adelorenzo/stable
1
0
Fork 0
Code Issues Pull Requests Packages Projects Releases Wiki Activity

Pass orderbook to dry-run fill logic

Browse Source
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
Show Stats Download Patch File Download Diff File Expand all files Collapse all files

25
freqtrade/exchange/exchange.py
View File

@ -860,10 +860,13 @@ class Exchange:
dry_order["stopPrice"] = dry_order["price"] dry_order["stopPrice"] = dry_order["price"]
# Workaround to avoid filling stoploss orders immediately # Workaround to avoid filling stoploss orders immediately
dry_order["ft_order_type"] = "stoploss" 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"): if dry_order["type"] == "market" and not dry_order.get("ft_order_type"):
# Update market order pricing # 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({ dry_order.update({
'average': average, 'average': average,
'filled': _amount, 'filled': _amount,
@ -873,7 +876,7 @@ class Exchange:
# market orders will always incurr taker fees # market orders will always incurr taker fees
dry_order = self.add_dry_order_fee(pair, dry_order, 'taker') 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 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 # 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 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 Get the market order fill price based on orderbook interpolation
""" """
if self.exchange_has('fetchL2OrderBook'): 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' ob_type: OBLiteral = 'asks' if side == 'buy' else 'bids'
slippage = 0.05 slippage = 0.05
max_slippage_val = rate * ((1 + slippage) if side == 'buy' else (1 - slippage)) max_slippage_val = rate * ((1 + slippage) if side == 'buy' else (1 - slippage))
@ -936,10 +942,12 @@ class Exchange:
return rate 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'): if not self.exchange_has('fetchL2OrderBook'):
return True return True
ob = self.fetch_l2_order_book(pair, 1) if not ob:
ob = self.fetch_l2_order_book(pair, 1)
try: try:
if side == 'buy': if side == 'buy':
price = ob['asks'][0][0] price = ob['asks'][0][0]
@ -957,7 +965,8 @@ class Exchange:
return False return False
def check_dry_limit_order_filled( 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). Check dry-run limit order fill and update fee (if it filled).
""" """
@ -965,7 +974,7 @@ class Exchange:
and order['type'] in ["limit"] and order['type'] in ["limit"]
and not order.get('ft_order_type')): and not order.get('ft_order_type')):
pair = order['symbol'] 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({ order.update({
'status': 'closed', 'status': 'closed',
'filled': order['amount'], 'filled': order['amount'],