Merge branch 'develop' into kraken_support

config_full.json.example

@@ -3,6 +3,7 @@
     "stake_currency": "BTC",
     "stake_amount": 0.05,
     "fiat_display_currency": "USD",
+    "amount_reserve_percent" : 0.05,
     "dry_run": false,
     "ticker_interval": "5m",
     "trailing_stop": false,

docs/configuration.md

@@ -16,6 +16,7 @@ Mandatory Parameters are marked as **Required**.
 | `max_open_trades` | 3 | **Required.** Number of trades open your bot will have. If -1 then it is ignored (i.e. potentially unlimited open trades)
 | `stake_currency` | BTC | **Required.** Crypto-currency used for trading.
 | `stake_amount` | 0.05 | **Required.** Amount of crypto-currency your bot will use for each trade. Per default, the bot will use (0.05 BTC x 3) = 0.15 BTC in total will be always engaged. Set it to `"unlimited"` to allow the bot to use all available balance.
+| `amount_reserve_percent` | 0.05 | Reserve some amount in min pair stake amount. Default is 5%. The bot will reserve `amount_reserve_percent` + stop-loss value when calculating min pair stake amount in order to avoid possible trade refusals.
 | `ticker_interval` | [1m, 5m, 30m, 1h, 1d] | The ticker interval to use (1min, 5 min, 30 min, 1 hour or 1 day). Default is 5 minutes. [Strategy Override](#parameters-in-strategy).
 | `fiat_display_currency` | USD | **Required.** Fiat currency used to show your profits. More information below.
 | `dry_run` | true | **Required.** Define if the bot must be in Dry-run or production mode.

freqtrade/freqtradebot.py

@@ -211,19 +211,11 @@ class FreqtradeBot(object):
             self.state = State.STOPPED
         return state_changed
 
-    def get_target_bid(self, pair: str, ticker: Dict[str, float]) -> float:
+    def get_target_bid(self, pair: str) -> float:
         """
         Calculates bid target between current ask price and last price
-        :param ticker: Ticker to use for getting Ask and Last Price
         :return: float: Price
         """
-        if ticker['ask'] < ticker['last']:
-            ticker_rate = ticker['ask']
-        else:
-            balance = self.config['bid_strategy']['ask_last_balance']
-            ticker_rate = ticker['ask'] + balance * (ticker['last'] - ticker['ask'])
-
-        used_rate = ticker_rate
         config_bid_strategy = self.config.get('bid_strategy', {})
         if 'use_order_book' in config_bid_strategy and\
                 config_bid_strategy.get('use_order_book', False):
@@ -233,15 +225,16 @@ class FreqtradeBot(object):
             logger.debug('order_book %s', order_book)
             # top 1 = index 0
             order_book_rate = order_book['bids'][order_book_top - 1][0]
-            # if ticker has lower rate, then use ticker ( usefull if down trending )
             logger.info('...top %s order book buy rate %0.8f', order_book_top, order_book_rate)
-            if ticker_rate < order_book_rate:
-                logger.info('...using ticker rate instead %0.8f', ticker_rate)
-                used_rate = ticker_rate
-            else:
             used_rate = order_book_rate
         else:
             logger.info('Using Last Ask / Last Price')
+            ticker = self.exchange.get_ticker(pair)
+            if ticker['ask'] < ticker['last']:
+                ticker_rate = ticker['ask']
+            else:
+                balance = self.config['bid_strategy']['ask_last_balance']
+                ticker_rate = ticker['ask'] + balance * (ticker['last'] - ticker['ask'])
             used_rate = ticker_rate
 
         return used_rate
@@ -304,7 +297,8 @@ class FreqtradeBot(object):
         if not min_stake_amounts:
             return None
 
-        amount_reserve_percent = 1 - 0.05  # reserve 5% + stoploss
+        # reserve some percent defined in config (5% default) + stoploss
+        amount_reserve_percent = 1.0 - self.config.get('amount_reserve_percent', 0.05)
         if self.strategy.stoploss is not None:
             amount_reserve_percent += self.strategy.stoploss
         # it should not be more than 50%
@@ -387,7 +381,7 @@ class FreqtradeBot(object):
             buy_limit_requested = price
         else:
             # Calculate amount
-            buy_limit_requested = self.get_target_bid(pair, self.exchange.get_ticker(pair))
+            buy_limit_requested = self.get_target_bid(pair)
 
         min_stake_amount = self._get_min_pair_stake_amount(pair_s, buy_limit_requested)
         if min_stake_amount is not None and min_stake_amount > stake_amount:
@@ -587,7 +581,6 @@ class FreqtradeBot(object):
             raise ValueError(f'Attempt to handle closed trade: {trade}')
 
         logger.debug('Handling %s ...', trade)
-        sell_rate = self.exchange.get_ticker(trade.pair)['bid']
 
         (buy, sell) = (False, False)
         experimental = self.config.get('experimental', {})
@@ -607,11 +600,7 @@ class FreqtradeBot(object):
 
             for i in range(order_book_min, order_book_max + 1):
                 order_book_rate = order_book['asks'][i - 1][0]
-
-                # if orderbook has higher rate (high profit),
-                # use orderbook, otherwise just use bids rate
                 logger.info('  order book asks top %s: %0.8f', i, order_book_rate)
-                if sell_rate < order_book_rate:
                 sell_rate = order_book_rate
 
                 if self.check_sell(trade, sell_rate, buy, sell):
@@ -619,6 +608,7 @@ class FreqtradeBot(object):
 
         else:
             logger.debug('checking sell')
+            sell_rate = self.exchange.get_ticker(trade.pair)['bid']
             if self.check_sell(trade, sell_rate, buy, sell):
                 return True
 

freqtrade/tests/test_freqtradebot.py

@@ -841,22 +841,27 @@ def test_process_informative_pairs_added(default_conf, ticker, markets, mocker)
 def test_balance_fully_ask_side(mocker, default_conf) -> None:
     default_conf['bid_strategy']['ask_last_balance'] = 0.0
     freqtrade = get_patched_freqtradebot(mocker, default_conf)
+    mocker.patch('freqtrade.exchange.Exchange.get_ticker',
+                 MagicMock(return_value={'ask': 20, 'last': 10}))
 
-    assert freqtrade.get_target_bid('ETH/BTC', {'ask': 20, 'last': 10}) == 20
+    assert freqtrade.get_target_bid('ETH/BTC') == 20
 
 
 def test_balance_fully_last_side(mocker, default_conf) -> None:
     default_conf['bid_strategy']['ask_last_balance'] = 1.0
     freqtrade = get_patched_freqtradebot(mocker, default_conf)
+    mocker.patch('freqtrade.exchange.Exchange.get_ticker',
+                 MagicMock(return_value={'ask': 20, 'last': 10}))
 
-    assert freqtrade.get_target_bid('ETH/BTC', {'ask': 20, 'last': 10}) == 10
+    assert freqtrade.get_target_bid('ETH/BTC') == 10
 
 
 def test_balance_bigger_last_ask(mocker, default_conf) -> None:
     default_conf['bid_strategy']['ask_last_balance'] = 1.0
     freqtrade = get_patched_freqtradebot(mocker, default_conf)
-
+    mocker.patch('freqtrade.exchange.Exchange.get_ticker',
-    assert freqtrade.get_target_bid('ETH/BTC', {'ask': 5, 'last': 10}) == 5
+                 MagicMock(return_value={'ask': 5, 'last': 10}))
+    assert freqtrade.get_target_bid('ETH/BTC') == 5
 
 
 def test_execute_buy(mocker, default_conf, fee, markets, limit_buy_order) -> None:
@@ -2813,10 +2818,13 @@ def test_order_book_bid_strategy1(mocker, default_conf, order_book_l2, markets)
     instead of the ask rate
     """
     patch_exchange(mocker)
+    ticker_mock = MagicMock(return_value={'ask': 0.045, 'last': 0.046})
     mocker.patch.multiple(
         'freqtrade.exchange.Exchange',
         get_markets=markets,
-        get_order_book=order_book_l2
+        get_order_book=order_book_l2,
+        get_ticker=ticker_mock,
+
     )
     default_conf['exchange']['name'] = 'binance'
     default_conf['bid_strategy']['use_order_book'] = True
@@ -2825,7 +2833,8 @@ def test_order_book_bid_strategy1(mocker, default_conf, order_book_l2, markets)
     default_conf['telegram']['enabled'] = False
 
     freqtrade = FreqtradeBot(default_conf)
-    assert freqtrade.get_target_bid('ETH/BTC', {'ask': 0.045, 'last': 0.046}) == 0.043935
+    assert freqtrade.get_target_bid('ETH/BTC') == 0.043935
+    assert ticker_mock.call_count == 0
 
 
 def test_order_book_bid_strategy2(mocker, default_conf, order_book_l2, markets) -> None:
@@ -2834,10 +2843,13 @@ def test_order_book_bid_strategy2(mocker, default_conf, order_book_l2, markets)
     instead of the order book rate (even if enabled)
     """
     patch_exchange(mocker)
+    ticker_mock = MagicMock(return_value={'ask': 0.042, 'last': 0.046})
     mocker.patch.multiple(
         'freqtrade.exchange.Exchange',
         get_markets=markets,
-        get_order_book=order_book_l2
+        get_order_book=order_book_l2,
+        get_ticker=ticker_mock,
+
     )
     default_conf['exchange']['name'] = 'binance'
     default_conf['bid_strategy']['use_order_book'] = True
@@ -2846,29 +2858,9 @@ def test_order_book_bid_strategy2(mocker, default_conf, order_book_l2, markets)
     default_conf['telegram']['enabled'] = False
 
     freqtrade = FreqtradeBot(default_conf)
-    assert freqtrade.get_target_bid('ETH/BTC', {'ask': 0.042, 'last': 0.046}) == 0.042
+    # ordrebook shall be used even if tickers would be lower.
-
+    assert freqtrade.get_target_bid('ETH/BTC', ) != 0.042
-
+    assert ticker_mock.call_count == 0
-def test_order_book_bid_strategy3(default_conf, mocker, order_book_l2, markets) -> None:
-    """
-    test if function get_target_bid will return ask rate instead
-    of the order book rate
-    """
-    patch_exchange(mocker)
-    mocker.patch.multiple(
-        'freqtrade.exchange.Exchange',
-        get_markets=markets,
-        get_order_book=order_book_l2
-    )
-    default_conf['exchange']['name'] = 'binance'
-    default_conf['bid_strategy']['use_order_book'] = True
-    default_conf['bid_strategy']['order_book_top'] = 1
-    default_conf['bid_strategy']['ask_last_balance'] = 0
-    default_conf['telegram']['enabled'] = False
-
-    freqtrade = FreqtradeBot(default_conf)
-
-    assert freqtrade.get_target_bid('ETH/BTC', {'ask': 0.03, 'last': 0.029}) == 0.03
 
 
 def test_check_depth_of_market_buy(default_conf, mocker, order_book_l2, markets) -> None:

requirements.txt

@@ -1,5 +1,5 @@
-ccxt==1.18.234
+ccxt==1.18.243
-SQLAlchemy==1.2.17
+SQLAlchemy==1.2.18
 python-telegram-bot==11.1.0
 arrow==0.13.1
 cachetools==3.1.0
@@ -9,7 +9,7 @@ wrapt==1.11.1
 numpy==1.16.1
 pandas==0.24.1
 scikit-learn==0.20.2
-joblib==0.13.1
+joblib==0.13.2
 scipy==1.2.1
 jsonschema==2.6.0
 TA-Lib==0.4.17