# pragma pylint: disable=W0603 """ Cryptocurrency Exchanges support """ import asyncio import inspect import logging from copy import deepcopy from datetime import datetime from math import ceil, floor from random import randint from typing import Any, Dict, List, Optional, Tuple import arrow import ccxt import ccxt.async_support as ccxt_async from pandas import DataFrame from freqtrade import (DependencyException, InvalidOrderException, OperationalException, TemporaryError, constants) from freqtrade.data.converter import parse_ticker_dataframe from freqtrade.misc import deep_merge_dicts logger = logging.getLogger(__name__) API_RETRY_COUNT = 4 def retrier_async(f): async def wrapper(*args, **kwargs): count = kwargs.pop('count', API_RETRY_COUNT) try: return await f(*args, **kwargs) except (TemporaryError, DependencyException) as ex: logger.warning('%s() returned exception: "%s"', f.__name__, ex) if count > 0: count -= 1 kwargs.update({'count': count}) logger.warning('retrying %s() still for %s times', f.__name__, count) return await wrapper(*args, **kwargs) else: logger.warning('Giving up retrying: %s()', f.__name__) raise ex return wrapper def retrier(f): def wrapper(*args, **kwargs): count = kwargs.pop('count', API_RETRY_COUNT) try: return f(*args, **kwargs) except (TemporaryError, DependencyException) as ex: logger.warning('%s() returned exception: "%s"', f.__name__, ex) if count > 0: count -= 1 kwargs.update({'count': count}) logger.warning('retrying %s() still for %s times', f.__name__, count) return wrapper(*args, **kwargs) else: logger.warning('Giving up retrying: %s()', f.__name__) raise ex return wrapper class Exchange(object): _config: Dict = {} _params: Dict = {} # Dict to specify which options each exchange implements # This defines defaults, which can be selectively overridden by subclasses using _ft_has # or by specifying them in the configuration. _ft_has_default: Dict = { "stoploss_on_exchange": False, "order_time_in_force": ["gtc"], "ohlcv_candle_limit": 500, "ohlcv_partial_candle": True, } _ft_has: Dict = {} def __init__(self, config: dict) -> None: """ Initializes this module with the given config, it does basic validation whether the specified exchange and pairs are valid. :return: None """ self._config.update(config) self._cached_ticker: Dict[str, Any] = {} # Holds last candle refreshed time of each pair self._pairs_last_refresh_time: Dict[Tuple[str, str], int] = {} # Timestamp of last markets refresh self._last_markets_refresh: int = 0 # Holds candles self._klines: Dict[Tuple[str, str], DataFrame] = {} # Holds all open sell orders for dry_run self._dry_run_open_orders: Dict[str, Any] = {} if config['dry_run']: logger.info('Instance is running with dry_run enabled') exchange_config = config['exchange'] # Deep merge ft_has with default ft_has options self._ft_has = deep_merge_dicts(self._ft_has, deepcopy(self._ft_has_default)) if exchange_config.get("_ft_has_params"): self._ft_has = deep_merge_dicts(exchange_config.get("_ft_has_params"), self._ft_has) logger.info("Overriding exchange._ft_has with config params, result: %s", self._ft_has) # Assign this directly for easy access self._ohlcv_candle_limit = self._ft_has['ohlcv_candle_limit'] self._ohlcv_partial_candle = self._ft_has['ohlcv_partial_candle'] # Initialize ccxt objects self._api: ccxt.Exchange = self._init_ccxt( exchange_config, ccxt_kwargs=exchange_config.get('ccxt_config')) self._api_async: ccxt_async.Exchange = self._init_ccxt( exchange_config, ccxt_async, ccxt_kwargs=exchange_config.get('ccxt_async_config')) logger.info('Using Exchange "%s"', self.name) # Converts the interval provided in minutes in config to seconds self.markets_refresh_interval: int = exchange_config.get( "markets_refresh_interval", 60) * 60 # Initial markets load self._load_markets() # Check if all pairs are available 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', {})) if config.get('ticker_interval'): # Check if timeframe is available self.validate_timeframes(config['ticker_interval']) def __del__(self): """ Destructor - clean up async stuff """ logger.debug("Exchange object destroyed, closing async loop") if self._api_async and inspect.iscoroutinefunction(self._api_async.close): asyncio.get_event_loop().run_until_complete(self._api_async.close()) def _init_ccxt(self, exchange_config: dict, ccxt_module=ccxt, ccxt_kwargs: dict = None) -> ccxt.Exchange: """ Initialize ccxt with given config and return valid ccxt instance. """ # Find matching class for the given exchange name name = exchange_config['name'] if not is_exchange_available(name, ccxt_module): raise OperationalException(f'Exchange {name} is not supported by ccxt') ex_config = { 'apiKey': exchange_config.get('key'), 'secret': exchange_config.get('secret'), 'password': exchange_config.get('password'), 'uid': exchange_config.get('uid', ''), } if ccxt_kwargs: logger.info('Applying additional ccxt config: %s', ccxt_kwargs) ex_config.update(ccxt_kwargs) try: api = getattr(ccxt_module, name.lower())(ex_config) except (KeyError, AttributeError): raise OperationalException(f'Exchange {name} is not supported') self.set_sandbox(api, exchange_config, name) return api @property def name(self) -> str: """exchange Name (from ccxt)""" return self._api.name @property def id(self) -> str: """exchange ccxt id""" return self._api.id @property def markets(self) -> Dict: """exchange ccxt markets""" if not self._api.markets: logger.warning("Markets were not loaded. Loading them now..") self._load_markets() return self._api.markets def klines(self, pair_interval: Tuple[str, str], copy=True) -> DataFrame: if pair_interval in self._klines: return self._klines[pair_interval].copy() if copy else self._klines[pair_interval] else: return DataFrame() def set_sandbox(self, api, exchange_config: dict, name: str): if exchange_config.get('sandbox'): if api.urls.get('test'): api.urls['api'] = api.urls['test'] logger.info("Enabled Sandbox API on %s", name) else: logger.warning(name, "No Sandbox URL in CCXT, exiting. " "Please check your config.json") raise OperationalException(f'Exchange {name} does not provide a sandbox api') def _load_async_markets(self, reload=False) -> None: try: if self._api_async: asyncio.get_event_loop().run_until_complete( self._api_async.load_markets(reload=reload)) except ccxt.BaseError as e: logger.warning('Could not load async markets. Reason: %s', e) return def _load_markets(self) -> None: """ Initialize markets both sync and async """ try: self._api.load_markets() self._load_async_markets() self._last_markets_refresh = arrow.utcnow().timestamp except ccxt.BaseError as e: logger.warning('Unable to initialize markets. Reason: %s', e) def _reload_markets(self) -> None: """Reload markets both sync and async, if refresh interval has passed""" # Check whether markets have to be reloaded if (self._last_markets_refresh > 0) and ( self._last_markets_refresh + self.markets_refresh_interval > arrow.utcnow().timestamp): return None logger.debug("Performing scheduled market reload..") try: self._api.load_markets(reload=True) self._last_markets_refresh = arrow.utcnow().timestamp except ccxt.BaseError: logger.exception("Could not reload markets.") def validate_pairs(self, pairs: List[str]) -> None: """ Checks if all given pairs are tradable on the current exchange. Raises OperationalException if one pair is not available. :param pairs: list of pairs :return: None """ if not self.markets: logger.warning('Unable to validate pairs (assuming they are correct).') # return for pair in pairs: # Note: ccxt has BaseCurrency/QuoteCurrency format for pairs # TODO: add a support for having coins in BTC/USDT format if self.markets and pair not in self.markets: raise OperationalException( f'Pair {pair} is not available on {self.name}. ' f'Please remove {pair} from your whitelist.') def validate_timeframes(self, timeframe: List[str]) -> None: """ Checks if ticker interval from config is a supported timeframe on the exchange """ timeframes = self._api.timeframes if timeframe not in timeframes: raise OperationalException( f'Invalid ticker {timeframe}, this Exchange supports {timeframes}') def validate_ordertypes(self, order_types: Dict) -> None: """ Checks if order-types configured in strategy/config are supported """ if any(v == 'market' for k, v in order_types.items()): if not self.exchange_has('createMarketOrder'): raise OperationalException( f'Exchange {self.name} does not support market orders.') if (order_types.get("stoploss_on_exchange") and not self._ft_has.get("stoploss_on_exchange", False)): raise OperationalException( 'On exchange stoploss is not supported for %s.' % self.name ) def validate_order_time_in_force(self, order_time_in_force: Dict) -> None: """ Checks if order time in force configured in strategy/config are supported """ if any(v not in self._ft_has["order_time_in_force"] for k, v in order_time_in_force.items()): raise OperationalException( f'Time in force policies are not supported for {self.name} yet.') def exchange_has(self, endpoint: str) -> bool: """ Checks if exchange implements a specific API endpoint. Wrapper around ccxt 'has' attribute :param endpoint: Name of endpoint (e.g. 'fetchOHLCV', 'fetchTickers') :return: bool """ return endpoint in self._api.has and self._api.has[endpoint] def symbol_amount_prec(self, pair, amount: float): ''' Returns the amount to buy or sell to a precision the Exchange accepts Rounded down ''' if self.markets[pair]['precision']['amount']: symbol_prec = self.markets[pair]['precision']['amount'] big_amount = amount * pow(10, symbol_prec) amount = floor(big_amount) / pow(10, symbol_prec) return amount def symbol_price_prec(self, pair, price: float): ''' Returns the price buying or selling with to the precision the Exchange accepts Rounds up ''' if self.markets[pair]['precision']['price']: symbol_prec = self.markets[pair]['precision']['price'] big_price = price * pow(10, symbol_prec) price = ceil(big_price) / pow(10, symbol_prec) return price def dry_run_order(self, pair: str, ordertype: str, side: str, amount: float, rate: float, params: Dict = {}) -> Dict[str, Any]: order_id = f'dry_run_{side}_{randint(0, 10**6)}' dry_order = { # TODO: additional entry should be added for stoploss limit "id": order_id, 'pair': pair, 'price': rate, 'amount': amount, "cost": amount * rate, 'type': ordertype, 'side': side, 'remaining': amount, 'datetime': arrow.utcnow().isoformat(), 'status': "open", 'fee': None, "info": {} } self._store_dry_order(dry_order) return dry_order def _store_dry_order(self, dry_order: Dict) -> None: closed_order = dry_order.copy() if closed_order["type"] in ["market", "limit"]: closed_order.update({ "status": "closed", "filled": closed_order["amount"], "remaining": 0 }) self._dry_run_open_orders[closed_order["id"]] = closed_order def create_order(self, pair: str, ordertype: str, side: str, amount: float, rate: float, params: Dict = {}) -> Dict: try: # Set the precision for amount and price(rate) as accepted by the exchange amount = self.symbol_amount_prec(pair, amount) rate = self.symbol_price_prec(pair, rate) if ordertype != 'market' else None return self._api.create_order(pair, ordertype, side, amount, rate, params) except ccxt.InsufficientFunds as e: raise DependencyException( f'Insufficient funds to create {ordertype} {side} order on market {pair}.' f'Tried to {side} amount {amount} at rate {rate} (total {rate*amount}).' f'Message: {e}') except ccxt.InvalidOrder as e: raise DependencyException( f'Could not create {ordertype} {side} order on market {pair}.' f'Tried to {side} amount {amount} at rate {rate} (total {rate*amount}).' f'Message: {e}') except (ccxt.NetworkError, ccxt.ExchangeError) as e: raise TemporaryError( f'Could not place {side} order due to {e.__class__.__name__}. Message: {e}') except ccxt.BaseError as e: raise OperationalException(e) def buy(self, pair: str, ordertype: str, amount: float, rate: float, time_in_force) -> Dict: if self._config['dry_run']: dry_order = self.dry_run_order(pair, ordertype, "buy", amount, rate) return dry_order params = self._params.copy() if time_in_force != 'gtc' and ordertype != 'market': params.update({'timeInForce': time_in_force}) return self.create_order(pair, ordertype, 'buy', amount, rate, params) def sell(self, pair: str, ordertype: str, amount: float, rate: float, time_in_force='gtc') -> Dict: if self._config['dry_run']: dry_order = self.dry_run_order(pair, ordertype, "sell", amount, rate) return dry_order params = self._params.copy() if time_in_force != 'gtc' and ordertype != 'market': params.update({'timeInForce': time_in_force}) return self.create_order(pair, ordertype, 'sell', amount, rate, params) def stoploss_limit(self, pair: str, amount: float, stop_price: float, rate: float) -> Dict: """ creates a stoploss limit order. NOTICE: it is not supported by all exchanges. only binance is tested for now. TODO: implementation maybe needs to be moved to the binance subclass """ ordertype = "stop_loss_limit" stop_price = self.symbol_price_prec(pair, stop_price) # Ensure rate is less than stop price if stop_price <= rate: raise OperationalException( 'In stoploss limit order, stop price should be more than limit price') if self._config['dry_run']: dry_order = self.dry_run_order( pair, ordertype, "sell", amount, stop_price) return dry_order params = self._params.copy() params.update({'stopPrice': stop_price}) order = self.create_order(pair, ordertype, 'sell', amount, rate, params) logger.info('stoploss limit order added for %s. ' 'stop price: %s. limit: %s' % (pair, stop_price, rate)) return order @retrier def get_balance(self, currency: str) -> float: if self._config['dry_run']: return constants.DRY_RUN_WALLET # ccxt exception is already handled by get_balances balances = self.get_balances() balance = balances.get(currency) if balance is None: raise TemporaryError( f'Could not get {currency} balance due to malformed exchange response: {balances}') return balance['free'] @retrier def get_balances(self) -> dict: if self._config['dry_run']: return {} try: balances = self._api.fetch_balance() # Remove additional info from ccxt results balances.pop("info", None) balances.pop("free", None) balances.pop("total", None) balances.pop("used", None) return balances except (ccxt.NetworkError, ccxt.ExchangeError) as e: raise TemporaryError( f'Could not get balance due to {e.__class__.__name__}. Message: {e}') except ccxt.BaseError as e: raise OperationalException(e) @retrier def get_tickers(self) -> Dict: try: return self._api.fetch_tickers() except ccxt.NotSupported as e: raise OperationalException( f'Exchange {self._api.name} does not support fetching tickers in batch.' f'Message: {e}') except (ccxt.NetworkError, ccxt.ExchangeError) as e: raise TemporaryError( f'Could not load tickers due to {e.__class__.__name__}. Message: {e}') except ccxt.BaseError as e: raise OperationalException(e) @retrier def get_ticker(self, pair: str, refresh: Optional[bool] = True) -> dict: if refresh or pair not in self._cached_ticker.keys(): try: if pair not in self._api.markets: raise DependencyException(f"Pair {pair} not available") data = self._api.fetch_ticker(pair) try: self._cached_ticker[pair] = { 'bid': float(data['bid']), 'ask': float(data['ask']), } except KeyError: logger.debug("Could not cache ticker data for %s", pair) return data except (ccxt.NetworkError, ccxt.ExchangeError) as e: raise TemporaryError( f'Could not load ticker due to {e.__class__.__name__}. Message: {e}') except ccxt.BaseError as e: raise OperationalException(e) else: logger.info("returning cached ticker-data for %s", pair) return self._cached_ticker[pair] def get_history(self, pair: str, ticker_interval: str, since_ms: int) -> List: """ Gets candle history using asyncio and returns the list of candles. Handles all async doing. """ return asyncio.get_event_loop().run_until_complete( self._async_get_history(pair=pair, ticker_interval=ticker_interval, since_ms=since_ms)) async def _async_get_history(self, pair: str, ticker_interval: str, since_ms: int) -> List: one_call = timeframe_to_msecs(ticker_interval) * self._ohlcv_candle_limit logger.debug( "one_call: %s msecs (%s)", one_call, arrow.utcnow().shift(seconds=one_call // 1000).humanize(only_distance=True) ) input_coroutines = [self._async_get_candle_history( pair, ticker_interval, since) for since in range(since_ms, arrow.utcnow().timestamp * 1000, one_call)] tickers = await asyncio.gather(*input_coroutines, return_exceptions=True) # Combine tickers data: List = [] for p, ticker_interval, ticker in tickers: if p == pair: data.extend(ticker) # Sort data again after extending the result - above calls return in "async order" data = sorted(data, key=lambda x: x[0]) logger.info("downloaded %s with length %s.", pair, len(data)) return data def refresh_latest_ohlcv(self, pair_list: List[Tuple[str, str]]) -> List[Tuple[str, List]]: """ Refresh in-memory ohlcv asyncronously and set `_klines` with the result """ logger.debug("Refreshing ohlcv data for %d pairs", len(pair_list)) input_coroutines = [] # Gather coroutines to run for pair, ticker_interval in set(pair_list): if (not ((pair, ticker_interval) in self._klines) or self._now_is_time_to_refresh(pair, ticker_interval)): input_coroutines.append(self._async_get_candle_history(pair, ticker_interval)) else: logger.debug( "Using cached ohlcv data for pair %s, interval %s ...", pair, ticker_interval ) tickers = asyncio.get_event_loop().run_until_complete( asyncio.gather(*input_coroutines, return_exceptions=True)) # handle caching for res in tickers: if isinstance(res, Exception): logger.warning("Async code raised an exception: %s", res.__class__.__name__) continue pair = res[0] ticker_interval = res[1] ticks = res[2] # keeping last candle time as last refreshed time of the pair if ticks: self._pairs_last_refresh_time[(pair, ticker_interval)] = ticks[-1][0] // 1000 # keeping parsed dataframe in cache self._klines[(pair, ticker_interval)] = parse_ticker_dataframe( ticks, ticker_interval, fill_missing=True, drop_incomplete=self._ohlcv_partial_candle) return tickers def _now_is_time_to_refresh(self, pair: str, ticker_interval: str) -> bool: # Calculating ticker interval in seconds interval_in_sec = timeframe_to_seconds(ticker_interval) return not ((self._pairs_last_refresh_time.get((pair, ticker_interval), 0) + interval_in_sec) >= arrow.utcnow().timestamp) @retrier_async async def _async_get_candle_history(self, pair: str, ticker_interval: str, since_ms: Optional[int] = None) -> Tuple[str, str, List]: """ Asyncronously gets candle histories using fetch_ohlcv returns tuple: (pair, ticker_interval, ohlcv_list) """ try: # fetch ohlcv asynchronously s = '(' + arrow.get(since_ms // 1000).isoformat() + ') ' if since_ms is not None else '' logger.debug( "Fetching pair %s, interval %s, since %s %s...", pair, ticker_interval, since_ms, s ) data = await self._api_async.fetch_ohlcv(pair, timeframe=ticker_interval, since=since_ms) # Because some exchange sort Tickers ASC and other DESC. # Ex: Bittrex returns a list of tickers ASC (oldest first, newest last) # when GDAX returns a list of tickers DESC (newest first, oldest last) # Only sort if necessary to save computing time try: if data and data[0][0] > data[-1][0]: data = sorted(data, key=lambda x: x[0]) except IndexError: logger.exception("Error loading %s. Result was %s.", pair, data) return pair, ticker_interval, [] logger.debug("Done fetching pair %s, interval %s ...", pair, ticker_interval) return pair, ticker_interval, data except ccxt.NotSupported as e: raise OperationalException( f'Exchange {self._api.name} does not support fetching historical candlestick data.' f'Message: {e}') except (ccxt.NetworkError, ccxt.ExchangeError) as e: raise TemporaryError( f'Could not load ticker history due to {e.__class__.__name__}. Message: {e}') except ccxt.BaseError as e: raise OperationalException(f'Could not fetch ticker data. Msg: {e}') @retrier def cancel_order(self, order_id: str, pair: str) -> None: if self._config['dry_run']: return try: return self._api.cancel_order(order_id, pair) except ccxt.InvalidOrder as e: raise InvalidOrderException( f'Could not cancel order. Message: {e}') except (ccxt.NetworkError, ccxt.ExchangeError) as e: raise TemporaryError( f'Could not cancel order due to {e.__class__.__name__}. Message: {e}') except ccxt.BaseError as e: raise OperationalException(e) @retrier def get_order(self, order_id: str, pair: str) -> Dict: if self._config['dry_run']: order = self._dry_run_open_orders[order_id] return order try: return self._api.fetch_order(order_id, pair) except ccxt.InvalidOrder as e: raise InvalidOrderException( f'Tried to get an invalid order (id: {order_id}). Message: {e}') except (ccxt.NetworkError, ccxt.ExchangeError) as e: raise TemporaryError( f'Could not get order due to {e.__class__.__name__}. Message: {e}') except ccxt.BaseError as e: raise OperationalException(e) @retrier def get_order_book(self, pair: str, limit: int = 100) -> dict: """ get order book level 2 from exchange Notes: 20180619: bittrex doesnt support limits -.- """ try: return self._api.fetch_l2_order_book(pair, limit) except ccxt.NotSupported as e: raise OperationalException( f'Exchange {self._api.name} does not support fetching order book.' f'Message: {e}') except (ccxt.NetworkError, ccxt.ExchangeError) as e: raise TemporaryError( f'Could not get order book due to {e.__class__.__name__}. Message: {e}') except ccxt.BaseError as e: raise OperationalException(e) @retrier def get_trades_for_order(self, order_id: str, pair: str, since: datetime) -> List: if self._config['dry_run']: return [] if not self.exchange_has('fetchMyTrades'): return [] try: # Allow 5s offset to catch slight time offsets (discovered in #1185) my_trades = self._api.fetch_my_trades(pair, since.timestamp() - 5) matched_trades = [trade for trade in my_trades if trade['order'] == order_id] return matched_trades except ccxt.NetworkError as e: raise TemporaryError( f'Could not get trades due to networking error. Message: {e}') except ccxt.BaseError as e: raise OperationalException(e) @retrier def get_fee(self, symbol='ETH/BTC', type='', side='', amount=1, price=1, taker_or_maker='maker') -> float: try: # validate that markets are loaded before trying to get fee if self._api.markets is None or len(self._api.markets) == 0: self._api.load_markets() return self._api.calculate_fee(symbol=symbol, type=type, side=side, amount=amount, price=price, takerOrMaker=taker_or_maker)['rate'] except (ccxt.NetworkError, ccxt.ExchangeError) as e: raise TemporaryError( f'Could not get fee info due to {e.__class__.__name__}. Message: {e}') except ccxt.BaseError as e: raise OperationalException(e) def is_exchange_bad(exchange: str) -> bool: return exchange in ['bitmex'] def is_exchange_available(exchange: str, ccxt_module=None) -> bool: return exchange in available_exchanges(ccxt_module) def is_exchange_officially_supported(exchange: str) -> bool: return exchange in ['bittrex', 'binance'] def available_exchanges(ccxt_module=None) -> List[str]: return ccxt_module.exchanges if ccxt_module is not None else ccxt.exchanges def timeframe_to_seconds(ticker_interval: str) -> int: """ Translates the timeframe interval value written in the human readable form ('1m', '5m', '1h', '1d', '1w', etc.) to the number of seconds for one timeframe interval. """ return ccxt.Exchange.parse_timeframe(ticker_interval) def timeframe_to_minutes(ticker_interval: str) -> int: """ Same as above, but returns minutes. """ return ccxt.Exchange.parse_timeframe(ticker_interval) // 60 def timeframe_to_msecs(ticker_interval: str) -> int: """ Same as above, but returns milliseconds. """ return ccxt.Exchange.parse_timeframe(ticker_interval) * 1000