150 lines
5.2 KiB
Python
150 lines
5.2 KiB
Python
import logging
|
|
from typing import Dict, List, Optional, Tuple
|
|
|
|
import ccxt
|
|
|
|
from freqtrade.constants import BuySell
|
|
from freqtrade.enums import MarginMode, TradingMode
|
|
from freqtrade.enums.candletype import CandleType
|
|
from freqtrade.exceptions import DDosProtection, OperationalException, TemporaryError
|
|
from freqtrade.exchange import Exchange, date_minus_candles
|
|
from freqtrade.exchange.common import retrier
|
|
|
|
|
|
logger = logging.getLogger(__name__)
|
|
|
|
|
|
class Okx(Exchange):
|
|
"""Okx exchange class.
|
|
|
|
Contains adjustments needed for Freqtrade to work with this exchange.
|
|
"""
|
|
|
|
_ft_has: Dict = {
|
|
"ohlcv_candle_limit": 100, # Warning, special case with data prior to X months
|
|
"mark_ohlcv_timeframe": "4h",
|
|
"funding_fee_timeframe": "8h",
|
|
}
|
|
_ft_has_futures: Dict = {
|
|
"tickers_have_quoteVolume": False,
|
|
"fee_cost_in_contracts": True,
|
|
}
|
|
|
|
_supported_trading_mode_margin_pairs: List[Tuple[TradingMode, MarginMode]] = [
|
|
# TradingMode.SPOT always supported and not required in this list
|
|
# (TradingMode.MARGIN, MarginMode.CROSS),
|
|
# (TradingMode.FUTURES, MarginMode.CROSS),
|
|
(TradingMode.FUTURES, MarginMode.ISOLATED),
|
|
]
|
|
|
|
net_only = True
|
|
|
|
_ccxt_params: Dict = {'options': {'brokerId': 'ffb5405ad327SUDE'}}
|
|
|
|
def ohlcv_candle_limit(
|
|
self, timeframe: str, candle_type: CandleType, since_ms: Optional[int] = None) -> int:
|
|
"""
|
|
Exchange ohlcv candle limit
|
|
OKX has the following behaviour:
|
|
* 300 candles for uptodate data
|
|
* 100 candles for historic data
|
|
* 100 candles for additional candles (not futures or spot).
|
|
:param timeframe: Timeframe to check
|
|
:param candle_type: Candle-type
|
|
:param since_ms: Starting timestamp
|
|
:return: Candle limit as integer
|
|
"""
|
|
if (
|
|
candle_type in (CandleType.FUTURES, CandleType.SPOT) and
|
|
(not since_ms or since_ms > (date_minus_candles(timeframe, 300).timestamp() * 1000))
|
|
):
|
|
return 300
|
|
|
|
return super().ohlcv_candle_limit(timeframe, candle_type, since_ms)
|
|
|
|
@retrier
|
|
def additional_exchange_init(self) -> None:
|
|
"""
|
|
Additional exchange initialization logic.
|
|
.api will be available at this point.
|
|
Must be overridden in child methods if required.
|
|
"""
|
|
try:
|
|
if self.trading_mode == TradingMode.FUTURES and not self._config['dry_run']:
|
|
accounts = self._api.fetch_accounts()
|
|
if len(accounts) > 0:
|
|
self.net_only = accounts[0].get('info', {}).get('posMode') == 'net_mode'
|
|
except ccxt.DDoSProtection as e:
|
|
raise DDosProtection(e) from e
|
|
except (ccxt.NetworkError, ccxt.ExchangeError) as e:
|
|
raise TemporaryError(
|
|
f'Could not set leverage due to {e.__class__.__name__}. Message: {e}') from e
|
|
except ccxt.BaseError as e:
|
|
raise OperationalException(e) from e
|
|
|
|
def _get_posSide(self, side: BuySell, reduceOnly: bool):
|
|
if self.net_only:
|
|
return 'net'
|
|
if not reduceOnly:
|
|
# Enter
|
|
return 'long' if side == 'buy' else 'short'
|
|
else:
|
|
# Exit
|
|
return 'long' if side == 'sell' else 'short'
|
|
|
|
def _get_params(
|
|
self,
|
|
side: BuySell,
|
|
ordertype: str,
|
|
leverage: float,
|
|
reduceOnly: bool,
|
|
time_in_force: str = 'gtc',
|
|
) -> Dict:
|
|
params = super()._get_params(
|
|
side=side,
|
|
ordertype=ordertype,
|
|
leverage=leverage,
|
|
reduceOnly=reduceOnly,
|
|
time_in_force=time_in_force,
|
|
)
|
|
if self.trading_mode == TradingMode.FUTURES and self.margin_mode:
|
|
params['tdMode'] = self.margin_mode.value
|
|
params['posSide'] = self._get_posSide(side, reduceOnly)
|
|
return params
|
|
|
|
@retrier
|
|
def _lev_prep(self, pair: str, leverage: float, side: BuySell):
|
|
if self.trading_mode != TradingMode.SPOT and self.margin_mode is not None:
|
|
try:
|
|
# TODO-lev: Test me properly (check mgnMode passed)
|
|
self._api.set_leverage(
|
|
leverage=leverage,
|
|
symbol=pair,
|
|
params={
|
|
"mgnMode": self.margin_mode.value,
|
|
"posSide": self._get_posSide(side, False),
|
|
})
|
|
except ccxt.DDoSProtection as e:
|
|
raise DDosProtection(e) from e
|
|
except (ccxt.NetworkError, ccxt.ExchangeError) as e:
|
|
raise TemporaryError(
|
|
f'Could not set leverage due to {e.__class__.__name__}. Message: {e}') from e
|
|
except ccxt.BaseError as e:
|
|
raise OperationalException(e) from e
|
|
|
|
def get_max_pair_stake_amount(
|
|
self,
|
|
pair: str,
|
|
price: float,
|
|
leverage: float = 1.0
|
|
) -> float:
|
|
|
|
if self.trading_mode == TradingMode.SPOT:
|
|
return float('inf') # Not actually inf, but this probably won't matter for SPOT
|
|
|
|
if pair not in self._leverage_tiers:
|
|
return float('inf')
|
|
|
|
pair_tiers = self._leverage_tiers[pair]
|
|
return pair_tiers[-1]['maxNotional'] / leverage
|