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Merge pull request #1330 from freqtrade/feat/diff_order_types

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Add support for different order types
This commit is contained in:
Matthias
2018-11-19 19:55:30 +01:00
committed by GitHub
parent 2ce13713fb b3e08831f7
commit d72e605cb7
13 changed files with 227 additions and 44 deletions
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11
freqtrade/constants.py
View File

@@ -12,6 +12,8 @@ DEFAULT_STRATEGY = 'DefaultStrategy'
DEFAULT_DB_PROD_URL = 'sqlite:///tradesv3.sqlite'
DEFAULT_DB_DRYRUN_URL = 'sqlite://'
UNLIMITED_STAKE_AMOUNT = 'unlimited'
REQUIRED_ORDERTYPES = ['buy', 'sell', 'stoploss']
ORDERTYPE_POSSIBILITIES = ['limit', 'market']
TICKER_INTERVAL_MINUTES = {
@@ -101,6 +103,15 @@ CONF_SCHEMA = {
'order_book_max': {'type': 'number', 'minimum': 1, 'maximum': 50}
}
},
'order_types': {
'type': 'object',
'properties': {
'buy': {'type': 'string', 'enum': ORDERTYPE_POSSIBILITIES},
'sell': {'type': 'string', 'enum': ORDERTYPE_POSSIBILITIES},
'stoploss': {'type': 'string', 'enum': ORDERTYPE_POSSIBILITIES}
},
'required': ['buy', 'sell', 'stoploss']
},
'exchange': {'$ref': '#/definitions/exchange'},
'edge': {'$ref': '#/definitions/edge'},
'experimental': {

27
freqtrade/exchange/__init__.py
View File

@@ -102,7 +102,7 @@ class Exchange(object):
self.markets = self._load_markets()
# Check if all pairs are available
self.validate_pairs(config['exchange']['pair_whitelist'])
self.validate_ordertypes(config.get('order_types', {}))
if config.get('ticker_interval'):
# Check if timeframe is available
self.validate_timeframes(config['ticker_interval'])
@@ -218,6 +218,15 @@ class Exchange(object):
raise OperationalException(
f'Invalid ticker {timeframe}, this Exchange supports {timeframes}')
def validate_ordertypes(self, order_types: Dict) -> None:
"""
Checks if order-types configured in strategy/config are supported
"""
if any(v == 'market' for k, v in order_types.items()):
if not self.exchange_has('createMarketOrder'):
raise OperationalException(
f'Exchange {self.name} does not support market orders.')
def exchange_has(self, endpoint: str) -> bool:
"""
Checks if exchange implements a specific API endpoint.
@@ -249,14 +258,14 @@ class Exchange(object):
price = ceil(big_price) / pow(10, symbol_prec)
return price
def buy(self, pair: str, rate: float, amount: float) -> Dict:
def buy(self, pair: str, ordertype: str, amount: float, rate: float) -> Dict:
if self._conf['dry_run']:
order_id = f'dry_run_buy_{randint(0, 10**6)}'
self._dry_run_open_orders[order_id] = {
'pair': pair,
'price': rate,
'amount': amount,
'type': 'limit',
'type': ordertype,
'side': 'buy',
'remaining': 0.0,
'datetime': arrow.utcnow().isoformat(),
@@ -268,9 +277,9 @@ class Exchange(object):
try:
# Set the precision for amount and price(rate) as accepted by the exchange
amount = self.symbol_amount_prec(pair, amount)
rate = self.symbol_price_prec(pair, rate)
rate = self.symbol_price_prec(pair, rate) if ordertype != 'market' else None
return self._api.create_limit_buy_order(pair, amount, rate)
return self._api.create_order(pair, ordertype, 'buy', amount, rate)
except ccxt.InsufficientFunds as e:
raise DependencyException(
f'Insufficient funds to create limit buy order on market {pair}.'
@@ -287,14 +296,14 @@ class Exchange(object):
except ccxt.BaseError as e:
raise OperationalException(e)
def sell(self, pair: str, rate: float, amount: float) -> Dict:
def sell(self, pair: str, ordertype: str, amount: float, rate: float) -> Dict:
if self._conf['dry_run']:
order_id = f'dry_run_sell_{randint(0, 10**6)}'
self._dry_run_open_orders[order_id] = {
'pair': pair,
'price': rate,
'amount': amount,
'type': 'limit',
'type': ordertype,
'side': 'sell',
'remaining': 0.0,
'datetime': arrow.utcnow().isoformat(),
@@ -305,9 +314,9 @@ class Exchange(object):
try:
# Set the precision for amount and price(rate) as accepted by the exchange
amount = self.symbol_amount_prec(pair, amount)
rate = self.symbol_price_prec(pair, rate)
rate = self.symbol_price_prec(pair, rate) if ordertype != 'market' else None
return self._api.create_limit_sell_order(pair, amount, rate)
return self._api.create_order(pair, ordertype, 'sell', amount, rate)
except ccxt.InsufficientFunds as e:
raise DependencyException(
f'Insufficient funds to create limit sell order on market {pair}.'

10
freqtrade/freqtradebot.py
View File

@@ -475,7 +475,8 @@ class FreqtradeBot(object):
amount = stake_amount / buy_limit
order_id = self.exchange.buy(pair, buy_limit, amount)['id']
order_id = self.exchange.buy(pair=pair, ordertype=self.strategy.order_types['buy'],
amount=amount, rate=buy_limit)['id']
self.rpc.send_msg({
'type': RPCMessageType.BUY_NOTIFICATION,
@@ -762,8 +763,13 @@ class FreqtradeBot(object):
:param sellreason: Reason the sell was triggered
:return: None
"""
sell_type = 'sell'
if sell_reason in (SellType.STOP_LOSS, SellType.TRAILING_STOP_LOSS):
sell_type = 'stoploss'
# Execute sell and update trade record
order_id = self.exchange.sell(str(trade.pair), limit, trade.amount)['id']
order_id = self.exchange.sell(pair=str(trade.pair),
ordertype=self.strategy.order_types[sell_type],
amount=trade.amount, rate=limit)['id']
trade.open_order_id = order_id
trade.close_rate_requested = limit
trade.sell_reason = sell_reason.value

7
freqtrade/strategy/default_strategy.py
View File

@@ -28,6 +28,13 @@ class DefaultStrategy(IStrategy):
# Optimal ticker interval for the strategy
ticker_interval = '5m'
# Optional order type mapping
order_types = {
'buy': 'limit',
'sell': 'limit',
'stoploss': 'limit'
}
def populate_indicators(self, dataframe: DataFrame, metadata: dict) -> DataFrame:
"""
Adds several different TA indicators to the given DataFrame

7
freqtrade/strategy/interface.py
View File

@@ -70,6 +70,13 @@ class IStrategy(ABC):
# associated ticker interval
ticker_interval: str
# Optional order types
order_types: Dict = {
'buy': 'limit',
'sell': 'limit',
'stoploss': 'limit'
}
# run "populate_indicators" only for new candle
process_only_new_candles: bool = False

13
freqtrade/strategy/resolver.py
View File

@@ -75,6 +75,19 @@ class StrategyResolver(object):
else:
config['process_only_new_candles'] = self.strategy.process_only_new_candles
if 'order_types' in config:
self.strategy.order_types = config['order_types']
logger.info(
"Override strategy 'order_types' with value in config file: %s.",
config['order_types']
)
else:
config['order_types'] = self.strategy.order_types
if not all(k in self.strategy.order_types for k in constants.REQUIRED_ORDERTYPES):
raise ImportError(f"Impossible to load Strategy '{self.strategy.__class__.__name__}'. "
f"Order-types mapping is incomplete.")
# Sort and apply type conversions
self.strategy.minimal_roi = OrderedDict(sorted(
{int(key): value for (key, value) in self.strategy.minimal_roi.items()}.items(),

1
freqtrade/tests/conftest.py
View File

@@ -30,6 +30,7 @@ def log_has(line, logs):
def patch_exchange(mocker, api_mock=None) -> None:
mocker.patch('freqtrade.exchange.Exchange._load_markets', MagicMock(return_value={}))
mocker.patch('freqtrade.exchange.Exchange.validate_timeframes', MagicMock())
mocker.patch('freqtrade.exchange.Exchange.validate_ordertypes', MagicMock())
mocker.patch('freqtrade.exchange.Exchange.name', PropertyMock(return_value="Bittrex"))
mocker.patch('freqtrade.exchange.Exchange.id', PropertyMock(return_value="bittrex"))
if api_mock:

108
freqtrade/tests/exchange/test_exchange.py
View File

@@ -355,6 +355,36 @@ def test_validate_timeframes_not_in_config(default_conf, mocker):
Exchange(default_conf)
def test_validate_order_types(default_conf, mocker):
api_mock = MagicMock()
type(api_mock).has = PropertyMock(return_value={'createMarketOrder': True})
mocker.patch('freqtrade.exchange.Exchange._init_ccxt', MagicMock(return_value=api_mock))
mocker.patch('freqtrade.exchange.Exchange._load_markets', MagicMock(return_value={}))
mocker.patch('freqtrade.exchange.Exchange.validate_timeframes', MagicMock())
default_conf['order_types'] = {'buy': 'limit', 'sell': 'limit', 'stoploss': 'market'}
Exchange(default_conf)
type(api_mock).has = PropertyMock(return_value={'createMarketOrder': False})
mocker.patch('freqtrade.exchange.Exchange._init_ccxt', MagicMock(return_value=api_mock))
default_conf['order_types'] = {'buy': 'limit', 'sell': 'limit', 'stoploss': 'market'}
with pytest.raises(OperationalException,
match=r'Exchange .* does not support market orders.'):
Exchange(default_conf)
def test_validate_order_types_not_in_config(default_conf, mocker):
api_mock = MagicMock()
mocker.patch('freqtrade.exchange.Exchange._init_ccxt', MagicMock(return_value=api_mock))
mocker.patch('freqtrade.exchange.Exchange._load_markets', MagicMock(return_value={}))
mocker.patch('freqtrade.exchange.Exchange.validate_timeframes', MagicMock())
conf = copy.deepcopy(default_conf)
Exchange(conf)
def test_exchange_has(default_conf, mocker):
exchange = get_patched_exchange(mocker, default_conf)
assert not exchange.exchange_has('ASDFASDF')
@@ -373,7 +403,7 @@ def test_buy_dry_run(default_conf, mocker):
default_conf['dry_run'] = True
exchange = get_patched_exchange(mocker, default_conf)
order = exchange.buy(pair='ETH/BTC', rate=200, amount=1)
order = exchange.buy(pair='ETH/BTC', ordertype='limit', amount=1, rate=200)
assert 'id' in order
assert 'dry_run_buy_' in order['id']
@@ -381,47 +411,64 @@ def test_buy_dry_run(default_conf, mocker):
def test_buy_prod(default_conf, mocker):
api_mock = MagicMock()
order_id = 'test_prod_buy_{}'.format(randint(0, 10 ** 6))
api_mock.create_limit_buy_order = MagicMock(return_value={
order_type = 'market'
api_mock.create_order = MagicMock(return_value={
'id': order_id,
'info': {
'foo': 'bar'
}
})
default_conf['dry_run'] = False
mocker.patch('freqtrade.exchange.Exchange.symbol_amount_prec', lambda s, x, y: y)
mocker.patch('freqtrade.exchange.Exchange.symbol_price_prec', lambda s, x, y: y)
exchange = get_patched_exchange(mocker, default_conf, api_mock)
order = exchange.buy(pair='ETH/BTC', rate=200, amount=1)
order = exchange.buy(pair='ETH/BTC', ordertype=order_type, amount=1, rate=200)
assert 'id' in order
assert 'info' in order
assert order['id'] == order_id
assert api_mock.create_order.call_args[0][0] == 'ETH/BTC'
assert api_mock.create_order.call_args[0][1] == order_type
assert api_mock.create_order.call_args[0][2] == 'buy'
assert api_mock.create_order.call_args[0][3] == 1
assert api_mock.create_order.call_args[0][4] is None
api_mock.create_order.reset_mock()
order_type = 'limit'
order = exchange.buy(pair='ETH/BTC', ordertype=order_type, amount=1, rate=200)
assert api_mock.create_order.call_args[0][0] == 'ETH/BTC'
assert api_mock.create_order.call_args[0][1] == order_type
assert api_mock.create_order.call_args[0][2] == 'buy'
assert api_mock.create_order.call_args[0][3] == 1
assert api_mock.create_order.call_args[0][4] == 200
# test exception handling
with pytest.raises(DependencyException):
api_mock.create_limit_buy_order = MagicMock(side_effect=ccxt.InsufficientFunds)
api_mock.create_order = MagicMock(side_effect=ccxt.InsufficientFunds)
exchange = get_patched_exchange(mocker, default_conf, api_mock)
exchange.buy(pair='ETH/BTC', rate=200, amount=1)
exchange.buy(pair='ETH/BTC', ordertype=order_type, amount=1, rate=200)
with pytest.raises(DependencyException):
api_mock.create_limit_buy_order = MagicMock(side_effect=ccxt.InvalidOrder)
api_mock.create_order = MagicMock(side_effect=ccxt.InvalidOrder)
exchange = get_patched_exchange(mocker, default_conf, api_mock)
exchange.buy(pair='ETH/BTC', rate=200, amount=1)
exchange.buy(pair='ETH/BTC', ordertype=order_type, amount=1, rate=200)
with pytest.raises(TemporaryError):
api_mock.create_limit_buy_order = MagicMock(side_effect=ccxt.NetworkError)
api_mock.create_order = MagicMock(side_effect=ccxt.NetworkError)
exchange = get_patched_exchange(mocker, default_conf, api_mock)
exchange.buy(pair='ETH/BTC', rate=200, amount=1)
exchange.buy(pair='ETH/BTC', ordertype=order_type, amount=1, rate=200)
with pytest.raises(OperationalException):
api_mock.create_limit_buy_order = MagicMock(side_effect=ccxt.BaseError)
api_mock.create_order = MagicMock(side_effect=ccxt.BaseError)
exchange = get_patched_exchange(mocker, default_conf, api_mock)
exchange.buy(pair='ETH/BTC', rate=200, amount=1)
exchange.buy(pair='ETH/BTC', ordertype=order_type, amount=1, rate=200)
def test_sell_dry_run(default_conf, mocker):
default_conf['dry_run'] = True
exchange = get_patched_exchange(mocker, default_conf)
order = exchange.sell(pair='ETH/BTC', rate=200, amount=1)
order = exchange.sell(pair='ETH/BTC', ordertype='limit', amount=1, rate=200)
assert 'id' in order
assert 'dry_run_sell_' in order['id']
@@ -429,7 +476,8 @@ def test_sell_dry_run(default_conf, mocker):
def test_sell_prod(default_conf, mocker):
api_mock = MagicMock()
order_id = 'test_prod_sell_{}'.format(randint(0, 10 ** 6))
api_mock.create_limit_sell_order = MagicMock(return_value={
order_type = 'market'
api_mock.create_order = MagicMock(return_value={
'id': order_id,
'info': {
'foo': 'bar'
@@ -438,32 +486,48 @@ def test_sell_prod(default_conf, mocker):
default_conf['dry_run'] = False
exchange = get_patched_exchange(mocker, default_conf, api_mock)
mocker.patch('freqtrade.exchange.Exchange.symbol_amount_prec', lambda s, x, y: y)
mocker.patch('freqtrade.exchange.Exchange.symbol_price_prec', lambda s, x, y: y)
order = exchange.sell(pair='ETH/BTC', rate=200, amount=1)
order = exchange.sell(pair='ETH/BTC', ordertype=order_type, amount=1, rate=200)
assert 'id' in order
assert 'info' in order
assert order['id'] == order_id
assert api_mock.create_order.call_args[0][0] == 'ETH/BTC'
assert api_mock.create_order.call_args[0][1] == order_type
assert api_mock.create_order.call_args[0][2] == 'sell'
assert api_mock.create_order.call_args[0][3] == 1
assert api_mock.create_order.call_args[0][4] is None
api_mock.create_order.reset_mock()
order_type = 'limit'
order = exchange.sell(pair='ETH/BTC', ordertype=order_type, amount=1, rate=200)
assert api_mock.create_order.call_args[0][0] == 'ETH/BTC'
assert api_mock.create_order.call_args[0][1] == order_type
assert api_mock.create_order.call_args[0][2] == 'sell'
assert api_mock.create_order.call_args[0][3] == 1
assert api_mock.create_order.call_args[0][4] == 200
# test exception handling
with pytest.raises(DependencyException):
api_mock.create_limit_sell_order = MagicMock(side_effect=ccxt.InsufficientFunds)
api_mock.create_order = MagicMock(side_effect=ccxt.InsufficientFunds)
exchange = get_patched_exchange(mocker, default_conf, api_mock)
exchange.sell(pair='ETH/BTC', rate=200, amount=1)
exchange.sell(pair='ETH/BTC', ordertype=order_type, amount=1, rate=200)
with pytest.raises(DependencyException):
api_mock.create_limit_sell_order = MagicMock(side_effect=ccxt.InvalidOrder)
api_mock.create_order = MagicMock(side_effect=ccxt.InvalidOrder)
exchange = get_patched_exchange(mocker, default_conf, api_mock)
exchange.sell(pair='ETH/BTC', rate=200, amount=1)
exchange.sell(pair='ETH/BTC', ordertype=order_type, amount=1, rate=200)
with pytest.raises(TemporaryError):
api_mock.create_limit_sell_order = MagicMock(side_effect=ccxt.NetworkError)
api_mock.create_order = MagicMock(side_effect=ccxt.NetworkError)
exchange = get_patched_exchange(mocker, default_conf, api_mock)
exchange.sell(pair='ETH/BTC', rate=200, amount=1)
exchange.sell(pair='ETH/BTC', ordertype=order_type, amount=1, rate=200)
with pytest.raises(OperationalException):
api_mock.create_limit_sell_order = MagicMock(side_effect=ccxt.BaseError)
api_mock.create_order = MagicMock(side_effect=ccxt.BaseError)
exchange = get_patched_exchange(mocker, default_conf, api_mock)
exchange.sell(pair='ETH/BTC', rate=200, amount=1)
exchange.sell(pair='ETH/BTC', ordertype=order_type, amount=1, rate=200)
def test_get_balance_dry_run(default_conf, mocker):

40
freqtrade/tests/strategy/test_strategy.py
View File

@@ -88,8 +88,8 @@ def test_load_strategy_invalid_directory(result, caplog):
def test_load_not_found_strategy():
strategy = StrategyResolver()
with pytest.raises(ImportError,
match=r'Impossible to load Strategy \'NotFoundStrategy\'.'
r' This class does not exist or contains Python code errors'):
match=r"Impossible to load Strategy 'NotFoundStrategy'."
r" This class does not exist or contains Python code errors"):
strategy._load_strategy(strategy_name='NotFoundStrategy', config={})
@@ -182,6 +182,42 @@ def test_strategy_override_process_only_new_candles(caplog):
) in caplog.record_tuples
def test_strategy_override_order_types(caplog):
caplog.set_level(logging.INFO)
order_types = {
'buy': 'market',
'sell': 'limit',
'stoploss': 'limit'
}
config = {
'strategy': 'DefaultStrategy',
'order_types': order_types
}
resolver = StrategyResolver(config)
assert resolver.strategy.order_types
for method in ['buy', 'sell', 'stoploss']:
assert resolver.strategy.order_types[method] == order_types[method]
assert ('freqtrade.strategy.resolver',
logging.INFO,
"Override strategy 'order_types' with value in config file:"
" {'buy': 'market', 'sell': 'limit', 'stoploss': 'limit'}."
) in caplog.record_tuples
config = {
'strategy': 'DefaultStrategy',
'order_types': {'buy': 'market'}
}
# Raise error for invalid configuration
with pytest.raises(ImportError,
match=r"Impossible to load Strategy 'DefaultStrategy'. "
r"Order-types mapping is incomplete."):
StrategyResolver(config)
def test_deprecate_populate_indicators(result):
default_location = path.join(path.dirname(path.realpath(__file__)))
resolver = StrategyResolver({'strategy': 'TestStrategyLegacy',

18
freqtrade/tests/test_freqtradebot.py
View File

@@ -553,7 +553,7 @@ def test_create_trade_minimal_amount(default_conf, ticker, limit_buy_order,
patch_get_signal(freqtrade)
freqtrade.create_trade()
rate, amount = buy_mock.call_args[0][1], buy_mock.call_args[0][2]
rate, amount = buy_mock.call_args[1]['rate'], buy_mock.call_args[1]['amount']
assert rate * amount >= default_conf['stake_amount']
@@ -863,10 +863,10 @@ def test_execute_buy(mocker, default_conf, fee, markets, limit_buy_order) -> Non
assert freqtrade.execute_buy(pair, stake_amount)
assert get_bid.call_count == 1
assert buy_mm.call_count == 1
call_args = buy_mm.call_args_list[0][0]
assert call_args[0] == pair
assert call_args[1] == bid
assert call_args[2] == stake_amount / bid
call_args = buy_mm.call_args_list[0][1]
assert call_args['pair'] == pair
assert call_args['rate'] == bid
assert call_args['amount'] == stake_amount / bid
# Test calling with price
fix_price = 0.06
@@ -875,10 +875,10 @@ def test_execute_buy(mocker, default_conf, fee, markets, limit_buy_order) -> Non
assert get_bid.call_count == 1
assert buy_mm.call_count == 2
call_args = buy_mm.call_args_list[1][0]
assert call_args[0] == pair
assert call_args[1] == fix_price
assert call_args[2] == stake_amount / fix_price
call_args = buy_mm.call_args_list[1][1]
assert call_args['pair'] == pair
assert call_args['rate'] == fix_price
assert call_args['amount'] == stake_amount / fix_price
def test_process_maybe_execute_buy(mocker, default_conf) -> None: