Merge pull request #6463 from freqtrade/stoploss_simplify
Stoploss simplify - kucoin stoploss on exchange
This commit is contained in:
Matthias
GitHub
commit
f181cdeecd
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@ -177,6 +177,10 @@ Kucoin requires a passphrase for each api key, you will therefore need to add th
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Kucoin supports [time_in_force](configuration.md#understand-order_time_in_force).
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!!! Tip "Stoploss on Exchange"
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Kucoin supports `stoploss_on_exchange` and can use both stop-loss-market and stop-loss-limit orders. It provides great advantages, so we recommend to benefit from it.
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You can use either `"limit"` or `"market"` in the `order_types.stoploss` configuration setting to decide which type of stoploss shall be used.
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### Kucoin Blacklists
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For Kucoin, please add `"KCS/<STAKE>"` to your blacklist to avoid issues.
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@ -24,7 +24,7 @@ These modes can be configured with these values:
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```
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!!! Note
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Stoploss on exchange is only supported for Binance (stop-loss-limit), Kraken (stop-loss-market, stop-loss-limit) and FTX (stop limit and stop-market) as of now.
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Stoploss on exchange is only supported for Binance (stop-loss-limit), Kraken (stop-loss-market, stop-loss-limit), FTX (stop limit and stop-market) and kucoin (stop-limit and stop-market) as of now.
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<ins>Do not set too low/tight stoploss value if using stop loss on exchange!</ins>
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If set to low/tight then you have greater risk of missing fill on the order and stoploss will not work.
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@ -3,12 +3,8 @@ import logging
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from typing import Dict, List, Tuple
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import arrow
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import ccxt
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from freqtrade.exceptions import (DDosProtection, InsufficientFundsError, InvalidOrderException,
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OperationalException, TemporaryError)
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from freqtrade.exchange import Exchange
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from freqtrade.exchange.common import retrier
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logger = logging.getLogger(__name__)
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@ -18,6 +14,7 @@ class Binance(Exchange):
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_ft_has: Dict = {
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"stoploss_on_exchange": True,
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"stoploss_order_types": {"limit": "stop_loss_limit"},
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"order_time_in_force": ['gtc', 'fok', 'ioc'],
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"time_in_force_parameter": "timeInForce",
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"ohlcv_candle_limit": 1000,
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@ -33,65 +30,6 @@ class Binance(Exchange):
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"""
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return order['type'] == 'stop_loss_limit' and stop_loss > float(order['info']['stopPrice'])
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@retrier(retries=0)
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def stoploss(self, pair: str, amount: float, stop_price: float, order_types: Dict) -> Dict:
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"""
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creates a stoploss limit order.
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this stoploss-limit is binance-specific.
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It may work with a limited number of other exchanges, but this has not been tested yet.
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"""
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# Limit price threshold: As limit price should always be below stop-price
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limit_price_pct = order_types.get('stoploss_on_exchange_limit_ratio', 0.99)
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rate = stop_price * limit_price_pct
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ordertype = "stop_loss_limit"
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stop_price = self.price_to_precision(pair, stop_price)
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# Ensure rate is less than stop price
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if stop_price <= rate:
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raise OperationalException(
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'In stoploss limit order, stop price should be more than limit price')
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if self._config['dry_run']:
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dry_order = self.create_dry_run_order(
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pair, ordertype, "sell", amount, stop_price)
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return dry_order
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try:
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params = self._params.copy()
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params.update({'stopPrice': stop_price})
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amount = self.amount_to_precision(pair, amount)
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rate = self.price_to_precision(pair, rate)
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order = self._api.create_order(symbol=pair, type=ordertype, side='sell',
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amount=amount, price=rate, params=params)
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logger.info('stoploss limit order added for %s. '
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'stop price: %s. limit: %s', pair, stop_price, rate)
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self._log_exchange_response('create_stoploss_order', order)
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return order
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except ccxt.InsufficientFunds as e:
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raise InsufficientFundsError(
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f'Insufficient funds to create {ordertype} sell order on market {pair}. '
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f'Tried to sell amount {amount} at rate {rate}. '
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f'Message: {e}') from e
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except ccxt.InvalidOrder as e:
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# Errors:
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# `binance Order would trigger immediately.`
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raise InvalidOrderException(
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f'Could not create {ordertype} sell order on market {pair}. '
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f'Tried to sell amount {amount} at rate {rate}. '
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f'Message: {e}') from e
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except ccxt.DDoSProtection as e:
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raise DDosProtection(e) from e
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except (ccxt.NetworkError, ccxt.ExchangeError) as e:
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raise TemporaryError(
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f'Could not place sell order due to {e.__class__.__name__}. Message: {e}') from e
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except ccxt.BaseError as e:
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raise OperationalException(e) from e
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async def _async_get_historic_ohlcv(self, pair: str, timeframe: str,
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since_ms: int, is_new_pair: bool = False,
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raise_: bool = False
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@ -600,7 +600,8 @@ class Exchange:
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# Dry-run methods
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def create_dry_run_order(self, pair: str, ordertype: str, side: str, amount: float,
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rate: float, params: Dict = {}) -> Dict[str, Any]:
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rate: float, params: Dict = {},
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stop_loss: bool = False) -> Dict[str, Any]:
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order_id = f'dry_run_{side}_{datetime.now().timestamp()}'
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_amount = self.amount_to_precision(pair, amount)
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dry_order: Dict[str, Any] = {
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@ -616,14 +617,17 @@ class Exchange:
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'remaining': _amount,
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'datetime': arrow.utcnow().strftime('%Y-%m-%dT%H:%M:%S.%fZ'),
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'timestamp': arrow.utcnow().int_timestamp * 1000,
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'status': "closed" if ordertype == "market" else "open",
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'status': "closed" if ordertype == "market" and not stop_loss else "open",
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'fee': None,
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'info': {}
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}
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if dry_order["type"] in ["stop_loss_limit", "stop-loss-limit"]:
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if stop_loss:
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dry_order["info"] = {"stopPrice": dry_order["price"]}
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dry_order["stopPrice"] = dry_order["price"]
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# Workaround to avoid filling stoploss orders immediately
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dry_order["ft_order_type"] = "stoploss"
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if dry_order["type"] == "market":
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if dry_order["type"] == "market" and not dry_order.get("ft_order_type"):
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# Update market order pricing
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average = self.get_dry_market_fill_price(pair, side, amount, rate)
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dry_order.update({
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@ -714,7 +718,9 @@ class Exchange:
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"""
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Check dry-run limit order fill and update fee (if it filled).
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"""
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if order['status'] != "closed" and order['type'] in ["limit"]:
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if (order['status'] != "closed"
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and order['type'] in ["limit"]
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and not order.get('ft_order_type')):
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pair = order['symbol']
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if self._is_dry_limit_order_filled(pair, order['side'], order['price']):
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order.update({
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@ -791,18 +797,89 @@ class Exchange:
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"""
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raise OperationalException(f"stoploss is not implemented for {self.name}.")
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def _get_stop_params(self, ordertype: str, stop_price: float) -> Dict:
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params = self._params.copy()
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# Verify if stopPrice works for your exchange!
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params.update({'stopPrice': stop_price})
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return params
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@retrier(retries=0)
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def stoploss(self, pair: str, amount: float, stop_price: float, order_types: Dict) -> Dict:
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"""
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creates a stoploss order.
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requires `_ft_has['stoploss_order_types']` to be set as a dict mapping limit and market
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to the corresponding exchange type.
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The precise ordertype is determined by the order_types dict or exchange default.
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Since ccxt does not unify stoploss-limit orders yet, this needs to be implemented in each
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exchange's subclass.
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The exception below should never raise, since we disallow
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starting the bot in validate_ordertypes()
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Note: Changes to this interface need to be applied to all sub-classes too.
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"""
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raise OperationalException(f"stoploss is not implemented for {self.name}.")
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This may work with a limited number of other exchanges, but correct working
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needs to be tested individually.
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WARNING: setting `stoploss_on_exchange` to True will NOT auto-enable stoploss on exchange.
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`stoploss_adjust` must still be implemented for this to work.
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"""
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if not self._ft_has['stoploss_on_exchange']:
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raise OperationalException(f"stoploss is not implemented for {self.name}.")
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user_order_type = order_types.get('stoploss', 'market')
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if user_order_type in self._ft_has["stoploss_order_types"].keys():
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ordertype = self._ft_has["stoploss_order_types"][user_order_type]
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else:
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# Otherwise pick only one available
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ordertype = list(self._ft_has["stoploss_order_types"].values())[0]
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user_order_type = list(self._ft_has["stoploss_order_types"].keys())[0]
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stop_price_norm = self.price_to_precision(pair, stop_price)
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rate = None
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if user_order_type == 'limit':
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# Limit price threshold: As limit price should always be below stop-price
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limit_price_pct = order_types.get('stoploss_on_exchange_limit_ratio', 0.99)
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rate = stop_price * limit_price_pct
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# Ensure rate is less than stop price
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if stop_price_norm <= rate:
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raise OperationalException(
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'In stoploss limit order, stop price should be more than limit price')
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rate = self.price_to_precision(pair, rate)
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if self._config['dry_run']:
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dry_order = self.create_dry_run_order(
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pair, ordertype, "sell", amount, stop_price_norm, stop_loss=True)
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return dry_order
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try:
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params = self._get_stop_params(ordertype=ordertype, stop_price=stop_price_norm)
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amount = self.amount_to_precision(pair, amount)
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order = self._api.create_order(symbol=pair, type=ordertype, side='sell',
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amount=amount, price=rate, params=params)
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logger.info(f"stoploss {user_order_type} order added for {pair}. "
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f"stop price: {stop_price}. limit: {rate}")
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self._log_exchange_response('create_stoploss_order', order)
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return order
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except ccxt.InsufficientFunds as e:
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raise InsufficientFundsError(
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f'Insufficient funds to create {ordertype} sell order on market {pair}. '
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f'Tried to sell amount {amount} at rate {rate}. '
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f'Message: {e}') from e
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except ccxt.InvalidOrder as e:
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# Errors:
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# `Order would trigger immediately.`
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raise InvalidOrderException(
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f'Could not create {ordertype} sell order on market {pair}. '
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f'Tried to sell amount {amount} at rate {rate}. '
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f'Message: {e}') from e
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except ccxt.DDoSProtection as e:
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raise DDosProtection(e) from e
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except (ccxt.NetworkError, ccxt.ExchangeError) as e:
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raise TemporaryError(
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f"Could not place stoploss order due to {e.__class__.__name__}. "
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f"Message: {e}") from e
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except ccxt.BaseError as e:
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raise OperationalException(e) from e
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@retrier(retries=API_FETCH_ORDER_RETRY_COUNT)
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def fetch_order(self, order_id: str, pair: str) -> Dict:
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@ -56,7 +56,7 @@ class Ftx(Exchange):
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if self._config['dry_run']:
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dry_order = self.create_dry_run_order(
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pair, ordertype, "sell", amount, stop_price)
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pair, ordertype, "sell", amount, stop_price, stop_loss=True)
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return dry_order
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try:
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@ -86,6 +86,8 @@ class Kraken(Exchange):
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"""
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Creates a stoploss market order.
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Stoploss market orders is the only stoploss type supported by kraken.
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TODO: investigate if this can be combined with generic implementation
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(careful, prices are reversed)
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"""
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params = self._params.copy()
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@ -101,7 +103,7 @@ class Kraken(Exchange):
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if self._config['dry_run']:
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dry_order = self.create_dry_run_order(
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pair, ordertype, "sell", amount, stop_price)
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pair, ordertype, "sell", amount, stop_price, stop_loss=True)
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return dry_order
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try:
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@ -19,8 +19,26 @@ class Kucoin(Exchange):
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"""
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_ft_has: Dict = {
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"stoploss_on_exchange": True,
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"stoploss_order_types": {"limit": "limit", "market": "market"},
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"l2_limit_range": [20, 100],
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"l2_limit_range_required": False,
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"order_time_in_force": ['gtc', 'fok', 'ioc'],
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"time_in_force_parameter": "timeInForce",
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}
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def stoploss_adjust(self, stop_loss: float, order: Dict) -> bool:
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"""
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Verify stop_loss against stoploss-order value (limit or price)
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Returns True if adjustment is necessary.
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"""
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return order['info'].get('stop') is not None and stop_loss > float(order['stopPrice'])
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def _get_stop_params(self, ordertype: str, stop_price: float) -> Dict:
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params = self._params.copy()
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params.update({
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'stopPrice': stop_price,
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'stop': 'loss'
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})
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return params
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@ -900,7 +900,7 @@ class FreqtradeBot(LoggingMixin):
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return False
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def handle_trailing_stoploss_on_exchange(self, trade: Trade, order: dict) -> None:
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def handle_trailing_stoploss_on_exchange(self, trade: Trade, order: Dict) -> None:
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"""
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Check to see if stoploss on exchange should be updated
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in case of trailing stoploss on exchange
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@ -1170,8 +1170,8 @@ class FreqtradeBot(LoggingMixin):
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# if stoploss is on exchange and we are on dry_run mode,
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# we consider the sell price stop price
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if self.config['dry_run'] and sell_type == 'stoploss' \
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and self.strategy.order_types['stoploss_on_exchange']:
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if (self.config['dry_run'] and sell_type == 'stoploss'
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and self.strategy.order_types['stoploss_on_exchange']):
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limit = trade.stop_loss
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# set custom_exit_price if available
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@ -0,0 +1,120 @@
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from random import randint
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from unittest.mock import MagicMock
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import ccxt
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import pytest
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from freqtrade.exceptions import DependencyException, InvalidOrderException, OperationalException
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from tests.conftest import get_patched_exchange
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from tests.exchange.test_exchange import ccxt_exceptionhandlers
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@pytest.mark.parametrize('order_type', ['market', 'limit'])
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@pytest.mark.parametrize('limitratio,expected', [
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(None, 220 * 0.99),
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(0.99, 220 * 0.99),
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(0.98, 220 * 0.98),
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])
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def test_stoploss_order_kucoin(default_conf, mocker, limitratio, expected, order_type):
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api_mock = MagicMock()
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order_id = 'test_prod_buy_{}'.format(randint(0, 10 ** 6))
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api_mock.create_order = MagicMock(return_value={
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'id': order_id,
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'info': {
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'foo': 'bar'
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}
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})
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default_conf['dry_run'] = False
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mocker.patch('freqtrade.exchange.Exchange.amount_to_precision', lambda s, x, y: y)
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mocker.patch('freqtrade.exchange.Exchange.price_to_precision', lambda s, x, y: y)
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exchange = get_patched_exchange(mocker, default_conf, api_mock, 'kucoin')
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if order_type == 'limit':
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with pytest.raises(OperationalException):
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order = exchange.stoploss(pair='ETH/BTC', amount=1, stop_price=190,
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order_types={
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'stoploss': order_type,
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'stoploss_on_exchange_limit_ratio': 1.05})
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api_mock.create_order.reset_mock()
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order_types = {'stoploss': order_type}
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if limitratio is not None:
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order_types.update({'stoploss_on_exchange_limit_ratio': limitratio})
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order = exchange.stoploss(pair='ETH/BTC', amount=1, stop_price=220, order_types=order_types)
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assert 'id' in order
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assert 'info' in order
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assert order['id'] == order_id
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assert api_mock.create_order.call_args_list[0][1]['symbol'] == 'ETH/BTC'
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assert api_mock.create_order.call_args_list[0][1]['type'] == order_type
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assert api_mock.create_order.call_args_list[0][1]['side'] == 'sell'
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assert api_mock.create_order.call_args_list[0][1]['amount'] == 1
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# Price should be 1% below stopprice
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if order_type == 'limit':
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assert api_mock.create_order.call_args_list[0][1]['price'] == expected
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else:
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assert api_mock.create_order.call_args_list[0][1]['price'] is None
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assert api_mock.create_order.call_args_list[0][1]['params'] == {
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'stopPrice': 220,
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'stop': 'loss'
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}
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# test exception handling
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with pytest.raises(DependencyException):
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api_mock.create_order = MagicMock(side_effect=ccxt.InsufficientFunds("0 balance"))
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exchange = get_patched_exchange(mocker, default_conf, api_mock, 'kucoin')
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exchange.stoploss(pair='ETH/BTC', amount=1, stop_price=220, order_types={})
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with pytest.raises(InvalidOrderException):
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api_mock.create_order = MagicMock(
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side_effect=ccxt.InvalidOrder("kucoin Order would trigger immediately."))
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exchange = get_patched_exchange(mocker, default_conf, api_mock, 'kucoin')
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exchange.stoploss(pair='ETH/BTC', amount=1, stop_price=220, order_types={})
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ccxt_exceptionhandlers(mocker, default_conf, api_mock, "kucoin",
|
||||
"stoploss", "create_order", retries=1,
|
||||
pair='ETH/BTC', amount=1, stop_price=220, order_types={})
|
||||
|
||||
|
||||
def test_stoploss_order_dry_run_kucoin(default_conf, mocker):
|
||||
api_mock = MagicMock()
|
||||
order_type = 'market'
|
||||
default_conf['dry_run'] = True
|
||||
mocker.patch('freqtrade.exchange.Exchange.amount_to_precision', lambda s, x, y: y)
|
||||
mocker.patch('freqtrade.exchange.Exchange.price_to_precision', lambda s, x, y: y)
|
||||
|
||||
exchange = get_patched_exchange(mocker, default_conf, api_mock, 'kucoin')
|
||||
|
||||
with pytest.raises(OperationalException):
|
||||
order = exchange.stoploss(pair='ETH/BTC', amount=1, stop_price=190,
|
||||
order_types={'stoploss': 'limit',
|
||||
'stoploss_on_exchange_limit_ratio': 1.05})
|
||||
|
||||
api_mock.create_order.reset_mock()
|
||||
|
||||
order = exchange.stoploss(pair='ETH/BTC', amount=1, stop_price=220, order_types={})
|
||||
|
||||
assert 'id' in order
|
||||
assert 'info' in order
|
||||
assert 'type' in order
|
||||
|
||||
assert order['type'] == order_type
|
||||
assert order['price'] == 220
|
||||
assert order['amount'] == 1
|
||||
|
||||
|
||||
def test_stoploss_adjust_kucoin(mocker, default_conf):
|
||||
exchange = get_patched_exchange(mocker, default_conf, id='kucoin')
|
||||
order = {
|
||||
'type': 'limit',
|
||||
'price': 1500,
|
||||
'stopPrice': 1500,
|
||||
'info': {'stopPrice': 1500, 'stop': "limit"},
|
||||
}
|
||||
assert exchange.stoploss_adjust(1501, order)
|
||||
assert not exchange.stoploss_adjust(1499, order)
|
||||
# Test with invalid order case
|
||||
order['info']['stop'] = None
|
||||
assert not exchange.stoploss_adjust(1501, order)
|
||||
Loading…
Reference in New Issue