Merge 47fabf632c into 871b5e17ee

README.md

@@ -45,8 +45,8 @@ profit dips below -10% for a given trade. This parameter is optional.
 Possible values are `running` or `stopped`. (default=`running`)
 If the value is `stopped` the bot has to be started with `/start` first.
 
-`ask_last_balance` sets the bidding price. Value `0.0` will use `ask` price, `1.0` will
+`bid_ask_balance` sets the bidding price. Value `0.0` will use `bid` price, `1.0` will
-use the `last` price and values between those interpolate between ask and last
+use the `ask` price and values between those interpolate between bid and ask
 price. Using `ask` price will guarantee quick success in bid, but bot will also
 end up paying more then would probably have been necessary.
 

config.json.example

@@ -11,7 +11,7 @@
     },
     "stoploss": -0.40,
     "bid_strategy": {
-        "ask_last_balance": 0.0
+        "bid_ask_balance": 1.0
     },
     "exchange": {
         "name": "bittrex",

freqtrade/exchange/__init__.py

@@ -1,6 +1,6 @@
 import enum
 import logging
-from typing import List
+from typing import List, Optional, Dict
 
 import arrow
 
@@ -85,10 +85,14 @@ def get_balance(currency: str) -> float:
     return EXCHANGE.get_balance(currency)
 
 
-def get_ticker(pair: str) -> dict:
+def get_ticker(pair: str) -> Dict[str, float]:
     return EXCHANGE.get_ticker(pair)
 
 
+def get_orderbook(pair: str, top_most: Optional[int] = None) -> Dict[str, List[Dict]]:
+    return EXCHANGE.get_orderbook(pair, top_most)
+
+
 def get_ticker_history(pair: str, minimum_date: arrow.Arrow):
     return EXCHANGE.get_ticker_history(pair, minimum_date)
 

freqtrade/exchange/bittrex.py

@@ -1,9 +1,9 @@
 import logging
-from typing import List, Optional
+from typing import List, Optional, Dict
 
 import arrow
-import requests
+from bittrex.bittrex import Bittrex as _Bittrex, API_V2_0, TICKINTERVAL_FIVEMIN, ORDERTYPE_LIMIT, \
-from bittrex.bittrex import Bittrex as _Bittrex
+    TIMEINEFFECT_GOOD_TIL_CANCELLED
 
 from freqtrade.exchange.interface import Exchange
 
@@ -19,10 +19,9 @@ class Bittrex(Exchange):
     """
     # Base URL and API endpoints
     BASE_URL: str = 'https://www.bittrex.com'
-    TICKER_METHOD: str = BASE_URL + '/Api/v2.0/pub/market/GetTicks'
     PAIR_DETAIL_METHOD: str = BASE_URL + '/Market/Index'
     # Ticker inveral
-    TICKER_INTERVAL: str = 'fiveMin'
+    TICKER_INTERVAL: str = TICKINTERVAL_FIVEMIN
     # Sleep time to avoid rate limits, used in the main loop
     SLEEP_TIME: float = 25
 
@@ -34,19 +33,36 @@ class Bittrex(Exchange):
         global _API, _EXCHANGE_CONF
 
         _EXCHANGE_CONF.update(config)
-        _API = _Bittrex(api_key=_EXCHANGE_CONF['key'], api_secret=_EXCHANGE_CONF['secret'])
+        _API = _Bittrex(
+            api_key=_EXCHANGE_CONF['key'],
+            api_secret=_EXCHANGE_CONF['secret'],
+            api_version=API_V2_0,
+            calls_per_second=10,
+        )
 
     def buy(self, pair: str, rate: float, amount: float) -> str:
-        data = _API.buy_limit(pair.replace('_', '-'), amount, rate)
+        data = _API.trade_buy(
+            market=pair.replace('_', '-'),
+            order_type=ORDERTYPE_LIMIT,
+            quantity=amount,
+            rate=rate,
+            time_in_effect=TIMEINEFFECT_GOOD_TIL_CANCELLED,
+        )
         if not data['success']:
             raise RuntimeError('{}: {}'.format(self.name.upper(), data['message']))
-        return data['result']['uuid']
+        return data['result']['OrderId']
 
     def sell(self, pair: str, rate: float, amount: float) -> str:
-        data = _API.sell_limit(pair.replace('_', '-'), amount, rate)
+        data = _API.trade_sell(
+            market=pair.replace('_', '-'),
+            order_type=ORDERTYPE_LIMIT,
+            quantity=amount,
+            rate=rate,
+            time_in_effect=TIMEINEFFECT_GOOD_TIL_CANCELLED,
+        )
         if not data['success']:
             raise RuntimeError('{}: {}'.format(self.name.upper(), data['message']))
-        return data['result']['uuid']
+        return data['result']['OrderId']
 
     def get_balance(self, currency: str) -> float:
         data = _API.get_balance(currency)
@@ -54,29 +70,24 @@ class Bittrex(Exchange):
             raise RuntimeError('{}: {}'.format(self.name.upper(), data['message']))
         return float(data['result']['Balance'] or 0.0)
 
-    def get_ticker(self, pair: str) -> dict:
+    def get_ticker(self, pair: str) -> Dict[str, float]:
-        data = _API.get_ticker(pair.replace('_', '-'))
+        data = self.get_orderbook(pair, top_most=1)
+        return {
+            'bid': data['bid'][0]['Rate'],
+            'ask': data['ask'][0]['Rate'],
+        }
+
+    def get_orderbook(self, pair: str, top_most: Optional[int] = None) -> Dict[str, List[Dict]]:
+        data = _API.get_orderbook(pair.replace('_', '-'))
         if not data['success']:
             raise RuntimeError('{}: {}'.format(self.name.upper(), data['message']))
         return {
-            'bid': float(data['result']['Bid']),
+            'bid': data['result']['buy'][:top_most],
-            'ask': float(data['result']['Ask']),
+            'ask': data['result']['sell'][:top_most],
-            'last': float(data['result']['Last']),
         }
 
     def get_ticker_history(self, pair: str, minimum_date: Optional[arrow.Arrow] = None):
-        url = self.TICKER_METHOD
+        data = _API.get_candles(pair.replace('_', '-'), self.TICKER_INTERVAL)
-        headers = {
-            # TODO: Set as global setting
-            'User-Agent': 'Mozilla/5.0 (Windows NT 10.0; Win64; x64) AppleWebKit/537.36 (KHTML, like Gecko) Chrome/61.0.3163.100 Safari/537.36'
-        }
-        params = {
-            'marketName': pair.replace('_', '-'),
-            'tickInterval': self.TICKER_INTERVAL,
-            # TODO: Timestamp has no effect on API response
-            '_': minimum_date.timestamp * 1000
-        }
-        data = requests.get(url, params=params, headers=headers).json()
         if not data['success']:
             raise RuntimeError('{}: {}'.format(self.name.upper(), data['message']))
         return data

freqtrade/exchange/interface.py

@@ -1,5 +1,5 @@
 from abc import ABC, abstractmethod
-from typing import List, Optional
+from typing import List, Optional, Dict
 
 import arrow
 
@@ -50,14 +50,37 @@ class Exchange(ABC):
         """
 
     @abstractmethod
-    def get_ticker(self, pair: str) -> dict:
+    def get_ticker(self, pair: str) -> Dict[str, float]:
         """
         Gets ticker for given pair.
         :param pair: Pair as str, format: BTC_ETC
         :return: dict, format: {
             'bid': float,
-            'ask': float,
+            'ask': float
-            'last': float
+        }
+        """
+
+    @abstractmethod
+    def get_orderbook(self, pair: str, top_most: Optional[int] = None) -> Dict[str, List[Dict]]:
+        """
+        Gets orderbook for given pair.
+        :param pair: Pair as str, format: BTC_ETC
+        :param top_most: only return n top_most bids/sells (optional)
+        :return: dict, format: {
+            'bid': [
+                {
+                    'Quantity': float,
+                    'Rate': float,
+                },
+                ...
+            ],
+            'ask': [
+                {
+                    'Quantity': float,
+                    'Rate': float,
+                },
+                ...
+            ]
         }
         """
 

freqtrade/main.py

@@ -145,11 +145,15 @@ def handle_trade(trade: Trade) -> None:
 
 
 def get_target_bid(ticker: Dict[str, float]) -> float:
-    """ Calculates bid target between current ask price and last price """
+    """
-    if ticker['ask'] < ticker['last']:
+    Calculates bid target between
-        return ticker['ask']
+    bid and ask prices from the given orderbook
-    balance = _CONF['bid_strategy']['ask_last_balance']
+    :param ticker: ticker data
-    return ticker['ask'] + balance * (ticker['last'] - ticker['ask'])
+    :return: target bit as float
+    """
+    ask, bid = ticker['ask'], ticker['bid']
+    balance = _CONF['bid_strategy']['bid_ask_balance']
+    return bid + balance * (ask - bid)
 
 
 def create_trade(stake_amount: float) -> Optional[Trade]:

freqtrade/misc.py

@@ -51,14 +51,14 @@ CONF_SCHEMA = {
         'bid_strategy': {
             'type': 'object',
             'properties': {
-                'ask_last_balance': {
+                'bid_ask_balance': {
                     'type': 'number',
                     'minimum': 0,
                     'maximum': 1,
                     'exclusiveMaximum': False
                 },
             },
-            'required': ['ask_last_balance']
+            'required': ['bid_ask_balance']
         },
         'exchange': {'$ref': '#/definitions/exchange'},
         'telegram': {

freqtrade/persistence.py

@@ -5,7 +5,6 @@ from sqlalchemy import Boolean, Column, DateTime, Float, Integer, String, create
 from sqlalchemy.ext.declarative import declarative_base
 from sqlalchemy.orm.scoping import scoped_session
 from sqlalchemy.orm.session import sessionmaker
-from sqlalchemy.types import Enum
 
 from freqtrade import exchange
 

freqtrade/tests/test_main.py

@@ -25,7 +25,7 @@ def conf():
             "0": 0.02
         },
         "bid_strategy": {
-            "ask_last_balance": 0.0
+            "bid_ask_balance": 1.0
         },
         "exchange": {
             "name": "bittrex",
@@ -48,6 +48,7 @@ def conf():
     validate(configuration, CONF_SCHEMA)
     return configuration
 
+
 def test_create_trade(conf, mocker):
     mocker.patch.dict('freqtrade.main._CONF', conf)
     buy_signal = mocker.patch('freqtrade.main.get_buy_signal', side_effect=lambda _: True)
@@ -57,7 +58,6 @@ def test_create_trade(conf, mocker):
                           get_ticker=MagicMock(return_value={
                               'bid': 0.07256061,
                               'ask': 0.072661,
-                              'last': 0.07256061
                           }),
                           buy=MagicMock(return_value='mocked_order_id'))
     # Save state of current whitelist
@@ -82,6 +82,7 @@ def test_create_trade(conf, mocker):
         [call('BTC_ETH'), call('BTC_TKN'), call('BTC_TRST'), call('BTC_SWT')]
     )
 
+
 def test_handle_trade(conf, mocker):
     mocker.patch.dict('freqtrade.main._CONF', conf)
     mocker.patch.multiple('freqtrade.main.telegram', init=MagicMock(), send_msg=MagicMock())
@@ -90,7 +91,6 @@ def test_handle_trade(conf, mocker):
                           get_ticker=MagicMock(return_value={
                               'bid': 0.17256061,
                               'ask': 0.172661,
-                              'last': 0.17256061
                           }),
                           buy=MagicMock(return_value='mocked_order_id'))
     trade = Trade.query.filter(Trade.is_open.is_(True)).first()
@@ -101,6 +101,7 @@ def test_handle_trade(conf, mocker):
     assert trade.close_date is not None
     assert trade.open_order_id == 'dry_run'
 
+
 def test_close_trade(conf, mocker):
     mocker.patch.dict('freqtrade.main._CONF', conf)
     trade = Trade.query.filter(Trade.is_open.is_(True)).first()
@@ -113,14 +114,17 @@ def test_close_trade(conf, mocker):
     assert closed
     assert not trade.is_open
 
+
+def test_balance_fully_bid_side(mocker):
+    mocker.patch.dict('freqtrade.main._CONF', {'bid_strategy': {'bid_ask_balance': 0.0}})
+    assert get_target_bid({'bid': 10, 'ask': 20}) == 10
+
+
 def test_balance_fully_ask_side(mocker):
-    mocker.patch.dict('freqtrade.main._CONF', {'bid_strategy': {'ask_last_balance': 0.0}})
+    mocker.patch.dict('freqtrade.main._CONF', {'bid_strategy': {'bid_ask_balance': 1.0}})
-    assert get_target_bid({'ask': 20, 'last': 10}) == 20
+    assert get_target_bid({'bid': 10, 'ask': 20}) == 20
 
-def test_balance_fully_last_side(mocker):
-    mocker.patch.dict('freqtrade.main._CONF', {'bid_strategy': {'ask_last_balance': 1.0}})
-    assert get_target_bid({'ask': 20, 'last': 10}) == 10
 
-def test_balance_when_last_bigger_than_ask(mocker):
+def test_balance_half(mocker):
-    mocker.patch.dict('freqtrade.main._CONF', {'bid_strategy': {'ask_last_balance': 1.0}})
+    mocker.patch.dict('freqtrade.main._CONF', {'bid_strategy': {'bid_ask_balance': 0.5}})
-    assert get_target_bid({'ask': 5, 'last': 10}) == 5
+    assert get_target_bid({'bid': 10, 'ask': 20}) == 15

freqtrade/tests/test_telegram.py

@@ -25,7 +25,7 @@ def conf():
             "0": 0.02
         },
         "bid_strategy": {
-            "ask_last_balance": 0.0
+            "bid_ask_balance": 1.0,
         },
         "exchange": {
             "name": "bittrex",
@@ -46,6 +46,7 @@ def conf():
     validate(configuration, CONF_SCHEMA)
     return configuration
 
+
 @pytest.fixture
 def update():
     _update = Update(0)
@@ -67,7 +68,6 @@ def test_status_handle(conf, update, mocker):
                           get_ticker=MagicMock(return_value={
                               'bid': 0.07256061,
                               'ask': 0.072661,
-                              'last': 0.07256061
                           }),
                           buy=MagicMock(return_value='mocked_order_id'))
     init(conf, 'sqlite://')
@@ -82,6 +82,7 @@ def test_status_handle(conf, update, mocker):
     assert msg_mock.call_count == 2
     assert '[BTC_ETH]' in msg_mock.call_args_list[-1][0][0]
 
+
 def test_profit_handle(conf, update, mocker):
     mocker.patch.dict('freqtrade.main._CONF', conf)
     mocker.patch('freqtrade.main.get_buy_signal', side_effect=lambda _: True)
@@ -92,7 +93,6 @@ def test_profit_handle(conf, update, mocker):
                           get_ticker=MagicMock(return_value={
                               'bid': 0.07256061,
                               'ask': 0.072661,
-                              'last': 0.07256061
                           }),
                           buy=MagicMock(return_value='mocked_order_id'))
     init(conf, 'sqlite://')
@@ -112,6 +112,7 @@ def test_profit_handle(conf, update, mocker):
     assert msg_mock.call_count == 2
     assert '(100.00%)' in msg_mock.call_args_list[-1][0][0]
 
+
 def test_forcesell_handle(conf, update, mocker):
     mocker.patch.dict('freqtrade.main._CONF', conf)
     mocker.patch('freqtrade.main.get_buy_signal', side_effect=lambda _: True)
@@ -122,7 +123,6 @@ def test_forcesell_handle(conf, update, mocker):
                           get_ticker=MagicMock(return_value={
                               'bid': 0.07256061,
                               'ask': 0.072661,
-                              'last': 0.07256061
                           }),
                           buy=MagicMock(return_value='mocked_order_id'))
     init(conf, 'sqlite://')
@@ -140,6 +140,7 @@ def test_forcesell_handle(conf, update, mocker):
     assert 'Selling [BTC/ETH]' in msg_mock.call_args_list[-1][0][0]
     assert '0.072561' in msg_mock.call_args_list[-1][0][0]
 
+
 def test_performance_handle(conf, update, mocker):
     mocker.patch.dict('freqtrade.main._CONF', conf)
     mocker.patch('freqtrade.main.get_buy_signal', side_effect=lambda _: True)
@@ -150,7 +151,6 @@ def test_performance_handle(conf, update, mocker):
                           get_ticker=MagicMock(return_value={
                               'bid': 0.07256061,
                               'ask': 0.072661,
-                              'last': 0.07256061
                           }),
                           buy=MagicMock(return_value='mocked_order_id'))
     init(conf, 'sqlite://')
@@ -171,6 +171,7 @@ def test_performance_handle(conf, update, mocker):
     assert 'Performance' in msg_mock.call_args_list[-1][0][0]
     assert 'BTC_ETH	100.00%' in msg_mock.call_args_list[-1][0][0]
 
+
 def test_start_handle(conf, update, mocker):
     mocker.patch.dict('freqtrade.main._CONF', conf)
     msg_mock = MagicMock()
@@ -184,6 +185,7 @@ def test_start_handle(conf, update, mocker):
     assert get_state() == State.RUNNING
     assert msg_mock.call_count == 0
 
+
 def test_stop_handle(conf, update, mocker):
     mocker.patch.dict('freqtrade.main._CONF', conf)
     msg_mock = MagicMock()

requirements.txt

@@ -1,4 +1,4 @@
--e git+https://github.com/ericsomdahl/python-bittrex.git@d7033d0#egg=python-bittrex
+-e git+https://github.com/ericsomdahl/python-bittrex.git@0.2.0#egg=python-bittrex
 SQLAlchemy==1.1.14
 python-telegram-bot==8.1.1
 arrow==0.10.0

setup.py

@@ -15,7 +15,7 @@ setup(name='freqtrade',
       setup_requires=['pytest-runner'],
       tests_require=['pytest', 'pytest-mock', 'pytest-cov'],
       install_requires=[
-          'python-bittrex==0.1.3',
+          'python-bittrex==0.2.0',
           'SQLAlchemy==1.1.13',
           'python-telegram-bot==8.1.1',
           'arrow==0.10.0',
@@ -29,7 +29,7 @@ setup(name='freqtrade',
           'TA-Lib==0.4.10',
       ],
       dependency_links=[
-          "git+https://github.com/ericsomdahl/python-bittrex.git@d7033d0#egg=python-bittrex-0.1.3"
+          "git+https://github.com/ericsomdahl/python-bittrex.git@0.2.0#egg=python-bittrex-0.2.0"
       ],
       include_package_data=True,
       zip_safe=False,