stable/freqtrade/exchange/kraken.py

185 lines
7.6 KiB
Python

""" Kraken exchange subclass """
import logging
from typing import Any, Dict, List, Optional, Tuple
import ccxt
from freqtrade.enums import Collateral, TradingMode
from freqtrade.exceptions import (DDosProtection, InsufficientFundsError, InvalidOrderException,
OperationalException, TemporaryError)
from freqtrade.exchange import Exchange
from freqtrade.exchange.common import retrier
logger = logging.getLogger(__name__)
class Kraken(Exchange):
_params: Dict = {"trading_agreement": "agree"}
_ft_has: Dict = {
"stoploss_on_exchange": True,
"ohlcv_candle_limit": 720,
"trades_pagination": "id",
"trades_pagination_arg": "since",
}
funding_fee_times: List[int] = [0, 4, 8, 12, 16, 20] # hours of the day
_supported_trading_mode_collateral_pairs: List[Tuple[TradingMode, Collateral]] = [
# TradingMode.SPOT always supported and not required in this list
# (TradingMode.MARGIN, Collateral.CROSS), # TODO-lev: Uncomment once supported
# (TradingMode.FUTURES, Collateral.CROSS) # TODO-lev: No CCXT support
]
def market_is_tradable(self, market: Dict[str, Any]) -> bool:
"""
Check if the market symbol is tradable by Freqtrade.
Default checks + check if pair is darkpool pair.
"""
parent_check = super().market_is_tradable(market)
return (parent_check and
market.get('darkpool', False) is False)
@retrier
def get_balances(self) -> dict:
if self._config['dry_run']:
return {}
try:
balances = self._api.fetch_balance()
# Remove additional info from ccxt results
balances.pop("info", None)
balances.pop("free", None)
balances.pop("total", None)
balances.pop("used", None)
orders = self._api.fetch_open_orders()
order_list = [(x["symbol"].split("/")[0 if x["side"] == "sell" else 1],
x["remaining"] if x["side"] == "sell" else x["remaining"] * x["price"],
# Don't remove the below comment, this can be important for debugging
# x["side"], x["amount"],
) for x in orders]
for bal in balances:
if not isinstance(balances[bal], dict):
continue
balances[bal]['used'] = sum(order[1] for order in order_list if order[0] == bal)
balances[bal]['free'] = balances[bal]['total'] - balances[bal]['used']
return balances
except ccxt.DDoSProtection as e:
raise DDosProtection(e) from e
except (ccxt.NetworkError, ccxt.ExchangeError) as e:
raise TemporaryError(
f'Could not get balance due to {e.__class__.__name__}. Message: {e}') from e
except ccxt.BaseError as e:
raise OperationalException(e) from e
def stoploss_adjust(self, stop_loss: float, order: Dict, side: str) -> bool:
"""
Verify stop_loss against stoploss-order value (limit or price)
Returns True if adjustment is necessary.
"""
return (order['type'] in ('stop-loss', 'stop-loss-limit') and (
(side == "sell" and stop_loss > float(order['price'])) or
(side == "buy" and stop_loss < float(order['price']))
))
@retrier(retries=0)
def stoploss(self, pair: str, amount: float, stop_price: float,
order_types: Dict, side: str, leverage: float) -> Dict:
"""
Creates a stoploss market order.
Stoploss market orders is the only stoploss type supported by kraken.
"""
params = self._params.copy()
if order_types.get('stoploss', 'market') == 'limit':
ordertype = "stop-loss-limit"
limit_price_pct = order_types.get('stoploss_on_exchange_limit_ratio', 0.99)
if side == "sell":
limit_rate = stop_price * limit_price_pct
else:
limit_rate = stop_price * (2 - limit_price_pct)
params['price2'] = self.price_to_precision(pair, limit_rate)
else:
ordertype = "stop-loss"
stop_price = self.price_to_precision(pair, stop_price)
if self._config['dry_run']:
dry_order = self.create_dry_run_order(
pair, ordertype, side, amount, stop_price, leverage)
return dry_order
try:
amount = self.amount_to_precision(pair, amount)
order = self._api.create_order(symbol=pair, type=ordertype, side=side,
amount=amount, price=stop_price, params=params)
self._log_exchange_response('create_stoploss_order', order)
logger.info('stoploss order added for %s. '
'stop price: %s.', pair, stop_price)
return order
except ccxt.InsufficientFunds as e:
raise InsufficientFundsError(
f'Insufficient funds to create {ordertype} {side} order on market {pair}. '
f'Tried to create stoploss with amount {amount} at stoploss {stop_price}. '
f'Message: {e}') from e
except ccxt.InvalidOrder as e:
raise InvalidOrderException(
f'Could not create {ordertype} {side} order on market {pair}. '
f'Tried to create stoploss with amount {amount} at stoploss {stop_price}. '
f'Message: {e}') from e
except ccxt.DDoSProtection as e:
raise DDosProtection(e) from e
except (ccxt.NetworkError, ccxt.ExchangeError) as e:
raise TemporaryError(
f'Could not place {side} order due to {e.__class__.__name__}. Message: {e}') from e
except ccxt.BaseError as e:
raise OperationalException(e) from e
def _set_leverage(
self,
leverage: float,
pair: Optional[str] = None,
trading_mode: Optional[TradingMode] = None
):
"""
Kraken set's the leverage as an option in the order object, so we need to
add it to params
"""
return
def _get_params(self, ordertype: str, leverage: float, time_in_force: str = 'gtc') -> Dict:
params = super()._get_params(ordertype, leverage, time_in_force)
if leverage > 1.0:
params['leverage'] = leverage
return params
def _get_funding_fee(
self,
size: float,
funding_rate: float,
mark_price: float,
time_in_ratio: Optional[float] = None
) -> float:
"""
# ! This method will always error when run by Freqtrade because time_in_ratio is never
# ! passed to _get_funding_fee. For kraken futures to work in dry run and backtesting
# ! functionality must be added that passes the parameter time_in_ratio to
# ! _get_funding_fee when using Kraken
Calculates a single funding fee
:param size: contract size * number of contracts
:param mark_price: The price of the asset that the contract is based off of
:param funding_rate: the interest rate and the premium
- interest rate:
- premium: varies by price difference between the perpetual contract and mark price
:param time_in_ratio: time elapsed within funding period without position alteration
"""
if not time_in_ratio:
raise OperationalException(
f"time_in_ratio is required for {self.name}._get_funding_fee")
nominal_value = mark_price * size
return nominal_value * funding_rate * time_in_ratio