239 lines
9.0 KiB
Python
239 lines
9.0 KiB
Python
import logging
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from typing import Any, Dict, List, Optional, Tuple
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import ccxt
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from freqtrade.constants import BuySell
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from freqtrade.enums import CandleType, MarginMode, TradingMode
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from freqtrade.enums.pricetype import PriceType
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from freqtrade.exceptions import (DDosProtection, OperationalException, RetryableOrderError,
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TemporaryError)
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from freqtrade.exchange import Exchange, date_minus_candles
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from freqtrade.exchange.common import retrier
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from freqtrade.misc import safe_value_fallback2
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logger = logging.getLogger(__name__)
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class Okx(Exchange):
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"""Okx exchange class.
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Contains adjustments needed for Freqtrade to work with this exchange.
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"""
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_ft_has: Dict = {
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"ohlcv_candle_limit": 100, # Warning, special case with data prior to X months
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"mark_ohlcv_timeframe": "4h",
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"funding_fee_timeframe": "8h",
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"stoploss_order_types": {"limit": "limit"},
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"stoploss_on_exchange": True,
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}
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_ft_has_futures: Dict = {
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"tickers_have_quoteVolume": False,
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"fee_cost_in_contracts": True,
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"stop_price_type_field": "tpTriggerPxType",
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"stop_price_type_value_mapping": {
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PriceType.LAST: "last",
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PriceType.MARK: "index",
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PriceType.INDEX: "mark",
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},
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}
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_supported_trading_mode_margin_pairs: List[Tuple[TradingMode, MarginMode]] = [
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# TradingMode.SPOT always supported and not required in this list
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# (TradingMode.MARGIN, MarginMode.CROSS),
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# (TradingMode.FUTURES, MarginMode.CROSS),
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(TradingMode.FUTURES, MarginMode.ISOLATED),
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]
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net_only = True
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_ccxt_params: Dict = {'options': {'brokerId': 'ffb5405ad327SUDE'}}
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def ohlcv_candle_limit(
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self, timeframe: str, candle_type: CandleType, since_ms: Optional[int] = None) -> int:
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"""
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Exchange ohlcv candle limit
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OKX has the following behaviour:
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* 300 candles for uptodate data
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* 100 candles for historic data
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* 100 candles for additional candles (not futures or spot).
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:param timeframe: Timeframe to check
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:param candle_type: Candle-type
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:param since_ms: Starting timestamp
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:return: Candle limit as integer
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"""
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if (
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candle_type in (CandleType.FUTURES, CandleType.SPOT) and
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(not since_ms or since_ms > (date_minus_candles(timeframe, 300).timestamp() * 1000))
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):
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return 300
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return super().ohlcv_candle_limit(timeframe, candle_type, since_ms)
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@retrier
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def additional_exchange_init(self) -> None:
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"""
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Additional exchange initialization logic.
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.api will be available at this point.
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Must be overridden in child methods if required.
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"""
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try:
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if self.trading_mode == TradingMode.FUTURES and not self._config['dry_run']:
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accounts = self._api.fetch_accounts()
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self._log_exchange_response('fetch_accounts', accounts)
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if len(accounts) > 0:
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self.net_only = accounts[0].get('info', {}).get('posMode') == 'net_mode'
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except ccxt.DDoSProtection as e:
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raise DDosProtection(e) from e
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except (ccxt.NetworkError, ccxt.ExchangeError) as e:
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raise TemporaryError(
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f'Error in additional_exchange_init due to {e.__class__.__name__}. Message: {e}'
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) from e
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except ccxt.BaseError as e:
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raise OperationalException(e) from e
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def _get_posSide(self, side: BuySell, reduceOnly: bool):
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if self.net_only:
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return 'net'
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if not reduceOnly:
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# Enter
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return 'long' if side == 'buy' else 'short'
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else:
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# Exit
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return 'long' if side == 'sell' else 'short'
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def _get_params(
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self,
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side: BuySell,
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ordertype: str,
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leverage: float,
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reduceOnly: bool,
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time_in_force: str = 'GTC',
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) -> Dict:
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params = super()._get_params(
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side=side,
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ordertype=ordertype,
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leverage=leverage,
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reduceOnly=reduceOnly,
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time_in_force=time_in_force,
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)
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if self.trading_mode == TradingMode.FUTURES and self.margin_mode:
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params['tdMode'] = self.margin_mode.value
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params['posSide'] = self._get_posSide(side, reduceOnly)
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return params
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@retrier
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def _lev_prep(self, pair: str, leverage: float, side: BuySell):
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if self.trading_mode != TradingMode.SPOT and self.margin_mode is not None:
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try:
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# TODO-lev: Test me properly (check mgnMode passed)
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res = self._api.set_leverage(
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leverage=leverage,
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symbol=pair,
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params={
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"mgnMode": self.margin_mode.value,
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"posSide": self._get_posSide(side, False),
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})
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self._log_exchange_response('set_leverage', res)
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except ccxt.DDoSProtection as e:
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raise DDosProtection(e) from e
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except (ccxt.NetworkError, ccxt.ExchangeError) as e:
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raise TemporaryError(
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f'Could not set leverage due to {e.__class__.__name__}. Message: {e}') from e
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except ccxt.BaseError as e:
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raise OperationalException(e) from e
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def get_max_pair_stake_amount(
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self,
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pair: str,
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price: float,
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leverage: float = 1.0
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) -> float:
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if self.trading_mode == TradingMode.SPOT:
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return float('inf') # Not actually inf, but this probably won't matter for SPOT
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if pair not in self._leverage_tiers:
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return float('inf')
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pair_tiers = self._leverage_tiers[pair]
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return pair_tiers[-1]['maxNotional'] / leverage
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def _get_stop_params(self, side: BuySell, ordertype: str, stop_price: float) -> Dict:
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params = self._params.copy()
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# Verify if stopPrice works for your exchange!
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params.update({'stopLossPrice': stop_price})
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if self.trading_mode == TradingMode.FUTURES and self.margin_mode:
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params['tdMode'] = self.margin_mode.value
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params['posSide'] = self._get_posSide(side, True)
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return params
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def stoploss_adjust(self, stop_loss: float, order: Dict, side: str) -> bool:
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"""
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OKX uses non-default stoploss price naming.
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"""
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if not self._ft_has.get('stoploss_on_exchange'):
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raise OperationalException(f"stoploss is not implemented for {self.name}.")
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return (
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order.get('stopLossPrice', None) is None
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or ((side == "sell" and stop_loss > float(order['stopLossPrice'])) or
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(side == "buy" and stop_loss < float(order['stopLossPrice'])))
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)
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def fetch_stoploss_order(self, order_id: str, pair: str, params: Dict = {}) -> Dict:
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if self._config['dry_run']:
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return self.fetch_dry_run_order(order_id)
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try:
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params1 = {'stop': True}
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order_reg = self._api.fetch_order(order_id, pair, params=params1)
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self._log_exchange_response('fetch_stoploss_order1', order_reg)
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return order_reg
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except ccxt.OrderNotFound:
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pass
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params1 = {'stop': True, 'ordType': 'conditional'}
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for method in (self._api.fetch_open_orders, self._api.fetch_closed_orders,
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self._api.fetch_canceled_orders):
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try:
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orders = method(pair, params=params1)
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orders_f = [order for order in orders if order['id'] == order_id]
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if orders_f:
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order = orders_f[0]
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if (order['status'] == 'closed'
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and (real_order_id := order.get('info', {}).get('ordId')) is not None):
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# Once a order triggered, we fetch the regular followup order.
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order_reg = self.fetch_order(real_order_id, pair)
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self._log_exchange_response('fetch_stoploss_order1', order_reg)
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order_reg['id_stop'] = order_reg['id']
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order_reg['id'] = order_id
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order_reg['type'] = 'stoploss'
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order_reg['status_stop'] = 'triggered'
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return order_reg
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order['type'] = 'stoploss'
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return order
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except ccxt.BaseError:
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pass
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raise RetryableOrderError(
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f'StoplossOrder not found (pair: {pair} id: {order_id}).')
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def get_order_id_conditional(self, order: Dict[str, Any]) -> str:
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if order['type'] == 'stop':
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return safe_value_fallback2(order, order, 'id_stop', 'id')
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return order['id']
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def cancel_stoploss_order(self, order_id: str, pair: str, params: Dict = {}) -> Dict:
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params1 = {'stop': True}
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# 'ordType': 'conditional'
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#
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return self.cancel_order(
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order_id=order_id,
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pair=pair,
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params=params1,
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)
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