536 lines
21 KiB
Python
536 lines
21 KiB
Python
"""
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Freqtrade is the main module of this bot. It contains the class Freqtrade()
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"""
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import copy
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import json
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import logging
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import time
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import traceback
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from datetime import datetime
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from typing import Dict, List, Optional, Any, Callable
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import arrow
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import requests
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from cachetools import cached, TTLCache
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from freqtrade import (
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DependencyException, OperationalException, exchange, persistence, __version__,
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NotEnoughFundsExeption)
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from freqtrade.analyze import Analyze
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from freqtrade import constants
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from freqtrade.fiat_convert import CryptoToFiatConverter
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from freqtrade.persistence import Trade
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from freqtrade.rpc.rpc_manager import RPCManager
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from freqtrade.state import State
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logger = logging.getLogger(__name__)
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class FreqtradeBot(object):
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"""
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Freqtrade is the main class of the bot.
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This is from here the bot start its logic.
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"""
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def __init__(self, config: Dict[str, Any], db_url: Optional[str] = None):
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"""
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Init all variables and object the bot need to work
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:param config: configuration dict, you can use the Configuration.get_config()
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method to get the config dict.
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:param db_url: database connector string for sqlalchemy (Optional)
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"""
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logger.info(
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'Starting freqtrade %s',
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__version__,
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)
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# Init bot states
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self.state = State.STOPPED
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# Init objects
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self.config = config
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self.analyze = None
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self.fiat_converter = None
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self.rpc = None
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self.persistence = None
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self.exchange = None
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self._init_modules(db_url=db_url)
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def _init_modules(self, db_url: Optional[str] = None) -> None:
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"""
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Initializes all modules and updates the config
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:param db_url: database connector string for sqlalchemy (Optional)
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:return: None
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"""
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# Initialize all modules
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self.analyze = Analyze(self.config)
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self.fiat_converter = CryptoToFiatConverter()
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self.rpc = RPCManager(self)
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persistence.init(self.config, db_url)
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exchange.init(self.config)
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# Set initial application state
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initial_state = self.config.get('initial_state')
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if initial_state:
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self.state = State[initial_state.upper()]
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else:
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self.state = State.STOPPED
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def clean(self) -> bool:
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"""
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Cleanup the application state und finish all pending tasks
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:return: None
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"""
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self.rpc.send_msg('*Status:* `Stopping trader...`')
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logger.info('Stopping trader and cleaning up modules...')
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self.state = State.STOPPED
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self.rpc.cleanup()
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persistence.cleanup()
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return True
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def worker(self, old_state: None) -> State:
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"""
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Trading routine that must be run at each loop
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:param old_state: the previous service state from the previous call
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:return: current service state
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"""
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# Log state transition
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state = self.state
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if state != old_state:
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self.rpc.send_msg('*Status:* `{}`'.format(state.name.lower()))
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logger.info('Changing state to: %s', state.name)
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if state == State.STOPPED:
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time.sleep(1)
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elif state == State.RUNNING:
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min_secs = self.config.get('internals', {}).get(
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'process_throttle_secs',
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constants.PROCESS_THROTTLE_SECS
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)
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nb_assets = self.config.get('dynamic_whitelist', None)
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self._throttle(func=self._process,
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min_secs=min_secs,
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nb_assets=nb_assets)
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return state
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def _throttle(self, func: Callable[..., Any], min_secs: float, *args, **kwargs) -> Any:
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"""
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Throttles the given callable that it
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takes at least `min_secs` to finish execution.
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:param func: Any callable
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:param min_secs: minimum execution time in seconds
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:return: Any
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"""
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start = time.time()
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result = func(*args, **kwargs)
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end = time.time()
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duration = max(min_secs - (end - start), 0.0)
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logger.debug('Throttling %s for %.2f seconds', func.__name__, duration)
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time.sleep(duration)
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return result
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def _process(self, nb_assets: Optional[int] = 0) -> bool:
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"""
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Queries the persistence layer for open trades and handles them,
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otherwise a new trade is created.
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:param: nb_assets: the maximum number of pairs to be traded at the same time
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:return: True if one or more trades has been created or closed, False otherwise
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"""
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state_changed = False
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try:
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# Refresh whitelist based on wallet maintenance
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sanitized_list = self._refresh_whitelist(
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self._gen_pair_whitelist(
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self.config['stake_currency']
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) if nb_assets else self.config['exchange']['pair_whitelist']
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)
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# Keep only the subsets of pairs wanted (up to nb_assets)
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final_list = sanitized_list[:nb_assets] if nb_assets else sanitized_list
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self.config['exchange']['pair_whitelist'] = final_list
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# Query trades from persistence layer
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trades = Trade.query.filter(Trade.is_open.is_(True)).all()
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# First process current opened trades
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for trade in trades:
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state_changed |= self.process_maybe_execute_sell(trade)
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# Then looking for buy opportunities
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if len(trades) < self.config['max_open_trades']:
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try:
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state_changed = self.process_maybe_execute_buy()
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except NotEnoughFundsExeption:
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logger.warning('insufficient funds to execute this buy order, ignoring it!')
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state_changed = False
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if 'unfilledtimeout' in self.config:
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# Check and handle any timed out open orders
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self.check_handle_timedout(self.config['unfilledtimeout'])
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Trade.session.flush()
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except (requests.exceptions.RequestException, json.JSONDecodeError) as error:
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logger.warning('%s, retrying in 30 seconds...', error)
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time.sleep(constants.RETRY_TIMEOUT)
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except OperationalException:
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self.rpc.send_msg(
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'*Status:* OperationalException:\n```\n{traceback}```{hint}'
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.format(
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traceback=traceback.format_exc(),
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hint='Issue `/start` if you think it is safe to restart.'
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)
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)
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logger.exception('OperationalException. Stopping trader ...')
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self.state = State.STOPPED
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return state_changed
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@cached(TTLCache(maxsize=1, ttl=1800))
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def _gen_pair_whitelist(self, base_currency: str, key: str = 'BaseVolume') -> List[str]:
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"""
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Updates the whitelist with with a dynamically generated list
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:param base_currency: base currency as str
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:param key: sort key (defaults to 'BaseVolume')
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:return: List of pairs
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"""
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summaries = sorted(
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(s for s in exchange.get_market_summaries() if
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s['MarketName'].startswith(base_currency)),
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key=lambda s: s.get(key) or 0.0,
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reverse=True
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)
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return [s['MarketName'].replace('-', '_') for s in summaries]
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def _refresh_whitelist(self, whitelist: List[str]) -> List[str]:
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"""
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Check wallet health and remove pair from whitelist if necessary
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:param whitelist: the sorted list (based on BaseVolume) of pairs the user might want to
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trade
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:return: the list of pairs the user wants to trade without the one unavailable or
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black_listed
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"""
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sanitized_whitelist = whitelist
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health = exchange.get_wallet_health()
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known_pairs = set()
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for status in health:
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pair = '{}_{}'.format(self.config['stake_currency'], status['Currency'])
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# pair is not int the generated dynamic market, or in the blacklist ... ignore it
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if pair not in whitelist or pair in self.config['exchange'].get('pair_blacklist', []):
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continue
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# else the pair is valid
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known_pairs.add(pair)
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# Market is not active
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if not status['IsActive']:
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sanitized_whitelist.remove(pair)
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logger.info(
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'Ignoring %s from whitelist (reason: %s).',
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pair, status.get('Notice') or 'wallet is not active'
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)
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# We need to remove pairs that are unknown
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final_list = [x for x in sanitized_whitelist if x in known_pairs]
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return final_list
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def get_target_bid(self, ticker: Dict[str, float]) -> float:
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"""
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Calculates bid target between current ask price and last price
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:param ticker: Ticker to use for getting Ask and Last Price
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:return: float: Price
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"""
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if ticker['ask'] < ticker['last']:
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return ticker['ask']
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balance = self.config['bid_strategy']['ask_last_balance']
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return ticker['ask'] + balance * (ticker['last'] - ticker['ask'])
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def create_trade(self) -> bool:
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"""
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Checks the implemented trading indicator(s) for a randomly picked pair,
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if one pair triggers the buy_signal a new trade record gets created
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:param stake_amount: amount of btc to spend
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:param interval: Ticker interval used for Analyze
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:return: True if a trade object has been created and persisted, False otherwise
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"""
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stake_amount = self.config['stake_amount']
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interval = self.analyze.get_ticker_interval()
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logger.info(
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'Checking buy signals to create a new trade with stake_amount: %f ...',
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stake_amount
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)
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whitelist = copy.deepcopy(self.config['exchange']['pair_whitelist'])
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# Check if stake_amount is fulfilled
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if exchange.get_balance(self.config['stake_currency']) < stake_amount:
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raise DependencyException(
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'stake amount is not fulfilled (currency={})'.format(self.config['stake_currency'])
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)
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# Remove currently opened and latest pairs from whitelist
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for trade in Trade.query.filter(Trade.is_open.is_(True)).all():
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if trade.pair in whitelist:
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whitelist.remove(trade.pair)
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logger.debug('Ignoring %s in pair whitelist', trade.pair)
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if not whitelist:
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raise DependencyException('No currency pairs in whitelist')
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# Pick pair based on StochRSI buy signals
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for _pair in whitelist:
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(buy, sell) = self.analyze.get_signal(_pair, interval)
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if buy and not sell:
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pair = _pair
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break
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else:
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return False
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# Calculate amount
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buy_limit = self.get_target_bid(exchange.get_ticker(pair))
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amount = stake_amount / buy_limit
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order_id = exchange.buy(pair, buy_limit, amount)
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stake_amount_fiat = self.fiat_converter.convert_amount(
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stake_amount,
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self.config['stake_currency'],
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self.config['fiat_display_currency']
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)
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# Create trade entity and return
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self.rpc.send_msg(
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'*{}:* Buying [{}]({}) with limit `{:.8f} ({:.6f} {}, {:.3f} {})` '
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.format(
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exchange.get_name().upper(),
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pair.replace('_', '/'),
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exchange.get_pair_detail_url(pair),
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buy_limit,
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stake_amount,
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self.config['stake_currency'],
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stake_amount_fiat,
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self.config['fiat_display_currency']
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)
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)
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# Fee is applied twice because we make a LIMIT_BUY and LIMIT_SELL
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trade = Trade(
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pair=pair,
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stake_amount=stake_amount,
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amount=amount,
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fee=exchange.get_fee(),
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open_rate=buy_limit,
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open_date=datetime.utcnow(),
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exchange=exchange.get_name().upper(),
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open_order_id=order_id
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)
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Trade.session.add(trade)
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Trade.session.flush()
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return True
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def process_maybe_execute_buy(self) -> bool:
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"""
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Tries to execute a buy trade in a safe way
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:return: True if executed
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"""
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try:
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# Create entity and execute trade
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if self.create_trade():
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return True
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logger.info('Found no buy signals for whitelisted currencies. Trying again..')
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return False
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except DependencyException as exception:
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logger.warning('Unable to create trade: %s', exception)
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return False
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def process_maybe_execute_sell(self, trade: Trade) -> bool:
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"""
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Tries to execute a sell trade
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:return: True if executed
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"""
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# Get order details for actual price per unit
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if trade.open_order_id:
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# Update trade with order values
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logger.info('Found open order for %s', trade)
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trade.update(exchange.get_order(trade.open_order_id))
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if trade.is_open and trade.open_order_id is None:
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# Check if we can sell our current pair
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return self.handle_trade(trade)
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return False
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def handle_trade(self, trade: Trade) -> bool:
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"""
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Sells the current pair if the threshold is reached and updates the trade record.
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:return: True if trade has been sold, False otherwise
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"""
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if not trade.is_open:
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raise ValueError('attempt to handle closed trade: {}'.format(trade))
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logger.debug('Handling %s ...', trade)
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current_rate = exchange.get_ticker(trade.pair)['bid']
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(buy, sell) = (False, False)
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if self.config.get('experimental', {}).get('use_sell_signal'):
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(buy, sell) = self.analyze.get_signal(trade.pair, self.analyze.get_ticker_interval())
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if self.analyze.should_sell(trade, current_rate, datetime.utcnow(), buy, sell):
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self.execute_sell(trade, current_rate)
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return True
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logger.info('Found no sell signals for whitelisted currencies. Trying again..')
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return False
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def check_handle_timedout(self, timeoutvalue: int) -> None:
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"""
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Check if any orders are timed out and cancel if neccessary
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:param timeoutvalue: Number of minutes until order is considered timed out
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:return: None
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"""
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timeoutthreashold = arrow.utcnow().shift(minutes=-timeoutvalue).datetime
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for trade in Trade.query.filter(Trade.open_order_id.isnot(None)).all():
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try:
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order = exchange.get_order(trade.open_order_id)
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except requests.exceptions.RequestException:
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logger.info(
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'Cannot query order for %s due to %s',
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trade,
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traceback.format_exc())
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continue
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ordertime = arrow.get(order['opened'])
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# Check if trade is still actually open
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if int(order['remaining']) == 0:
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continue
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if order['type'] == "LIMIT_BUY" and ordertime < timeoutthreashold:
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self.handle_timedout_limit_buy(trade, order)
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elif order['type'] == "LIMIT_SELL" and ordertime < timeoutthreashold:
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self.handle_timedout_limit_sell(trade, order)
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# FIX: 20180110, why is cancel.order unconditionally here, whereas
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# it is conditionally called in the
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# handle_timedout_limit_sell()?
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def handle_timedout_limit_buy(self, trade: Trade, order: Dict) -> bool:
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"""Buy timeout - cancel order
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:return: True if order was fully cancelled
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"""
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exchange.cancel_order(trade.open_order_id)
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if order['remaining'] == order['amount']:
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# if trade is not partially completed, just delete the trade
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Trade.session.delete(trade)
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# FIX? do we really need to flush, caller of
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# check_handle_timedout will flush afterwards
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Trade.session.flush()
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logger.info('Buy order timeout for %s.', trade)
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self.rpc.send_msg('*Timeout:* Unfilled buy order for {} cancelled'.format(
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trade.pair.replace('_', '/')))
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return True
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# if trade is partially complete, edit the stake details for the trade
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# and close the order
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trade.amount = order['amount'] - order['remaining']
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trade.stake_amount = trade.amount * trade.open_rate
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trade.open_order_id = None
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logger.info('Partial buy order timeout for %s.', trade)
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self.rpc.send_msg('*Timeout:* Remaining buy order for {} cancelled'.format(
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trade.pair.replace('_', '/')))
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return False
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# FIX: 20180110, should cancel_order() be cond. or unconditionally called?
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def handle_timedout_limit_sell(self, trade: Trade, order: Dict) -> bool:
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"""
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Sell timeout - cancel order and update trade
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:return: True if order was fully cancelled
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"""
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if order['remaining'] == order['amount']:
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# if trade is not partially completed, just cancel the trade
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exchange.cancel_order(trade.open_order_id)
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trade.close_rate = None
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trade.close_profit = None
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trade.close_date = None
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trade.is_open = True
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trade.open_order_id = None
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self.rpc.send_msg('*Timeout:* Unfilled sell order for {} cancelled'.format(
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trade.pair.replace('_', '/')))
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logger.info('Sell order timeout for %s.', trade)
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return True
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# TODO: figure out how to handle partially complete sell orders
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return False
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def execute_sell(self, trade: Trade, limit: float) -> None:
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"""
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Executes a limit sell for the given trade and limit
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:param trade: Trade instance
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:param limit: limit rate for the sell order
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:return: None
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"""
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# Execute sell and update trade record
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# check if we have these funds first
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try:
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order_id = exchange.sell(str(trade.pair), limit, trade.amount)
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trade.open_order_id = order_id
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fmt_exp_profit = round(trade.calc_profit_percent(rate=limit) * 100, 2)
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profit_trade = trade.calc_profit(rate=limit)
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current_rate = exchange.get_ticker(trade.pair, False)['bid']
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profit = trade.calc_profit_percent(current_rate)
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message = "*{exchange}:* Selling\n" \
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"*Current Pair:* [{pair}]({pair_url})\n" \
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"*Limit:* `{limit}`\n" \
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"*Amount:* `{amount}`\n" \
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"*Open Rate:* `{open_rate:.8f}`\n" \
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"*Current Rate:* `{current_rate:.8f}`\n" \
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"*Profit:* `{profit:.2f}%`" \
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"".format(
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exchange=trade.exchange,
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pair=trade.pair,
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pair_url=exchange.get_pair_detail_url(trade.pair),
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limit=limit,
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open_rate=trade.open_rate,
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current_rate=current_rate,
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amount=round(trade.amount, 8),
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profit=round(profit * 100, 2),
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)
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# For regular case, when the configuration exists
|
|
if 'stake_currency' in self.config and 'fiat_display_currency' in self.config:
|
|
fiat_converter = CryptoToFiatConverter()
|
|
profit_fiat = fiat_converter.convert_amount(
|
|
profit_trade,
|
|
self.config['stake_currency'],
|
|
self.config['fiat_display_currency']
|
|
)
|
|
message += '` ({gain}: {profit_percent:.2f}%, {profit_coin:.8f} {coin}`' \
|
|
'` / {profit_fiat:.3f} {fiat})`' \
|
|
''.format(
|
|
gain="profit" if fmt_exp_profit > 0 else "loss",
|
|
profit_percent=fmt_exp_profit,
|
|
profit_coin=profit_trade,
|
|
coin=self.config['stake_currency'],
|
|
profit_fiat=profit_fiat,
|
|
fiat=self.config['fiat_display_currency'],
|
|
)
|
|
# Because telegram._forcesell does not have the configuration
|
|
# Ignore the FIAT value and does not show the stake_currency as well
|
|
else:
|
|
message += '` ({gain}: {profit_percent:.2f}%, {profit_coin:.8f})`'.format(
|
|
gain="profit" if fmt_exp_profit > 0 else "loss",
|
|
profit_percent=fmt_exp_profit,
|
|
profit_coin=profit_trade
|
|
)
|
|
|
|
# Send the message
|
|
self.rpc.send_msg(message)
|
|
Trade.session.flush()
|
|
except NotEnoughFundsExeption:
|
|
logger.warning('Sell order failed, due to not having enough funds for %s.', trade)
|