stable/freqtrade/freqtradebot.py

1577 lines
67 KiB
Python

"""
Freqtrade is the main module of this bot. It contains the class Freqtrade()
"""
import copy
import logging
import traceback
from datetime import datetime, timezone
from math import isclose
from threading import Lock
from typing import Any, Dict, List, Optional, Tuple
import arrow
from freqtrade import __version__, constants
from freqtrade.configuration import validate_config_consistency
from freqtrade.data.converter import order_book_to_dataframe
from freqtrade.data.dataprovider import DataProvider
from freqtrade.edge import Edge
from freqtrade.enums import (Collateral, RPCMessageType, SellType, SignalDirection, State,
TradingMode)
from freqtrade.exceptions import (DependencyException, ExchangeError, InsufficientFundsError,
InvalidOrderException, PricingError)
from freqtrade.exchange import timeframe_to_minutes, timeframe_to_seconds
from freqtrade.misc import safe_value_fallback, safe_value_fallback2
from freqtrade.mixins import LoggingMixin
from freqtrade.persistence import Order, PairLocks, Trade, cleanup_db, init_db
from freqtrade.plugins.pairlistmanager import PairListManager
from freqtrade.plugins.protectionmanager import ProtectionManager
from freqtrade.resolvers import ExchangeResolver, StrategyResolver
from freqtrade.rpc import RPCManager
from freqtrade.strategy.interface import IStrategy, SellCheckTuple
from freqtrade.strategy.strategy_wrapper import strategy_safe_wrapper
from freqtrade.wallets import Wallets
logger = logging.getLogger(__name__)
class FreqtradeBot(LoggingMixin):
"""
Freqtrade is the main class of the bot.
This is from here the bot start its logic.
"""
def __init__(self, config: Dict[str, Any]) -> None:
"""
Init all variables and objects the bot needs to work
:param config: configuration dict, you can use Configuration.get_config()
to get the config dict.
"""
self.active_pair_whitelist: List[str] = []
logger.info('Starting freqtrade %s', __version__)
# Init bot state
self.state = State.STOPPED
# Init objects
self.config = config
self.strategy: IStrategy = StrategyResolver.load_strategy(self.config)
# Check config consistency here since strategies can set certain options
validate_config_consistency(config)
self.exchange = ExchangeResolver.load_exchange(self.config['exchange']['name'], self.config)
init_db(self.config.get('db_url', None), clean_open_orders=self.config['dry_run'])
# TODO-lev: Do anything with this?
self.wallets = Wallets(self.config, self.exchange)
PairLocks.timeframe = self.config['timeframe']
self.protections = ProtectionManager(self.config, self.strategy.protections)
# RPC runs in separate threads, can start handling external commands just after
# initialization, even before Freqtradebot has a chance to start its throttling,
# so anything in the Freqtradebot instance should be ready (initialized), including
# the initial state of the bot.
# Keep this at the end of this initialization method.
# TODO-lev: Do I need to consider the rpc, pairlists or dataprovider?
self.rpc: RPCManager = RPCManager(self)
self.pairlists = PairListManager(self.exchange, self.config)
self.dataprovider = DataProvider(self.config, self.exchange, self.pairlists)
# Attach Dataprovider to Strategy baseclass
IStrategy.dp = self.dataprovider
# Attach Wallets to Strategy baseclass
IStrategy.wallets = self.wallets
# Initializing Edge only if enabled
self.edge = Edge(self.config, self.exchange, self.strategy) if \
self.config.get('edge', {}).get('enabled', False) else None
self.active_pair_whitelist = self._refresh_active_whitelist()
# Set initial bot state from config
initial_state = self.config.get('initial_state')
self.state = State[initial_state.upper()] if initial_state else State.STOPPED
# Protect exit-logic from forcesell and vice versa
self._exit_lock = Lock()
LoggingMixin.__init__(self, logger, timeframe_to_seconds(self.strategy.timeframe))
self.trading_mode: TradingMode = TradingMode.SPOT
self.collateral_type: Optional[Collateral] = None
trading_mode = self.config.get('trading_mode')
collateral_type = self.config.get('collateral_type')
if trading_mode:
self.trading_mode = TradingMode(trading_mode)
if collateral_type:
self.collateral_type = Collateral(collateral_type)
def notify_status(self, msg: str) -> None:
"""
Public method for users of this class (worker, etc.) to send notifications
via RPC about changes in the bot status.
"""
self.rpc.send_msg({
'type': RPCMessageType.STATUS,
'status': msg
})
def cleanup(self) -> None:
"""
Cleanup pending resources on an already stopped bot
:return: None
"""
logger.info('Cleaning up modules ...')
if self.config['cancel_open_orders_on_exit']:
self.cancel_all_open_orders()
self.check_for_open_trades()
self.rpc.cleanup()
cleanup_db()
def startup(self) -> None:
"""
Called on startup and after reloading the bot - triggers notifications and
performs startup tasks
"""
self.rpc.startup_messages(self.config, self.pairlists, self.protections)
if not self.edge:
# Adjust stoploss if it was changed
Trade.stoploss_reinitialization(self.strategy.stoploss)
# Only update open orders on startup
# This will update the database after the initial migration
self.update_open_orders()
def process(self) -> None:
"""
Queries the persistence layer for open trades and handles them,
otherwise a new trade is created.
:return: True if one or more trades has been created or closed, False otherwise
"""
# Check whether markets have to be reloaded and reload them when it's needed
self.exchange.reload_markets()
self.update_closed_trades_without_assigned_fees()
# Query trades from persistence layer
trades = Trade.get_open_trades()
self.active_pair_whitelist = self._refresh_active_whitelist(trades)
# Refreshing candles
self.dataprovider.refresh(self.pairlists.create_pair_list(self.active_pair_whitelist),
self.strategy.informative_pairs())
strategy_safe_wrapper(self.strategy.bot_loop_start, supress_error=True)()
self.strategy.analyze(self.active_pair_whitelist)
with self._exit_lock:
# Check and handle any timed out open orders
self.check_handle_timedout()
# Protect from collisions with forceexit.
# Without this, freqtrade my try to recreate stoploss_on_exchange orders
# while exiting is in process, since telegram messages arrive in an different thread.
with self._exit_lock:
trades = Trade.get_open_trades()
# First process current opened trades (positions)
self.exit_positions(trades)
# Then looking for buy opportunities
if self.get_free_open_trades():
self.enter_positions()
Trade.commit()
def process_stopped(self) -> None:
"""
Close all orders that were left open
"""
if self.config['cancel_open_orders_on_exit']:
self.cancel_all_open_orders()
def check_for_open_trades(self):
"""
Notify the user when the bot is stopped
and there are still open trades active.
"""
open_trades = Trade.get_trades([Trade.is_open.is_(True)]).all()
if len(open_trades) != 0:
msg = {
'type': RPCMessageType.WARNING,
'status': f"{len(open_trades)} open trades active.\n\n"
f"Handle these trades manually on {self.exchange.name}, "
f"or '/start' the bot again and use '/stopbuy' "
f"to handle open trades gracefully. \n"
f"{'Trades are simulated.' if self.config['dry_run'] else ''}",
}
self.rpc.send_msg(msg)
def _refresh_active_whitelist(self, trades: List[Trade] = []) -> List[str]:
"""
Refresh active whitelist from pairlist or edge and extend it with
pairs that have open trades.
"""
# Refresh whitelist
self.pairlists.refresh_pairlist()
_whitelist = self.pairlists.whitelist
# Calculating Edge positioning
if self.edge:
self.edge.calculate(_whitelist)
_whitelist = self.edge.adjust(_whitelist)
if trades:
# Extend active-pair whitelist with pairs of open trades
# It ensures that candle (OHLCV) data are downloaded for open trades as well
_whitelist.extend([trade.pair for trade in trades if trade.pair not in _whitelist])
return _whitelist
def get_free_open_trades(self) -> int:
"""
Return the number of free open trades slots or 0 if
max number of open trades reached
"""
open_trades = len(Trade.get_open_trades())
return max(0, self.config['max_open_trades'] - open_trades)
def update_open_orders(self):
"""
Updates open orders based on order list kept in the database.
Mainly updates the state of orders - but may also close trades
"""
if self.config['dry_run'] or self.config['exchange'].get('skip_open_order_update', False):
# Updating open orders in dry-run does not make sense and will fail.
return
orders = Order.get_open_orders()
logger.info(f"Updating {len(orders)} open orders.")
for order in orders:
try:
fo = self.exchange.fetch_order_or_stoploss_order(order.order_id, order.ft_pair,
order.ft_order_side == 'stoploss')
self.update_trade_state(order.trade, order.order_id, fo)
except ExchangeError as e:
logger.warning(f"Error updating Order {order.order_id} due to {e}")
def update_closed_trades_without_assigned_fees(self):
"""
Update closed trades without close fees assigned.
Only acts when Orders are in the database, otherwise the last order-id is unknown.
"""
if self.config['dry_run']:
# Updating open orders in dry-run does not make sense and will fail.
return
trades: List[Trade] = Trade.get_closed_trades_without_assigned_fees()
for trade in trades:
if not trade.is_open and not trade.fee_updated(trade.exit_side):
# Get sell fee
order = trade.select_order(trade.exit_side, False)
if order:
logger.info(
f"Updating {trade.exit_side}-fee on trade {trade}"
f"for order {order.order_id}."
)
self.update_trade_state(trade, order.order_id,
stoploss_order=order.ft_order_side == 'stoploss')
trades: List[Trade] = Trade.get_open_trades_without_assigned_fees()
for trade in trades:
if trade.is_open and not trade.fee_updated(trade.enter_side):
order = trade.select_order(trade.enter_side, False)
if order:
logger.info(
f"Updating {trade.enter_side}-fee on trade {trade}"
f"for order {order.order_id}."
)
self.update_trade_state(trade, order.order_id)
def handle_insufficient_funds(self, trade: Trade):
"""
Determine if we ever opened a exiting order for this trade.
If not, try update entering fees - otherwise "refind" the open order we obviously lost.
"""
exit_order = trade.select_order(trade.exit_side, None)
if exit_order:
self.refind_lost_order(trade)
else:
self.reupdate_enter_order_fees(trade)
def reupdate_enter_order_fees(self, trade: Trade):
"""
Get buy order from database, and try to reupdate.
Handles trades where the initial fee-update did not work.
"""
logger.info(f"Trying to reupdate {trade.enter_side} fees for {trade}")
order = trade.select_order(trade.enter_side, False)
if order:
logger.info(
f"Updating {trade.enter_side}-fee on trade {trade} for order {order.order_id}.")
self.update_trade_state(trade, order.order_id)
def refind_lost_order(self, trade):
"""
Try refinding a lost trade.
Only used when InsufficientFunds appears on exit orders (stoploss or long sell/short buy).
Tries to walk the stored orders and sell them off eventually.
"""
logger.info(f"Trying to refind lost order for {trade}")
for order in trade.orders:
logger.info(f"Trying to refind {order}")
fo = None
if not order.ft_is_open:
logger.debug(f"Order {order} is no longer open.")
continue
if order.ft_order_side == trade.enter_side:
# Skip buy side - this is handled by reupdate_enter_order_fees
continue
try:
fo = self.exchange.fetch_order_or_stoploss_order(order.order_id, order.ft_pair,
order.ft_order_side == 'stoploss')
if order.ft_order_side == 'stoploss':
if fo and fo['status'] == 'open':
# Assume this as the open stoploss order
trade.stoploss_order_id = order.order_id
elif order.ft_order_side == trade.exit_side:
if fo and fo['status'] == 'open':
# Assume this as the open order
trade.open_order_id = order.order_id
if fo:
logger.info(f"Found {order} for trade {trade}.")
self.update_trade_state(trade, order.order_id, fo,
stoploss_order=order.ft_order_side == 'stoploss')
except ExchangeError:
logger.warning(f"Error updating {order.order_id}.")
#
# BUY / enter positions / open trades logic and methods
#
def enter_positions(self) -> int:
"""
Tries to execute long buy/short sell orders for new trades (positions)
"""
trades_created = 0
whitelist = copy.deepcopy(self.active_pair_whitelist)
if not whitelist:
logger.info("Active pair whitelist is empty.")
return trades_created
# Remove pairs for currently opened trades from the whitelist
for trade in Trade.get_open_trades():
if trade.pair in whitelist:
whitelist.remove(trade.pair)
logger.debug('Ignoring %s in pair whitelist', trade.pair)
if not whitelist:
logger.info("No currency pair in active pair whitelist, "
"but checking to exit open trades.")
return trades_created
if PairLocks.is_global_lock():
lock = PairLocks.get_pair_longest_lock('*')
if lock:
self.log_once(f"Global pairlock active until "
f"{lock.lock_end_time.strftime(constants.DATETIME_PRINT_FORMAT)}. "
f"Not creating new trades, reason: {lock.reason}.", logger.info)
else:
self.log_once("Global pairlock active. Not creating new trades.", logger.info)
return trades_created
# Create entity and execute trade for each pair from whitelist
for pair in whitelist:
try:
trades_created += self.create_trade(pair)
except DependencyException as exception:
logger.warning('Unable to create trade for %s: %s', pair, exception)
if not trades_created:
logger.debug("Found no enter signals for whitelisted currencies. Trying again...")
return trades_created
def create_trade(self, pair: str) -> bool:
"""
Check the implemented trading strategy for buy signals.
If the pair triggers the buy signal a new trade record gets created
and the buy-order opening the trade gets issued towards the exchange.
:return: True if a trade has been created.
"""
logger.debug(f"create_trade for pair {pair}")
analyzed_df, _ = self.dataprovider.get_analyzed_dataframe(pair, self.strategy.timeframe)
nowtime = analyzed_df.iloc[-1]['date'] if len(analyzed_df) > 0 else None
if self.strategy.is_pair_locked(pair, nowtime):
lock = PairLocks.get_pair_longest_lock(pair, nowtime)
if lock:
self.log_once(f"Pair {pair} is still locked until "
f"{lock.lock_end_time.strftime(constants.DATETIME_PRINT_FORMAT)} "
f"due to {lock.reason}.",
logger.info)
else:
self.log_once(f"Pair {pair} is still locked.", logger.info)
return False
# get_free_open_trades is checked before create_trade is called
# but it is still used here to prevent opening too many trades within one iteration
if not self.get_free_open_trades():
logger.debug(f"Can't open a new trade for {pair}: max number of trades is reached.")
return False
# running get_signal on historical data fetched
(side, enter_tag) = self.strategy.get_entry_signal(
pair, self.strategy.timeframe, analyzed_df
)
if side:
stake_amount = self.wallets.get_trade_stake_amount(pair, self.edge)
bid_check_dom = self.config.get('bid_strategy', {}).get('check_depth_of_market', {})
if ((bid_check_dom.get('enabled', False)) and
(bid_check_dom.get('bids_to_ask_delta', 0) > 0)):
# TODO-lev: Does the below need to be adjusted for shorts?
if self._check_depth_of_market(
pair,
bid_check_dom,
side=side
):
return self.execute_entry(pair, stake_amount, enter_tag=enter_tag)
else:
return False
return self.execute_entry(pair, stake_amount, enter_tag=enter_tag)
else:
return False
def _check_depth_of_market(
self,
pair: str,
conf: Dict,
side: SignalDirection
) -> bool:
"""
Checks depth of market before executing a buy
"""
conf_bids_to_ask_delta = conf.get('bids_to_ask_delta', 0)
logger.info(f"Checking depth of market for {pair} ...")
order_book = self.exchange.fetch_l2_order_book(pair, 1000)
order_book_data_frame = order_book_to_dataframe(order_book['bids'], order_book['asks'])
order_book_bids = order_book_data_frame['b_size'].sum()
order_book_asks = order_book_data_frame['a_size'].sum()
enter_side = order_book_bids if side == SignalDirection.LONG else order_book_asks
exit_side = order_book_asks if side == SignalDirection.LONG else order_book_bids
bids_ask_delta = enter_side / exit_side
bids = f"Bids: {order_book_bids}"
asks = f"Asks: {order_book_asks}"
delta = f"Delta: {bids_ask_delta}"
logger.info(
f"{bids}, {asks}, {delta}, Direction: {side.value}"
f"Bid Price: {order_book['bids'][0][0]}, Ask Price: {order_book['asks'][0][0]}, "
f"Immediate Bid Quantity: {order_book['bids'][0][1]}, "
f"Immediate Ask Quantity: {order_book['asks'][0][1]}."
)
if bids_ask_delta >= conf_bids_to_ask_delta:
logger.info(f"Bids to asks delta for {pair} DOES satisfy condition.")
return True
else:
logger.info(f"Bids to asks delta for {pair} does not satisfy condition.")
return False
def leverage_prep(
self,
pair: str,
open_rate: float,
amount: float,
leverage: float,
is_short: bool
) -> Tuple[float, Optional[float]]:
interest_rate = 0.0
isolated_liq = None
# TODO-lev: Uncomment once liq and interest merged in
# if TradingMode == TradingMode.MARGIN:
# interest_rate = self.exchange.get_interest_rate(
# pair=pair,
# open_rate=open_rate,
# is_short=is_short
# )
# if self.collateral_type == Collateral.ISOLATED:
# isolated_liq = liquidation_price(
# exchange_name=self.exchange.name,
# trading_mode=self.trading_mode,
# open_rate=open_rate,
# amount=amount,
# leverage=leverage,
# is_short=is_short
# )
if self.trading_mode == TradingMode.FUTURES:
self.exchange.set_leverage(pair, leverage)
self.exchange.set_margin_mode(pair, self.collateral_type)
return interest_rate, isolated_liq
def execute_entry(
self,
pair: str,
stake_amount: float,
price: Optional[float] = None,
forcebuy: bool = False,
leverage: float = 1.0,
is_short: bool = False,
enter_tag: Optional[str] = None
) -> bool:
"""
Executes a limit buy for the given pair
:param pair: pair for which we want to create a LIMIT_BUY
:param stake_amount: amount of stake-currency for the pair
:param leverage: amount of leverage applied to this trade
:return: True if a buy order is created, false if it fails.
"""
time_in_force = self.strategy.order_time_in_force['buy']
[side, name] = ['sell', 'Short'] if is_short else ['buy', 'Long']
if price:
enter_limit_requested = price
else:
# Calculate price
proposed_enter_rate = self.exchange.get_rate(pair, refresh=True, side=side)
custom_entry_price = strategy_safe_wrapper(self.strategy.custom_entry_price,
default_retval=proposed_enter_rate)(
pair=pair, current_time=datetime.now(timezone.utc),
proposed_rate=proposed_enter_rate)
enter_limit_requested = self.get_valid_price(custom_entry_price, proposed_enter_rate)
if not enter_limit_requested:
raise PricingError(f'Could not determine {side} price.')
min_stake_amount = self.exchange.get_min_pair_stake_amount(
pair,
enter_limit_requested,
self.strategy.stoploss,
leverage=leverage
)
if not self.edge:
max_stake_amount = self.wallets.get_available_stake_amount()
stake_amount = strategy_safe_wrapper(self.strategy.custom_stake_amount,
default_retval=stake_amount)(
pair=pair, current_time=datetime.now(timezone.utc),
current_rate=enter_limit_requested, proposed_stake=stake_amount,
min_stake=min_stake_amount, max_stake=max_stake_amount)
stake_amount = self.wallets._validate_stake_amount(pair, stake_amount, min_stake_amount)
if not stake_amount:
return False
log_type = f"{name} signal found"
logger.info(f"{log_type}: about create a new trade for {pair} with stake_amount: "
f"{stake_amount} ...")
amount = (stake_amount / enter_limit_requested) * leverage
order_type = self.strategy.order_types['buy']
if forcebuy:
# Forcebuy can define a different ordertype
# TODO-lev: get a forceshort? What is this
order_type = self.strategy.order_types.get('forcebuy', order_type)
# TODO-lev: Will this work for shorting?
if not strategy_safe_wrapper(self.strategy.confirm_trade_entry, default_retval=True)(
pair=pair, order_type=order_type, amount=amount, rate=enter_limit_requested,
time_in_force=time_in_force, current_time=datetime.now(timezone.utc)):
logger.info(f"User requested abortion of {name.lower()}ing {pair}")
return False
amount = self.exchange.amount_to_precision(pair, amount)
order = self.exchange.create_order(pair=pair, ordertype=order_type, side=side,
amount=amount, rate=enter_limit_requested,
time_in_force=time_in_force)
order_obj = Order.parse_from_ccxt_object(order, pair, side)
order_id = order['id']
order_status = order.get('status', None)
# we assume the order is executed at the price requested
enter_limit_filled_price = enter_limit_requested
amount_requested = amount
if order_status == 'expired' or order_status == 'rejected':
order_tif = self.strategy.order_time_in_force['buy']
# return false if the order is not filled
if float(order['filled']) == 0:
logger.warning('%s %s order with time in force %s for %s is %s by %s.'
' zero amount is fulfilled.',
name, order_tif, order_type, pair, order_status, self.exchange.name)
return False
else:
# the order is partially fulfilled
# in case of IOC orders we can check immediately
# if the order is fulfilled fully or partially
logger.warning('%s %s order with time in force %s for %s is %s by %s.'
' %s amount fulfilled out of %s (%s remaining which is canceled).',
name, order_tif, order_type, pair, order_status, self.exchange.name,
order['filled'], order['amount'], order['remaining']
)
stake_amount = order['cost']
amount = safe_value_fallback(order, 'filled', 'amount')
enter_limit_filled_price = safe_value_fallback(order, 'average', 'price')
# in case of FOK the order may be filled immediately and fully
elif order_status == 'closed':
stake_amount = order['cost']
amount = safe_value_fallback(order, 'filled', 'amount')
enter_limit_filled_price = safe_value_fallback(order, 'average', 'price')
interest_rate, isolated_liq = self.leverage_prep(
leverage=leverage,
pair=pair,
amount=amount,
open_rate=enter_limit_filled_price,
is_short=is_short
)
# Fee is applied twice because we make a LIMIT_BUY and LIMIT_SELL
fee = self.exchange.get_fee(symbol=pair, taker_or_maker='maker')
trade = Trade(
pair=pair,
stake_amount=stake_amount,
amount=amount,
is_open=True,
amount_requested=amount_requested,
fee_open=fee,
fee_close=fee,
open_rate=enter_limit_filled_price,
open_rate_requested=enter_limit_requested,
open_date=datetime.utcnow(),
exchange=self.exchange.id,
open_order_id=order_id,
strategy=self.strategy.get_strategy_name(),
# TODO-lev: compatibility layer for buy_tag (!)
buy_tag=enter_tag,
timeframe=timeframe_to_minutes(self.config['timeframe']),
leverage=leverage,
is_short=is_short,
interest_rate=interest_rate,
isolated_liq=isolated_liq,
)
trade.orders.append(order_obj)
# Update fees if order is closed
if order_status == 'closed':
self.update_trade_state(trade, order_id, order)
Trade.query.session.add(trade)
Trade.commit()
# Updating wallets
self.wallets.update()
self._notify_enter(trade, order_type)
return True
def _notify_enter(self, trade: Trade, order_type: str) -> None:
"""
Sends rpc notification when a buy/short occurred.
"""
msg = {
'trade_id': trade.id,
'type': RPCMessageType.SHORT if trade.is_short else RPCMessageType.BUY,
'buy_tag': trade.buy_tag,
'exchange': self.exchange.name.capitalize(),
'pair': trade.pair,
'limit': trade.open_rate,
'order_type': order_type,
'stake_amount': trade.stake_amount,
'stake_currency': self.config['stake_currency'],
'fiat_currency': self.config.get('fiat_display_currency', None),
'amount': trade.amount,
'open_date': trade.open_date or datetime.utcnow(),
'current_rate': trade.open_rate_requested,
}
# Send the message
self.rpc.send_msg(msg)
def _notify_enter_cancel(self, trade: Trade, order_type: str, reason: str) -> None:
"""
Sends rpc notification when a buy/short cancel occurred.
"""
current_rate = self.exchange.get_rate(trade.pair, refresh=False, side=trade.enter_side)
msg_type = RPCMessageType.SHORT_CANCEL if trade.is_short else RPCMessageType.BUY_CANCEL
msg = {
'trade_id': trade.id,
'type': msg_type,
'buy_tag': trade.buy_tag,
'exchange': self.exchange.name.capitalize(),
'pair': trade.pair,
'limit': trade.open_rate,
'order_type': order_type,
'stake_amount': trade.stake_amount,
'stake_currency': self.config['stake_currency'],
'fiat_currency': self.config.get('fiat_display_currency', None),
'amount': trade.amount,
'open_date': trade.open_date,
'current_rate': current_rate,
'reason': reason,
}
# Send the message
self.rpc.send_msg(msg)
def _notify_enter_fill(self, trade: Trade) -> None:
msg_type = RPCMessageType.SHORT_FILL if trade.is_short else RPCMessageType.BUY_FILL
msg = {
'trade_id': trade.id,
'type': msg_type,
'buy_tag': trade.buy_tag,
'exchange': self.exchange.name.capitalize(),
'pair': trade.pair,
'open_rate': trade.open_rate,
'stake_amount': trade.stake_amount,
'stake_currency': self.config['stake_currency'],
'fiat_currency': self.config.get('fiat_display_currency', None),
'amount': trade.amount,
'open_date': trade.open_date,
}
self.rpc.send_msg(msg)
#
# SELL / exit positions / close trades logic and methods
#
def exit_positions(self, trades: List[Any]) -> int:
"""
Tries to execute sell/exit_short orders for open trades (positions)
"""
trades_closed = 0
for trade in trades:
try:
if (self.strategy.order_types.get('stoploss_on_exchange') and
self.handle_stoploss_on_exchange(trade)):
trades_closed += 1
Trade.commit()
continue
# Check if we can sell our current pair
if trade.open_order_id is None and trade.is_open and self.handle_trade(trade):
trades_closed += 1
except DependencyException as exception:
logger.warning('Unable to exit trade %s: %s', trade.pair, exception)
# Updating wallets if any trade occurred
if trades_closed:
self.wallets.update()
return trades_closed
def handle_trade(self, trade: Trade) -> bool:
"""
Sells/exits_short the current pair if the threshold is reached and updates the trade record.
:return: True if trade has been sold/exited_short, False otherwise
"""
if not trade.is_open:
raise DependencyException(f'Attempt to handle closed trade: {trade}')
logger.debug('Handling %s ...', trade)
(enter, exit_) = (False, False)
exit_signal_type = "exit_short" if trade.is_short else "exit_long"
# TODO-lev: change to use_exit_signal, ignore_roi_if_enter_signal
if (self.config.get('use_sell_signal', True) or
self.config.get('ignore_roi_if_buy_signal', False)):
analyzed_df, _ = self.dataprovider.get_analyzed_dataframe(trade.pair,
self.strategy.timeframe)
(enter, exit_) = self.strategy.get_exit_signal(
trade.pair,
self.strategy.timeframe,
analyzed_df,
is_short=trade.is_short
)
logger.debug('checking exit')
exit_rate = self.exchange.get_rate(trade.pair, refresh=True, side=trade.exit_side)
if self._check_and_execute_exit(trade, exit_rate, enter, exit_):
return True
logger.debug(f'Found no {exit_signal_type} signal for %s.', trade)
return False
def create_stoploss_order(self, trade: Trade, stop_price: float) -> bool:
"""
Abstracts creating stoploss orders from the logic.
Handles errors and updates the trade database object.
Force-sells the pair (using EmergencySell reason) in case of Problems creating the order.
: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,
side=trade.exit_side
)
order_obj = Order.parse_from_ccxt_object(stoploss_order, trade.pair, 'stoploss')
trade.orders.append(order_obj)
trade.stoploss_order_id = str(stoploss_order['id'])
return True
except InsufficientFundsError as e:
logger.warning(f"Unable to place stoploss order {e}.")
# Try to figure out what went wrong
self.handle_insufficient_funds(trade)
except InvalidOrderException as e:
trade.stoploss_order_id = None
logger.error(f'Unable to place a stoploss order on exchange. {e}')
logger.warning('Exiting the trade forcefully')
self.execute_trade_exit(trade, trade.stop_loss, sell_reason=SellCheckTuple(
sell_type=SellType.EMERGENCY_SELL), side=trade.exit_side)
except ExchangeError:
trade.stoploss_order_id = None
logger.exception('Unable to place a stoploss order on exchange.')
return False
def handle_stoploss_on_exchange(self, trade: Trade) -> bool:
"""
Check if trade is fulfilled in which case the stoploss
on exchange should be added immediately if stoploss on exchange
is enabled.
# TODO-lev: liquidation price will always be on exchange, even though
# TODO-lev: stoploss_on_exchange might not be enabled
"""
logger.debug('Handling stoploss on exchange %s ...', trade)
stoploss_order = None
try:
# First we check if there is already a stoploss on exchange
stoploss_order = self.exchange.fetch_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)
if stoploss_order:
trade.update_order(stoploss_order)
# We check if stoploss order is fulfilled
if stoploss_order and stoploss_order['status'] in ('closed', 'triggered'):
# TODO-lev: Update to exit reason
trade.sell_reason = SellType.STOPLOSS_ON_EXCHANGE.value
self.update_trade_state(trade, trade.stoploss_order_id, stoploss_order,
stoploss_order=True)
# Lock pair for one candle to prevent immediate rebuys
self.strategy.lock_pair(trade.pair, datetime.now(timezone.utc),
reason='Auto lock')
self._notify_exit(trade, "stoploss")
return True
if trade.open_order_id or not trade.is_open:
# Trade has an open Buy or Sell order, Stoploss-handling can't happen in this case
# as the Amount on the exchange is tied up in another trade.
# The trade can be closed already (sell-order fill confirmation came in this iteration)
return False
# If enter order is fulfilled but there is no stoploss, we add a stoploss on exchange
if not stoploss_order:
stoploss = self.edge.stoploss(pair=trade.pair) if self.edge else self.strategy.stoploss
if trade.is_short:
stop_price = trade.open_rate * (1 - stoploss)
else:
stop_price = trade.open_rate * (1 + stoploss)
if self.create_stoploss_order(trade=trade, stop_price=stop_price):
trade.stoploss_last_update = datetime.utcnow()
return False
# If stoploss order is canceled for some reason we add it
if stoploss_order and stoploss_order['status'] in ('canceled', 'cancelled'):
if self.create_stoploss_order(trade=trade, stop_price=trade.stop_loss):
return False
else:
trade.stoploss_order_id = None
logger.warning('Stoploss order was cancelled, but unable to recreate one.')
# Finally we check if stoploss on exchange should be moved up because of trailing.
# Triggered Orders are now real orders - so don't replace stoploss anymore
if (
stoploss_order
and stoploss_order.get('status_stop') != 'triggered'
and (self.config.get('trailing_stop', False)
or self.config.get('use_custom_stoploss', False))
):
# 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, side=trade.exit_side)
return False
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
:param trade: Corresponding Trade
:param order: Current on exchange stoploss order
:return: None
"""
if self.exchange.stoploss_adjust(trade.stop_loss, order, side=trade.exit_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:
# cancelling the current stoploss on exchange first
logger.info(f"Cancelling current stoploss on exchange for pair {trade.pair} "
f"(orderid:{order['id']}) in order to add another one ...")
try:
co = self.exchange.cancel_stoploss_order_with_result(order['id'], trade.pair,
trade.amount)
trade.update_order(co)
except InvalidOrderException:
logger.exception(f"Could not cancel stoploss order {order['id']} "
f"for pair {trade.pair}")
# Create new stoploss order
if not self.create_stoploss_order(trade=trade, stop_price=trade.stop_loss):
logger.warning(f"Could not create trailing stoploss order "
f"for pair {trade.pair}.")
def _check_and_execute_exit(self, trade: Trade, exit_rate: float,
enter: bool, exit_: bool) -> bool:
"""
Check and execute trade exit
"""
should_exit: SellCheckTuple = self.strategy.should_exit(
trade, exit_rate, datetime.now(timezone.utc), enter=enter, exit_=exit_,
force_stoploss=self.edge.stoploss(trade.pair) if self.edge else 0
)
if should_exit.sell_flag:
logger.info(f'Exit for {trade.pair} detected. Reason: {should_exit.sell_type}')
self.execute_trade_exit(trade, exit_rate, should_exit, side=trade.exit_side)
return True
return False
def _check_timed_out(self, side: str, order: dict) -> bool:
"""
Check if timeout is active, and if the order is still open and timed out
"""
timeout = self.config.get('unfilledtimeout', {}).get(side)
ordertime = arrow.get(order['datetime']).datetime
if timeout is not None:
timeout_unit = self.config.get('unfilledtimeout', {}).get('unit', 'minutes')
timeout_kwargs = {timeout_unit: -timeout}
timeout_threshold = arrow.utcnow().shift(**timeout_kwargs).datetime
return (order['status'] == 'open' and order['side'] == side
and ordertime < timeout_threshold)
return False
def check_handle_timedout(self) -> None:
"""
Check if any orders are timed out and cancel if necessary
:param timeoutvalue: Number of minutes until order is considered timed out
:return: None
"""
for trade in Trade.get_open_order_trades():
try:
if not trade.open_order_id:
continue
order = self.exchange.fetch_order(trade.open_order_id, trade.pair)
except (ExchangeError):
logger.info('Cannot query order for %s due to %s', trade, traceback.format_exc())
continue
fully_cancelled = self.update_trade_state(trade, trade.open_order_id, order)
if (
order['side'] == trade.enter_side and
(order['status'] == 'open' or fully_cancelled) and
(fully_cancelled or
self._check_timed_out(trade.enter_side, order) or
strategy_safe_wrapper(
self.strategy.check_buy_timeout,
default_retval=False
)(
pair=trade.pair,
trade=trade,
order=order
)
)
):
self.handle_cancel_enter(trade, order, constants.CANCEL_REASON['TIMEOUT'])
elif (
order['side'] == trade.exit_side and
(order['status'] == 'open' or fully_cancelled) and
(fully_cancelled or
self._check_timed_out(trade.exit_side, order) or
strategy_safe_wrapper(
self.strategy.check_sell_timeout,
default_retval=False
)(
pair=trade.pair,
trade=trade,
order=order
)
)
):
self.handle_cancel_exit(trade, order, constants.CANCEL_REASON['TIMEOUT'])
def cancel_all_open_orders(self) -> None:
"""
Cancel all orders that are currently open
:return: None
"""
for trade in Trade.get_open_order_trades():
try:
order = self.exchange.fetch_order(trade.open_order_id, trade.pair)
except (ExchangeError):
logger.info('Cannot query order for %s due to %s', trade, traceback.format_exc())
continue
if order['side'] == trade.enter_side:
self.handle_cancel_enter(trade, order, constants.CANCEL_REASON['ALL_CANCELLED'])
elif order['side'] == trade.exit_side:
self.handle_cancel_exit(trade, order, constants.CANCEL_REASON['ALL_CANCELLED'])
Trade.commit()
def handle_cancel_enter(self, trade: Trade, order: Dict, reason: str) -> bool:
"""
Buy cancel - cancel order
:return: True if order was fully cancelled
"""
# TODO-lev: Pay back borrowed/interest and transfer back on leveraged trades
was_trade_fully_canceled = False
# Cancelled orders may have the status of 'canceled' or 'closed'
if order['status'] not in constants.NON_OPEN_EXCHANGE_STATES:
filled_val = order.get('filled', 0.0) or 0.0
filled_stake = filled_val * trade.open_rate
minstake = self.exchange.get_min_pair_stake_amount(
trade.pair, trade.open_rate, self.strategy.stoploss)
if filled_val > 0 and filled_stake < minstake:
logger.warning(
f"Order {trade.open_order_id} for {trade.pair} not cancelled, "
f"as the filled amount of {filled_val} would result in an unexitable trade.")
return False
corder = self.exchange.cancel_order_with_result(trade.open_order_id, trade.pair,
trade.amount)
# Avoid race condition where the order could not be cancelled coz its already filled.
# Simply bailing here is the only safe way - as this order will then be
# handled in the next iteration.
if corder.get('status') not in constants.NON_OPEN_EXCHANGE_STATES:
logger.warning(f"Order {trade.open_order_id} for {trade.pair} not cancelled.")
return False
else:
# Order was cancelled already, so we can reuse the existing dict
corder = order
reason = constants.CANCEL_REASON['CANCELLED_ON_EXCHANGE']
side = trade.enter_side.capitalize()
logger.info('%s order %s for %s.', side, reason, trade)
# Using filled to determine the filled amount
filled_amount = safe_value_fallback2(corder, order, 'filled', 'filled')
if isclose(filled_amount, 0.0, abs_tol=constants.MATH_CLOSE_PREC):
logger.info(
'%s order fully cancelled. Removing %s from database.',
side, trade
)
# if trade is not partially completed, just delete the trade
trade.delete()
was_trade_fully_canceled = True
reason += f", {constants.CANCEL_REASON['FULLY_CANCELLED']}"
else:
# if trade is partially complete, edit the stake details for the trade
# and close the order
# cancel_order may not contain the full order dict, so we need to fallback
# to the order dict acquired before cancelling.
# we need to fall back to the values from order if corder does not contain these keys.
trade.amount = filled_amount
# TODO-lev: Check edge cases, we don't want to make leverage > 1.0 if we don't have to
trade.stake_amount = trade.amount * trade.open_rate
self.update_trade_state(trade, trade.open_order_id, corder)
trade.open_order_id = None
logger.info('Partial %s order timeout for %s.', trade.enter_side, trade)
reason += f", {constants.CANCEL_REASON['PARTIALLY_FILLED']}"
self.wallets.update()
self._notify_enter_cancel(trade, order_type=self.strategy.order_types[trade.enter_side],
reason=reason)
return was_trade_fully_canceled
def handle_cancel_exit(self, trade: Trade, order: Dict, reason: str) -> str:
"""
Sell/exit_short cancel - cancel order and update trade
:return: Reason for cancel
"""
# if trade is not partially completed, just cancel the order
if order['remaining'] == order['amount'] or order.get('filled') == 0.0:
if not self.exchange.check_order_canceled_empty(order):
try:
# if trade is not partially completed, just delete the order
co = self.exchange.cancel_order_with_result(trade.open_order_id, trade.pair,
trade.amount)
trade.update_order(co)
except InvalidOrderException:
logger.exception(
f"Could not cancel {trade.exit_side} order {trade.open_order_id}")
return 'error cancelling order'
logger.info('%s order %s for %s.', trade.exit_side.capitalize(), reason, trade)
else:
reason = constants.CANCEL_REASON['CANCELLED_ON_EXCHANGE']
logger.info('%s order %s for %s.', trade.exit_side.capitalize(), reason, trade)
trade.update_order(order)
trade.close_rate = None
trade.close_rate_requested = None
trade.close_profit = None
trade.close_profit_abs = None
trade.close_date = None
trade.is_open = True
trade.open_order_id = None
else:
# TODO: figure out how to handle partially complete sell orders
reason = constants.CANCEL_REASON['PARTIALLY_FILLED_KEEP_OPEN']
self.wallets.update()
self._notify_exit_cancel(
trade,
order_type=self.strategy.order_types[trade.exit_side],
reason=reason
)
return reason
def _safe_exit_amount(self, pair: str, amount: float) -> float:
"""
Get sellable amount.
Should be trade.amount - but will fall back to the available amount if necessary.
This should cover cases where get_real_amount() was not able to update the amount
for whatever reason.
:param pair: Pair we're trying to sell
:param amount: amount we expect to be available
:return: amount to sell
:raise: DependencyException: if available balance is not within 2% of the available amount.
"""
# TODO-lev Maybe update?
# Update wallets to ensure amounts tied up in a stoploss is now free!
self.wallets.update()
trade_base_currency = self.exchange.get_pair_base_currency(pair)
wallet_amount = self.wallets.get_free(trade_base_currency)
logger.debug(f"{pair} - Wallet: {wallet_amount} - Trade-amount: {amount}")
if wallet_amount >= amount:
return amount
elif wallet_amount > amount * 0.98:
logger.info(f"{pair} - Falling back to wallet-amount {wallet_amount} -> {amount}.")
return wallet_amount
else:
raise DependencyException(
f"Not enough amount to exit trade. Trade-amount: {amount}, Wallet: {wallet_amount}")
def execute_trade_exit(
self,
trade: Trade,
limit: float,
sell_reason: SellCheckTuple, # TODO-lev update to exit_reason
side: str
) -> bool:
"""
Executes a trade exit for the given trade and limit
:param trade: Trade instance
:param limit: limit rate for the sell order
:param sell_reason: Reason the sell was triggered
:param side: "buy" or "sell"
:return: True if it succeeds (supported) False (not supported)
"""
exit_type = 'sell' # TODO-lev: Update to exit
if sell_reason.sell_type in (SellType.STOP_LOSS, SellType.TRAILING_STOP_LOSS):
exit_type = 'stoploss'
# if stoploss is on exchange and we are on dry_run mode,
# we consider the sell price stop price
if self.config['dry_run'] and exit_type == 'stoploss' \
and self.strategy.order_types['stoploss_on_exchange']:
limit = trade.stop_loss
# set custom_exit_price if available
proposed_limit_rate = limit
current_profit = trade.calc_profit_ratio(limit)
custom_exit_price = strategy_safe_wrapper(self.strategy.custom_exit_price,
default_retval=proposed_limit_rate)(
pair=trade.pair, trade=trade,
current_time=datetime.now(timezone.utc),
proposed_rate=proposed_limit_rate, current_profit=current_profit)
limit = self.get_valid_price(custom_exit_price, proposed_limit_rate)
# First cancelling stoploss on exchange ...
if self.strategy.order_types.get('stoploss_on_exchange') and trade.stoploss_order_id:
try:
co = self.exchange.cancel_stoploss_order_with_result(trade.stoploss_order_id,
trade.pair, trade.amount)
trade.update_order(co)
except InvalidOrderException:
logger.exception(f"Could not cancel stoploss order {trade.stoploss_order_id}")
order_type = self.strategy.order_types[exit_type]
if sell_reason.sell_type == SellType.EMERGENCY_SELL:
# Emergency sells (default to market!)
order_type = self.strategy.order_types.get("emergencysell", "market")
if sell_reason.sell_type == SellType.FORCE_SELL:
# Force sells (default to the sell_type defined in the strategy,
# but we allow this value to be changed)
order_type = self.strategy.order_types.get("forcesell", order_type)
amount = self._safe_exit_amount(trade.pair, trade.amount)
time_in_force = self.strategy.order_time_in_force['sell'] # TODO-lev update to exit
if not strategy_safe_wrapper(self.strategy.confirm_trade_exit, default_retval=True)(
pair=trade.pair, trade=trade, order_type=order_type, amount=amount, rate=limit,
time_in_force=time_in_force, sell_reason=sell_reason.sell_reason,
current_time=datetime.now(timezone.utc)):
logger.info(f"User requested abortion of exiting {trade.pair}")
return False
try:
# Execute sell and update trade record
order = self.exchange.create_order(
pair=trade.pair,
ordertype=order_type,
amount=amount,
rate=limit,
time_in_force=time_in_force,
side=trade.exit_side
)
except InsufficientFundsError as e:
logger.warning(f"Unable to place order {e}.")
# Try to figure out what went wrong
self.handle_insufficient_funds(trade)
return False
order_obj = Order.parse_from_ccxt_object(order, trade.pair, trade.exit_side)
trade.orders.append(order_obj)
trade.open_order_id = order['id']
trade.sell_order_status = ''
trade.close_rate_requested = limit
trade.sell_reason = sell_reason.sell_reason
# In case of market sell orders the order can be closed immediately
if order.get('status', 'unknown') in ('closed', 'expired'):
self.update_trade_state(trade, trade.open_order_id, order)
Trade.commit()
# Lock pair for one candle to prevent immediate re-trading
self.strategy.lock_pair(trade.pair, datetime.now(timezone.utc),
reason='Auto lock')
self._notify_exit(trade, order_type)
return True
def _notify_exit(self, trade: Trade, order_type: str, fill: bool = False) -> None:
"""
Sends rpc notification when a sell occurred.
"""
profit_rate = trade.close_rate if trade.close_rate else trade.close_rate_requested
profit_trade = trade.calc_profit(rate=profit_rate)
# Use cached rates here - it was updated seconds ago.
current_rate = self.exchange.get_rate(
trade.pair, refresh=False, side=trade.exit_side) if not fill else None
profit_ratio = trade.calc_profit_ratio(profit_rate)
gain = "profit" if profit_ratio > 0 else "loss"
msg = {
'type': (RPCMessageType.SELL_FILL if fill
else RPCMessageType.SELL),
'trade_id': trade.id,
'exchange': trade.exchange.capitalize(),
'pair': trade.pair,
'gain': gain,
'limit': profit_rate,
'order_type': order_type,
'amount': trade.amount,
'open_rate': trade.open_rate,
'close_rate': trade.close_rate,
'current_rate': current_rate,
'profit_amount': profit_trade,
'profit_ratio': profit_ratio,
'sell_reason': trade.sell_reason,
'open_date': trade.open_date,
'close_date': trade.close_date or datetime.utcnow(),
'stake_currency': self.config['stake_currency'],
'fiat_currency': self.config.get('fiat_display_currency', None),
}
if 'fiat_display_currency' in self.config:
msg.update({
'fiat_currency': self.config['fiat_display_currency'],
})
# Send the message
self.rpc.send_msg(msg)
def _notify_exit_cancel(self, trade: Trade, order_type: str, reason: str) -> None:
"""
Sends rpc notification when a sell cancel occurred.
"""
if trade.sell_order_status == reason:
return
else:
trade.sell_order_status = reason
profit_rate = trade.close_rate if trade.close_rate else trade.close_rate_requested
profit_trade = trade.calc_profit(rate=profit_rate)
current_rate = self.exchange.get_rate(trade.pair, refresh=False, side=trade.exit_side)
profit_ratio = trade.calc_profit_ratio(profit_rate)
gain = "profit" if profit_ratio > 0 else "loss"
msg = {
'type': RPCMessageType.SELL_CANCEL,
'trade_id': trade.id,
'exchange': trade.exchange.capitalize(),
'pair': trade.pair,
'gain': gain,
'limit': profit_rate,
'order_type': order_type,
'amount': trade.amount,
'open_rate': trade.open_rate,
'current_rate': current_rate,
'profit_amount': profit_trade,
'profit_ratio': profit_ratio,
'sell_reason': trade.sell_reason,
'open_date': trade.open_date,
'close_date': trade.close_date,
'stake_currency': self.config['stake_currency'],
'fiat_currency': self.config.get('fiat_display_currency', None),
'reason': reason,
}
if 'fiat_display_currency' in self.config:
msg.update({
'fiat_currency': self.config['fiat_display_currency'],
})
# Send the message
self.rpc.send_msg(msg)
#
# Common update trade state methods
#
def update_trade_state(self, trade: Trade, order_id: str, action_order: Dict[str, Any] = None,
stoploss_order: bool = False) -> bool:
"""
Checks trades with open orders and updates the amount if necessary
Handles closing both buy and sell orders.
:param trade: Trade object of the trade we're analyzing
:param order_id: Order-id of the order we're analyzing
:param action_order: Already acquired order object
:return: True if order has been cancelled without being filled partially, False otherwise
"""
if not order_id:
logger.warning(f'Orderid for trade {trade} is empty.')
return False
# Update trade with order values
logger.info('Found open order for %s', trade)
try:
order = action_order or self.exchange.fetch_order_or_stoploss_order(order_id,
trade.pair,
stoploss_order)
except InvalidOrderException as exception:
logger.warning('Unable to fetch order %s: %s', order_id, exception)
return False
trade.update_order(order)
# Try update amount (binance-fix)
try:
new_amount = self.get_real_amount(trade, order)
if not isclose(safe_value_fallback(order, 'filled', 'amount'), new_amount,
abs_tol=constants.MATH_CLOSE_PREC):
order['amount'] = new_amount
order.pop('filled', None)
trade.recalc_open_trade_value()
except DependencyException as exception:
logger.warning("Could not update trade amount: %s", exception)
if self.exchange.check_order_canceled_empty(order):
# Trade has been cancelled on exchange
# Handling of this will happen in check_handle_timeout.
return True
trade.update(order)
Trade.commit()
# Updating wallets when order is closed
if not trade.is_open:
if not stoploss_order and not trade.open_order_id:
self._notify_exit(trade, '', True)
self.protections.stop_per_pair(trade.pair)
self.protections.global_stop()
self.wallets.update()
elif not trade.open_order_id:
# Buy fill
self._notify_enter_fill(trade)
return False
def apply_fee_conditional(self, trade: Trade, trade_base_currency: str,
amount: float, fee_abs: float) -> float:
"""
Applies the fee to amount (either from Order or from Trades).
Can eat into dust if more than the required asset is available.
"""
self.wallets.update()
if fee_abs != 0 and self.wallets.get_free(trade_base_currency) >= amount:
# Eat into dust if we own more than base currency
# TODO-lev: won't be in (quote) currency for shorts
logger.info(f"Fee amount for {trade} was in base currency - "
f"Eating Fee {fee_abs} into dust.")
elif fee_abs != 0:
real_amount = self.exchange.amount_to_precision(trade.pair, amount - fee_abs)
logger.info(f"Applying fee on amount for {trade} "
f"(from {amount} to {real_amount}).")
return real_amount
return amount
def get_real_amount(self, trade: Trade, order: Dict) -> float:
"""
Detect and update trade fee.
Calls trade.update_fee() upon correct detection.
Returns modified amount if the fee was taken from the destination currency.
Necessary for exchanges which charge fees in base currency (e.g. binance)
:return: identical (or new) amount for the trade
"""
# Init variables
order_amount = safe_value_fallback(order, 'filled', 'amount')
# Only run for closed orders
if trade.fee_updated(order.get('side', '')) or order['status'] == 'open':
return order_amount
trade_base_currency = self.exchange.get_pair_base_currency(trade.pair)
# use fee from order-dict if possible
if self.exchange.order_has_fee(order):
fee_cost, fee_currency, fee_rate = self.exchange.extract_cost_curr_rate(order)
logger.info(f"Fee for Trade {trade} [{order.get('side')}]: "
f"{fee_cost:.8g} {fee_currency} - rate: {fee_rate}")
if fee_rate is None or fee_rate < 0.02:
# Reject all fees that report as > 2%.
# These are most likely caused by a parsing bug in ccxt
# due to multiple trades (https://github.com/ccxt/ccxt/issues/8025)
trade.update_fee(fee_cost, fee_currency, fee_rate, order.get('side', ''))
if trade_base_currency == fee_currency:
# Apply fee to amount
return self.apply_fee_conditional(trade, trade_base_currency,
amount=order_amount, fee_abs=fee_cost)
return order_amount
return self.fee_detection_from_trades(trade, order, order_amount)
def fee_detection_from_trades(self, trade: Trade, order: Dict, order_amount: float) -> float:
"""
fee-detection fallback to Trades. Parses result of fetch_my_trades to get correct fee.
"""
trades = self.exchange.get_trades_for_order(self.exchange.get_order_id_conditional(order),
trade.pair, trade.open_date)
if len(trades) == 0:
logger.info("Applying fee on amount for %s failed: myTrade-Dict empty found", trade)
return order_amount
fee_currency = None
amount = 0
fee_abs = 0.0
fee_cost = 0.0
trade_base_currency = self.exchange.get_pair_base_currency(trade.pair)
fee_rate_array: List[float] = []
for exectrade in trades:
amount += exectrade['amount']
if self.exchange.order_has_fee(exectrade):
fee_cost_, fee_currency, fee_rate_ = self.exchange.extract_cost_curr_rate(exectrade)
fee_cost += fee_cost_
if fee_rate_ is not None:
fee_rate_array.append(fee_rate_)
# only applies if fee is in quote currency!
if trade_base_currency == fee_currency:
fee_abs += fee_cost_
# Ensure at least one trade was found:
if fee_currency:
# fee_rate should use mean
fee_rate = sum(fee_rate_array) / float(len(fee_rate_array)) if fee_rate_array else None
if fee_rate is not None and fee_rate < 0.02:
# Only update if fee-rate is < 2%
trade.update_fee(fee_cost, fee_currency, fee_rate, order.get('side', ''))
if not isclose(amount, order_amount, abs_tol=constants.MATH_CLOSE_PREC):
# TODO-lev: leverage?
logger.warning(f"Amount {amount} does not match amount {trade.amount}")
raise DependencyException("Half bought? Amounts don't match")
if fee_abs != 0:
return self.apply_fee_conditional(trade, trade_base_currency,
amount=amount, fee_abs=fee_abs)
else:
return amount
def get_valid_price(self, custom_price: float, proposed_price: float) -> float:
"""
Return the valid price.
Check if the custom price is of the good type if not return proposed_price
:return: valid price for the order
"""
if custom_price:
try:
valid_custom_price = float(custom_price)
except ValueError:
valid_custom_price = proposed_price
else:
valid_custom_price = proposed_price
cust_p_max_dist_r = self.config.get('custom_price_max_distance_ratio', 0.02)
min_custom_price_allowed = proposed_price - (proposed_price * cust_p_max_dist_r)
max_custom_price_allowed = proposed_price + (proposed_price * cust_p_max_dist_r)
# Bracket between min_custom_price_allowed and max_custom_price_allowed
return max(
min(valid_custom_price, max_custom_price_allowed),
min_custom_price_allowed)