970 lines
40 KiB
Python
970 lines
40 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 logging
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import traceback
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from datetime import datetime
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from math import isclose
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from os import getpid
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from typing import Any, Dict, List, Optional, Tuple
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import arrow
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from requests.exceptions import RequestException
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from freqtrade import (DependencyException, InvalidOrderException, __version__,
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constants, persistence)
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from freqtrade.configuration import validate_config_consistency
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from freqtrade.data.converter import order_book_to_dataframe
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from freqtrade.data.dataprovider import DataProvider
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from freqtrade.edge import Edge
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from freqtrade.exchange import timeframe_to_minutes, timeframe_to_next_date
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from freqtrade.persistence import Trade
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from freqtrade.resolvers import ExchangeResolver, StrategyResolver
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from freqtrade.rpc import RPCManager, RPCMessageType
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from freqtrade.pairlist.pairlistmanager import PairListManager
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from freqtrade.state import State
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from freqtrade.strategy.interface import IStrategy, SellType
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from freqtrade.wallets import Wallets
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logger = logging.getLogger(__name__)
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class FreqtradeBot:
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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]) -> None:
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"""
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Init all variables and objects the bot needs to work
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:param config: configuration dict, you can use Configuration.get_config()
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to get the config dict.
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"""
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logger.info('Starting freqtrade %s', __version__)
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# Init bot state
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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._heartbeat_msg = 0
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self.heartbeat_interval = self.config.get('internals', {}).get('heartbeat_interval', 60)
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self.strategy: IStrategy = StrategyResolver(self.config).strategy
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# Check config consistency here since strategies can set certain options
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validate_config_consistency(config)
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self.exchange = ExchangeResolver(self.config['exchange']['name'], self.config).exchange
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self.wallets = Wallets(self.config, self.exchange)
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self.dataprovider = DataProvider(self.config, self.exchange)
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# Attach Dataprovider to Strategy baseclass
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IStrategy.dp = self.dataprovider
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# Attach Wallets to Strategy baseclass
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IStrategy.wallets = self.wallets
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self.pairlists = PairListManager(self.exchange, self.config)
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# Initializing Edge only if enabled
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self.edge = Edge(self.config, self.exchange, self.strategy) if \
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self.config.get('edge', {}).get('enabled', False) else None
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self.active_pair_whitelist = self._refresh_whitelist()
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persistence.init(self.config.get('db_url', None),
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clean_open_orders=self.config.get('dry_run', False))
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# Set initial bot state from config
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initial_state = self.config.get('initial_state')
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self.state = State[initial_state.upper()] if initial_state else State.STOPPED
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# RPC runs in separate threads, can start handling external commands just after
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# initialization, even before Freqtradebot has a chance to start its throttling,
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# so anything in the Freqtradebot instance should be ready (initialized), including
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# the initial state of the bot.
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# Keep this at the end of this initialization method.
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self.rpc: RPCManager = RPCManager(self)
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def cleanup(self) -> None:
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"""
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Cleanup pending resources on an already stopped bot
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:return: None
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"""
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logger.info('Cleaning up modules ...')
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self.rpc.cleanup()
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persistence.cleanup()
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def startup(self) -> None:
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"""
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Called on startup and after reloading the bot - triggers notifications and
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performs startup tasks
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"""
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self.rpc.startup_messages(self.config, self.pairlists)
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if not self.edge:
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# Adjust stoploss if it was changed
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Trade.stoploss_reinitialization(self.strategy.stoploss)
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def process(self) -> None:
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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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:return: True if one or more trades has been created or closed, False otherwise
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"""
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# Check whether markets have to be reloaded
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self.exchange._reload_markets()
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# Query trades from persistence layer
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trades = Trade.get_open_trades()
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self.active_pair_whitelist = self._refresh_whitelist(trades)
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# Refreshing candles
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self.dataprovider.refresh(self._create_pair_whitelist(self.active_pair_whitelist),
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self.strategy.informative_pairs())
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# First process current opened trades
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self.process_maybe_execute_sells(trades)
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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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self.process_maybe_execute_buys()
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# Check and handle any timed out open orders
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self.check_handle_timedout()
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Trade.session.flush()
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if (self.heartbeat_interval
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and (arrow.utcnow().timestamp - self._heartbeat_msg > self.heartbeat_interval)):
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logger.info(f"Bot heartbeat. PID={getpid()}")
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self._heartbeat_msg = arrow.utcnow().timestamp
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def _refresh_whitelist(self, trades: List[Trade] = []) -> List[str]:
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"""
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Refresh whitelist from pairlist or edge and extend it with trades.
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"""
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# Refresh whitelist
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self.pairlists.refresh_pairlist()
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_whitelist = self.pairlists.whitelist
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# Calculating Edge positioning
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if self.edge:
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self.edge.calculate()
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_whitelist = self.edge.adjust(_whitelist)
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if trades:
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# Extend active-pair whitelist with pairs from open trades
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# It ensures that tickers are downloaded for open trades
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_whitelist.extend([trade.pair for trade in trades if trade.pair not in _whitelist])
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return _whitelist
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def _create_pair_whitelist(self, pairs: List[str]) -> List[Tuple[str, str]]:
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"""
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Create pair-whitelist tuple with (pair, ticker_interval)
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"""
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return [(pair, self.config['ticker_interval']) for pair in pairs]
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def get_target_bid(self, pair: str, tick: Dict = None) -> float:
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"""
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Calculates bid target between current ask price and last price
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:return: float: Price
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"""
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config_bid_strategy = self.config.get('bid_strategy', {})
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if 'use_order_book' in config_bid_strategy and\
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config_bid_strategy.get('use_order_book', False):
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logger.info('Getting price from order book')
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order_book_top = config_bid_strategy.get('order_book_top', 1)
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order_book = self.exchange.get_order_book(pair, order_book_top)
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logger.debug('order_book %s', order_book)
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# top 1 = index 0
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order_book_rate = order_book['bids'][order_book_top - 1][0]
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logger.info('...top %s order book buy rate %0.8f', order_book_top, order_book_rate)
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used_rate = order_book_rate
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else:
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if not tick:
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logger.info('Using Last Ask / Last Price')
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ticker = self.exchange.get_ticker(pair)
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else:
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ticker = tick
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if ticker['ask'] < ticker['last']:
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ticker_rate = ticker['ask']
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else:
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balance = self.config['bid_strategy']['ask_last_balance']
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ticker_rate = ticker['ask'] + balance * (ticker['last'] - ticker['ask'])
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used_rate = ticker_rate
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return used_rate
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def _get_trade_stake_amount(self, pair) -> Optional[float]:
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"""
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Check if stake amount can be fulfilled with the available balance
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for the stake currency
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:return: float: Stake Amount
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"""
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if self.edge:
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return self.edge.stake_amount(
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pair,
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self.wallets.get_free(self.config['stake_currency']),
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self.wallets.get_total(self.config['stake_currency']),
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Trade.total_open_trades_stakes()
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)
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else:
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stake_amount = self.config['stake_amount']
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available_amount = self.wallets.get_free(self.config['stake_currency'])
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if stake_amount == constants.UNLIMITED_STAKE_AMOUNT:
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open_trades = len(Trade.get_open_trades())
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if open_trades >= self.config['max_open_trades']:
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logger.warning("Can't open a new trade: max number of trades is reached")
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return None
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return available_amount / (self.config['max_open_trades'] - open_trades)
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# Check if stake_amount is fulfilled
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if available_amount < stake_amount:
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raise DependencyException(
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f"Available balance({available_amount} {self.config['stake_currency']}) is "
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f"lower than stake amount({stake_amount} {self.config['stake_currency']})"
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)
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return stake_amount
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def _get_min_pair_stake_amount(self, pair: str, price: float) -> Optional[float]:
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try:
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market = self.exchange.markets[pair]
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except KeyError:
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raise ValueError(f"Can't get market information for symbol {pair}")
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if 'limits' not in market:
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return None
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min_stake_amounts = []
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limits = market['limits']
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if ('cost' in limits and 'min' in limits['cost']
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and limits['cost']['min'] is not None):
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min_stake_amounts.append(limits['cost']['min'])
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if ('amount' in limits and 'min' in limits['amount']
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and limits['amount']['min'] is not None):
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min_stake_amounts.append(limits['amount']['min'] * price)
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if not min_stake_amounts:
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return None
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# reserve some percent defined in config (5% default) + stoploss
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amount_reserve_percent = 1.0 - self.config.get('amount_reserve_percent',
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constants.DEFAULT_AMOUNT_RESERVE_PERCENT)
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if self.strategy.stoploss is not None:
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amount_reserve_percent += self.strategy.stoploss
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# it should not be more than 50%
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amount_reserve_percent = max(amount_reserve_percent, 0.5)
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return min(min_stake_amounts) / amount_reserve_percent
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def create_trades(self) -> bool:
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"""
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Checks the implemented trading strategy for buy-signals, using the active pair whitelist.
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If a pair triggers the buy_signal a new trade record gets created.
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Checks pairs as long as the open trade count is below `max_open_trades`.
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:return: True if at least one trade has been created.
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"""
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whitelist = copy.deepcopy(self.active_pair_whitelist)
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if not whitelist:
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logger.info("Active pair whitelist is empty.")
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return False
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# Remove currently opened and latest pairs from whitelist
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for trade in Trade.get_open_trades():
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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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logger.info("No currency pair in active pair whitelist, "
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"but checking to sell open trades.")
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return False
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buycount = 0
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# running get_signal on historical data fetched
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for _pair in whitelist:
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if self.strategy.is_pair_locked(_pair):
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logger.info(f"Pair {_pair} is currently locked.")
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continue
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(buy, sell) = self.strategy.get_signal(
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_pair, self.strategy.ticker_interval,
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self.dataprovider.ohlcv(_pair, self.strategy.ticker_interval))
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if buy and not sell and len(Trade.get_open_trades()) < self.config['max_open_trades']:
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stake_amount = self._get_trade_stake_amount(_pair)
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if not stake_amount:
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continue
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logger.info(f"Buy signal found: about create a new trade with stake_amount: "
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f"{stake_amount} ...")
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bidstrat_check_depth_of_market = self.config.get('bid_strategy', {}).\
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get('check_depth_of_market', {})
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if (bidstrat_check_depth_of_market.get('enabled', False)) and\
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(bidstrat_check_depth_of_market.get('bids_to_ask_delta', 0) > 0):
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if self._check_depth_of_market_buy(_pair, bidstrat_check_depth_of_market):
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buycount += self.execute_buy(_pair, stake_amount)
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continue
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buycount += self.execute_buy(_pair, stake_amount)
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return buycount > 0
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def _check_depth_of_market_buy(self, pair: str, conf: Dict) -> bool:
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"""
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Checks depth of market before executing a buy
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"""
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conf_bids_to_ask_delta = conf.get('bids_to_ask_delta', 0)
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logger.info('checking depth of market for %s', pair)
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order_book = self.exchange.get_order_book(pair, 1000)
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order_book_data_frame = order_book_to_dataframe(order_book['bids'], order_book['asks'])
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order_book_bids = order_book_data_frame['b_size'].sum()
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order_book_asks = order_book_data_frame['a_size'].sum()
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bids_ask_delta = order_book_bids / order_book_asks
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logger.info('bids: %s, asks: %s, delta: %s', order_book_bids,
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order_book_asks, bids_ask_delta)
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if bids_ask_delta >= conf_bids_to_ask_delta:
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return True
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return False
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def execute_buy(self, pair: str, stake_amount: float, price: Optional[float] = None) -> bool:
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"""
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Executes a limit buy for the given pair
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:param pair: pair for which we want to create a LIMIT_BUY
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:return: None
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"""
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pair_s = pair.replace('_', '/')
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stake_currency = self.config['stake_currency']
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fiat_currency = self.config.get('fiat_display_currency', None)
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time_in_force = self.strategy.order_time_in_force['buy']
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if price:
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buy_limit_requested = price
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else:
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# Calculate amount
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buy_limit_requested = self.get_target_bid(pair)
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min_stake_amount = self._get_min_pair_stake_amount(pair_s, buy_limit_requested)
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if min_stake_amount is not None and min_stake_amount > stake_amount:
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logger.warning(
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f"Can't open a new trade for {pair_s}: stake amount "
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f"is too small ({stake_amount} < {min_stake_amount})"
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)
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return False
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amount = stake_amount / buy_limit_requested
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order_type = self.strategy.order_types['buy']
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order = self.exchange.buy(pair=pair, ordertype=order_type,
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amount=amount, rate=buy_limit_requested,
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time_in_force=time_in_force)
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order_id = order['id']
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order_status = order.get('status', None)
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# we assume the order is executed at the price requested
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buy_limit_filled_price = buy_limit_requested
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if order_status == 'expired' or order_status == 'rejected':
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order_tif = self.strategy.order_time_in_force['buy']
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# return false if the order is not filled
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if float(order['filled']) == 0:
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logger.warning('Buy %s order with time in force %s for %s is %s by %s.'
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' zero amount is fulfilled.',
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order_tif, order_type, pair_s, order_status, self.exchange.name)
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return False
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else:
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# the order is partially fulfilled
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# in case of IOC orders we can check immediately
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# if the order is fulfilled fully or partially
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logger.warning('Buy %s order with time in force %s for %s is %s by %s.'
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' %s amount fulfilled out of %s (%s remaining which is canceled).',
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order_tif, order_type, pair_s, order_status, self.exchange.name,
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order['filled'], order['amount'], order['remaining']
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)
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stake_amount = order['cost']
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amount = order['amount']
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buy_limit_filled_price = order['price']
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order_id = None
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# in case of FOK the order may be filled immediately and fully
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elif order_status == 'closed':
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stake_amount = order['cost']
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amount = order['amount']
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buy_limit_filled_price = order['price']
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self.rpc.send_msg({
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'type': RPCMessageType.BUY_NOTIFICATION,
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'exchange': self.exchange.name.capitalize(),
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'pair': pair_s,
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'limit': buy_limit_filled_price,
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'order_type': order_type,
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'stake_amount': stake_amount,
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'stake_currency': stake_currency,
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'fiat_currency': fiat_currency
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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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fee = self.exchange.get_fee(symbol=pair, taker_or_maker='maker')
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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_open=fee,
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fee_close=fee,
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open_rate=buy_limit_filled_price,
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open_rate_requested=buy_limit_requested,
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open_date=datetime.utcnow(),
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exchange=self.exchange.id,
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open_order_id=order_id,
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strategy=self.strategy.get_strategy_name(),
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ticker_interval=timeframe_to_minutes(self.config['ticker_interval'])
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)
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# Update fees if order is closed
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if order_status == 'closed':
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self.update_trade_state(trade, order)
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Trade.session.add(trade)
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Trade.session.flush()
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# Updating wallets
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self.wallets.update()
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return True
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def process_maybe_execute_buys(self) -> None:
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"""
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Tries to execute buy orders for trades in a safe way
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"""
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try:
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# Create entity and execute trade
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if not self.create_trades():
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logger.debug('Found no buy signals for whitelisted currencies. Trying again...')
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except DependencyException as exception:
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logger.warning('Unable to create trade: %s', exception)
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def process_maybe_execute_sells(self, trades: List[Any]) -> None:
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"""
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Tries to execute sell orders for trades in a safe way
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"""
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result = False
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for trade in trades:
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try:
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self.update_trade_state(trade)
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if (self.strategy.order_types.get('stoploss_on_exchange') and
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self.handle_stoploss_on_exchange(trade)):
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result = True
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continue
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# Check if we can sell our current pair
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if trade.open_order_id is None and self.handle_trade(trade):
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result = True
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except DependencyException as exception:
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logger.warning('Unable to sell trade: %s', exception)
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# Updating wallets if any trade occured
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if result:
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self.wallets.update()
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def get_real_amount(self, trade: Trade, order: Dict, order_amount: float = None) -> float:
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|
"""
|
|
Get real amount for the trade
|
|
Necessary for exchanges which charge fees in base currency (e.g. binance)
|
|
"""
|
|
if order_amount is None:
|
|
order_amount = order['amount']
|
|
# Only run for closed orders
|
|
if trade.fee_open == 0 or order['status'] == 'open':
|
|
return order_amount
|
|
|
|
# use fee from order-dict if possible
|
|
if ('fee' in order and order['fee'] is not None and
|
|
(order['fee'].keys() >= {'currency', 'cost'})):
|
|
if (order['fee']['currency'] is not None and
|
|
order['fee']['cost'] is not None and
|
|
trade.pair.startswith(order['fee']['currency'])):
|
|
new_amount = order_amount - order['fee']['cost']
|
|
logger.info("Applying fee on amount for %s (from %s to %s) from Order",
|
|
trade, order['amount'], new_amount)
|
|
return new_amount
|
|
|
|
# Fallback to Trades
|
|
trades = self.exchange.get_trades_for_order(trade.open_order_id, trade.pair,
|
|
trade.open_date)
|
|
|
|
if len(trades) == 0:
|
|
logger.info("Applying fee on amount for %s failed: myTrade-Dict empty found", trade)
|
|
return order_amount
|
|
amount = 0
|
|
fee_abs = 0
|
|
for exectrade in trades:
|
|
amount += exectrade['amount']
|
|
if ("fee" in exectrade and exectrade['fee'] is not None and
|
|
(exectrade['fee'].keys() >= {'currency', 'cost'})):
|
|
# only applies if fee is in quote currency!
|
|
if (exectrade['fee']['currency'] is not None and
|
|
exectrade['fee']['cost'] is not None and
|
|
trade.pair.startswith(exectrade['fee']['currency'])):
|
|
fee_abs += exectrade['fee']['cost']
|
|
|
|
if not isclose(amount, order_amount, abs_tol=constants.MATH_CLOSE_PREC):
|
|
logger.warning(f"Amount {amount} does not match amount {trade.amount}")
|
|
raise DependencyException("Half bought? Amounts don't match")
|
|
real_amount = amount - fee_abs
|
|
if fee_abs != 0:
|
|
logger.info(f"Applying fee on amount for {trade} "
|
|
f"(from {order_amount} to {real_amount}) from Trades")
|
|
return real_amount
|
|
|
|
def update_trade_state(self, trade, action_order: dict = None):
|
|
"""
|
|
Checks trades with open orders and updates the amount if necessary
|
|
"""
|
|
# 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)
|
|
try:
|
|
order = action_order or self.exchange.get_order(trade.open_order_id, trade.pair)
|
|
except InvalidOrderException as exception:
|
|
logger.warning('Unable to fetch order %s: %s', trade.open_order_id, exception)
|
|
return
|
|
# Try update amount (binance-fix)
|
|
try:
|
|
new_amount = self.get_real_amount(trade, order)
|
|
if not isclose(order['amount'], new_amount, abs_tol=constants.MATH_CLOSE_PREC):
|
|
order['amount'] = new_amount
|
|
# Fee was applied, so set to 0
|
|
trade.fee_open = 0
|
|
|
|
except DependencyException as exception:
|
|
logger.warning("Could not update trade amount: %s", exception)
|
|
|
|
trade.update(order)
|
|
|
|
# Updating wallets when order is closed
|
|
if not trade.is_open:
|
|
self.wallets.update()
|
|
|
|
def get_sell_rate(self, pair: str, refresh: bool) -> float:
|
|
"""
|
|
Get sell rate - either using get-ticker bid or first bid based on orderbook
|
|
The orderbook portion is only used for rpc messaging, which would otherwise fail
|
|
for BitMex (has no bid/ask in get_ticker)
|
|
or remain static in any other case since it's not updating.
|
|
:return: Bid rate
|
|
"""
|
|
config_ask_strategy = self.config.get('ask_strategy', {})
|
|
if config_ask_strategy.get('use_order_book', False):
|
|
logger.debug('Using order book to get sell rate')
|
|
|
|
order_book = self.exchange.get_order_book(pair, 1)
|
|
rate = order_book['bids'][0][0]
|
|
|
|
else:
|
|
rate = self.exchange.get_ticker(pair, refresh)['bid']
|
|
return rate
|
|
|
|
def handle_trade(self, trade: Trade) -> 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 DependencyException(f'Attempt to handle closed trade: {trade}')
|
|
|
|
logger.debug('Handling %s ...', trade)
|
|
|
|
(buy, sell) = (False, False)
|
|
|
|
config_ask_strategy = self.config.get('ask_strategy', {})
|
|
|
|
if (config_ask_strategy.get('use_sell_signal', True) or
|
|
config_ask_strategy.get('ignore_roi_if_buy_signal')):
|
|
(buy, sell) = self.strategy.get_signal(
|
|
trade.pair, self.strategy.ticker_interval,
|
|
self.dataprovider.ohlcv(trade.pair, self.strategy.ticker_interval))
|
|
|
|
if config_ask_strategy.get('use_order_book', False):
|
|
logger.info('Using order book for selling...')
|
|
# logger.debug('Order book %s',orderBook)
|
|
order_book_min = config_ask_strategy.get('order_book_min', 1)
|
|
order_book_max = config_ask_strategy.get('order_book_max', 1)
|
|
|
|
order_book = self.exchange.get_order_book(trade.pair, order_book_max)
|
|
|
|
for i in range(order_book_min, order_book_max + 1):
|
|
order_book_rate = order_book['asks'][i - 1][0]
|
|
logger.info(' order book asks top %s: %0.8f', i, order_book_rate)
|
|
sell_rate = order_book_rate
|
|
|
|
if self._check_and_execute_sell(trade, sell_rate, buy, sell):
|
|
return True
|
|
|
|
else:
|
|
logger.debug('checking sell')
|
|
sell_rate = self.get_sell_rate(trade.pair, True)
|
|
if self._check_and_execute_sell(trade, sell_rate, buy, sell):
|
|
return True
|
|
|
|
logger.debug('Found no sell signal for %s.', trade)
|
|
return False
|
|
|
|
def create_stoploss_order(self, trade: Trade, stop_price: float, rate: float) -> bool:
|
|
"""
|
|
Abstracts creating stoploss orders from the logic.
|
|
Handles errors and updates the trade database object.
|
|
Force-sells the pair (using EmergencySell reason) in case of Problems creating the order.
|
|
:return: True if the order succeeded, and False in case of problems.
|
|
"""
|
|
# Limit price threshold: As limit price should always be below stop-price
|
|
LIMIT_PRICE_PCT = self.strategy.order_types.get('stoploss_on_exchange_limit_ratio', 0.99)
|
|
|
|
try:
|
|
stoploss_order = self.exchange.stoploss_limit(pair=trade.pair, amount=trade.amount,
|
|
stop_price=stop_price,
|
|
rate=rate * LIMIT_PRICE_PCT)
|
|
trade.stoploss_order_id = str(stoploss_order['id'])
|
|
return True
|
|
except InvalidOrderException as e:
|
|
trade.stoploss_order_id = None
|
|
logger.error(f'Unable to place a stoploss order on exchange. {e}')
|
|
logger.warning('Selling the trade forcefully')
|
|
self.execute_sell(trade, trade.stop_loss, sell_reason=SellType.EMERGENCY_SELL)
|
|
|
|
except DependencyException:
|
|
trade.stoploss_order_id = None
|
|
logger.exception('Unable to place a stoploss order on exchange.')
|
|
return False
|
|
|
|
def handle_stoploss_on_exchange(self, trade: Trade) -> bool:
|
|
"""
|
|
Check if trade is fulfilled in which case the stoploss
|
|
on exchange should be added immediately if stoploss on exchange
|
|
is enabled.
|
|
"""
|
|
|
|
logger.debug('Handling stoploss on exchange %s ...', trade)
|
|
|
|
stoploss_order = None
|
|
|
|
try:
|
|
# First we check if there is already a stoploss on exchange
|
|
stoploss_order = self.exchange.get_order(trade.stoploss_order_id, trade.pair) \
|
|
if trade.stoploss_order_id else None
|
|
except InvalidOrderException as exception:
|
|
logger.warning('Unable to fetch stoploss order: %s', exception)
|
|
|
|
# If buy order is fulfilled but there is no stoploss, we add a stoploss on exchange
|
|
if (not trade.open_order_id and not stoploss_order):
|
|
|
|
stoploss = self.edge.stoploss(pair=trade.pair) if self.edge else self.strategy.stoploss
|
|
|
|
stop_price = trade.open_rate * (1 + stoploss)
|
|
|
|
if self.create_stoploss_order(trade=trade, stop_price=stop_price, rate=stop_price):
|
|
trade.stoploss_last_update = datetime.now()
|
|
return False
|
|
|
|
# If stoploss order is canceled for some reason we add it
|
|
if stoploss_order and stoploss_order['status'] == 'canceled':
|
|
if self.create_stoploss_order(trade=trade, stop_price=trade.stop_loss,
|
|
rate=trade.stop_loss):
|
|
return False
|
|
else:
|
|
trade.stoploss_order_id = None
|
|
logger.warning('Stoploss order was cancelled, but unable to recreate one.')
|
|
|
|
# We check if stoploss order is fulfilled
|
|
if stoploss_order and stoploss_order['status'] == 'closed':
|
|
trade.sell_reason = SellType.STOPLOSS_ON_EXCHANGE.value
|
|
trade.update(stoploss_order)
|
|
# Lock pair for one candle to prevent immediate rebuys
|
|
self.strategy.lock_pair(trade.pair,
|
|
timeframe_to_next_date(self.config['ticker_interval']))
|
|
self._notify_sell(trade, "stoploss")
|
|
return True
|
|
|
|
# Finally we check if stoploss on exchange should be moved up because of trailing.
|
|
if stoploss_order and self.config.get('trailing_stop', False):
|
|
# if trailing stoploss is enabled we check if stoploss value has changed
|
|
# in which case we cancel stoploss order and put another one with new
|
|
# value immediately
|
|
self.handle_trailing_stoploss_on_exchange(trade, stoploss_order)
|
|
|
|
return False
|
|
|
|
def handle_trailing_stoploss_on_exchange(self, trade: Trade, order):
|
|
"""
|
|
Check to see if stoploss on exchange should be updated
|
|
in case of trailing stoploss on exchange
|
|
:param Trade: Corresponding Trade
|
|
:param order: Current on exchange stoploss order
|
|
:return: None
|
|
"""
|
|
|
|
if trade.stop_loss > float(order['info']['stopPrice']):
|
|
# we check if the update is neccesary
|
|
update_beat = self.strategy.order_types.get('stoploss_on_exchange_interval', 60)
|
|
if (datetime.utcnow() - trade.stoploss_last_update).total_seconds() >= update_beat:
|
|
# cancelling the current stoploss on exchange first
|
|
logger.info('Trailing stoploss: cancelling current stoploss on exchange (id:{%s})'
|
|
'in order to add another one ...', order['id'])
|
|
try:
|
|
self.exchange.cancel_order(order['id'], trade.pair)
|
|
except InvalidOrderException:
|
|
logger.exception(f"Could not cancel stoploss order {order['id']} "
|
|
f"for pair {trade.pair}")
|
|
|
|
# Create new stoploss order
|
|
if self.create_stoploss_order(trade=trade, stop_price=trade.stop_loss,
|
|
rate=trade.stop_loss):
|
|
return False
|
|
else:
|
|
logger.warning(f"Could not create trailing stoploss order "
|
|
f"for pair {trade.pair}.")
|
|
|
|
def _check_and_execute_sell(self, trade: Trade, sell_rate: float,
|
|
buy: bool, sell: bool) -> bool:
|
|
"""
|
|
Check and execute sell
|
|
"""
|
|
should_sell = self.strategy.should_sell(
|
|
trade, sell_rate, datetime.utcnow(), buy, sell,
|
|
force_stoploss=self.edge.stoploss(trade.pair) if self.edge else 0
|
|
)
|
|
|
|
if should_sell.sell_flag:
|
|
self.execute_sell(trade, sell_rate, should_sell.sell_type)
|
|
logger.info('executed sell, reason: %s', should_sell.sell_type)
|
|
return True
|
|
return False
|
|
|
|
def _check_timed_out(self, side: str, order: dict) -> bool:
|
|
"""
|
|
Check if timeout is active, and if the order is still open and timed out
|
|
"""
|
|
timeout = self.config.get('unfilledtimeout', {}).get(side)
|
|
ordertime = arrow.get(order['datetime']).datetime
|
|
if timeout is not None:
|
|
timeout_threshold = arrow.utcnow().shift(minutes=-timeout).datetime
|
|
|
|
return (order['status'] == 'open' and order['side'] == side
|
|
and ordertime < timeout_threshold)
|
|
return False
|
|
|
|
def check_handle_timedout(self) -> 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
|
|
"""
|
|
|
|
for trade in Trade.get_open_order_trades():
|
|
try:
|
|
if not trade.open_order_id:
|
|
continue
|
|
order = self.exchange.get_order(trade.open_order_id, trade.pair)
|
|
except (RequestException, DependencyException, InvalidOrderException):
|
|
logger.info(
|
|
'Cannot query order for %s due to %s',
|
|
trade,
|
|
traceback.format_exc())
|
|
continue
|
|
|
|
# Check if trade is still actually open
|
|
if float(order['remaining']) == 0.0:
|
|
self.wallets.update()
|
|
continue
|
|
|
|
if ((order['side'] == 'buy' and order['status'] == 'canceled')
|
|
or (self._check_timed_out('buy', order))):
|
|
|
|
self.handle_timedout_limit_buy(trade, order)
|
|
self.wallets.update()
|
|
|
|
elif ((order['side'] == 'sell' and order['status'] == 'canceled')
|
|
or (self._check_timed_out('sell', order))):
|
|
self.handle_timedout_limit_sell(trade, order)
|
|
self.wallets.update()
|
|
|
|
def handle_buy_order_full_cancel(self, trade: Trade, reason: str) -> None:
|
|
"""Close trade in database and send message"""
|
|
Trade.session.delete(trade)
|
|
Trade.session.flush()
|
|
logger.info('Buy order %s for %s.', reason, trade)
|
|
self.rpc.send_msg({
|
|
'type': RPCMessageType.STATUS_NOTIFICATION,
|
|
'status': f'Unfilled buy order for {trade.pair} {reason}'
|
|
})
|
|
|
|
def handle_timedout_limit_buy(self, trade: Trade, order: Dict) -> bool:
|
|
"""Buy timeout - cancel order
|
|
:return: True if order was fully cancelled
|
|
"""
|
|
reason = "cancelled due to timeout"
|
|
if order['status'] != 'canceled':
|
|
corder = self.exchange.cancel_order(trade.open_order_id, trade.pair)
|
|
else:
|
|
# Order was cancelled already, so we can reuse the existing dict
|
|
corder = order
|
|
reason = "canceled on Exchange"
|
|
|
|
if corder['remaining'] == corder['amount']:
|
|
# if trade is not partially completed, just delete the trade
|
|
self.handle_buy_order_full_cancel(trade, reason)
|
|
return True
|
|
|
|
# if trade is partially complete, edit the stake details for the trade
|
|
# and close the order
|
|
trade.amount = corder['amount'] - corder['remaining']
|
|
trade.stake_amount = trade.amount * trade.open_rate
|
|
# verify if fees were taken from amount to avoid problems during selling
|
|
try:
|
|
new_amount = self.get_real_amount(trade, corder, trade.amount)
|
|
if not isclose(order['amount'], new_amount, abs_tol=constants.MATH_CLOSE_PREC):
|
|
trade.amount = new_amount
|
|
# Fee was applied, so set to 0
|
|
trade.fee_open = 0
|
|
except DependencyException as e:
|
|
logger.warning("Could not update trade amount: %s", e)
|
|
|
|
trade.open_order_id = None
|
|
logger.info('Partial buy order timeout for %s.', trade)
|
|
self.rpc.send_msg({
|
|
'type': RPCMessageType.STATUS_NOTIFICATION,
|
|
'status': f'Remaining buy order for {trade.pair} cancelled due to timeout'
|
|
})
|
|
return False
|
|
|
|
def handle_timedout_limit_sell(self, 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
|
|
if order["status"] != "canceled":
|
|
reason = "due to timeout"
|
|
self.exchange.cancel_order(trade.open_order_id, trade.pair)
|
|
logger.info('Sell order timeout for %s.', trade)
|
|
else:
|
|
reason = "on exchange"
|
|
logger.info('Sell order canceled on exchange for %s.', trade)
|
|
trade.close_rate = None
|
|
trade.close_profit = None
|
|
trade.close_date = None
|
|
trade.is_open = True
|
|
trade.open_order_id = None
|
|
self.rpc.send_msg({
|
|
'type': RPCMessageType.STATUS_NOTIFICATION,
|
|
'status': f'Unfilled sell order for {trade.pair} cancelled {reason}'
|
|
})
|
|
|
|
return True
|
|
|
|
# TODO: figure out how to handle partially complete sell orders
|
|
return False
|
|
|
|
def execute_sell(self, trade: Trade, limit: float, sell_reason: SellType) -> None:
|
|
"""
|
|
Executes a limit sell for the given trade and limit
|
|
:param trade: Trade instance
|
|
:param limit: limit rate for the sell order
|
|
:param sellreason: Reason the sell was triggered
|
|
:return: None
|
|
"""
|
|
sell_type = 'sell'
|
|
if sell_reason in (SellType.STOP_LOSS, SellType.TRAILING_STOP_LOSS):
|
|
sell_type = 'stoploss'
|
|
|
|
# if stoploss is on exchange and we are on dry_run mode,
|
|
# we consider the sell price stop price
|
|
if self.config.get('dry_run', False) and sell_type == 'stoploss' \
|
|
and self.strategy.order_types['stoploss_on_exchange']:
|
|
limit = trade.stop_loss
|
|
|
|
# First cancelling stoploss on exchange ...
|
|
if self.strategy.order_types.get('stoploss_on_exchange') and trade.stoploss_order_id:
|
|
try:
|
|
self.exchange.cancel_order(trade.stoploss_order_id, trade.pair)
|
|
except InvalidOrderException:
|
|
logger.exception(f"Could not cancel stoploss order {trade.stoploss_order_id}")
|
|
|
|
ordertype = self.strategy.order_types[sell_type]
|
|
if sell_reason == SellType.EMERGENCY_SELL:
|
|
# Emergencysells (default to market!)
|
|
ordertype = self.strategy.order_types.get("emergencysell", "market")
|
|
|
|
# Execute sell and update trade record
|
|
order = self.exchange.sell(pair=str(trade.pair),
|
|
ordertype=ordertype,
|
|
amount=trade.amount, rate=limit,
|
|
time_in_force=self.strategy.order_time_in_force['sell']
|
|
)
|
|
|
|
trade.open_order_id = order['id']
|
|
trade.close_rate_requested = limit
|
|
trade.sell_reason = sell_reason.value
|
|
# In case of market sell orders the order can be closed immediately
|
|
if order.get('status', 'unknown') == 'closed':
|
|
trade.update(order)
|
|
Trade.session.flush()
|
|
|
|
# Lock pair for one candle to prevent immediate rebuys
|
|
self.strategy.lock_pair(trade.pair, timeframe_to_next_date(self.config['ticker_interval']))
|
|
|
|
self._notify_sell(trade, ordertype)
|
|
|
|
def _notify_sell(self, trade: Trade, order_type: str):
|
|
"""
|
|
Sends rpc notification when a sell occured.
|
|
"""
|
|
profit_rate = trade.close_rate if trade.close_rate else trade.close_rate_requested
|
|
profit_trade = trade.calc_profit(rate=profit_rate)
|
|
# Use cached ticker here - it was updated seconds ago.
|
|
current_rate = self.get_sell_rate(trade.pair, False)
|
|
profit_percent = trade.calc_profit_percent(profit_rate)
|
|
gain = "profit" if profit_percent > 0 else "loss"
|
|
|
|
msg = {
|
|
'type': RPCMessageType.SELL_NOTIFICATION,
|
|
'exchange': trade.exchange.capitalize(),
|
|
'pair': trade.pair,
|
|
'gain': gain,
|
|
'limit': trade.close_rate_requested,
|
|
'order_type': order_type,
|
|
'amount': trade.amount,
|
|
'open_rate': trade.open_rate,
|
|
'current_rate': current_rate,
|
|
'profit_amount': profit_trade,
|
|
'profit_percent': profit_percent,
|
|
'sell_reason': trade.sell_reason
|
|
}
|
|
|
|
# For regular case, when the configuration exists
|
|
if 'stake_currency' in self.config and 'fiat_display_currency' in self.config:
|
|
stake_currency = self.config['stake_currency']
|
|
fiat_currency = self.config['fiat_display_currency']
|
|
msg.update({
|
|
'stake_currency': stake_currency,
|
|
'fiat_currency': fiat_currency,
|
|
})
|
|
|
|
# Send the message
|
|
self.rpc.send_msg(msg)
|