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Pass orderbook to dry-run fill logic

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This commit is contained in:
Matthias 2023-02-15 07:19:47 +01:00
parent 7c10921564
commit de7d274fcf
1 changed files with 17 additions and 8 deletions
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25
freqtrade/exchange/exchange.py
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@ -860,10 +860,13 @@ class Exchange:
dry_order["stopPrice"] = dry_order["price"]
# Workaround to avoid filling stoploss orders immediately
dry_order["ft_order_type"] = "stoploss"
orderbook: Optional[OrderBook] = None
if self.exchange_has('fetchL2OrderBook'):
orderbook = self.fetch_l2_order_book(pair, 20)
if dry_order["type"] == "market" and not dry_order.get("ft_order_type"):
# Update market order pricing
average = self.get_dry_market_fill_price(pair, side, amount, rate)
average = self.get_dry_market_fill_price(pair, side, amount, rate, orderbook)
dry_order.update({
'average': average,
'filled': _amount,
@ -873,7 +876,7 @@ class Exchange:
# market orders will always incurr taker fees
dry_order = self.add_dry_order_fee(pair, dry_order, 'taker')
dry_order = self.check_dry_limit_order_filled(dry_order, immediate=True)
dry_order = self.check_dry_limit_order_filled(dry_order, immediate=True, ob=orderbook)
self._dry_run_open_orders[dry_order["id"]] = dry_order
# Copy order and close it - so the returned order is open unless it's a market order
@ -895,12 +898,15 @@ class Exchange:
})
return dry_order
def get_dry_market_fill_price(self, pair: str, side: str, amount: float, rate: float) -> float:
def get_dry_market_fill_price(
self, pair: str, side: str, amount: float, rate: float,
ob: Optional[OrderBook]) -> float:
"""
Get the market order fill price based on orderbook interpolation
"""
if self.exchange_has('fetchL2OrderBook'):
ob = self.fetch_l2_order_book(pair, 20)
if not ob:
ob = self.fetch_l2_order_book(pair, 20)
ob_type: OBLiteral = 'asks' if side == 'buy' else 'bids'
slippage = 0.05
max_slippage_val = rate * ((1 + slippage) if side == 'buy' else (1 - slippage))
@ -936,10 +942,12 @@ class Exchange:
return rate
def _is_dry_limit_order_filled(self, pair: str, side: str, limit: float) -> bool:
def _is_dry_limit_order_filled(
self, pair: str, side: str, limit: float, ob: Optional[OrderBook] = None) -> bool:
if not self.exchange_has('fetchL2OrderBook'):
return True
ob = self.fetch_l2_order_book(pair, 1)
if not ob:
ob = self.fetch_l2_order_book(pair, 1)
try:
if side == 'buy':
price = ob['asks'][0][0]
@ -957,7 +965,8 @@ class Exchange:
return False
def check_dry_limit_order_filled(
self, order: Dict[str, Any], immediate: bool = False) -> Dict[str, Any]:
self, order: Dict[str, Any], immediate: bool = False,
ob: Optional[OrderBook] = None) -> Dict[str, Any]:
"""
Check dry-run limit order fill and update fee (if it filled).
"""
@ -965,7 +974,7 @@ class Exchange:
and order['type'] in ["limit"]
and not order.get('ft_order_type')):
pair = order['symbol']
if self._is_dry_limit_order_filled(pair, order['side'], order['price']):
if self._is_dry_limit_order_filled(pair, order['side'], order['price'], ob):
order.update({
'status': 'closed',
'filled': order['amount'],