Remove support for order_book_max

config_binance.json.example

@@ -22,8 +22,7 @@
     },
     "ask_strategy": {
         "use_order_book": false,
-        "order_book_min": 1,
+        "order_book_top": 1,
-        "order_book_max": 1,
         "use_sell_signal": true,
         "sell_profit_only": false,
         "ignore_roi_if_buy_signal": false

config_bittrex.json.example

@@ -22,8 +22,7 @@
     },
     "ask_strategy":{
         "use_order_book": false,
-        "order_book_min": 1,
+        "order_book_top": 1,
-        "order_book_max": 1,
         "use_sell_signal": true,
         "sell_profit_only": false,
         "ignore_roi_if_buy_signal": false

config_ftx.json.example

@@ -22,8 +22,7 @@
     },
     "ask_strategy": {
         "use_order_book": false,
-        "order_book_min": 1,
+        "order_book_top": 1,
-        "order_book_max": 1,
         "use_sell_signal": true,
         "sell_profit_only": false,
         "ignore_roi_if_buy_signal": false

config_full.json.example

@@ -39,8 +39,7 @@
     "ask_strategy":{
         "price_side": "ask",
         "use_order_book": false,
-        "order_book_min": 1,
+        "order_book_top": 1,
-        "order_book_max": 1,
         "use_sell_signal": true,
         "sell_profit_only": false,
         "sell_profit_offset": 0.0,

config_kraken.json.example

@@ -22,8 +22,7 @@
     },
     "ask_strategy":{
         "use_order_book": false,
-        "order_book_min": 1,
+        "order_book_top": 1,
-        "order_book_max": 1,
         "use_sell_signal": true,
         "sell_profit_only": false,
         "ignore_roi_if_buy_signal": false

freqtrade/configuration/config_validation.py

@@ -79,6 +79,7 @@ def validate_config_consistency(conf: Dict[str, Any]) -> None:
     _validate_whitelist(conf)
     _validate_protections(conf)
     _validate_unlimited_amount(conf)
+    _validate_ask_orderbook(conf)
 
     # validate configuration before returning
     logger.info('Validating configuration ...')
@@ -186,3 +187,23 @@ def _validate_protections(conf: Dict[str, Any]) -> None:
                 "Protections must specify either `lookback_period` or `lookback_period_candles`.\n"
                 f"Please fix the protection {prot.get('method')}"
             )
+
+
+def _validate_ask_orderbook(conf: Dict[str, Any]) -> None:
+    ask_strategy = conf.get('ask_strategy', {})
+    ob_min = ask_strategy.get('order_book_min')
+    ob_max = ask_strategy.get('order_book_max')
+    if ob_min is not None and ob_max is not None:
+        if ob_min != ob_max:
+            raise OperationalException(
+                "Using order_book_max != order_book_min in ask_strategy is no longer supported."
+                "Please pick one value and use `order_book_top` in the future."
+            )
+        else:
+            # Move value to order_book_top
+            ask_strategy['order_book_top'] = ob_min
+            logger.warning(
+                "DEPRECATED: "
+                "Please use `order_book_top` instead of `order_book_min` and `order_book_max` "
+                "for your `ask_strategy` configuration."
+            )

freqtrade/constants.py

@@ -154,7 +154,7 @@ CONF_SCHEMA = {
                 },
                 'price_side': {'type': 'string', 'enum': ORDERBOOK_SIDES, 'default': 'bid'},
                 'use_order_book': {'type': 'boolean'},
-                'order_book_top': {'type': 'integer', 'maximum': 20, 'minimum': 1},
+                'order_book_top': {'type': 'integer', 'minimum': 1, 'maximum': 50, },
                 'check_depth_of_market': {
                     'type': 'object',
                     'properties': {
@@ -176,8 +176,7 @@ CONF_SCHEMA = {
                     'exclusiveMaximum': False,
                 },
                 'use_order_book': {'type': 'boolean'},
-                'order_book_min': {'type': 'integer', 'minimum': 1},
+                'order_book_top': {'type': 'integer', 'minimum': 1, 'maximum': 50, },
-                'order_book_max': {'type': 'integer', 'minimum': 1, 'maximum': 50},
                 'use_sell_signal': {'type': 'boolean'},
                 'sell_profit_only': {'type': 'boolean'},
                 'sell_profit_offset': {'type': 'number'},

freqtrade/exchange/exchange.py

@@ -997,15 +997,6 @@ class Exchange:
         except ccxt.BaseError as e:
             raise OperationalException(e) from e
 
-    def _order_book_gen(self, pair: str, side: str, order_book_max: int = 1,
-                        order_book_min: int = 1):
-        """
-        Helper generator to query orderbook in loop (used for early sell-order placing)
-        """
-        order_book = self.fetch_l2_order_book(pair, order_book_max)
-        for i in range(order_book_min, order_book_max + 1):
-            yield order_book[side][i - 1][0]
-
     def get_buy_rate(self, pair: str, refresh: bool) -> float:
         """
         Calculates bid target between current ask price and last price
@@ -1074,10 +1065,15 @@ class Exchange:
             logger.info(
                 f"Getting price from order book {ask_strategy['price_side'].capitalize()} side."
             )
+            order_book_top = ask_strategy.get('order_book_top', 1)
+            order_book = self.fetch_l2_order_book(pair, order_book_top)
             try:
-                rate = next(self._order_book_gen(pair, f"{ask_strategy['price_side']}s"))
+                rate = order_book[f"{ask_strategy['price_side']}s"][order_book_top - 1][0]
             except (IndexError, KeyError) as e:
-                logger.warning("Sell Price at location from orderbook could not be determined.")
+                logger.warning(
+                    "Sell Price at location from orderbook could not be determined."
+                    f"Orderbook: {order_book}"
+                )
                 raise PricingError from e
         else:
             ticker = self.fetch_ticker(pair)

freqtrade/freqtradebot.py

@@ -692,33 +692,6 @@ class FreqtradeBot(LoggingMixin):
 
             (buy, sell) = self.strategy.get_signal(trade.pair, self.strategy.timeframe, analyzed_df)
 
-        if config_ask_strategy.get('use_order_book', False):
-            order_book_min = config_ask_strategy.get('order_book_min', 1)
-            order_book_max = config_ask_strategy.get('order_book_max', 1)
-            logger.debug(f'Using order book between {order_book_min} and {order_book_max} '
-                         f'for selling {trade.pair}...')
-
-            order_book = self.exchange._order_book_gen(
-                trade.pair, f"{config_ask_strategy['price_side']}s",
-                order_book_min=order_book_min, order_book_max=order_book_max)
-            for i in range(order_book_min, order_book_max + 1):
-                try:
-                    sell_rate = next(order_book)
-                except (IndexError, KeyError) as e:
-                    logger.warning(
-                        f"Sell Price at location {i} from orderbook could not be determined."
-                    )
-                    raise PricingError from e
-                logger.debug(f"  order book {config_ask_strategy['price_side']} top {i}: "
-                             f"{sell_rate:0.8f}")
-                # Assign sell-rate to cache - otherwise sell-rate is never updated in the cache,
-                # resulting in outdated RPC messages
-                self.exchange._sell_rate_cache[trade.pair] = sell_rate
-
-                if self._check_and_execute_sell(trade, sell_rate, buy, sell):
-                    return True
-
-        else:
         logger.debug('checking sell')
         sell_rate = self.exchange.get_sell_rate(trade.pair, True)
         if self._check_and_execute_sell(trade, sell_rate, buy, sell):

freqtrade/templates/base_config.json.j2

@@ -25,8 +25,7 @@
     "ask_strategy": {
         "price_side": "ask",
         "use_order_book": false,
-        "order_book_min": 1,
+        "order_book_top": 1,
-        "order_book_max": 1,
         "use_sell_signal": true,
         "sell_profit_only": false,
         "ignore_roi_if_buy_signal": false