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Exchange stoploss function takes side

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This commit is contained in:
Sam Germain 2021-07-26 00:01:57 -06:00
parent ebf5310817
commit f4e26a616f
10 changed files with 85 additions and 58 deletions
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9
freqtrade/exchange/binance.py
View File

@ -25,20 +25,25 @@ class Binance(Exchange):
"l2_limit_range": [5, 10, 20, 50, 100, 500, 1000],
}
def stoploss_adjust(self, stop_loss: float, order: Dict) -> bool:
def stoploss_adjust(self, stop_loss: float, order: Dict, side: str) -> bool:
"""
Verify stop_loss against stoploss-order value (limit or price)
Returns True if adjustment is necessary.
:param side: "buy" or "sell"
"""
# TODO-mg: Short support
return order['type'] == 'stop_loss_limit' and stop_loss > float(order['info']['stopPrice'])
@retrier(retries=0)
def stoploss(self, pair: str, amount: float, stop_price: float, order_types: Dict) -> Dict:
def stoploss(self, pair: str, amount: float,
stop_price: float, order_types: Dict, side: str) -> Dict:
"""
creates a stoploss limit order.
this stoploss-limit is binance-specific.
It may work with a limited number of other exchanges, but this has not been tested yet.
:param side: "buy" or "sell"
"""
# TODO-mg: Short support
# Limit price threshold: As limit price should always be below stop-price
limit_price_pct = order_types.get('stoploss_on_exchange_limit_ratio', 0.99)
rate = stop_price * limit_price_pct

5
freqtrade/exchange/exchange.py
View File

@ -802,14 +802,15 @@ class Exchange:
):
raise OperationalException(f"Leverage is not available on {self.name} using freqtrade")
def stoploss_adjust(self, stop_loss: float, order: Dict) -> bool:
def stoploss_adjust(self, stop_loss: float, order: Dict, side: str) -> bool:
"""
Verify stop_loss against stoploss-order value (limit or price)
Returns True if adjustment is necessary.
"""
raise OperationalException(f"stoploss is not implemented for {self.name}.")
def stoploss(self, pair: str, amount: float, stop_price: float, order_types: Dict) -> Dict:
def stoploss(self, pair: str, amount: float,
stop_price: float, order_types: Dict, side: str) -> Dict:
"""
creates a stoploss order.
The precise ordertype is determined by the order_types dict or exchange default.

8
freqtrade/exchange/ftx.py
View File

@ -31,21 +31,25 @@ class Ftx(Exchange):
return (parent_check and
market.get('spot', False) is True)
def stoploss_adjust(self, stop_loss: float, order: Dict) -> bool:
def stoploss_adjust(self, stop_loss: float, order: Dict, side: str) -> bool:
"""
Verify stop_loss against stoploss-order value (limit or price)
Returns True if adjustment is necessary.
"""
# TODO-mg: Short support
return order['type'] == 'stop' and stop_loss > float(order['price'])
@retrier(retries=0)
def stoploss(self, pair: str, amount: float, stop_price: float, order_types: Dict) -> Dict:
def stoploss(self, pair: str, amount: float,
stop_price: float, order_types: Dict, side: str) -> Dict:
"""
Creates a stoploss order.
depending on order_types.stoploss configuration, uses 'market' or limit order.
Limit orders are defined by having orderPrice set, otherwise a market order is used.
"""
# TODO-mg: Short support
limit_price_pct = order_types.get('stoploss_on_exchange_limit_ratio', 0.99)
limit_rate = stop_price * limit_price_pct

7
freqtrade/exchange/kraken.py
View File

@ -67,20 +67,23 @@ class Kraken(Exchange):
except ccxt.BaseError as e:
raise OperationalException(e) from e
def stoploss_adjust(self, stop_loss: float, order: Dict) -> bool:
def stoploss_adjust(self, stop_loss: float, order: Dict, side: str) -> bool:
"""
Verify stop_loss against stoploss-order value (limit or price)
Returns True if adjustment is necessary.
"""
# TODO-mg: Short support
return (order['type'] in ('stop-loss', 'stop-loss-limit')
and stop_loss > float(order['price']))
@retrier(retries=0)
def stoploss(self, pair: str, amount: float, stop_price: float, order_types: Dict) -> Dict:
def stoploss(self, pair: str, amount: float,
stop_price: float, order_types: Dict, side: str) -> Dict:
"""
Creates a stoploss market order.
Stoploss market orders is the only stoploss type supported by kraken.
"""
# TODO-mg: Short support
params = self._params.copy()
if order_types.get('stoploss', 'market') == 'limit':

16
freqtrade/freqtradebot.py
View File

@ -728,9 +728,13 @@ class FreqtradeBot(LoggingMixin):
:return: True if the order succeeded, and False in case of problems.
"""
try:
stoploss_order = self.exchange.stoploss(pair=trade.pair, amount=trade.amount,
stop_price=stop_price,
order_types=self.strategy.order_types)
stoploss_order = self.exchange.stoploss(
pair=trade.pair,
amount=trade.amount,
stop_price=stop_price,
order_types=self.strategy.order_types,
side=trade.exit_side
)
order_obj = Order.parse_from_ccxt_object(stoploss_order, trade.pair, 'stoploss')
trade.orders.append(order_obj)
@ -819,11 +823,11 @@ class FreqtradeBot(LoggingMixin):
# if trailing stoploss is enabled we check if stoploss value has changed
# in which case we cancel stoploss order and put another one with new
# value immediately
self.handle_trailing_stoploss_on_exchange(trade, stoploss_order)
self.handle_trailing_stoploss_on_exchange(trade, stoploss_order, side=trade.exit_side)
return False
def handle_trailing_stoploss_on_exchange(self, trade: Trade, order: dict) -> None:
def handle_trailing_stoploss_on_exchange(self, trade: Trade, order: dict, side: str) -> None:
"""
Check to see if stoploss on exchange should be updated
in case of trailing stoploss on exchange
@ -831,7 +835,7 @@ class FreqtradeBot(LoggingMixin):
:param order: Current on exchange stoploss order
:return: None
"""
if self.exchange.stoploss_adjust(trade.stop_loss, order):
if self.exchange.stoploss_adjust(trade.stop_loss, order, side):
# we check if the update is necessary
update_beat = self.strategy.order_types.get('stoploss_on_exchange_interval', 60)
if (datetime.utcnow() - trade.stoploss_last_update).total_seconds() >= update_beat:

21
tests/exchange/test_binance.py
View File

@ -32,12 +32,13 @@ def test_stoploss_order_binance(default_conf, mocker, limitratio, expected):
exchange = get_patched_exchange(mocker, default_conf, api_mock, 'binance')
with pytest.raises(OperationalException):
order = exchange.stoploss(pair='ETH/BTC', amount=1, stop_price=190,
order = exchange.stoploss(pair='ETH/BTC', amount=1, stop_price=190, side="sell",
order_types={'stoploss_on_exchange_limit_ratio': 1.05})
api_mock.create_order.reset_mock()
order_types = {} if limitratio is None else {'stoploss_on_exchange_limit_ratio': limitratio}
order = exchange.stoploss(pair='ETH/BTC', amount=1, stop_price=220, order_types=order_types)
order = exchange.stoploss(pair='ETH/BTC', amount=1, stop_price=220,
order_types=order_types, side="sell")
assert 'id' in order
assert 'info' in order
@ -54,17 +55,17 @@ def test_stoploss_order_binance(default_conf, mocker, limitratio, expected):
with pytest.raises(DependencyException):
api_mock.create_order = MagicMock(side_effect=ccxt.InsufficientFunds("0 balance"))
exchange = get_patched_exchange(mocker, default_conf, api_mock, 'binance')
exchange.stoploss(pair='ETH/BTC', amount=1, stop_price=220, order_types={})
exchange.stoploss(pair='ETH/BTC', amount=1, stop_price=220, order_types={}, side="sell")
with pytest.raises(InvalidOrderException):
api_mock.create_order = MagicMock(
side_effect=ccxt.InvalidOrder("binance Order would trigger immediately."))
exchange = get_patched_exchange(mocker, default_conf, api_mock, 'binance')
exchange.stoploss(pair='ETH/BTC', amount=1, stop_price=220, order_types={})
exchange.stoploss(pair='ETH/BTC', amount=1, stop_price=220, order_types={}, side="sell")
ccxt_exceptionhandlers(mocker, default_conf, api_mock, "binance",
"stoploss", "create_order", retries=1,
pair='ETH/BTC', amount=1, stop_price=220, order_types={})
pair='ETH/BTC', amount=1, stop_price=220, order_types={}, side="sell")
def test_stoploss_order_dry_run_binance(default_conf, mocker):
@ -77,12 +78,12 @@ def test_stoploss_order_dry_run_binance(default_conf, mocker):
exchange = get_patched_exchange(mocker, default_conf, api_mock, 'binance')
with pytest.raises(OperationalException):
order = exchange.stoploss(pair='ETH/BTC', amount=1, stop_price=190,
order = exchange.stoploss(pair='ETH/BTC', amount=1, stop_price=190, side="sell",
order_types={'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={})
order = exchange.stoploss(pair='ETH/BTC', amount=1, stop_price=220, order_types={}, side="sell")
assert 'id' in order
assert 'info' in order
@ -100,8 +101,8 @@ def test_stoploss_adjust_binance(mocker, default_conf):
'price': 1500,
'info': {'stopPrice': 1500},
}
assert exchange.stoploss_adjust(1501, order)
assert not exchange.stoploss_adjust(1499, order)
assert exchange.stoploss_adjust(1501, order, side="sell")
assert not exchange.stoploss_adjust(1499, order, side="sell")
# Test with invalid order case
order['type'] = 'stop_loss'
assert not exchange.stoploss_adjust(1501, order)
assert not exchange.stoploss_adjust(1501, order, side="sell")

4
tests/exchange/test_exchange.py
View File

@ -2581,10 +2581,10 @@ def test_get_fee(default_conf, mocker, exchange_name):
def test_stoploss_order_unsupported_exchange(default_conf, mocker):
exchange = get_patched_exchange(mocker, default_conf, id='bittrex')
with pytest.raises(OperationalException, match=r"stoploss is not implemented .*"):
exchange.stoploss(pair='ETH/BTC', amount=1, stop_price=220, order_types={})
exchange.stoploss(pair='ETH/BTC', amount=1, stop_price=220, order_types={}, side="sell")
with pytest.raises(OperationalException, match=r"stoploss is not implemented .*"):
exchange.stoploss_adjust(1, {})
exchange.stoploss_adjust(1, {}, side="sell")
def test_merge_ft_has_dict(default_conf, mocker):

20
tests/exchange/test_ftx.py
View File

@ -32,7 +32,7 @@ def test_stoploss_order_ftx(default_conf, mocker):
exchange = get_patched_exchange(mocker, default_conf, api_mock, 'ftx')
# stoploss_on_exchange_limit_ratio is irrelevant for ftx market orders
order = exchange.stoploss(pair='ETH/BTC', amount=1, stop_price=190,
order = exchange.stoploss(pair='ETH/BTC', amount=1, stop_price=190, side="sell",
order_types={'stoploss_on_exchange_limit_ratio': 1.05})
assert api_mock.create_order.call_args_list[0][1]['symbol'] == 'ETH/BTC'
@ -47,7 +47,7 @@ def test_stoploss_order_ftx(default_conf, mocker):
api_mock.create_order.reset_mock()
order = exchange.stoploss(pair='ETH/BTC', amount=1, stop_price=220, order_types={})
order = exchange.stoploss(pair='ETH/BTC', amount=1, stop_price=220, order_types={}, side="sell")
assert 'id' in order
assert 'info' in order
@ -61,7 +61,7 @@ def test_stoploss_order_ftx(default_conf, mocker):
api_mock.create_order.reset_mock()
order = exchange.stoploss(pair='ETH/BTC', amount=1, stop_price=220,
order_types={'stoploss': 'limit'})
order_types={'stoploss': 'limit'}, side="sell")
assert 'id' in order
assert 'info' in order
@ -78,17 +78,17 @@ def test_stoploss_order_ftx(default_conf, mocker):
with pytest.raises(DependencyException):
api_mock.create_order = MagicMock(side_effect=ccxt.InsufficientFunds("0 balance"))
exchange = get_patched_exchange(mocker, default_conf, api_mock, 'ftx')
exchange.stoploss(pair='ETH/BTC', amount=1, stop_price=220, order_types={})
exchange.stoploss(pair='ETH/BTC', amount=1, stop_price=220, order_types={}, side="sell")
with pytest.raises(InvalidOrderException):
api_mock.create_order = MagicMock(
side_effect=ccxt.InvalidOrder("ftx Order would trigger immediately."))
exchange = get_patched_exchange(mocker, default_conf, api_mock, 'ftx')
exchange.stoploss(pair='ETH/BTC', amount=1, stop_price=220, order_types={})
exchange.stoploss(pair='ETH/BTC', amount=1, stop_price=220, order_types={}, side="sell")
ccxt_exceptionhandlers(mocker, default_conf, api_mock, "ftx",
"stoploss", "create_order", retries=1,
pair='ETH/BTC', amount=1, stop_price=220, order_types={})
pair='ETH/BTC', amount=1, stop_price=220, order_types={}, side="sell")
def test_stoploss_order_dry_run_ftx(default_conf, mocker):
@ -101,7 +101,7 @@ def test_stoploss_order_dry_run_ftx(default_conf, mocker):
api_mock.create_order.reset_mock()
order = exchange.stoploss(pair='ETH/BTC', amount=1, stop_price=220, order_types={})
order = exchange.stoploss(pair='ETH/BTC', amount=1, stop_price=220, order_types={}, side="sell")
assert 'id' in order
assert 'info' in order
@ -118,11 +118,11 @@ def test_stoploss_adjust_ftx(mocker, default_conf):
'type': STOPLOSS_ORDERTYPE,
'price': 1500,
}
assert exchange.stoploss_adjust(1501, order)
assert not exchange.stoploss_adjust(1499, order)
assert exchange.stoploss_adjust(1501, order, side="sell")
assert not exchange.stoploss_adjust(1499, order, side="sell")
# Test with invalid order case ...
order['type'] = 'stop_loss_limit'
assert not exchange.stoploss_adjust(1501, order)
assert not exchange.stoploss_adjust(1501, order, side="sell")
def test_fetch_stoploss_order(default_conf, mocker, limit_sell_order):

16
tests/exchange/test_kraken.py
View File

@ -183,7 +183,7 @@ def test_stoploss_order_kraken(default_conf, mocker, ordertype):
exchange = get_patched_exchange(mocker, default_conf, api_mock, 'kraken')
order = exchange.stoploss(pair='ETH/BTC', amount=1, stop_price=220,
order = exchange.stoploss(pair='ETH/BTC', amount=1, stop_price=220, side="sell",
order_types={'stoploss': ordertype,
'stoploss_on_exchange_limit_ratio': 0.99
})
@ -208,17 +208,17 @@ def test_stoploss_order_kraken(default_conf, mocker, ordertype):
with pytest.raises(DependencyException):
api_mock.create_order = MagicMock(side_effect=ccxt.InsufficientFunds("0 balance"))
exchange = get_patched_exchange(mocker, default_conf, api_mock, 'kraken')
exchange.stoploss(pair='ETH/BTC', amount=1, stop_price=220, order_types={})
exchange.stoploss(pair='ETH/BTC', amount=1, stop_price=220, order_types={}, side="sell")
with pytest.raises(InvalidOrderException):
api_mock.create_order = MagicMock(
side_effect=ccxt.InvalidOrder("kraken Order would trigger immediately."))
exchange = get_patched_exchange(mocker, default_conf, api_mock, 'kraken')
exchange.stoploss(pair='ETH/BTC', amount=1, stop_price=220, order_types={})
exchange.stoploss(pair='ETH/BTC', amount=1, stop_price=220, order_types={}, side="sell")
ccxt_exceptionhandlers(mocker, default_conf, api_mock, "kraken",
"stoploss", "create_order", retries=1,
pair='ETH/BTC', amount=1, stop_price=220, order_types={})
pair='ETH/BTC', amount=1, stop_price=220, order_types={}, side="sell")
def test_stoploss_order_dry_run_kraken(default_conf, mocker):
@ -231,7 +231,7 @@ def test_stoploss_order_dry_run_kraken(default_conf, mocker):
api_mock.create_order.reset_mock()
order = exchange.stoploss(pair='ETH/BTC', amount=1, stop_price=220, order_types={})
order = exchange.stoploss(pair='ETH/BTC', amount=1, stop_price=220, order_types={}, side="sell")
assert 'id' in order
assert 'info' in order
@ -248,8 +248,8 @@ def test_stoploss_adjust_kraken(mocker, default_conf):
'type': STOPLOSS_ORDERTYPE,
'price': 1500,
}
assert exchange.stoploss_adjust(1501, order)
assert not exchange.stoploss_adjust(1499, order)
assert exchange.stoploss_adjust(1501, order, side="sell")
assert not exchange.stoploss_adjust(1499, order, side="sell")
# Test with invalid order case ...
order['type'] = 'stop_loss_limit'
assert not exchange.stoploss_adjust(1501, order)
assert not exchange.stoploss_adjust(1501, order, side="sell")

37
tests/test_freqtradebot.py
View File

@ -1343,10 +1343,13 @@ def test_handle_stoploss_on_exchange_trailing(mocker, default_conf, fee,
assert freqtrade.handle_stoploss_on_exchange(trade) is False
cancel_order_mock.assert_called_once_with(100, 'ETH/BTC')
stoploss_order_mock.assert_called_once_with(amount=85.32423208,
pair='ETH/BTC',
order_types=freqtrade.strategy.order_types,
stop_price=0.00002346 * 0.95)
stoploss_order_mock.assert_called_once_with(
amount=85.32423208,
pair='ETH/BTC',
order_types=freqtrade.strategy.order_types,
stop_price=0.00002346 * 0.95,
side="sell"
)
# price fell below stoploss, so dry-run sells trade.
mocker.patch('freqtrade.exchange.Exchange.fetch_ticker', MagicMock(return_value={
@ -1417,7 +1420,7 @@ def test_handle_stoploss_on_exchange_trailing_error(mocker, default_conf, fee, c
side_effect=InvalidOrderException())
mocker.patch('freqtrade.exchange.Binance.fetch_stoploss_order',
return_value=stoploss_order_hanging)
freqtrade.handle_trailing_stoploss_on_exchange(trade, stoploss_order_hanging)
freqtrade.handle_trailing_stoploss_on_exchange(trade, stoploss_order_hanging, side="buy")
assert log_has_re(r"Could not cancel stoploss order abcd for pair ETH/BTC.*", caplog)
# Still try to create order
@ -1427,7 +1430,7 @@ def test_handle_stoploss_on_exchange_trailing_error(mocker, default_conf, fee, c
caplog.clear()
cancel_mock = mocker.patch("freqtrade.exchange.Binance.cancel_stoploss_order", MagicMock())
mocker.patch("freqtrade.exchange.Binance.stoploss", side_effect=ExchangeError())
freqtrade.handle_trailing_stoploss_on_exchange(trade, stoploss_order_hanging)
freqtrade.handle_trailing_stoploss_on_exchange(trade, stoploss_order_hanging, side="buy")
assert cancel_mock.call_count == 1
assert log_has_re(r"Could not create trailing stoploss order for pair ETH/BTC\..*", caplog)
@ -1526,10 +1529,13 @@ def test_handle_stoploss_on_exchange_custom_stop(mocker, default_conf, fee,
assert freqtrade.handle_stoploss_on_exchange(trade) is False
cancel_order_mock.assert_called_once_with(100, 'ETH/BTC')
stoploss_order_mock.assert_called_once_with(amount=85.32423208,
pair='ETH/BTC',
order_types=freqtrade.strategy.order_types,
stop_price=0.00002346 * 0.96)
stoploss_order_mock.assert_called_once_with(
amount=85.32423208,
pair='ETH/BTC',
order_types=freqtrade.strategy.order_types,
stop_price=0.00002346 * 0.96,
side="sell"
)
# price fell below stoploss, so dry-run sells trade.
mocker.patch('freqtrade.exchange.Exchange.fetch_ticker', MagicMock(return_value={
@ -1647,10 +1653,13 @@ def test_tsl_on_exchange_compatible_with_edge(mocker, edge_conf, fee, caplog,
# stoploss should be set to 1% as trailing is on
assert trade.stop_loss == 0.00002346 * 0.99
cancel_order_mock.assert_called_once_with(100, 'NEO/BTC')
stoploss_order_mock.assert_called_once_with(amount=2132892.49146757,
pair='NEO/BTC',
order_types=freqtrade.strategy.order_types,
stop_price=0.00002346 * 0.99)
stoploss_order_mock.assert_called_once_with(
amount=2132892.49146757,
pair='NEO/BTC',
order_types=freqtrade.strategy.order_types,
stop_price=0.00002346 * 0.99,
side="sell"
)
def test_enter_positions(mocker, default_conf, caplog) -> None: