stable/freqtrade/main.py

#!/usr/bin/env python3
import copy
import json
import logging
import sys
import time
import traceback
from datetime import datetime
from typing import Dict, List, Optional, Any

import arrow
import requests
from cachetools import cached, TTLCache

from freqtrade import (DependencyException, OperationalException, __version__,
                       exchange, persistence, rpc)
from freqtrade.analyze import get_signal
from freqtrade.fiat_convert import CryptoToFiatConverter
from freqtrade.misc import (State, get_state, load_config, parse_args,
                            throttle, update_state)
from freqtrade.persistence import Trade
from freqtrade.strategy.strategy import Strategy

logger = logging.getLogger('freqtrade')

_CONF: Dict[str, Any] = {}


def refresh_whitelist(whitelist: List[str]) -> List[str]:
    """
    Check wallet health and remove pair from whitelist if necessary
    :param whitelist: the sorted list (based on BaseVolume) of pairs the user might want to trade
    :return: the list of pairs the user wants to trade without the one unavailable or black_listed
    """
    sanitized_whitelist = whitelist
    health = exchange.get_wallet_health()
    known_pairs = set()
    for status in health:
        pair = '{}_{}'.format(_CONF['stake_currency'], status['Currency'])
        # pair is not int the generated dynamic market, or in the blacklist ... ignore it
        if pair not in whitelist or pair in _CONF['exchange'].get('pair_blacklist', []):
            continue
        # else the pair is valid
        known_pairs.add(pair)
        # Market is not active
        if not status['IsActive']:
            sanitized_whitelist.remove(pair)
            logger.info(
                'Ignoring %s from whitelist (reason: %s).',
                pair, status.get('Notice') or 'wallet is not active'
            )

    # We need to remove pairs that are unknown
    final_list = [x for x in sanitized_whitelist if x in known_pairs]
    return final_list


def process_maybe_execute_buy(interval: int) -> bool:
    """
    Tries to execute a buy trade in a safe way
    :return: True if executed
    """
    try:
        # Create entity and execute trade
        if create_trade(float(_CONF['stake_amount']), interval):
            return True

        logger.info('Found no buy signals for whitelisted currencies. Trying again..')
        return False
    except DependencyException as exception:
        logger.warning('Unable to create trade: %s', exception)
        return False


def process_maybe_execute_sell(trade: Trade, interval: int) -> bool:
    """
    Tries to execute a sell trade
    :return: True if executed
    """
    # Get order details for actual price per unit
    if trade.open_order_id:
        # Update trade with order values
        logger.info('Found open order for %s', trade)
        trade.update(exchange.get_order(trade.open_order_id))

    if trade.is_open and trade.open_order_id is None:
        # Check if we can sell our current pair
        return handle_trade(trade, interval)
    return False


def _process(interval: int, nb_assets: Optional[int] = 0) -> bool:
    """
    Queries the persistence layer for open trades and handles them,
    otherwise a new trade is created.
    :param: nb_assets: the maximum number of pairs to be traded at the same time
    :return: True if one or more trades has been created or closed, False otherwise
    """
    state_changed = False
    try:
        # Refresh whitelist based on wallet maintenance
        sanitized_list = refresh_whitelist(
            gen_pair_whitelist(
                _CONF['stake_currency']
            ) if nb_assets else _CONF['exchange']['pair_whitelist']
        )

        # Keep only the subsets of pairs wanted (up to nb_assets)
        final_list = sanitized_list[:nb_assets] if nb_assets else sanitized_list
        _CONF['exchange']['pair_whitelist'] = final_list

        # Query trades from persistence layer
        trades = Trade.query.filter(Trade.is_open.is_(True)).all()

        # First process current opened trades
        for trade in trades:
            state_changed |= process_maybe_execute_sell(trade, interval)

        # Then looking for buy opportunities
        if len(trades) < _CONF['max_open_trades']:
            state_changed = process_maybe_execute_buy(interval)

        if 'unfilledtimeout' in _CONF:
            # Check and handle any timed out open orders
            check_handle_timedout(_CONF['unfilledtimeout'])
            Trade.session.flush()

    except (requests.exceptions.RequestException, json.JSONDecodeError) as error:
        logger.warning(
            '%s in _process(), retrying in 30 seconds...',
            error
        )
        time.sleep(30)
    except OperationalException:
        rpc.send_msg('*Status:* OperationalException:\n```\n{traceback}```{hint}'.format(
            traceback=traceback.format_exc(),
            hint='Issue `/start` if you think it is safe to restart.'
        ))
        logger.exception('OperationalException. Stopping trader ...')
        update_state(State.STOPPED)
    return state_changed


# FIX: 20180110, why is cancel.order unconditionally here, whereas
#                it is conditionally called in the
#                handle_timedout_limit_sell()?
def handle_timedout_limit_buy(trade: Trade, order: Dict) -> bool:
    """Buy timeout - cancel order
    :return: True if order was fully cancelled
    """
    exchange.cancel_order(trade.open_order_id)
    if order['remaining'] == order['amount']:
        # if trade is not partially completed, just delete the trade
        Trade.session.delete(trade)
        # FIX? do we really need to flush, caller of
        #      check_handle_timedout will flush afterwards
        Trade.session.flush()
        logger.info('Buy order timeout for %s.', trade)
        rpc.send_msg('*Timeout:* Unfilled buy order for {} cancelled'.format(
                     trade.pair.replace('_', '/')))
        return True

    # if trade is partially complete, edit the stake details for the trade
    # and close the order
    trade.amount = order['amount'] - order['remaining']
    trade.stake_amount = trade.amount * trade.open_rate
    trade.open_order_id = None
    logger.info('Partial buy order timeout for %s.', trade)
    rpc.send_msg('*Timeout:* Remaining buy order for {} cancelled'.format(
                 trade.pair.replace('_', '/')))
    return False


# FIX: 20180110, should cancel_order() be cond. or unconditionally called?
def handle_timedout_limit_sell(trade: Trade, order: Dict) -> bool:
    """
    Sell timeout - cancel order and update trade
    :return: True if order was fully cancelled
    """
    if order['remaining'] == order['amount']:
        # if trade is not partially completed, just cancel the trade
        exchange.cancel_order(trade.open_order_id)
        trade.close_rate = None
        trade.close_profit = None
        trade.close_date = None
        trade.is_open = True
        trade.open_order_id = None
        rpc.send_msg('*Timeout:* Unfilled sell order for {} cancelled'.format(
                     trade.pair.replace('_', '/')))
        logger.info('Sell order timeout for %s.', trade)
        return True

    # TODO: figure out how to handle partially complete sell orders
    return False


def check_handle_timedout(timeoutvalue: int) -> None:
    """
    Check if any orders are timed out and cancel if neccessary
    :param timeoutvalue: Number of minutes until order is considered timed out
    :return: None
    """
    timeoutthreashold = arrow.utcnow().shift(minutes=-timeoutvalue).datetime

    for trade in Trade.query.filter(Trade.open_order_id.isnot(None)).all():
        try:
            order = exchange.get_order(trade.open_order_id)
        except requests.exceptions.RequestException:
            logger.info('Cannot query order for %s due to %s', trade, traceback.format_exc())
            continue
        ordertime = arrow.get(order['opened'])

        # Check if trade is still actually open
        if int(order['remaining']) == 0:
            continue

        if order['type'] == "LIMIT_BUY" and ordertime < timeoutthreashold:
            handle_timedout_limit_buy(trade, order)
        elif order['type'] == "LIMIT_SELL" and ordertime < timeoutthreashold:
            handle_timedout_limit_sell(trade, order)


def execute_sell(trade: Trade, limit: float) -> None:
    """
    Executes a limit sell for the given trade and limit
    :param trade: Trade instance
    :param limit: limit rate for the sell order
    :return: None
    """
    # Execute sell and update trade record
    order_id = exchange.sell(str(trade.pair), limit, trade.amount)
    trade.open_order_id = order_id

    fmt_exp_profit = round(trade.calc_profit_percent(rate=limit) * 100, 2)
    profit_trade = trade.calc_profit(rate=limit)
    current_rate = exchange.get_ticker(trade.pair, False)['bid']
    profit = trade.calc_profit_percent(current_rate)

    message = """*{exchange}:* Selling
*Current Pair:* [{pair}]({pair_url})
*Limit:* `{limit}`
*Amount:* `{amount}`
*Open Rate:* `{open_rate:.8f}`
*Current Rate:* `{current_rate:.8f}`
*Profit:* `{profit:.2f}%`
    """.format(
        exchange=trade.exchange,
        pair=trade.pair,
        pair_url=exchange.get_pair_detail_url(trade.pair),
        limit=limit,
        open_rate=trade.open_rate,
        current_rate=current_rate,
        amount=round(trade.amount, 8),
        profit=round(profit * 100, 2),
    )

    # For regular case, when the configuration exists
    if 'stake_currency' in _CONF and 'fiat_display_currency' in _CONF:
        fiat_converter = CryptoToFiatConverter()
        profit_fiat = fiat_converter.convert_amount(
            profit_trade,
            _CONF['stake_currency'],
            _CONF['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=_CONF['stake_currency'],
                       profit_fiat=profit_fiat,
                       fiat=_CONF['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
    rpc.send_msg(message)
    Trade.session.flush()


def min_roi_reached(trade: Trade, current_rate: float, current_time: datetime) -> bool:
    """
    Based an earlier trade and current price and ROI configuration, decides whether bot should sell
    :return True if bot should sell at current rate
    """
    strategy = Strategy()

    current_profit = trade.calc_profit_percent(current_rate)
    if strategy.stoploss is not None and current_profit < strategy.stoploss:
        logger.debug('Stop loss hit.')
        return True

    # Check if time matches and current rate is above threshold
    time_diff = (current_time.timestamp() - trade.open_date.timestamp()) / 60
    for duration, threshold in strategy.minimal_roi.items():
        if time_diff <= duration:
            return False
        if current_profit > threshold:
            return True
    return False


def should_sell(trade: Trade, rate: float, date: datetime, buy: bool, sell: bool) -> bool:
    """
    This function evaluate if on the condition required to trigger a sell has been reached
    if the threshold is reached and updates the trade record.
    :return: True if trade should be sold, False otherwise
    """
    # Check if minimal roi has been reached and no longer in buy conditions (avoiding a fee)
    if min_roi_reached(trade, rate, date):
        logger.debug('Executing sell due to ROI ...')
        return True

    # Experimental: Check if the trade is profitable before selling it (avoid selling at loss)
    if _CONF.get('experimental', {}).get('sell_profit_only', False):
        logger.debug('Checking if trade is profitable ...')
        if trade.calc_profit(rate=rate) <= 0:
            return False

    if sell and not buy and _CONF.get('experimental', {}).get('use_sell_signal', False):
        logger.debug('Executing sell due to sell signal ...')
        return True

    return False


def handle_trade(trade: Trade, interval: int) -> bool:
    """
    Sells the current pair if the threshold is reached and updates the trade record.
    :return: True if trade has been sold, False otherwise
    """
    if not trade.is_open:
        raise ValueError('attempt to handle closed trade: {}'.format(trade))

    logger.debug('Handling %s ...', trade)
    current_rate = exchange.get_ticker(trade.pair)['bid']

    (buy, sell) = (False, False)

    if _CONF.get('experimental', {}).get('use_sell_signal'):
        (buy, sell) = get_signal(trade.pair, interval)

    if should_sell(trade, current_rate, datetime.utcnow(), buy, sell):
        execute_sell(trade, current_rate)
        return True

    return False


def get_target_bid(ticker: Dict[str, float]) -> float:
    """ Calculates bid target between current ask price and last price """
    if ticker['ask'] < ticker['last']:
        return ticker['ask']
    balance = _CONF['bid_strategy']['ask_last_balance']
    return ticker['ask'] + balance * (ticker['last'] - ticker['ask'])


def create_trade(stake_amount: float, interval: int) -> bool:
    """
    Checks the implemented trading indicator(s) for a randomly picked pair,
    if one pair triggers the buy_signal a new trade record gets created
    :param stake_amount: amount of btc to spend
    :return: True if a trade object has been created and persisted, False otherwise
    """
    logger.info(
        'Checking buy signals to create a new trade with stake_amount: %f ...',
        stake_amount
    )
    whitelist = copy.deepcopy(_CONF['exchange']['pair_whitelist'])
    # Check if stake_amount is fulfilled
    if exchange.get_balance(_CONF['stake_currency']) < stake_amount:
        raise DependencyException(
            'stake amount is not fulfilled (currency={})'.format(_CONF['stake_currency'])
        )

    # Remove currently opened and latest pairs from whitelist
    for trade in Trade.query.filter(Trade.is_open.is_(True)).all():
        if trade.pair in whitelist:
            whitelist.remove(trade.pair)
            logger.debug('Ignoring %s in pair whitelist', trade.pair)
    if not whitelist:
        raise DependencyException('No pair in whitelist')

    # Pick pair based on StochRSI buy signals
    for _pair in whitelist:
        (buy, sell) = get_signal(_pair, interval)
        if buy and not sell:
            pair = _pair
            break
    else:
        return False

    # Calculate amount
    buy_limit = get_target_bid(exchange.get_ticker(pair))
    amount = stake_amount / buy_limit

    order_id = exchange.buy(pair, buy_limit, amount)

    fiat_converter = CryptoToFiatConverter()
    stake_amount_fiat = fiat_converter.convert_amount(
        stake_amount,
        _CONF['stake_currency'],
        _CONF['fiat_display_currency']
    )

    # Create trade entity and return
    rpc.send_msg('*{}:* Buying [{}]({}) with limit `{:.8f} ({:.6f} {}, {:.3f} {})` '.format(
        exchange.get_name().upper(),
        pair.replace('_', '/'),
        exchange.get_pair_detail_url(pair),
        buy_limit, stake_amount, _CONF['stake_currency'],
        stake_amount_fiat, _CONF['fiat_display_currency']
    ))
    # Fee is applied twice because we make a LIMIT_BUY and LIMIT_SELL
    trade = Trade(
        pair=pair,
        stake_amount=stake_amount,
        amount=amount,
        fee=exchange.get_fee(),
        open_rate=buy_limit,
        open_date=datetime.utcnow(),
        exchange=exchange.get_name().upper(),
        open_order_id=order_id
    )
    Trade.session.add(trade)
    Trade.session.flush()
    return True


def init(config: dict, db_url: Optional[str] = None) -> None:
    """
    Initializes all modules and updates the config
    :param config: config as dict
    :param db_url: database connector string for sqlalchemy (Optional)
    :return: None
    """
    # Initialize all modules
    rpc.init(config)
    persistence.init(config, db_url)
    exchange.init(config)

    strategy = Strategy()
    strategy.init(config)

    # Set initial application state
    initial_state = config.get('initial_state')
    if initial_state:
        update_state(State[initial_state.upper()])
    else:
        update_state(State.STOPPED)


@cached(TTLCache(maxsize=1, ttl=1800))
def gen_pair_whitelist(base_currency: str, key: str = 'BaseVolume') -> List[str]:
    """
    Updates the whitelist with with a dynamically generated list
    :param base_currency: base currency as str
    :param key: sort key (defaults to 'BaseVolume')
    :return: List of pairs
    """
    summaries = sorted(
        (s for s in exchange.get_market_summaries() if s['MarketName'].startswith(base_currency)),
        key=lambda s: s.get(key) or 0.0,
        reverse=True
    )

    return [s['MarketName'].replace('-', '_') for s in summaries]


def cleanup() -> None:
    """
    Cleanup the application state und finish all pending tasks
    :return: None
    """
    rpc.send_msg('*Status:* `Stopping trader...`')
    logger.info('Stopping trader and cleaning up modules...')
    update_state(State.STOPPED)
    persistence.cleanup()
    rpc.cleanup()
    exit(0)


def main(sysargv=sys.argv[1:]) -> int:
    """
    Loads and validates the config and handles the main loop
    :return: None
    """
    global _CONF
    args = parse_args(sysargv,
                      'Simple High Frequency Trading Bot for crypto currencies')

    # A subcommand has been issued
    if hasattr(args, 'func'):
        args.func(args)
        return 0

    # Initialize logger
    logging.basicConfig(
        level=args.loglevel,
        format='%(asctime)s - %(name)s - %(levelname)s - %(message)s',
    )

    logger.info(
        'Starting freqtrade %s (loglevel=%s)',
        __version__,
        logging.getLevelName(args.loglevel)
    )

    # Load and validate configuration
    _CONF = load_config(args.config)

    # Add the strategy file to use
    _CONF.update({'strategy': args.strategy})

    # Initialize all modules and start main loop
    if args.dynamic_whitelist:
        logger.info('Using dynamically generated whitelist. (--dynamic-whitelist detected)')

    # If the user ask for Dry run with a local DB instead of memory
    if args.dry_run_db:
        if _CONF.get('dry_run', False):
            _CONF.update({'dry_run_db': True})
            logger.info(
                'Dry_run will use the DB file: "tradesv3.dry_run.sqlite". (--dry_run_db detected)'
            )
        else:
            logger.info('Dry run is disabled. (--dry_run_db ignored)')

    try:
        init(_CONF)
        old_state = None

        while True:
            new_state = get_state()
            # Log state transition
            if new_state != old_state:
                rpc.send_msg('*Status:* `{}`'.format(new_state.name.lower()))
                logger.info('Changing state to: %s', new_state.name)

            if new_state == State.STOPPED:
                time.sleep(1)
            elif new_state == State.RUNNING:
                throttle(
                    _process,
                    min_secs=_CONF['internals'].get('process_throttle_secs', 10),
                    nb_assets=args.dynamic_whitelist,
                    interval=int(_CONF.get('ticker_interval', 5))
                )
            old_state = new_state
    except KeyboardInterrupt:
        logger.info('SIGINT received, aborting ...')
    except BaseException:
        logger.exception('Fatal exception!')
    finally:
        cleanup()
    return 0


if __name__ == '__main__':
    main(sys.argv[1:])