Merge pull request #1550 from hroff-1902/patch-2

execute_buy, handle_trade: do not use ticker if use_order_book:true is set in config

freqtrade/freqtradebot.py

@@ -204,19 +204,11 @@ 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):
@@ -226,15 +218,16 @@ 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:
+            used_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
@@ -380,7 +373,7 @@ 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:
@@ -580,7 +573,6 @@ 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', {})
@@ -600,18 +592,15 @@ 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
-                    sell_rate = order_book_rate
 
                 if self.check_sell(trade, sell_rate, buy, sell):
                     return True
 
         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: