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Merge branch 'develop' into feat/freqai

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This commit is contained in:
Matthias
2022-07-16 18:14:34 +02:00
parent 4ef2ed2f1b 004bf31142
commit f6bfd89cef
40 changed files with 13321 additions and 12208 deletions
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24876
freqtrade/exchange/binance_leverage_tiers.json
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File diff suppressed because it is too large Load Diff

4
freqtrade/exchange/common.py
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@@ -46,6 +46,7 @@ MAP_EXCHANGE_CHILDCLASS = {
'binanceje': 'binance',
'binanceusdm': 'binance',
'okex': 'okx',
'gate': 'gateio',
}
SUPPORTED_EXCHANGES = [
@@ -63,17 +64,16 @@ EXCHANGE_HAS_REQUIRED = [
'fetchOrder',
'cancelOrder',
'createOrder',
# 'createLimitOrder', 'createMarketOrder',
'fetchBalance',
# Public endpoints
'loadMarkets',
'fetchOHLCV',
]
EXCHANGE_HAS_OPTIONAL = [
# Private
'fetchMyTrades', # Trades for order - fee detection
'createLimitOrder', 'createMarketOrder', # Either OR for orders
# 'setLeverage', # Margin/Futures trading
# 'setMarginMode', # Margin/Futures trading
# 'fetchFundingHistory', # Futures trading

91
freqtrade/exchange/exchange.py
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@@ -77,7 +77,9 @@ class Exchange:
"mark_ohlcv_price": "mark",
"mark_ohlcv_timeframe": "8h",
"ccxt_futures_name": "swap",
"fee_cost_in_contracts": False, # Fee cost needs contract conversion
"needs_trading_fees": False, # use fetch_trading_fees to cache fees
"order_props_in_contracts": ['amount', 'cost', 'filled', 'remaining'],
}
_ft_has: Dict = {}
_ft_has_futures: Dict = {}
@@ -174,23 +176,11 @@ class Exchange:
logger.info(f'Using Exchange "{self.name}"')
if validate:
# Check if timeframe is available
self.validate_timeframes(config.get('timeframe'))
# Initial markets load
self._load_markets()
# Check if all pairs are available
self.validate_stakecurrency(config['stake_currency'])
if not exchange_config.get('skip_pair_validation'):
self.validate_pairs(config['exchange']['pair_whitelist'])
self.validate_ordertypes(config.get('order_types', {}))
self.validate_order_time_in_force(config.get('order_time_in_force', {}))
self.validate_config(config)
self.required_candle_call_count = self.validate_required_startup_candles(
config.get('startup_candle_count', 0), config.get('timeframe', ''))
self.validate_trading_mode_and_margin_mode(self.trading_mode, self.margin_mode)
self.validate_pricing(config['exit_pricing'])
self.validate_pricing(config['entry_pricing'])
# Converts the interval provided in minutes in config to seconds
self.markets_refresh_interval: int = exchange_config.get(
@@ -213,6 +203,20 @@ class Exchange:
logger.info("Closing async ccxt session.")
self.loop.run_until_complete(self._api_async.close())
def validate_config(self, config):
# Check if timeframe is available
self.validate_timeframes(config.get('timeframe'))
# Check if all pairs are available
self.validate_stakecurrency(config['stake_currency'])
if not config['exchange'].get('skip_pair_validation'):
self.validate_pairs(config['exchange']['pair_whitelist'])
self.validate_ordertypes(config.get('order_types', {}))
self.validate_order_time_in_force(config.get('order_time_in_force', {}))
self.validate_trading_mode_and_margin_mode(self.trading_mode, self.margin_mode)
self.validate_pricing(config['exit_pricing'])
self.validate_pricing(config['entry_pricing'])
def _init_ccxt(self, exchange_config: Dict[str, Any], ccxt_module: CcxtModuleType = ccxt,
ccxt_kwargs: Dict = {}) -> ccxt.Exchange:
"""
@@ -422,7 +426,7 @@ class Exchange:
if 'symbol' in order and order['symbol'] is not None:
contract_size = self._get_contract_size(order['symbol'])
if contract_size != 1:
for prop in ['amount', 'cost', 'filled', 'remaining']:
for prop in self._ft_has.get('order_props_in_contracts', []):
if prop in order and order[prop] is not None:
order[prop] = order[prop] * contract_size
return order
@@ -820,7 +824,7 @@ class Exchange:
'price': rate,
'average': rate,
'amount': _amount,
'cost': _amount * rate / leverage,
'cost': _amount * rate,
'type': ordertype,
'side': side,
'filled': 0,
@@ -1631,27 +1635,35 @@ class Exchange:
and order['fee']['cost'] is not None
)
def calculate_fee_rate(self, order: Dict) -> Optional[float]:
def calculate_fee_rate(
self, fee: Dict, symbol: str, cost: float, amount: float) -> Optional[float]:
"""
Calculate fee rate if it's not given by the exchange.
:param order: Order or trade (one trade) dict
:param fee: ccxt Fee dict - must contain cost / currency / rate
:param symbol: Symbol of the order
:param cost: Total cost of the order
:param amount: Amount of the order
"""
if order['fee'].get('rate') is not None:
return order['fee'].get('rate')
fee_curr = order['fee']['currency']
if fee.get('rate') is not None:
return fee.get('rate')
fee_curr = fee.get('currency')
if fee_curr is None:
return None
fee_cost = float(fee['cost'])
if self._ft_has['fee_cost_in_contracts']:
# Convert cost via "contracts" conversion
fee_cost = self._contracts_to_amount(symbol, fee['cost'])
# Calculate fee based on order details
if fee_curr in self.get_pair_base_currency(order['symbol']):
if fee_curr == self.get_pair_base_currency(symbol):
# Base currency - divide by amount
return round(
order['fee']['cost'] / safe_value_fallback2(order, order, 'filled', 'amount'), 8)
elif fee_curr in self.get_pair_quote_currency(order['symbol']):
return round(fee_cost / amount, 8)
elif fee_curr == self.get_pair_quote_currency(symbol):
# Quote currency - divide by cost
return round(self._contracts_to_amount(
order['symbol'], order['fee']['cost']) / order['cost'],
8) if order['cost'] else None
return round(fee_cost / cost, 8) if cost else None
else:
# If Fee currency is a different currency
if not order['cost']:
if not cost:
# If cost is None or 0.0 -> falsy, return None
return None
try:
@@ -1663,19 +1675,28 @@ class Exchange:
fee_to_quote_rate = self._config['exchange'].get('unknown_fee_rate', None)
if not fee_to_quote_rate:
return None
return round((self._contracts_to_amount(
order['symbol'], order['fee']['cost']) * fee_to_quote_rate) / order['cost'], 8)
return round((fee_cost * fee_to_quote_rate) / cost, 8)
def extract_cost_curr_rate(self, order: Dict) -> Tuple[float, str, Optional[float]]:
def extract_cost_curr_rate(self, fee: Dict, symbol: str, cost: float,
amount: float) -> Tuple[float, str, Optional[float]]:
"""
Extract tuple of cost, currency, rate.
Requires order_has_fee to run first!
:param order: Order or trade (one trade) dict
:param fee: ccxt Fee dict - must contain cost / currency / rate
:param symbol: Symbol of the order
:param cost: Total cost of the order
:param amount: Amount of the order
:return: Tuple with cost, currency, rate of the given fee dict
"""
return (order['fee']['cost'],
order['fee']['currency'],
self.calculate_fee_rate(order))
return (float(fee['cost']),
fee['currency'],
self.calculate_fee_rate(
fee,
symbol,
cost,
amount
)
)
# Historic data

26
freqtrade/exchange/gateio.py
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@@ -1,12 +1,13 @@
""" Gate.io exchange subclass """
import logging
from datetime import datetime
from typing import Dict, List, Optional, Tuple
from typing import Any, Dict, List, Optional, Tuple
from freqtrade.constants import BuySell
from freqtrade.enums import MarginMode, TradingMode
from freqtrade.exceptions import OperationalException
from freqtrade.exchange import Exchange
from freqtrade.misc import safe_value_fallback2
logger = logging.getLogger(__name__)
@@ -32,7 +33,9 @@ class Gateio(Exchange):
}
_ft_has_futures: Dict = {
"needs_trading_fees": True
"needs_trading_fees": True,
"fee_cost_in_contracts": False, # Set explicitly to false for clarity
"order_props_in_contracts": ['amount', 'filled', 'remaining'],
}
_supported_trading_mode_margin_pairs: List[Tuple[TradingMode, MarginMode]] = [
@@ -95,12 +98,29 @@ class Gateio(Exchange):
}
return trades
def get_order_id_conditional(self, order: Dict[str, Any]) -> str:
if self.trading_mode == TradingMode.FUTURES:
return safe_value_fallback2(order, order, 'id_stop', 'id')
return order['id']
def fetch_stoploss_order(self, order_id: str, pair: str, params: Dict = {}) -> Dict:
return self.fetch_order(
order = self.fetch_order(
order_id=order_id,
pair=pair,
params={'stop': True}
)
if self.trading_mode == TradingMode.FUTURES:
if order['status'] == 'closed':
# Places a real order - which we need to fetch explicitly.
new_orderid = order.get('info', {}).get('trade_id')
if new_orderid:
order1 = self.fetch_order(order_id=new_orderid, pair=pair, params=params)
order1['id_stop'] = order1['id']
order1['id'] = order_id
order1['stopPrice'] = order.get('stopPrice')
return order1
return order
def cancel_stoploss_order(self, order_id: str, pair: str, params: Dict = {}) -> Dict:
return self.cancel_order(

1
freqtrade/exchange/okx.py
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@@ -28,6 +28,7 @@ class Okx(Exchange):
}
_ft_has_futures: Dict = {
"tickers_have_quoteVolume": False,
"fee_cost_in_contracts": True,
}
_supported_trading_mode_margin_pairs: List[Tuple[TradingMode, MarginMode]] = [