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Update pricing to use entry/exit pricing

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This commit is contained in:
Matthias
2022-03-28 07:03:10 +02:00
parent 9f863369bd
commit f70166270d
4 changed files with 56 additions and 32 deletions
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40
freqtrade/exchange/exchange.py
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@@ -111,8 +111,8 @@ class Exchange:
# Cache values for 1800 to avoid frequent polling of the exchange for prices
# Caching only applies to RPC methods, so prices for open trades are still
# refreshed once every iteration.
self._sell_rate_cache: TTLCache = TTLCache(maxsize=100, ttl=1800)
self._buy_rate_cache: TTLCache = TTLCache(maxsize=100, ttl=1800)
self._exit_rate_cache: TTLCache = TTLCache(maxsize=100, ttl=1800)
self._entry_rate_cache: TTLCache = TTLCache(maxsize=100, ttl=1800)
# Holds candles
self._klines: Dict[PairWithTimeframe, DataFrame] = {}
@@ -1438,7 +1438,8 @@ class Exchange:
except ccxt.BaseError as e:
raise OperationalException(e) from e
def get_rate(self, pair: str, refresh: bool, side: str) -> float:
def get_rate(self, pair: str, refresh: bool,
side: Literal['entry', 'exit'], is_short: bool) -> float:
"""
Calculates bid/ask target
bid rate - between current ask price and last price
@@ -1450,9 +1451,10 @@ class Exchange:
:return: float: Price
:raises PricingError if orderbook price could not be determined.
"""
cache_rate: TTLCache = self._buy_rate_cache if side == "buy" else self._sell_rate_cache
[strat_name, name] = ['bid_strategy', 'Buy'] if side == "buy" else ['ask_strategy', 'Sell']
name = side.capitalize()
strat_name = 'entry_pricing' if side == "entry" else 'exit_pricing'
cache_rate: TTLCache = self._entry_rate_cache if side == "entry" else self._exit_rate_cache
if not refresh:
rate = cache_rate.get(pair)
# Check if cache has been invalidated
@@ -1462,27 +1464,43 @@ class Exchange:
conf_strategy = self._config.get(strat_name, {})
if conf_strategy.get('use_order_book', False):
price_side = conf_strategy['price_side']
if price_side in ('same', 'other'):
price_map = {
('enter', 'long', 'same'): 'bid',
('enter', 'long', 'other'): 'ask',
('enter', 'short', 'same'): 'ask',
('enter', 'short', 'other'): 'bid',
('exit', 'long', 'same'): 'ask',
('exit', 'long', 'other'): 'bid',
('exit', 'short', 'same'): 'bid',
('exit', 'short', 'other'): 'ask',
}
price_side = price_map[(side, 'short' if is_short else 'long', price_side)]
price_side_word = price_side.capitalize()
if conf_strategy.get('use_order_book', True):
order_book_top = conf_strategy.get('order_book_top', 1)
order_book = self.fetch_l2_order_book(pair, order_book_top)
logger.debug('order_book %s', order_book)
# top 1 = index 0
try:
rate = order_book[f"{conf_strategy['price_side']}s"][order_book_top - 1][0]
rate = order_book[f"{price_side}s"][order_book_top - 1][0]
except (IndexError, KeyError) as e:
logger.warning(
f"{name} Price at location {order_book_top} from orderbook could not be "
f"determined. Orderbook: {order_book}"
)
raise PricingError from e
price_side = {conf_strategy['price_side'].capitalize()}
logger.debug(f"{name} price from orderbook {price_side}"
logger.debug(f"{name} price from orderbook {price_side_word}"
f"side - top {order_book_top} order book {side} rate {rate:.8f}")
else:
logger.debug(f"Using Last {conf_strategy['price_side'].capitalize()} / Last Price")
logger.debug(f"Using Last {price_side_word} / Last Price")
ticker = self.fetch_ticker(pair)
ticker_rate = ticker[conf_strategy['price_side']]
ticker_rate = ticker[price_side]
if ticker['last'] and ticker_rate:
if side == 'buy' and ticker_rate > ticker['last']:
balance = conf_strategy.get('ask_last_balance', 0.0)