced if there's a new candle and user has requested it.
Timeout setting takes priority over limit order adjustment request.
:return: None
"""
for trade in Trade.get_open_order_trades():
try:
if not trade.open_order_id:
@@ -1157,33 +1159,87 @@ class FreqtradeBot(LoggingMixin):
continue
fully_cancelled = self.update_trade_state(trade, trade.open_order_id, order)
is_entering = order['side'] == trade.entry_side
not_closed = order['status'] == 'open' or fully_cancelled
max_timeouts = self.config.get('unfilledtimeout', {}).get('exit_timeout_count', 0)
order_obj = trade.select_order_by_order_id(trade.open_order_id)
if not_closed and (fully_cancelled or (order_obj and self.strategy.ft_check_timed_out(
trade, order_obj, datetime.now(timezone.utc)))
):
if is_entering:
self.handle_cancel_enter(trade, order, constants.CANCEL_REASON['TIMEOUT'])
if not_closed:
if fully_cancelled or (order_obj and self.strategy.ft_check_timed_out(
trade, order_obj, datetime.now(timezone.utc))):
self.handle_timedout_order(order, trade)
else:
canceled = self.handle_cancel_exit(
trade, order, constants.CANCEL_REASON['TIMEOUT'])
canceled_count = trade.get_exit_order_count()
max_timeouts = self.config.get(
'unfilledtimeout', {}).get('exit_timeout_count', 0)
if canceled and max_timeouts > 0 and canceled_count >= max_timeouts:
logger.warning(f'Emergency exiting trade {trade}, as the exit order '
f'timed out {max_timeouts} times.')
try:
self.execute_trade_exit(
trade, order.get('price'),
exit_check=ExitCheckTuple(exit_type=ExitType.EMERGENCY_EXIT))
except DependencyException as exception:
logger.warning(
f'Unable to emergency sell trade {trade.pair}: {exception}')
self.replace_order(order, order_obj, trade)
def handle_timedout_order(self, order: Dict, trade: Trade) -> None:
"""
Check if current analyzed order timed out and cancel if necessary.
:param order: Order dict grabbed with exchange.fetch_order()
:param trade: Trade object.
:return: None
"""
if order['side'] == trade.entry_side:
self.handle_cancel_enter(trade, order, constants.CANCEL_REASON['TIMEOUT'])
else:
canceled = self.handle_cancel_exit(
trade, order, constants.CANCEL_REASON['TIMEOUT'])
canceled_count = trade.get_exit_order_count()
max_timeouts = self.config.get('unfilledtimeout', {}).get('exit_timeout_count', 0)
if canceled and max_timeouts > 0 and canceled_count >= max_timeouts:
logger.warning(f'Emergency exiting trade {trade}, as the exit order '
f'timed out {max_timeouts} times.')
try:
self.execute_trade_exit(
trade, order['price'],
exit_check=ExitCheckTuple(exit_type=ExitType.EMERGENCY_EXIT))
except DependencyException as exception:
logger.warning(
f'Unable to emergency sell trade {trade.pair}: {exception}')
def replace_order(self, order: Dict, order_obj: Optional[Order], trade: Trade) -> None:
"""
Check if current analyzed entry order should be replaced or simply cancelled.
To simply cancel the existing order(no replacement) adjust_entry_price() should return None
To maintain existing order adjust_entry_price() should return order_obj.price
To replace existing order adjust_entry_price() should return desired price for limit order
:param order: Order dict grabbed with exchange.fetch_order()
:param order_obj: Order object.
:param trade: Trade object.
:return: None
"""
analyzed_df, _ = self.dataprovider.get_analyzed_dataframe(trade.pair,
self.strategy.timeframe)
latest_candle_open_date = analyzed_df.iloc[-1]['date'] if len(analyzed_df) > 0 else None
latest_candle_close_date = timeframe_to_next_date(self.strategy.timeframe,
latest_candle_open_date)
# Check if new candle
if order_obj and latest_candle_close_date > order_obj.order_date_utc:
# New candle
proposed_rate = self.exchange.get_rate(
trade.pair, side='entry', is_short=trade.is_short, refresh=True)
adjusted_entry_price = strategy_safe_wrapper(self.strategy.adjust_entry_price,
default_retval=order_obj.price)(
trade=trade, order=order_obj, pair=trade.pair,
current_time=datetime.now(timezone.utc), proposed_rate=proposed_rate,
current_order_rate=order_obj.price, entry_tag=trade.enter_tag,
side=trade.entry_side)
full_cancel = False
cancel_reason = constants.CANCEL_REASON['REPLACE']
if not adjusted_entry_price:
full_cancel = True if trade.nr_of_successful_entries == 0 else False
cancel_reason = constants.CANCEL_REASON['USER_CANCEL']
if order_obj.price != adjusted_entry_price:
# cancel existing order if new price is supplied or None
self.handle_cancel_enter(trade, order, cancel_reason,
allow_full_cancel=full_cancel)
if adjusted_entry_price:
# place new order only if new price is supplied
self.execute_entry(
pair=trade.pair,
stake_amount=(order_obj.remaining * order_obj.price),
price=adjusted_entry_price,
trade=trade,
is_short=trade.is_short
)
def cancel_all_open_orders(self) -> None:
"""
@@ -1205,7 +1261,10 @@ class FreqtradeBot(LoggingMixin):
self.handle_cancel_exit(trade, order, constants.CANCEL_REASON['ALL_CANCELLED'])
Trade.commit()
def handle_cancel_enter(self, trade: Trade, order: Dict, reason: str) -> bool:
def handle_cancel_enter(
self, trade: Trade, order: Dict, reason: str,
allow_full_cancel: Optional[bool] = True
) -> bool:
"""
Buy cancel - cancel order
:return: True if order was fully cancelled
@@ -1243,9 +1302,10 @@ class FreqtradeBot(LoggingMixin):
# Using filled to determine the filled amount
filled_amount = safe_value_fallback2(corder, order, 'filled', 'filled')
if isclose(filled_amount, 0.0, abs_tol=constants.MATH_CLOSE_PREC):
logger.info(f'{side} order fully cancelled. Removing {trade} from database.')
# if trade is not partially completed and it's the only order, just delete the trade
if len(trade.orders) <= 1:
open_order_count = len([order for order in trade.orders if order.status == 'open'])
if open_order_count <= 1 and allow_full_cancel:
logger.info(f'{side} order fully cancelled. Removing {trade} from database.')
trade.delete()
was_trade_fully_canceled = True
reason += f", {constants.CANCEL_REASON['FULLY_CANCELLED']}"
@@ -1622,7 +1682,6 @@ class FreqtradeBot(LoggingMixin):
# TODO: Margin will need to use interest_rate as well.
# interest_rate = self.exchange.get_interest_rate()
trade.set_isolated_liq(self.exchange.get_liquidation_price(
leverage=trade.leverage,
pair=trade.pair,
amount=trade.amount,