1088 lines
44 KiB
Python
1088 lines
44 KiB
Python
# pragma pylint: disable=W0603
|
|
"""
|
|
Cryptocurrency Exchanges support
|
|
"""
|
|
import asyncio
|
|
import inspect
|
|
import logging
|
|
from copy import deepcopy
|
|
from datetime import datetime, timezone
|
|
from math import ceil, floor
|
|
from random import randint
|
|
from typing import Any, Dict, List, Optional, Tuple
|
|
|
|
import arrow
|
|
import ccxt
|
|
import ccxt.async_support as ccxt_async
|
|
from ccxt.base.decimal_to_precision import ROUND_UP, ROUND_DOWN
|
|
from pandas import DataFrame
|
|
|
|
from freqtrade import (DependencyException, InvalidOrderException,
|
|
OperationalException, TemporaryError, constants)
|
|
from freqtrade.data.converter import parse_ticker_dataframe
|
|
from freqtrade.misc import deep_merge_dicts
|
|
|
|
logger = logging.getLogger(__name__)
|
|
|
|
|
|
API_RETRY_COUNT = 4
|
|
BAD_EXCHANGES = {
|
|
"bitmex": "Various reasons.",
|
|
"bitstamp": "Does not provide history. "
|
|
"Details in https://github.com/freqtrade/freqtrade/issues/1983",
|
|
"hitbtc": "This API cannot be used with Freqtrade. "
|
|
"Use `hitbtc2` exchange id to access this exchange.",
|
|
**dict.fromkeys([
|
|
'adara',
|
|
'anxpro',
|
|
'bigone',
|
|
'coinbase',
|
|
'coinexchange',
|
|
'coinmarketcap',
|
|
'lykke',
|
|
'xbtce',
|
|
], "Does not provide timeframes. ccxt fetchOHLCV: False"),
|
|
**dict.fromkeys([
|
|
'bcex',
|
|
'bit2c',
|
|
'bitbay',
|
|
'bitflyer',
|
|
'bitforex',
|
|
'bithumb',
|
|
'bitso',
|
|
'bitstamp1',
|
|
'bl3p',
|
|
'braziliex',
|
|
'btcbox',
|
|
'btcchina',
|
|
'btctradeim',
|
|
'btctradeua',
|
|
'bxinth',
|
|
'chilebit',
|
|
'coincheck',
|
|
'coinegg',
|
|
'coinfalcon',
|
|
'coinfloor',
|
|
'coingi',
|
|
'coinmate',
|
|
'coinone',
|
|
'coinspot',
|
|
'coolcoin',
|
|
'crypton',
|
|
'deribit',
|
|
'exmo',
|
|
'exx',
|
|
'flowbtc',
|
|
'foxbit',
|
|
'fybse',
|
|
# 'hitbtc',
|
|
'ice3x',
|
|
'independentreserve',
|
|
'indodax',
|
|
'itbit',
|
|
'lakebtc',
|
|
'latoken',
|
|
'liquid',
|
|
'livecoin',
|
|
'luno',
|
|
'mixcoins',
|
|
'negociecoins',
|
|
'nova',
|
|
'paymium',
|
|
'southxchange',
|
|
'stronghold',
|
|
'surbitcoin',
|
|
'therock',
|
|
'tidex',
|
|
'vaultoro',
|
|
'vbtc',
|
|
'virwox',
|
|
'yobit',
|
|
'zaif',
|
|
], "Does not provide timeframes. ccxt fetchOHLCV: emulated"),
|
|
}
|
|
|
|
|
|
def retrier_async(f):
|
|
async def wrapper(*args, **kwargs):
|
|
count = kwargs.pop('count', API_RETRY_COUNT)
|
|
try:
|
|
return await f(*args, **kwargs)
|
|
except (TemporaryError, DependencyException) as ex:
|
|
logger.warning('%s() returned exception: "%s"', f.__name__, ex)
|
|
if count > 0:
|
|
count -= 1
|
|
kwargs.update({'count': count})
|
|
logger.warning('retrying %s() still for %s times', f.__name__, count)
|
|
return await wrapper(*args, **kwargs)
|
|
else:
|
|
logger.warning('Giving up retrying: %s()', f.__name__)
|
|
raise ex
|
|
return wrapper
|
|
|
|
|
|
def retrier(f):
|
|
def wrapper(*args, **kwargs):
|
|
count = kwargs.pop('count', API_RETRY_COUNT)
|
|
try:
|
|
return f(*args, **kwargs)
|
|
except (TemporaryError, DependencyException) as ex:
|
|
logger.warning('%s() returned exception: "%s"', f.__name__, ex)
|
|
if count > 0:
|
|
count -= 1
|
|
kwargs.update({'count': count})
|
|
logger.warning('retrying %s() still for %s times', f.__name__, count)
|
|
return wrapper(*args, **kwargs)
|
|
else:
|
|
logger.warning('Giving up retrying: %s()', f.__name__)
|
|
raise ex
|
|
return wrapper
|
|
|
|
|
|
class Exchange:
|
|
|
|
_config: Dict = {}
|
|
|
|
# Parameters to add directly to buy/sell calls (like agreeing to trading agreement)
|
|
_params: Dict = {}
|
|
|
|
# Dict to specify which options each exchange implements
|
|
# This defines defaults, which can be selectively overridden by subclasses using _ft_has
|
|
# or by specifying them in the configuration.
|
|
_ft_has_default: Dict = {
|
|
"stoploss_on_exchange": False,
|
|
"order_time_in_force": ["gtc"],
|
|
"ohlcv_candle_limit": 500,
|
|
"ohlcv_partial_candle": True,
|
|
"trades_pagination": "time", # Possible are "time" or "id"
|
|
"trades_pagination_arg": "since",
|
|
|
|
}
|
|
_ft_has: Dict = {}
|
|
|
|
def __init__(self, config: dict) -> None:
|
|
"""
|
|
Initializes this module with the given config,
|
|
it does basic validation whether the specified exchange and pairs are valid.
|
|
:return: None
|
|
"""
|
|
self._api: ccxt.Exchange = None
|
|
self._api_async: ccxt_async.Exchange = None
|
|
|
|
self._config.update(config)
|
|
|
|
self._cached_ticker: Dict[str, Any] = {}
|
|
|
|
# Holds last candle refreshed time of each pair
|
|
self._pairs_last_refresh_time: Dict[Tuple[str, str], int] = {}
|
|
# Timestamp of last markets refresh
|
|
self._last_markets_refresh: int = 0
|
|
|
|
# Holds candles
|
|
self._klines: Dict[Tuple[str, str], DataFrame] = {}
|
|
|
|
# Holds all open sell orders for dry_run
|
|
self._dry_run_open_orders: Dict[str, Any] = {}
|
|
|
|
if config['dry_run']:
|
|
logger.info('Instance is running with dry_run enabled')
|
|
|
|
exchange_config = config['exchange']
|
|
|
|
# Deep merge ft_has with default ft_has options
|
|
self._ft_has = deep_merge_dicts(self._ft_has, deepcopy(self._ft_has_default))
|
|
if exchange_config.get("_ft_has_params"):
|
|
self._ft_has = deep_merge_dicts(exchange_config.get("_ft_has_params"),
|
|
self._ft_has)
|
|
logger.info("Overriding exchange._ft_has with config params, result: %s", self._ft_has)
|
|
|
|
# Assign this directly for easy access
|
|
self._ohlcv_candle_limit = self._ft_has['ohlcv_candle_limit']
|
|
self._ohlcv_partial_candle = self._ft_has['ohlcv_partial_candle']
|
|
|
|
self._trades_pagination = self._ft_has['trades_pagination']
|
|
self._trades_pagination_arg = self._ft_has['trades_pagination_arg']
|
|
|
|
# Initialize ccxt objects
|
|
self._api = self._init_ccxt(
|
|
exchange_config, ccxt_kwargs=exchange_config.get('ccxt_config'))
|
|
self._api_async = self._init_ccxt(
|
|
exchange_config, ccxt_async, ccxt_kwargs=exchange_config.get('ccxt_async_config'))
|
|
|
|
logger.info('Using Exchange "%s"', self.name)
|
|
|
|
# Check if timeframe is available
|
|
self.validate_timeframes(config.get('ticker_interval'))
|
|
|
|
# Converts the interval provided in minutes in config to seconds
|
|
self.markets_refresh_interval: int = exchange_config.get(
|
|
"markets_refresh_interval", 60) * 60
|
|
# Initial markets load
|
|
self._load_markets()
|
|
|
|
# Check if all pairs are available
|
|
self.validate_pairs(config['exchange']['pair_whitelist'])
|
|
self.validate_ordertypes(config.get('order_types', {}))
|
|
self.validate_order_time_in_force(config.get('order_time_in_force', {}))
|
|
|
|
def __del__(self):
|
|
"""
|
|
Destructor - clean up async stuff
|
|
"""
|
|
logger.debug("Exchange object destroyed, closing async loop")
|
|
if self._api_async and inspect.iscoroutinefunction(self._api_async.close):
|
|
asyncio.get_event_loop().run_until_complete(self._api_async.close())
|
|
|
|
def _init_ccxt(self, exchange_config: dict, ccxt_module=ccxt,
|
|
ccxt_kwargs: dict = None) -> ccxt.Exchange:
|
|
"""
|
|
Initialize ccxt with given config and return valid
|
|
ccxt instance.
|
|
"""
|
|
# Find matching class for the given exchange name
|
|
name = exchange_config['name']
|
|
|
|
if not is_exchange_known_ccxt(name, ccxt_module):
|
|
raise OperationalException(f'Exchange {name} is not supported by ccxt')
|
|
|
|
ex_config = {
|
|
'apiKey': exchange_config.get('key'),
|
|
'secret': exchange_config.get('secret'),
|
|
'password': exchange_config.get('password'),
|
|
'uid': exchange_config.get('uid', ''),
|
|
}
|
|
if ccxt_kwargs:
|
|
logger.info('Applying additional ccxt config: %s', ccxt_kwargs)
|
|
ex_config.update(ccxt_kwargs)
|
|
try:
|
|
|
|
api = getattr(ccxt_module, name.lower())(ex_config)
|
|
except (KeyError, AttributeError) as e:
|
|
raise OperationalException(f'Exchange {name} is not supported') from e
|
|
except ccxt.BaseError as e:
|
|
raise OperationalException(f"Initialization of ccxt failed. Reason: {e}") from e
|
|
|
|
self.set_sandbox(api, exchange_config, name)
|
|
|
|
return api
|
|
|
|
@property
|
|
def name(self) -> str:
|
|
"""exchange Name (from ccxt)"""
|
|
return self._api.name
|
|
|
|
@property
|
|
def id(self) -> str:
|
|
"""exchange ccxt id"""
|
|
return self._api.id
|
|
|
|
@property
|
|
def timeframes(self) -> List[str]:
|
|
return list((self._api.timeframes or {}).keys())
|
|
|
|
@property
|
|
def markets(self) -> Dict:
|
|
"""exchange ccxt markets"""
|
|
if not self._api.markets:
|
|
logger.warning("Markets were not loaded. Loading them now..")
|
|
self._load_markets()
|
|
return self._api.markets
|
|
|
|
def klines(self, pair_interval: Tuple[str, str], copy=True) -> DataFrame:
|
|
if pair_interval in self._klines:
|
|
return self._klines[pair_interval].copy() if copy else self._klines[pair_interval]
|
|
else:
|
|
return DataFrame()
|
|
|
|
def set_sandbox(self, api, exchange_config: dict, name: str):
|
|
if exchange_config.get('sandbox'):
|
|
if api.urls.get('test'):
|
|
api.urls['api'] = api.urls['test']
|
|
logger.info("Enabled Sandbox API on %s", name)
|
|
else:
|
|
logger.warning(name, "No Sandbox URL in CCXT, exiting. "
|
|
"Please check your config.json")
|
|
raise OperationalException(f'Exchange {name} does not provide a sandbox api')
|
|
|
|
def _load_async_markets(self, reload=False) -> None:
|
|
try:
|
|
if self._api_async:
|
|
asyncio.get_event_loop().run_until_complete(
|
|
self._api_async.load_markets(reload=reload))
|
|
|
|
except ccxt.BaseError as e:
|
|
logger.warning('Could not load async markets. Reason: %s', e)
|
|
return
|
|
|
|
def _load_markets(self) -> None:
|
|
""" Initialize markets both sync and async """
|
|
try:
|
|
self._api.load_markets()
|
|
self._load_async_markets()
|
|
self._last_markets_refresh = arrow.utcnow().timestamp
|
|
except ccxt.BaseError as e:
|
|
logger.warning('Unable to initialize markets. Reason: %s', e)
|
|
|
|
def _reload_markets(self) -> None:
|
|
"""Reload markets both sync and async, if refresh interval has passed"""
|
|
# Check whether markets have to be reloaded
|
|
if (self._last_markets_refresh > 0) and (
|
|
self._last_markets_refresh + self.markets_refresh_interval
|
|
> arrow.utcnow().timestamp):
|
|
return None
|
|
logger.debug("Performing scheduled market reload..")
|
|
try:
|
|
self._api.load_markets(reload=True)
|
|
self._last_markets_refresh = arrow.utcnow().timestamp
|
|
except ccxt.BaseError:
|
|
logger.exception("Could not reload markets.")
|
|
|
|
def validate_pairs(self, pairs: List[str]) -> None:
|
|
"""
|
|
Checks if all given pairs are tradable on the current exchange.
|
|
Raises OperationalException if one pair is not available.
|
|
:param pairs: list of pairs
|
|
:return: None
|
|
"""
|
|
|
|
if not self.markets:
|
|
logger.warning('Unable to validate pairs (assuming they are correct).')
|
|
return
|
|
|
|
for pair in pairs:
|
|
# Note: ccxt has BaseCurrency/QuoteCurrency format for pairs
|
|
# TODO: add a support for having coins in BTC/USDT format
|
|
if self.markets and pair not in self.markets:
|
|
raise OperationalException(
|
|
f'Pair {pair} is not available on {self.name}. '
|
|
f'Please remove {pair} from your whitelist.')
|
|
elif self.markets[pair].get('info', {}).get('IsRestricted', False):
|
|
# Warn users about restricted pairs in whitelist.
|
|
# We cannot determine reliably if Users are affected.
|
|
logger.warning(f"Pair {pair} is restricted for some users on this exchange."
|
|
f"Please check if you are impacted by this restriction "
|
|
f"on the exchange and eventually remove {pair} from your whitelist.")
|
|
|
|
def get_valid_pair_combination(self, curr_1, curr_2) -> str:
|
|
"""
|
|
Get valid pair combination of curr_1 and curr_2 by trying both combinations.
|
|
"""
|
|
for pair in [f"{curr_1}/{curr_2}", f"{curr_2}/{curr_1}"]:
|
|
if pair in self.markets and self.markets[pair].get('active'):
|
|
return pair
|
|
raise DependencyException(f"Could not combine {curr_1} and {curr_2} to get a valid pair.")
|
|
|
|
def validate_timeframes(self, timeframe: Optional[str]) -> None:
|
|
"""
|
|
Checks if ticker interval from config is a supported timeframe on the exchange
|
|
"""
|
|
if not hasattr(self._api, "timeframes") or self._api.timeframes is None:
|
|
# If timeframes attribute is missing (or is None), the exchange probably
|
|
# has no fetchOHLCV method.
|
|
# Therefore we also show that.
|
|
raise OperationalException(
|
|
f"The ccxt library does not provide the list of timeframes "
|
|
f"for the exchange \"{self.name}\" and this exchange "
|
|
f"is therefore not supported. ccxt fetchOHLCV: {self.exchange_has('fetchOHLCV')}")
|
|
|
|
if timeframe and (timeframe not in self.timeframes):
|
|
raise OperationalException(
|
|
f"Invalid ticker interval '{timeframe}'. This exchange supports: {self.timeframes}")
|
|
|
|
def validate_ordertypes(self, order_types: Dict) -> None:
|
|
"""
|
|
Checks if order-types configured in strategy/config are supported
|
|
"""
|
|
if any(v == 'market' for k, v in order_types.items()):
|
|
if not self.exchange_has('createMarketOrder'):
|
|
raise OperationalException(
|
|
f'Exchange {self.name} does not support market orders.')
|
|
|
|
if (order_types.get("stoploss_on_exchange")
|
|
and not self._ft_has.get("stoploss_on_exchange", False)):
|
|
raise OperationalException(
|
|
f'On exchange stoploss is not supported for {self.name}.'
|
|
)
|
|
|
|
def validate_order_time_in_force(self, order_time_in_force: Dict) -> None:
|
|
"""
|
|
Checks if order time in force configured in strategy/config are supported
|
|
"""
|
|
if any(v not in self._ft_has["order_time_in_force"]
|
|
for k, v in order_time_in_force.items()):
|
|
raise OperationalException(
|
|
f'Time in force policies are not supported for {self.name} yet.')
|
|
|
|
def exchange_has(self, endpoint: str) -> bool:
|
|
"""
|
|
Checks if exchange implements a specific API endpoint.
|
|
Wrapper around ccxt 'has' attribute
|
|
:param endpoint: Name of endpoint (e.g. 'fetchOHLCV', 'fetchTickers')
|
|
:return: bool
|
|
"""
|
|
return endpoint in self._api.has and self._api.has[endpoint]
|
|
|
|
def symbol_amount_prec(self, pair, amount: float):
|
|
'''
|
|
Returns the amount to buy or sell to a precision the Exchange accepts
|
|
Rounded down
|
|
'''
|
|
if self.markets[pair]['precision']['amount']:
|
|
symbol_prec = self.markets[pair]['precision']['amount']
|
|
big_amount = amount * pow(10, symbol_prec)
|
|
amount = floor(big_amount) / pow(10, symbol_prec)
|
|
return amount
|
|
|
|
def symbol_price_prec(self, pair, price: float):
|
|
'''
|
|
Returns the price buying or selling with to the precision the Exchange accepts
|
|
Rounds up
|
|
'''
|
|
if self.markets[pair]['precision']['price']:
|
|
symbol_prec = self.markets[pair]['precision']['price']
|
|
big_price = price * pow(10, symbol_prec)
|
|
price = ceil(big_price) / pow(10, symbol_prec)
|
|
return price
|
|
|
|
def dry_run_order(self, pair: str, ordertype: str, side: str, amount: float,
|
|
rate: float, params: Dict = {}) -> Dict[str, Any]:
|
|
order_id = f'dry_run_{side}_{randint(0, 10**6)}'
|
|
dry_order = {
|
|
"id": order_id,
|
|
'pair': pair,
|
|
'price': rate,
|
|
'amount': amount,
|
|
"cost": amount * rate,
|
|
'type': ordertype,
|
|
'side': side,
|
|
'remaining': amount,
|
|
'datetime': arrow.utcnow().isoformat(),
|
|
'status': "closed" if ordertype == "market" else "open",
|
|
'fee': None,
|
|
"info": {}
|
|
}
|
|
self._store_dry_order(dry_order)
|
|
# Copy order and close it - so the returned order is open unless it's a market order
|
|
return dry_order
|
|
|
|
def _store_dry_order(self, dry_order: Dict) -> None:
|
|
closed_order = dry_order.copy()
|
|
if closed_order["type"] in ["market", "limit"]:
|
|
closed_order.update({
|
|
"status": "closed",
|
|
"filled": closed_order["amount"],
|
|
"remaining": 0
|
|
})
|
|
if closed_order["type"] in ["stop_loss_limit"]:
|
|
closed_order["info"].update({"stopPrice": closed_order["price"]})
|
|
self._dry_run_open_orders[closed_order["id"]] = closed_order
|
|
|
|
def create_order(self, pair: str, ordertype: str, side: str, amount: float,
|
|
rate: float, params: Dict = {}) -> Dict:
|
|
try:
|
|
# Set the precision for amount and price(rate) as accepted by the exchange
|
|
amount = self.symbol_amount_prec(pair, amount)
|
|
needs_price = (ordertype != 'market'
|
|
or self._api.options.get("createMarketBuyOrderRequiresPrice", False))
|
|
rate = self.symbol_price_prec(pair, rate) if needs_price else None
|
|
|
|
return self._api.create_order(pair, ordertype, side,
|
|
amount, rate, params)
|
|
|
|
except ccxt.InsufficientFunds as e:
|
|
raise DependencyException(
|
|
f'Insufficient funds to create {ordertype} {side} order on market {pair}.'
|
|
f'Tried to {side} amount {amount} at rate {rate}.'
|
|
f'Message: {e}') from e
|
|
except ccxt.InvalidOrder as e:
|
|
raise DependencyException(
|
|
f'Could not create {ordertype} {side} order on market {pair}.'
|
|
f'Tried to {side} amount {amount} at rate {rate}.'
|
|
f'Message: {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 buy(self, pair: str, ordertype: str, amount: float,
|
|
rate: float, time_in_force) -> Dict:
|
|
|
|
if self._config['dry_run']:
|
|
dry_order = self.dry_run_order(pair, ordertype, "buy", amount, rate)
|
|
return dry_order
|
|
|
|
params = self._params.copy()
|
|
if time_in_force != 'gtc' and ordertype != 'market':
|
|
params.update({'timeInForce': time_in_force})
|
|
|
|
return self.create_order(pair, ordertype, 'buy', amount, rate, params)
|
|
|
|
def sell(self, pair: str, ordertype: str, amount: float,
|
|
rate: float, time_in_force='gtc') -> Dict:
|
|
|
|
if self._config['dry_run']:
|
|
dry_order = self.dry_run_order(pair, ordertype, "sell", amount, rate)
|
|
return dry_order
|
|
|
|
params = self._params.copy()
|
|
if time_in_force != 'gtc' and ordertype != 'market':
|
|
params.update({'timeInForce': time_in_force})
|
|
|
|
return self.create_order(pair, ordertype, 'sell', amount, rate, params)
|
|
|
|
def stoploss_limit(self, pair: str, amount: float, stop_price: float, rate: float) -> Dict:
|
|
"""
|
|
creates a stoploss limit order.
|
|
Since ccxt does not unify stoploss-limit orders yet, this needs to be implemented in each
|
|
exchange's subclass.
|
|
The exception below should never raise, since we disallow
|
|
starting the bot in validate_ordertypes()
|
|
Note: Changes to this interface need to be applied to all sub-classes too.
|
|
"""
|
|
|
|
raise OperationalException(f"stoploss_limit is not implemented for {self.name}.")
|
|
|
|
@retrier
|
|
def get_balance(self, currency: str) -> float:
|
|
if self._config['dry_run']:
|
|
return constants.DRY_RUN_WALLET
|
|
|
|
# ccxt exception is already handled by get_balances
|
|
balances = self.get_balances()
|
|
balance = balances.get(currency)
|
|
if balance is None:
|
|
raise TemporaryError(
|
|
f'Could not get {currency} balance due to malformed exchange response: {balances}')
|
|
return balance['free']
|
|
|
|
@retrier
|
|
def get_balances(self) -> dict:
|
|
if self._config['dry_run']:
|
|
return {}
|
|
|
|
try:
|
|
balances = self._api.fetch_balance()
|
|
# Remove additional info from ccxt results
|
|
balances.pop("info", None)
|
|
balances.pop("free", None)
|
|
balances.pop("total", None)
|
|
balances.pop("used", None)
|
|
|
|
return balances
|
|
except (ccxt.NetworkError, ccxt.ExchangeError) as e:
|
|
raise TemporaryError(
|
|
f'Could not get balance due to {e.__class__.__name__}. Message: {e}') from e
|
|
except ccxt.BaseError as e:
|
|
raise OperationalException(e) from e
|
|
|
|
@retrier
|
|
def get_tickers(self) -> Dict:
|
|
try:
|
|
return self._api.fetch_tickers()
|
|
except ccxt.NotSupported as e:
|
|
raise OperationalException(
|
|
f'Exchange {self._api.name} does not support fetching tickers in batch.'
|
|
f'Message: {e}') from e
|
|
except (ccxt.NetworkError, ccxt.ExchangeError) as e:
|
|
raise TemporaryError(
|
|
f'Could not load tickers due to {e.__class__.__name__}. Message: {e}') from e
|
|
except ccxt.BaseError as e:
|
|
raise OperationalException(e) from e
|
|
|
|
@retrier
|
|
def get_ticker(self, pair: str, refresh: Optional[bool] = True) -> dict:
|
|
if refresh or pair not in self._cached_ticker.keys():
|
|
try:
|
|
if pair not in self._api.markets or not self._api.markets[pair].get('active'):
|
|
raise DependencyException(f"Pair {pair} not available")
|
|
data = self._api.fetch_ticker(pair)
|
|
try:
|
|
self._cached_ticker[pair] = {
|
|
'bid': float(data['bid']),
|
|
'ask': float(data['ask']),
|
|
}
|
|
except KeyError:
|
|
logger.debug("Could not cache ticker data for %s", pair)
|
|
return data
|
|
except (ccxt.NetworkError, ccxt.ExchangeError) as e:
|
|
raise TemporaryError(
|
|
f'Could not load ticker due to {e.__class__.__name__}. Message: {e}') from e
|
|
except ccxt.BaseError as e:
|
|
raise OperationalException(e) from e
|
|
else:
|
|
logger.info("returning cached ticker-data for %s", pair)
|
|
return self._cached_ticker[pair]
|
|
|
|
def get_historic_ohlcv(self, pair: str, ticker_interval: str,
|
|
since_ms: int) -> List:
|
|
"""
|
|
Gets candle history using asyncio and returns the list of candles.
|
|
Handles all async doing.
|
|
Async over one pair, assuming we get `_ohlcv_candle_limit` candles per call.
|
|
:param pair: Pair to download
|
|
:param ticker_interval: Interval to get
|
|
:param since_ms: Timestamp in milliseconds to get history from
|
|
:returns List of tickers
|
|
"""
|
|
return asyncio.get_event_loop().run_until_complete(
|
|
self._async_get_historic_ohlcv(pair=pair, ticker_interval=ticker_interval,
|
|
since_ms=since_ms))
|
|
|
|
async def _async_get_historic_ohlcv(self, pair: str,
|
|
ticker_interval: str,
|
|
since_ms: int) -> List:
|
|
|
|
one_call = timeframe_to_msecs(ticker_interval) * self._ohlcv_candle_limit
|
|
logger.debug(
|
|
"one_call: %s msecs (%s)",
|
|
one_call,
|
|
arrow.utcnow().shift(seconds=one_call // 1000).humanize(only_distance=True)
|
|
)
|
|
input_coroutines = [self._async_get_candle_history(
|
|
pair, ticker_interval, since) for since in
|
|
range(since_ms, arrow.utcnow().timestamp * 1000, one_call)]
|
|
|
|
tickers = await asyncio.gather(*input_coroutines, return_exceptions=True)
|
|
|
|
# Combine tickers
|
|
data: List = []
|
|
for p, ticker_interval, ticker in tickers:
|
|
if p == pair:
|
|
data.extend(ticker)
|
|
# Sort data again after extending the result - above calls return in "async order"
|
|
data = sorted(data, key=lambda x: x[0])
|
|
logger.info("downloaded %s with length %s.", pair, len(data))
|
|
return data
|
|
|
|
def refresh_latest_ohlcv(self, pair_list: List[Tuple[str, str]]) -> List[Tuple[str, List]]:
|
|
"""
|
|
Refresh in-memory ohlcv asynchronously and set `_klines` with the result
|
|
Loops asynchronously over pair_list and downloads all pairs async (semi-parallel).
|
|
:param pair_list: List of 2 element tuples containing pair, interval to refresh
|
|
:return: Returns a List of ticker-dataframes.
|
|
"""
|
|
logger.debug("Refreshing ohlcv data for %d pairs", len(pair_list))
|
|
|
|
input_coroutines = []
|
|
|
|
# Gather coroutines to run
|
|
for pair, ticker_interval in set(pair_list):
|
|
if (not ((pair, ticker_interval) in self._klines)
|
|
or self._now_is_time_to_refresh(pair, ticker_interval)):
|
|
input_coroutines.append(self._async_get_candle_history(pair, ticker_interval))
|
|
else:
|
|
logger.debug(
|
|
"Using cached ohlcv data for pair %s, interval %s ...",
|
|
pair, ticker_interval
|
|
)
|
|
|
|
tickers = asyncio.get_event_loop().run_until_complete(
|
|
asyncio.gather(*input_coroutines, return_exceptions=True))
|
|
|
|
# handle caching
|
|
for res in tickers:
|
|
if isinstance(res, Exception):
|
|
logger.warning("Async code raised an exception: %s", res.__class__.__name__)
|
|
continue
|
|
pair = res[0]
|
|
ticker_interval = res[1]
|
|
ticks = res[2]
|
|
# keeping last candle time as last refreshed time of the pair
|
|
if ticks:
|
|
self._pairs_last_refresh_time[(pair, ticker_interval)] = ticks[-1][0] // 1000
|
|
# keeping parsed dataframe in cache
|
|
self._klines[(pair, ticker_interval)] = parse_ticker_dataframe(
|
|
ticks, ticker_interval, pair=pair, fill_missing=True,
|
|
drop_incomplete=self._ohlcv_partial_candle)
|
|
return tickers
|
|
|
|
def _now_is_time_to_refresh(self, pair: str, ticker_interval: str) -> bool:
|
|
# Calculating ticker interval in seconds
|
|
interval_in_sec = timeframe_to_seconds(ticker_interval)
|
|
|
|
return not ((self._pairs_last_refresh_time.get((pair, ticker_interval), 0)
|
|
+ interval_in_sec) >= arrow.utcnow().timestamp)
|
|
|
|
@retrier_async
|
|
async def _async_get_candle_history(self, pair: str, ticker_interval: str,
|
|
since_ms: Optional[int] = None) -> Tuple[str, str, List]:
|
|
"""
|
|
Asynchronously gets candle histories using fetch_ohlcv
|
|
returns tuple: (pair, ticker_interval, ohlcv_list)
|
|
"""
|
|
try:
|
|
# fetch ohlcv asynchronously
|
|
s = '(' + arrow.get(since_ms // 1000).isoformat() + ') ' if since_ms is not None else ''
|
|
logger.debug(
|
|
"Fetching pair %s, interval %s, since %s %s...",
|
|
pair, ticker_interval, since_ms, s
|
|
)
|
|
|
|
data = await self._api_async.fetch_ohlcv(pair, timeframe=ticker_interval,
|
|
since=since_ms)
|
|
|
|
# Because some exchange sort Tickers ASC and other DESC.
|
|
# Ex: Bittrex returns a list of tickers ASC (oldest first, newest last)
|
|
# when GDAX returns a list of tickers DESC (newest first, oldest last)
|
|
# Only sort if necessary to save computing time
|
|
try:
|
|
if data and data[0][0] > data[-1][0]:
|
|
data = sorted(data, key=lambda x: x[0])
|
|
except IndexError:
|
|
logger.exception("Error loading %s. Result was %s.", pair, data)
|
|
return pair, ticker_interval, []
|
|
logger.debug("Done fetching pair %s, interval %s ...", pair, ticker_interval)
|
|
return pair, ticker_interval, data
|
|
|
|
except ccxt.NotSupported as e:
|
|
raise OperationalException(
|
|
f'Exchange {self._api.name} does not support fetching historical candlestick data.'
|
|
f'Message: {e}') from e
|
|
except (ccxt.NetworkError, ccxt.ExchangeError) as e:
|
|
raise TemporaryError(f'Could not load ticker history due to {e.__class__.__name__}. '
|
|
f'Message: {e}') from e
|
|
except ccxt.BaseError as e:
|
|
raise OperationalException(f'Could not fetch ticker data. Msg: {e}') from e
|
|
|
|
@retrier_async
|
|
async def _async_fetch_trades(self, pair: str,
|
|
since: Optional[int] = None,
|
|
params: Optional[dict] = None) -> List[Dict]:
|
|
"""
|
|
Asyncronously gets trade history using fetch_trades.
|
|
Handles exchange errors, does one call to the exchange.
|
|
:param pair: Pair to fetch trade data for
|
|
:param since: Since as integer timestamp in milliseconds
|
|
returns tuple: (pair, ticker_interval, ohlcv_list)
|
|
"""
|
|
try:
|
|
# fetch trades asynchronously
|
|
if params:
|
|
logger.debug("Fetching trades for pair %s, params: %s ", pair, params)
|
|
trades = await self._api_async.fetch_trades(pair, params=params, limit=1000)
|
|
else:
|
|
logger.debug(
|
|
"Fetching trades for pair %s, since %s %s...",
|
|
pair, since,
|
|
'(' + arrow.get(since // 1000).isoformat() + ') ' if since is not None else ''
|
|
)
|
|
trades = await self._api_async.fetch_trades(pair, since=since, limit=1000)
|
|
return trades
|
|
except ccxt.NotSupported as e:
|
|
raise OperationalException(
|
|
f'Exchange {self._api.name} does not support fetching historical trade data.'
|
|
f'Message: {e}') from e
|
|
except (ccxt.NetworkError, ccxt.ExchangeError) as e:
|
|
raise TemporaryError(f'Could not load trade history due to {e.__class__.__name__}. '
|
|
f'Message: {e}') from e
|
|
except ccxt.BaseError as e:
|
|
raise OperationalException(f'Could not fetch trade data. Msg: {e}') from e
|
|
|
|
async def _async_get_trade_history_id(self, pair: str,
|
|
until: int,
|
|
since: Optional[int] = None,
|
|
from_id: Optional[str] = None) -> Tuple[str, List[Dict]]:
|
|
"""
|
|
Asyncronously gets trade history using fetch_trades
|
|
use this when exchange uses id-based iteration (check `self._trades_pagination`)
|
|
:param pair: Pair to fetch trade data for
|
|
:param since: Since as integer timestamp in milliseconds
|
|
:param until: Until as integer timestamp in milliseconds
|
|
:param from_id: Download data starting with ID (if id is known). Ignores "since" if set.
|
|
returns tuple: (pair, ticker_interval, ohlcv_list)
|
|
"""
|
|
|
|
trades: List[Dict] = []
|
|
|
|
if not from_id:
|
|
# Fetch first elements using timebased method to get an ID to paginate on
|
|
# Depending on the Exchange, this can introduce a drift at the start of the interval
|
|
# of up to an hour.
|
|
# e.g. Binance returns the "last 1000" candles within a 1h time interval
|
|
# - so we will miss the first trades.
|
|
t = await self._async_fetch_trades(pair, since=since)
|
|
from_id = t[-1]['id']
|
|
trades.extend(t[:-1])
|
|
while True:
|
|
t = await self._async_fetch_trades(pair,
|
|
params={self._trades_pagination_arg: from_id})
|
|
if len(t):
|
|
# Skip last id since its the key for the next call
|
|
trades.extend(t[:-1])
|
|
if from_id == t[-1]['id'] or t[-1]['timestamp'] > until:
|
|
logger.debug(f"Stopping because from_id did not change. "
|
|
f"Reached {t[-1]['timestamp']} > {until}")
|
|
# Reached the end of the defined-download period
|
|
break
|
|
|
|
from_id = t[-1]['id']
|
|
else:
|
|
break
|
|
|
|
return (pair, trades)
|
|
|
|
async def _async_get_trade_history_time(self, pair: str, until: int,
|
|
since: Optional[int] = None) -> Tuple[str, List]:
|
|
"""
|
|
Asyncronously gets trade history using fetch_trades,
|
|
when the exchange uses time-based iteration (check `self._trades_pagination`)
|
|
:param pair: Pair to fetch trade data for
|
|
:param since: Since as integer timestamp in milliseconds
|
|
:param until: Until as integer timestamp in milliseconds
|
|
returns tuple: (pair, ticker_interval, ohlcv_list)
|
|
"""
|
|
|
|
trades: List[Dict] = []
|
|
while True:
|
|
t = await self._async_fetch_trades(pair, since=since)
|
|
if len(t):
|
|
since = t[-1]['timestamp']
|
|
trades.extend(t)
|
|
# Reached the end of the defined-download period
|
|
if until and t[-1]['timestamp'] > until:
|
|
logger.debug(
|
|
f"Stopping because until was reached. {t[-1]['timestamp']} > {until}")
|
|
break
|
|
else:
|
|
break
|
|
|
|
return (pair, trades)
|
|
|
|
async def _async_get_trade_history(self, pair: str,
|
|
since: Optional[int] = None,
|
|
until: Optional[int] = None,
|
|
from_id: Optional[str] = None) -> Tuple[str, List[Dict]]:
|
|
"""
|
|
Async wrapper handling downloading trades using either time or id based methods.
|
|
"""
|
|
if not self.exchange_has("fetchTrades"):
|
|
# TODO: Maybe don't stop the bot ... ?
|
|
raise OperationalException("This exchange does not suport downloading Trades.")
|
|
|
|
if self._trades_pagination == 'time':
|
|
return await self._async_get_trade_history_time(
|
|
pair=pair, since=since,
|
|
until=until or ccxt.Exchange.milliseconds())
|
|
elif self._trades_pagination == 'id':
|
|
return await self._async_get_trade_history_id(
|
|
pair=pair, since=since,
|
|
until=until or ccxt.Exchange.milliseconds(), from_id=from_id
|
|
)
|
|
else:
|
|
raise OperationalException(f"Exchange {self.name} does use neither time, "
|
|
f"nor id based pagination")
|
|
|
|
def get_historic_trades(self, pair: str,
|
|
since: Optional[int] = None,
|
|
until: Optional[int] = None,
|
|
from_id: Optional[str] = None) -> Tuple[str, List]:
|
|
"""
|
|
Gets candle history using asyncio and returns the list of candles.
|
|
Handles all async doing.
|
|
Async over one pair, assuming we get `_ohlcv_candle_limit` candles per call.
|
|
:param pair: Pair to download
|
|
:param ticker_interval: Interval to get
|
|
:param since: Timestamp in milliseconds to get history from
|
|
:param until: Timestamp in milliseconds. Defaults to current timestamp if not defined.
|
|
:param from_id: Download data starting with ID (if id is known)
|
|
:returns List of tickers
|
|
"""
|
|
|
|
return asyncio.get_event_loop().run_until_complete(
|
|
self._async_get_trade_history(pair=pair, since=since,
|
|
until=until, from_id=from_id))
|
|
|
|
@retrier
|
|
def cancel_order(self, order_id: str, pair: str) -> None:
|
|
if self._config['dry_run']:
|
|
return
|
|
|
|
try:
|
|
return self._api.cancel_order(order_id, pair)
|
|
except ccxt.InvalidOrder as e:
|
|
raise InvalidOrderException(
|
|
f'Could not cancel order. Message: {e}') from e
|
|
except (ccxt.NetworkError, ccxt.ExchangeError) as e:
|
|
raise TemporaryError(
|
|
f'Could not cancel order due to {e.__class__.__name__}. Message: {e}') from e
|
|
except ccxt.BaseError as e:
|
|
raise OperationalException(e) from e
|
|
|
|
@retrier
|
|
def get_order(self, order_id: str, pair: str) -> Dict:
|
|
if self._config['dry_run']:
|
|
try:
|
|
order = self._dry_run_open_orders[order_id]
|
|
return order
|
|
except KeyError as e:
|
|
# Gracefully handle errors with dry-run orders.
|
|
raise InvalidOrderException(
|
|
f'Tried to get an invalid dry-run-order (id: {order_id}). Message: {e}') from e
|
|
try:
|
|
return self._api.fetch_order(order_id, pair)
|
|
except ccxt.InvalidOrder as e:
|
|
raise InvalidOrderException(
|
|
f'Tried to get an invalid order (id: {order_id}). Message: {e}') from e
|
|
except (ccxt.NetworkError, ccxt.ExchangeError) as e:
|
|
raise TemporaryError(
|
|
f'Could not get order due to {e.__class__.__name__}. Message: {e}') from e
|
|
except ccxt.BaseError as e:
|
|
raise OperationalException(e) from e
|
|
|
|
@retrier
|
|
def get_order_book(self, pair: str, limit: int = 100) -> dict:
|
|
"""
|
|
get order book level 2 from exchange
|
|
|
|
Notes:
|
|
20180619: bittrex doesnt support limits -.-
|
|
"""
|
|
try:
|
|
|
|
return self._api.fetch_l2_order_book(pair, limit)
|
|
except ccxt.NotSupported as e:
|
|
raise OperationalException(
|
|
f'Exchange {self._api.name} does not support fetching order book.'
|
|
f'Message: {e}') from e
|
|
except (ccxt.NetworkError, ccxt.ExchangeError) as e:
|
|
raise TemporaryError(
|
|
f'Could not get order book due to {e.__class__.__name__}. Message: {e}') from e
|
|
except ccxt.BaseError as e:
|
|
raise OperationalException(e) from e
|
|
|
|
@retrier
|
|
def get_trades_for_order(self, order_id: str, pair: str, since: datetime) -> List:
|
|
if self._config['dry_run']:
|
|
return []
|
|
if not self.exchange_has('fetchMyTrades'):
|
|
return []
|
|
try:
|
|
# Allow 5s offset to catch slight time offsets (discovered in #1185)
|
|
# since needs to be int in milliseconds
|
|
my_trades = self._api.fetch_my_trades(pair, int((since.timestamp() - 5) * 1000))
|
|
matched_trades = [trade for trade in my_trades if trade['order'] == order_id]
|
|
|
|
return matched_trades
|
|
|
|
except ccxt.NetworkError as e:
|
|
raise TemporaryError(
|
|
f'Could not get trades due to networking error. Message: {e}') from e
|
|
except ccxt.BaseError as e:
|
|
raise OperationalException(e) from e
|
|
|
|
@retrier
|
|
def get_fee(self, symbol='ETH/BTC', type='', side='', amount=1,
|
|
price=1, taker_or_maker='maker') -> float:
|
|
try:
|
|
# validate that markets are loaded before trying to get fee
|
|
if self._api.markets is None or len(self._api.markets) == 0:
|
|
self._api.load_markets()
|
|
|
|
return self._api.calculate_fee(symbol=symbol, type=type, side=side, amount=amount,
|
|
price=price, takerOrMaker=taker_or_maker)['rate']
|
|
except (ccxt.NetworkError, ccxt.ExchangeError) as e:
|
|
raise TemporaryError(
|
|
f'Could not get fee info due to {e.__class__.__name__}. Message: {e}') from e
|
|
except ccxt.BaseError as e:
|
|
raise OperationalException(e) from e
|
|
|
|
def build_ohlcv(self, trades: List[Dict], timeframe: str, since: int = None,
|
|
limit: int = None) -> List:
|
|
"""
|
|
Build ohlcv data from trade list.
|
|
trade-list has to be in the ccxt format, which is a list of dicts containing at least:
|
|
* timestamp
|
|
* price
|
|
* amount
|
|
:param trades: List of Dicts
|
|
:param timeframe: timeframe to convert to (e.g. "5m")
|
|
:param since: start at a specific data, as oposed to the trades-list start date
|
|
:param limit: Limit amount of candles
|
|
:return: ohlcv data (as returned by ccxt.fetch_ohlcv)
|
|
"""
|
|
return self._api.build_ohlcv(trades, timeframe, since, limit)
|
|
|
|
|
|
def is_exchange_bad(exchange_name: str) -> bool:
|
|
return exchange_name in BAD_EXCHANGES
|
|
|
|
|
|
def get_exchange_bad_reason(exchange_name: str) -> str:
|
|
return BAD_EXCHANGES.get(exchange_name, "")
|
|
|
|
|
|
def is_exchange_known_ccxt(exchange_name: str, ccxt_module=None) -> bool:
|
|
return exchange_name in ccxt_exchanges(ccxt_module)
|
|
|
|
|
|
def is_exchange_officially_supported(exchange_name: str) -> bool:
|
|
return exchange_name in ['bittrex', 'binance']
|
|
|
|
|
|
def ccxt_exchanges(ccxt_module=None) -> List[str]:
|
|
"""
|
|
Return the list of all exchanges known to ccxt
|
|
"""
|
|
return ccxt_module.exchanges if ccxt_module is not None else ccxt.exchanges
|
|
|
|
|
|
def available_exchanges(ccxt_module=None) -> List[str]:
|
|
"""
|
|
Return exchanges available to the bot, i.e. non-bad exchanges in the ccxt list
|
|
"""
|
|
exchanges = ccxt_exchanges(ccxt_module)
|
|
return [x for x in exchanges if not is_exchange_bad(x)]
|
|
|
|
|
|
def timeframe_to_seconds(ticker_interval: str) -> int:
|
|
"""
|
|
Translates the timeframe interval value written in the human readable
|
|
form ('1m', '5m', '1h', '1d', '1w', etc.) to the number
|
|
of seconds for one timeframe interval.
|
|
"""
|
|
return ccxt.Exchange.parse_timeframe(ticker_interval)
|
|
|
|
|
|
def timeframe_to_minutes(ticker_interval: str) -> int:
|
|
"""
|
|
Same as timeframe_to_seconds, but returns minutes.
|
|
"""
|
|
return ccxt.Exchange.parse_timeframe(ticker_interval) // 60
|
|
|
|
|
|
def timeframe_to_msecs(ticker_interval: str) -> int:
|
|
"""
|
|
Same as timeframe_to_seconds, but returns milliseconds.
|
|
"""
|
|
return ccxt.Exchange.parse_timeframe(ticker_interval) * 1000
|
|
|
|
|
|
def timeframe_to_prev_date(timeframe: str, date: datetime = None) -> datetime:
|
|
"""
|
|
Use Timeframe and determine last possible candle.
|
|
:param timeframe: timeframe in string format (e.g. "5m")
|
|
:param date: date to use. Defaults to utcnow()
|
|
:returns: date of previous candle (with utc timezone)
|
|
"""
|
|
if not date:
|
|
date = datetime.now(timezone.utc)
|
|
|
|
new_timestamp = ccxt.Exchange.round_timeframe(timeframe, date.timestamp() * 1000,
|
|
ROUND_DOWN) // 1000
|
|
return datetime.fromtimestamp(new_timestamp, tz=timezone.utc)
|
|
|
|
|
|
def timeframe_to_next_date(timeframe: str, date: datetime = None) -> datetime:
|
|
"""
|
|
Use Timeframe and determine next candle.
|
|
:param timeframe: timeframe in string format (e.g. "5m")
|
|
:param date: date to use. Defaults to utcnow()
|
|
:returns: date of next candle (with utc timezone)
|
|
"""
|
|
if not date:
|
|
date = datetime.now(timezone.utc)
|
|
new_timestamp = ccxt.Exchange.round_timeframe(timeframe, date.timestamp() * 1000,
|
|
ROUND_UP) // 1000
|
|
return datetime.fromtimestamp(new_timestamp, tz=timezone.utc)
|