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Merge branch 'develop' into feat/short

This commit is contained in:
Matthias 2022-03-13 15:38:12 +01:00
parent 099547c1ec 3133be19e3
commit cfa9458bcc
10 changed files with 87 additions and 34 deletions
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41
freqtrade/exchange/exchange.py
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@ -9,7 +9,7 @@ import logging
from copy import deepcopy
from datetime import datetime, timedelta, timezone
from math import ceil
from typing import Any, Dict, List, Literal, Optional, Tuple, Union
from typing import Any, Coroutine, Dict, List, Literal, Optional, Tuple, Union
import arrow
import ccxt
@ -1639,6 +1639,24 @@ class Exchange:
data = sorted(data, key=lambda x: x[0])
return pair, timeframe, candle_type, data
def _build_coroutine(self, pair: str, timeframe: str, candle_type: CandleType,
since_ms: Optional[int]) -> Coroutine:
if not since_ms and self.required_candle_call_count > 1:
# Multiple calls for one pair - to get more history
one_call = timeframe_to_msecs(timeframe) * self.ohlcv_candle_limit(timeframe)
move_to = one_call * self.required_candle_call_count
now = timeframe_to_next_date(timeframe)
since_ms = int((now - timedelta(seconds=move_to // 1000)).timestamp() * 1000)
if since_ms:
return self._async_get_historic_ohlcv(
pair, timeframe, since_ms=since_ms, raise_=True, candle_type=candle_type)
else:
# One call ... "regular" refresh
return self._async_get_candle_history(
pair, timeframe, since_ms=since_ms, candle_type=candle_type)
def refresh_latest_ohlcv(self, pair_list: ListPairsWithTimeframes, *,
since_ms: Optional[int] = None, cache: bool = True,
drop_incomplete: bool = None
@ -1660,22 +1678,17 @@ class Exchange:
cached_pairs = []
# Gather coroutines to run
for pair, timeframe, candle_type in set(pair_list):
if timeframe not in self.timeframes:
logger.warning(
f"Cannot download ({pair}, {timeframe}) combination as this timeframe is "
f"not available on {self.name}. Available timeframes are "
f"{', '.join(self.timeframes)}.")
continue
if ((pair, timeframe, candle_type) not in self._klines or not cache
or self._now_is_time_to_refresh(pair, timeframe, candle_type)):
if not since_ms and self.required_candle_call_count > 1:
# Multiple calls for one pair - to get more history
one_call = timeframe_to_msecs(timeframe) * self.ohlcv_candle_limit(timeframe)
move_to = one_call * self.required_candle_call_count
now = timeframe_to_next_date(timeframe)
since_ms = int((now - timedelta(seconds=move_to // 1000)).timestamp() * 1000)
input_coroutines.append(self._build_coroutine(
pair, timeframe, candle_type=candle_type, since_ms=since_ms))
if since_ms:
input_coroutines.append(self._async_get_historic_ohlcv(
pair, timeframe, since_ms=since_ms, raise_=True, candle_type=candle_type))
else:
# One call ... "regular" refresh
input_coroutines.append(self._async_get_candle_history(
pair, timeframe, since_ms=since_ms, candle_type=candle_type))
else:
logger.debug(
f"Using cached candle (OHLCV) data for {pair}, {timeframe}, {candle_type} ..."

8
freqtrade/freqtradebot.py
View File

@ -1042,11 +1042,15 @@ class FreqtradeBot(LoggingMixin):
stop_price = trade.open_rate * (1 + stoploss)
if self.create_stoploss_order(trade=trade, stop_price=stop_price):
# The above will return False if the placement failed and the trade was force-sold.
# in which case the trade will be closed - which we must check below.
trade.stoploss_last_update = datetime.utcnow()
return False
# If stoploss order is canceled for some reason we add it
if stoploss_order and stoploss_order['status'] in ('canceled', 'cancelled'):
if (trade.is_open
and stoploss_order
and stoploss_order['status'] in ('canceled', 'cancelled')):
if self.create_stoploss_order(trade=trade, stop_price=trade.stop_loss):
return False
else:
@ -1056,7 +1060,7 @@ class FreqtradeBot(LoggingMixin):
# Finally we check if stoploss on exchange should be moved up because of trailing.
# Triggered Orders are now real orders - so don't replace stoploss anymore
if (
stoploss_order
trade.is_open and stoploss_order
and stoploss_order.get('status_stop') != 'triggered'
and (self.config.get('trailing_stop', False)
or self.config.get('use_custom_stoploss', False))

5
freqtrade/persistence/migrations.py
View File

@ -195,6 +195,7 @@ def drop_orders_table(engine, table_back_name: str):
def migrate_orders_table(engine, table_back_name: str, cols_order: List):
ft_fee_base = get_column_def(cols_order, 'ft_fee_base', 'null')
average = get_column_def(cols_order, 'average', 'null')
# let SQLAlchemy create the schema as required
leverage = get_column_def(cols_order, 'leverage', '1.0')
@ -205,8 +206,8 @@ def migrate_orders_table(engine, table_back_name: str, cols_order: List):
status, symbol, order_type, side, price, amount, filled, average, remaining, cost,
order_date, order_filled_date, order_update_date, ft_fee_base, leverage)
select id, ft_trade_id, ft_order_side, ft_pair, ft_is_open, order_id,
status, symbol, order_type, side, price, amount, filled, null average, remaining, cost,
order_date, order_filled_date, order_update_date, {ft_fee_base} ft_fee_base,
status, symbol, order_type, side, price, amount, filled, {average} average, remaining,
cost, order_date, order_filled_date, order_update_date, {ft_fee_base} ft_fee_base,
{leverage} leverage
from {table_back_name}
"""))

2
freqtrade/plugins/pairlist/AgeFilter.py
View File

@ -100,7 +100,7 @@ class AgeFilter(IPairList):
"""
Validate age for the ticker
:param pair: Pair that's currently validated
:param ticker: ticker dict as returned from ccxt.fetch_tickers()
:param daily_candles: Downloaded daily candles
:return: True if the pair can stay, false if it should be removed
"""
# Check symbol in cache

2
freqtrade/plugins/pairlist/PrecisionFilter.py
View File

@ -51,7 +51,7 @@ class PrecisionFilter(IPairList):
:param ticker: ticker dict as returned from ccxt.fetch_tickers()
:return: True if the pair can stay, false if it should be removed
"""
stop_price = ticker['ask'] * self._stoploss
stop_price = ticker['last'] * self._stoploss
# Adjust stop-prices to precision
sp = self._exchange.price_to_precision(pair, stop_price)

2
freqtrade/plugins/pairlist/VolatilityFilter.py
View File

@ -94,7 +94,7 @@ class VolatilityFilter(IPairList):
"""
Validate trading range
:param pair: Pair that's currently validated
:param ticker: ticker dict as returned from ccxt.fetch_tickers()
:param daily_candles: Downloaded daily candles
:return: True if the pair can stay, false if it should be removed
"""
# Check symbol in cache

2
freqtrade/plugins/pairlist/rangestabilityfilter.py
View File

@ -92,7 +92,7 @@ class RangeStabilityFilter(IPairList):
"""
Validate trading range
:param pair: Pair that's currently validated
:param ticker: ticker dict as returned from ccxt.fetch_tickers()
:param daily_candles: Downloaded daily candles
:return: True if the pair can stay, false if it should be removed
"""
# Check symbol in cache

2
tests/conftest.py
View File

@ -129,6 +129,8 @@ def patch_exchange(
mocker.patch('freqtrade.exchange.Exchange._init_ccxt', MagicMock(return_value=api_mock))
else:
mocker.patch('freqtrade.exchange.Exchange._init_ccxt', MagicMock())
mocker.patch('freqtrade.exchange.Exchange.timeframes', PropertyMock(
return_value=['5m', '15m', '1h', '1d']))
def get_patched_exchange(mocker, config, api_mock=None, id='binance',

11
tests/exchange/test_exchange.py
View File

@ -1882,6 +1882,13 @@ def test_refresh_latest_ohlcv(mocker, default_conf, caplog, candle_type) -> None
res = exchange.refresh_latest_ohlcv(pairlist, cache=False)
assert len(res) == 3
assert exchange._api_async.fetch_ohlcv.call_count == 3
exchange._api_async.fetch_ohlcv.reset_mock()
caplog.clear()
# Call with invalid timeframe
res = exchange.refresh_latest_ohlcv([('IOTA/ETH', '3m', candle_type)], cache=False)
assert not res
assert len(res) == 0
assert log_has_re(r'Cannot download \(IOTA\/ETH, 3m\).*', caplog)
@pytest.mark.asyncio
@ -3833,6 +3840,8 @@ def test__fetch_and_calculate_funding_fees(
type(api_mock).has = PropertyMock(return_value={'fetchFundingRateHistory': True})
exchange = get_patched_exchange(mocker, default_conf, api_mock, id=exchange)
mocker.patch('freqtrade.exchange.Exchange.timeframes', PropertyMock(
return_value=['1h', '4h', '8h']))
funding_fees = exchange._fetch_and_calculate_funding_fees(
pair='ADA/USDT', amount=amount, is_short=True, open_date=d1, close_date=d2)
assert pytest.approx(funding_fees) == expected_fees
@ -3861,7 +3870,7 @@ def test__fetch_and_calculate_funding_fees_datetime_called(
return_value=funding_rate_history_octohourly)
type(api_mock).has = PropertyMock(return_value={'fetchOHLCV': True})
type(api_mock).has = PropertyMock(return_value={'fetchFundingRateHistory': True})
mocker.patch('freqtrade.exchange.Exchange.timeframes', PropertyMock(return_value=['4h', '8h']))
exchange = get_patched_exchange(mocker, default_conf, api_mock, id=exchange)
d1 = datetime.strptime("2021-09-01 00:00:00 +0000", '%Y-%m-%d %H:%M:%S %z')

46
tests/test_freqtradebot.py
View File

@ -1043,12 +1043,9 @@ def test_handle_stoploss_on_exchange(mocker, default_conf_usdt, fee, caplog, is_
}),
create_order=MagicMock(side_effect=[
{'id': enter_order['id']},
{'id': exit_order['id']},
exit_order,
]),
get_fee=fee,
)
mocker.patch.multiple(
'freqtrade.exchange.Binance',
stoploss=stoploss
)
freqtrade = FreqtradeBot(default_conf_usdt)
@ -1075,7 +1072,7 @@ def test_handle_stoploss_on_exchange(mocker, default_conf_usdt, fee, caplog, is_
trade.stoploss_order_id = 100
hanging_stoploss_order = MagicMock(return_value={'status': 'open'})
mocker.patch('freqtrade.exchange.Binance.fetch_stoploss_order', hanging_stoploss_order)
mocker.patch('freqtrade.exchange.Exchange.fetch_stoploss_order', hanging_stoploss_order)
assert freqtrade.handle_stoploss_on_exchange(trade) is False
assert trade.stoploss_order_id == 100
@ -1088,7 +1085,7 @@ def test_handle_stoploss_on_exchange(mocker, default_conf_usdt, fee, caplog, is_
trade.stoploss_order_id = 100
canceled_stoploss_order = MagicMock(return_value={'status': 'canceled'})
mocker.patch('freqtrade.exchange.Binance.fetch_stoploss_order', canceled_stoploss_order)
mocker.patch('freqtrade.exchange.Exchange.fetch_stoploss_order', canceled_stoploss_order)
stoploss.reset_mock()
assert freqtrade.handle_stoploss_on_exchange(trade) is False
@ -1121,7 +1118,7 @@ def test_handle_stoploss_on_exchange(mocker, default_conf_usdt, fee, caplog, is_
'average': 2,
'amount': enter_order['amount'],
})
mocker.patch('freqtrade.exchange.Binance.fetch_stoploss_order', stoploss_order_hit)
mocker.patch('freqtrade.exchange.Exchange.fetch_stoploss_order', stoploss_order_hit)
assert freqtrade.handle_stoploss_on_exchange(trade) is True
assert log_has_re(r'STOP_LOSS_LIMIT is hit for Trade\(id=1, .*\)\.', caplog)
assert trade.stoploss_order_id is None
@ -1129,7 +1126,7 @@ def test_handle_stoploss_on_exchange(mocker, default_conf_usdt, fee, caplog, is_
caplog.clear()
mocker.patch(
'freqtrade.exchange.Binance.stoploss',
'freqtrade.exchange.Exchange.stoploss',
side_effect=ExchangeError()
)
trade.is_open = True
@ -1141,9 +1138,9 @@ def test_handle_stoploss_on_exchange(mocker, default_conf_usdt, fee, caplog, is_
# It should try to add stoploss order
trade.stoploss_order_id = 100
stoploss.reset_mock()
mocker.patch('freqtrade.exchange.Binance.fetch_stoploss_order',
mocker.patch('freqtrade.exchange.Exchange.fetch_stoploss_order',
side_effect=InvalidOrderException())
mocker.patch('freqtrade.exchange.Binance.stoploss', stoploss)
mocker.patch('freqtrade.exchange.Exchange.stoploss', stoploss)
freqtrade.handle_stoploss_on_exchange(trade)
assert stoploss.call_count == 1
@ -1153,10 +1150,37 @@ def test_handle_stoploss_on_exchange(mocker, default_conf_usdt, fee, caplog, is_
trade.is_open = False
stoploss.reset_mock()
mocker.patch('freqtrade.exchange.Exchange.fetch_order')
mocker.patch('freqtrade.exchange.Binance.stoploss', stoploss)
mocker.patch('freqtrade.exchange.Exchange.stoploss', stoploss)
assert freqtrade.handle_stoploss_on_exchange(trade) is False
assert stoploss.call_count == 0
# Seventh case: emergency exit triggered
# Trailing stop should not act anymore
stoploss_order_cancelled = MagicMock(side_effect=[{
'id': "100",
'status': 'canceled',
'type': 'stop_loss_limit',
'price': 3,
'average': 2,
'amount': enter_order['amount'],
'info': {'stopPrice': 22},
}])
trade.stoploss_order_id = 100
trade.is_open = True
trade.stoploss_last_update = arrow.utcnow().shift(hours=-1).datetime
trade.stop_loss = 24
freqtrade.config['trailing_stop'] = True
stoploss = MagicMock(side_effect=InvalidOrderException())
mocker.patch('freqtrade.exchange.Exchange.cancel_stoploss_order_with_result',
side_effect=InvalidOrderException())
mocker.patch('freqtrade.exchange.Exchange.fetch_stoploss_order', stoploss_order_cancelled)
mocker.patch('freqtrade.exchange.Exchange.stoploss', stoploss)
assert freqtrade.handle_stoploss_on_exchange(trade) is False
assert trade.stoploss_order_id is None
assert trade.is_open is False
assert trade.sell_reason == str(SellType.EMERGENCY_SELL)
@pytest.mark.parametrize("is_short", [False, True])
def test_handle_sle_cancel_cant_recreate(mocker, default_conf_usdt, fee, caplog, is_short,