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Merge pull request #3438 from freqtrade/ftx_stoploss

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Ftx stoploss
This commit is contained in:
Matthias
2020-06-14 07:02:15 +02:00
committed by GitHub
parent d52198d15e 534c242d1b
commit f80b5f9410
13 changed files with 375 additions and 37 deletions
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8
freqtrade/exchange/exchange.py
View File

@@ -79,7 +79,7 @@ class Exchange:
if config['dry_run']:
logger.info('Instance is running with dry_run enabled')
logger.info(f"Using CCXT {ccxt.__version__}")
exchange_config = config['exchange']
# Deep merge ft_has with default ft_has options
@@ -952,6 +952,9 @@ class Exchange:
except ccxt.BaseError as e:
raise OperationalException(e) from e
# Assign method to get_stoploss_order to allow easy overriding in other classes
cancel_stoploss_order = cancel_order
def is_cancel_order_result_suitable(self, corder) -> bool:
if not isinstance(corder, dict):
return False
@@ -1004,6 +1007,9 @@ class Exchange:
except ccxt.BaseError as e:
raise OperationalException(e) from e
# Assign method to get_stoploss_order to allow easy overriding in other classes
get_stoploss_order = get_order
@retrier
def fetch_l2_order_book(self, pair: str, limit: int = 100) -> dict:
"""

104
freqtrade/exchange/ftx.py
View File

@@ -2,7 +2,12 @@
import logging
from typing import Dict
import ccxt
from freqtrade.exceptions import (DependencyException, InvalidOrderException,
OperationalException, TemporaryError)
from freqtrade.exchange import Exchange
from freqtrade.exchange.common import retrier
logger = logging.getLogger(__name__)
@@ -10,5 +15,104 @@ logger = logging.getLogger(__name__)
class Ftx(Exchange):
_ft_has: Dict = {
"stoploss_on_exchange": True,
"ohlcv_candle_limit": 1500,
}
def stoploss_adjust(self, stop_loss: float, order: Dict) -> bool:
"""
Verify stop_loss against stoploss-order value (limit or price)
Returns True if adjustment is necessary.
"""
return order['type'] == 'stop' and stop_loss > float(order['price'])
def stoploss(self, pair: str, amount: float, stop_price: float, order_types: Dict) -> 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.
"""
limit_price_pct = order_types.get('stoploss_on_exchange_limit_ratio', 0.99)
limit_rate = stop_price * limit_price_pct
ordertype = "stop"
stop_price = self.price_to_precision(pair, stop_price)
if self._config['dry_run']:
dry_order = self.dry_run_order(
pair, ordertype, "sell", amount, stop_price)
return dry_order
try:
params = self._params.copy()
if order_types.get('stoploss', 'market') == 'limit':
# set orderPrice to place limit order, otherwise it's a market order
params['orderPrice'] = limit_rate
amount = self.amount_to_precision(pair, amount)
order = self._api.create_order(symbol=pair, type=ordertype, side='sell',
amount=amount, price=stop_price, params=params)
logger.info('stoploss order added for %s. '
'stop price: %s.', pair, stop_price)
return order
except ccxt.InsufficientFunds as e:
raise DependencyException(
f'Insufficient funds to create {ordertype} sell order on market {pair}. '
f'Tried to create stoploss with amount {amount} at stoploss {stop_price}. '
f'Message: {e}') from e
except ccxt.InvalidOrder as e:
raise InvalidOrderException(
f'Could not create {ordertype} sell order on market {pair}. '
f'Tried to create stoploss with amount {amount} at stoploss {stop_price}. '
f'Message: {e}') from e
except (ccxt.NetworkError, ccxt.ExchangeError) as e:
raise TemporaryError(
f'Could not place sell order due to {e.__class__.__name__}. Message: {e}') from e
except ccxt.BaseError as e:
raise OperationalException(e) from e
@retrier
def get_stoploss_order(self, order_id: str, pair: str) -> Dict:
if self._config['dry_run']:
try:
order = self._dry_run_open_orders[order_id]
return order
except KeyError as e:
# Gracefully handle errors with dry-run orders.
raise InvalidOrderException(
f'Tried to get an invalid dry-run-order (id: {order_id}). Message: {e}') from e
try:
orders = self._api.fetch_orders(pair, None, params={'type': 'stop'})
order = [order for order in orders if order['id'] == order_id]
if len(order) == 1:
return order[0]
else:
raise InvalidOrderException(f"Could not get stoploss order for id {order_id}")
except ccxt.InvalidOrder as e:
raise InvalidOrderException(
f'Tried to get an invalid order (id: {order_id}). Message: {e}') from e
except (ccxt.NetworkError, ccxt.ExchangeError) as e:
raise TemporaryError(
f'Could not get order due to {e.__class__.__name__}. Message: {e}') from e
except ccxt.BaseError as e:
raise OperationalException(e) from e
@retrier
def cancel_stoploss_order(self, order_id: str, pair: str) -> Dict:
if self._config['dry_run']:
return {}
try:
return self._api.cancel_order(order_id, pair, params={'type': 'stop'})
except ccxt.InvalidOrder as e:
raise InvalidOrderException(
f'Could not cancel order. Message: {e}') from e
except (ccxt.NetworkError, ccxt.ExchangeError) as e:
raise TemporaryError(
f'Could not cancel order due to {e.__class__.__name__}. Message: {e}') from e
except ccxt.BaseError as e:
raise OperationalException(e) from e

10
freqtrade/freqtradebot.py
View File

@@ -773,13 +773,13 @@ class FreqtradeBot:
try:
# First we check if there is already a stoploss on exchange
stoploss_order = self.exchange.get_order(trade.stoploss_order_id, trade.pair) \
stoploss_order = self.exchange.get_stoploss_order(trade.stoploss_order_id, trade.pair) \
if trade.stoploss_order_id else None
except InvalidOrderException as exception:
logger.warning('Unable to fetch stoploss order: %s', exception)
# We check if stoploss order is fulfilled
if stoploss_order and stoploss_order['status'] == 'closed':
if stoploss_order and stoploss_order['status'] in ('closed', 'triggered'):
trade.sell_reason = SellType.STOPLOSS_ON_EXCHANGE.value
self.update_trade_state(trade, stoploss_order, sl_order=True)
# Lock pair for one candle to prevent immediate rebuys
@@ -806,7 +806,7 @@ class FreqtradeBot:
return False
# If stoploss order is canceled for some reason we add it
if stoploss_order and stoploss_order['status'] == 'canceled':
if stoploss_order and stoploss_order['status'] in ('canceled', 'cancelled'):
if self.create_stoploss_order(trade=trade, stop_price=trade.stop_loss,
rate=trade.stop_loss):
return False
@@ -839,7 +839,7 @@ class FreqtradeBot:
logger.info('Trailing stoploss: cancelling current stoploss on exchange (id:{%s}) '
'in order to add another one ...', order['id'])
try:
self.exchange.cancel_order(order['id'], trade.pair)
self.exchange.cancel_stoploss_order(order['id'], trade.pair)
except InvalidOrderException:
logger.exception(f"Could not cancel stoploss order {order['id']} "
f"for pair {trade.pair}")
@@ -1067,7 +1067,7 @@ class FreqtradeBot:
# First cancelling stoploss on exchange ...
if self.strategy.order_types.get('stoploss_on_exchange') and trade.stoploss_order_id:
try:
self.exchange.cancel_order(trade.stoploss_order_id, trade.pair)
self.exchange.cancel_stoploss_order(trade.stoploss_order_id, trade.pair)
except InvalidOrderException:
logger.exception(f"Could not cancel stoploss order {trade.stoploss_order_id}")

2
freqtrade/persistence.py
View File

@@ -374,7 +374,7 @@ class Trade(_DECL_BASE):
elif order_type in ('market', 'limit') and order['side'] == 'sell':
self.close(order['price'])
logger.info('%s_SELL has been fulfilled for %s.', order_type.upper(), self)
elif order_type in ('stop_loss_limit', 'stop-loss'):
elif order_type in ('stop_loss_limit', 'stop-loss', 'stop'):
self.stoploss_order_id = None
self.close_rate_requested = self.stop_loss
logger.info('%s is hit for %s.', order_type.upper(), self)