585 lines
23 KiB
Python
585 lines
23 KiB
Python
"""
|
|
Freqtrade is the main module of this bot. It contains the class Freqtrade()
|
|
"""
|
|
|
|
import copy
|
|
import logging
|
|
import time
|
|
import traceback
|
|
from datetime import datetime
|
|
from typing import Dict, List, Optional, Any, Callable
|
|
|
|
import arrow
|
|
import requests
|
|
from cachetools import TTLCache, cached
|
|
|
|
from freqtrade import (
|
|
DependencyException, OperationalException, TemporaryError,
|
|
exchange, persistence, __version__,
|
|
)
|
|
from freqtrade import constants
|
|
from freqtrade.analyze import Analyze
|
|
from freqtrade.fiat_convert import CryptoToFiatConverter
|
|
from freqtrade.persistence import Trade
|
|
from freqtrade.rpc.rpc_manager import RPCManager
|
|
from freqtrade.state import State
|
|
|
|
logger = logging.getLogger(__name__)
|
|
|
|
|
|
class FreqtradeBot(object):
|
|
"""
|
|
Freqtrade is the main class of the bot.
|
|
This is from here the bot start its logic.
|
|
"""
|
|
|
|
def __init__(self, config: Dict[str, Any])-> None:
|
|
"""
|
|
Init all variables and object the bot need to work
|
|
:param config: configuration dict, you can use the Configuration.get_config()
|
|
method to get the config dict.
|
|
"""
|
|
|
|
logger.info(
|
|
'Starting freqtrade %s',
|
|
__version__,
|
|
)
|
|
|
|
# Init bot states
|
|
self.state = State.STOPPED
|
|
|
|
# Init objects
|
|
self.config = config
|
|
self.analyze = Analyze(self.config)
|
|
self.fiat_converter = CryptoToFiatConverter()
|
|
self.rpc: RPCManager = RPCManager(self)
|
|
self.persistence = None
|
|
self.exchange = None
|
|
|
|
self._init_modules()
|
|
|
|
def _init_modules(self) -> None:
|
|
"""
|
|
Initializes all modules and updates the config
|
|
:return: None
|
|
"""
|
|
# Initialize all modules
|
|
|
|
persistence.init(self.config)
|
|
exchange.init(self.config)
|
|
|
|
# Set initial application state
|
|
initial_state = self.config.get('initial_state')
|
|
|
|
if initial_state:
|
|
self.state = State[initial_state.upper()]
|
|
else:
|
|
self.state = State.STOPPED
|
|
|
|
def clean(self) -> bool:
|
|
"""
|
|
Cleanup the application state und finish all pending tasks
|
|
:return: None
|
|
"""
|
|
self.rpc.send_msg('*Status:* `Stopping trader...`')
|
|
logger.info('Stopping trader and cleaning up modules...')
|
|
self.state = State.STOPPED
|
|
self.rpc.cleanup()
|
|
persistence.cleanup()
|
|
return True
|
|
|
|
def worker(self, old_state: State = None) -> State:
|
|
"""
|
|
Trading routine that must be run at each loop
|
|
:param old_state: the previous service state from the previous call
|
|
:return: current service state
|
|
"""
|
|
# Log state transition
|
|
state = self.state
|
|
if state != old_state:
|
|
self.rpc.send_msg(f'*Status:* `{state.name.lower()}`')
|
|
logger.info('Changing state to: %s', state.name)
|
|
|
|
if state == State.STOPPED:
|
|
time.sleep(1)
|
|
elif state == State.RUNNING:
|
|
min_secs = self.config.get('internals', {}).get(
|
|
'process_throttle_secs',
|
|
constants.PROCESS_THROTTLE_SECS
|
|
)
|
|
|
|
nb_assets = self.config.get('dynamic_whitelist', None)
|
|
|
|
self._throttle(func=self._process,
|
|
min_secs=min_secs,
|
|
nb_assets=nb_assets)
|
|
return state
|
|
|
|
def _throttle(self, func: Callable[..., Any], min_secs: float, *args, **kwargs) -> Any:
|
|
"""
|
|
Throttles the given callable that it
|
|
takes at least `min_secs` to finish execution.
|
|
:param func: Any callable
|
|
:param min_secs: minimum execution time in seconds
|
|
:return: Any
|
|
"""
|
|
start = time.time()
|
|
result = func(*args, **kwargs)
|
|
end = time.time()
|
|
duration = max(min_secs - (end - start), 0.0)
|
|
logger.debug('Throttling %s for %.2f seconds', func.__name__, duration)
|
|
time.sleep(duration)
|
|
return result
|
|
|
|
def _process(self, 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 = self._refresh_whitelist(
|
|
self._gen_pair_whitelist(
|
|
self.config['stake_currency']
|
|
) if nb_assets else self.config['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
|
|
self.config['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 |= self.process_maybe_execute_sell(trade)
|
|
|
|
# Then looking for buy opportunities
|
|
if len(trades) < self.config['max_open_trades']:
|
|
state_changed = self.process_maybe_execute_buy()
|
|
|
|
if 'unfilledtimeout' in self.config:
|
|
# Check and handle any timed out open orders
|
|
self.check_handle_timedout(self.config['unfilledtimeout'])
|
|
Trade.session.flush()
|
|
|
|
except TemporaryError as error:
|
|
logger.warning('%s, retrying in 30 seconds...', error)
|
|
time.sleep(constants.RETRY_TIMEOUT)
|
|
except OperationalException:
|
|
tb = traceback.format_exc()
|
|
hint = 'Issue `/start` if you think it is safe to restart.'
|
|
self.rpc.send_msg(
|
|
f'*Status:* OperationalException:\n```\n{tb}```{hint}'
|
|
)
|
|
logger.exception('OperationalException. Stopping trader ...')
|
|
self.state = State.STOPPED
|
|
return state_changed
|
|
|
|
@cached(TTLCache(maxsize=1, ttl=1800))
|
|
def _gen_pair_whitelist(self, base_currency: str, key: str = 'quoteVolume') -> List[str]:
|
|
"""
|
|
Updates the whitelist with with a dynamically generated list
|
|
:param base_currency: base currency as str
|
|
:param key: sort key (defaults to 'quoteVolume')
|
|
:return: List of pairs
|
|
"""
|
|
|
|
if not exchange.exchange_has('fetchTickers'):
|
|
raise OperationalException(
|
|
'Exchange does not support dynamic whitelist.'
|
|
'Please edit your config and restart the bot'
|
|
)
|
|
|
|
tickers = exchange.get_tickers()
|
|
# check length so that we make sure that '/' is actually in the string
|
|
tickers = [v for k, v in tickers.items()
|
|
if len(k.split('/')) == 2 and k.split('/')[1] == base_currency]
|
|
|
|
sorted_tickers = sorted(tickers, reverse=True, key=lambda t: t[key])
|
|
pairs = [s['symbol'] for s in sorted_tickers]
|
|
return pairs
|
|
|
|
def _refresh_whitelist(self, whitelist: List[str]) -> List[str]:
|
|
"""
|
|
Check available markets 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
|
|
markets = exchange.get_markets()
|
|
|
|
markets = [m for m in markets if m['quote'] == self.config['stake_currency']]
|
|
known_pairs = set()
|
|
for market in markets:
|
|
pair = market['symbol']
|
|
# pair is not int the generated dynamic market, or in the blacklist ... ignore it
|
|
if pair not in whitelist or pair in self.config['exchange'].get('pair_blacklist', []):
|
|
continue
|
|
# else the pair is valid
|
|
known_pairs.add(pair)
|
|
# Market is not active
|
|
if not market['active']:
|
|
sanitized_whitelist.remove(pair)
|
|
logger.info(
|
|
'Ignoring %s from whitelist. Market is not active.',
|
|
pair
|
|
)
|
|
|
|
# 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 get_target_bid(self, pair: str) -> float:
|
|
"""
|
|
Calculates bid target between current ask price and last price
|
|
:param ticker: Ticker to use for getting Ask and Last Price
|
|
:return: float: Price
|
|
"""
|
|
|
|
if self.config['bid_strategy']['use_book_order']:
|
|
logger.info('Using order book ')
|
|
orderBook = exchange.get_order_book(pair)
|
|
return orderBook['bids'][self.config['bid_strategy']['use_book_order']][0]
|
|
else:
|
|
logger.info('Using Ask / Last Price')
|
|
ticker = exchange.get_ticker(pair);
|
|
if ticker['ask'] < ticker['last']:
|
|
return ticker['ask']
|
|
balance = self.config['bid_strategy']['ask_last_balance']
|
|
return ticker['ask'] + balance * (ticker['last'] - ticker['ask'])
|
|
|
|
|
|
def create_trade(self) -> 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
|
|
:return: True if a trade object has been created and persisted, False otherwise
|
|
"""
|
|
stake_amount = self.config['stake_amount']
|
|
interval = self.analyze.get_ticker_interval()
|
|
stake_currency = self.config['stake_currency']
|
|
fiat_currency = self.config['fiat_display_currency']
|
|
exc_name = exchange.get_name()
|
|
|
|
logger.info(
|
|
'Checking buy signals to create a new trade with stake_amount: %f ...',
|
|
stake_amount
|
|
)
|
|
whitelist = copy.deepcopy(self.config['exchange']['pair_whitelist'])
|
|
# Check if stake_amount is fulfilled
|
|
if exchange.get_balance(stake_currency) < stake_amount:
|
|
raise DependencyException(
|
|
f'stake amount is not fulfilled (currency={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 currency pairs in whitelist')
|
|
|
|
# Pick pair based on buy signals
|
|
for _pair in whitelist:
|
|
(buy, sell) = self.analyze.get_signal(_pair, interval)
|
|
if buy and not sell:
|
|
pair = _pair
|
|
break
|
|
else:
|
|
return False
|
|
pair_s = pair.replace('_', '/')
|
|
pair_url = exchange.get_pair_detail_url(pair)
|
|
# Calculate amount
|
|
buy_limit = self.get_target_bid(pair)
|
|
amount = stake_amount / buy_limit
|
|
|
|
order_id = exchange.buy(pair, buy_limit, amount)['id']
|
|
|
|
stake_amount_fiat = self.fiat_converter.convert_amount(
|
|
stake_amount,
|
|
stake_currency,
|
|
fiat_currency
|
|
)
|
|
|
|
# Create trade entity and return
|
|
self.rpc.send_msg(
|
|
f"""*{exc_name}:* Buying [{pair_s}]({pair_url}) \
|
|
with limit `{buy_limit:.8f} ({stake_amount:.6f} \
|
|
{stake_currency}, {stake_amount_fiat:.3f} {fiat_currency})`"""
|
|
)
|
|
# Fee is applied twice because we make a LIMIT_BUY and LIMIT_SELL
|
|
fee = exchange.get_fee(symbol=pair, taker_or_maker='maker')
|
|
trade = Trade(
|
|
pair=pair,
|
|
stake_amount=stake_amount,
|
|
amount=amount,
|
|
fee_open=fee,
|
|
fee_close=fee,
|
|
open_rate=buy_limit,
|
|
open_rate_requested=buy_limit,
|
|
open_date=datetime.utcnow(),
|
|
exchange=exchange.get_id(),
|
|
open_order_id=order_id
|
|
)
|
|
Trade.session.add(trade)
|
|
Trade.session.flush()
|
|
return True
|
|
|
|
def process_maybe_execute_buy(self) -> bool:
|
|
"""
|
|
Tries to execute a buy trade in a safe way
|
|
:return: True if executed
|
|
"""
|
|
try:
|
|
# Create entity and execute trade
|
|
if self.create_trade():
|
|
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(self, trade: Trade) -> bool:
|
|
"""
|
|
Tries to execute a sell trade
|
|
:return: True if executed
|
|
"""
|
|
try:
|
|
# 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)
|
|
order = exchange.get_order(trade.open_order_id, trade.pair)
|
|
# Try update amount (binance-fix)
|
|
try:
|
|
new_amount = self.get_real_amount(trade, order)
|
|
if order['amount'] != new_amount:
|
|
order['amount'] = new_amount
|
|
# Fee was applied, so set to 0
|
|
trade.fee_open = 0
|
|
|
|
except OperationalException as exception:
|
|
logger.warning("could not update trade amount: %s", exception)
|
|
|
|
trade.update(order)
|
|
|
|
if trade.is_open and trade.open_order_id is None:
|
|
# Check if we can sell our current pair
|
|
return self.handle_trade(trade)
|
|
except DependencyException as exception:
|
|
logger.warning('Unable to sell trade: %s', exception)
|
|
return False
|
|
|
|
def get_real_amount(self, trade: Trade, order: Dict) -> float:
|
|
"""
|
|
Get real amount for the trade
|
|
Necessary for exchanges which charge fees in base currency (e.g. binance)
|
|
"""
|
|
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'] and (order['fee'].keys() >= {'currency', 'cost'}):
|
|
if 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 = 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'].keys() >= {'currency', 'cost'}):
|
|
# only applies if fee is in quote currency!
|
|
if trade.pair.startswith(exectrade['fee']['currency']):
|
|
fee_abs += exectrade['fee']['cost']
|
|
|
|
if amount != order_amount:
|
|
logger.warning(f"amount {amount} does not match amount {trade.amount}")
|
|
raise OperationalException("Half bought? Amounts don't match")
|
|
real_amount = amount - fee_abs
|
|
if fee_abs != 0:
|
|
logger.info(f"""Applying fee on amount for {trade} \
|
|
(from {order_amount} to {real_amount}) from Trades""")
|
|
return real_amount
|
|
|
|
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 ValueError(f'attempt to handle closed trade: {trade}')
|
|
|
|
logger.debug('Handling %s ...', trade)
|
|
current_rate = exchange.get_ticker(trade.pair)['bid']
|
|
|
|
(buy, sell) = (False, False)
|
|
|
|
if self.config.get('experimental', {}).get('use_sell_signal'):
|
|
(buy, sell) = self.analyze.get_signal(trade.pair, self.analyze.get_ticker_interval())
|
|
|
|
if self.analyze.should_sell(trade, current_rate, datetime.utcnow(), buy, sell):
|
|
self.execute_sell(trade, current_rate)
|
|
return True
|
|
logger.info('Found no sell signals for whitelisted currencies. Trying again..')
|
|
return False
|
|
|
|
def check_handle_timedout(self, 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:
|
|
# FIXME: Somehow the query above returns results
|
|
# where the open_order_id is in fact None.
|
|
# This is probably because the record got
|
|
# updated via /forcesell in a different thread.
|
|
if not trade.open_order_id:
|
|
continue
|
|
order = exchange.get_order(trade.open_order_id, trade.pair)
|
|
except requests.exceptions.RequestException:
|
|
logger.info(
|
|
'Cannot query order for %s due to %s',
|
|
trade,
|
|
traceback.format_exc())
|
|
continue
|
|
ordertime = arrow.get(order['datetime']).datetime
|
|
|
|
# Check if trade is still actually open
|
|
if int(order['remaining']) == 0:
|
|
continue
|
|
|
|
if order['side'] == 'buy' and ordertime < timeoutthreashold:
|
|
self.handle_timedout_limit_buy(trade, order)
|
|
elif order['side'] == 'sell' and ordertime < timeoutthreashold:
|
|
self.handle_timedout_limit_sell(trade, order)
|
|
|
|
# FIX: 20180110, why is cancel.order unconditionally here, whereas
|
|
# it is conditionally called in the
|
|
# handle_timedout_limit_sell()?
|
|
def handle_timedout_limit_buy(self, trade: Trade, order: Dict) -> bool:
|
|
"""Buy timeout - cancel order
|
|
:return: True if order was fully cancelled
|
|
"""
|
|
pair_s = trade.pair.replace('_', '/')
|
|
exchange.cancel_order(trade.open_order_id, trade.pair)
|
|
if order['remaining'] == order['amount']:
|
|
# if trade is not partially completed, just delete the trade
|
|
Trade.session.delete(trade)
|
|
Trade.session.flush()
|
|
logger.info('Buy order timeout for %s.', trade)
|
|
self.rpc.send_msg(f'*Timeout:* Unfilled buy order for {pair_s} cancelled')
|
|
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)
|
|
self.rpc.send_msg(f'*Timeout:* Remaining buy order for {pair_s} cancelled')
|
|
return False
|
|
|
|
# FIX: 20180110, should cancel_order() be cond. or unconditionally called?
|
|
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
|
|
"""
|
|
pair_s = trade.pair.replace('_', '/')
|
|
if order['remaining'] == order['amount']:
|
|
# if trade is not partially completed, just cancel the trade
|
|
exchange.cancel_order(trade.open_order_id, trade.pair)
|
|
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(f'*Timeout:* Unfilled sell order for {pair_s} cancelled')
|
|
logger.info('Sell order timeout for %s.', trade)
|
|
return True
|
|
|
|
# TODO: figure out how to handle partially complete sell orders
|
|
return False
|
|
|
|
def execute_sell(self, 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
|
|
"""
|
|
exc = trade.exchange
|
|
pair = trade.pair
|
|
# Execute sell and update trade record
|
|
order_id = exchange.sell(str(trade.pair), limit, trade.amount)['id']
|
|
trade.open_order_id = order_id
|
|
trade.close_rate_requested = limit
|
|
|
|
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)['bid']
|
|
profit = trade.calc_profit_percent(limit)
|
|
pair_url = exchange.get_pair_detail_url(trade.pair)
|
|
gain = "profit" if fmt_exp_profit > 0 else "loss"
|
|
|
|
message = f"*{exc}:* Selling\n" \
|
|
f"*Current Pair:* [{pair}]({pair_url})\n" \
|
|
f"*Limit:* `{limit}`\n" \
|
|
f"*Amount:* `{round(trade.amount, 8)}`\n" \
|
|
f"*Open Rate:* `{trade.open_rate:.8f}`\n" \
|
|
f"*Current Rate:* `{current_rate:.8f}`\n" \
|
|
f"*Profit:* `{round(profit * 100, 2):.2f}%`" \
|
|
""
|
|
|
|
# For regular case, when the configuration exists
|
|
if 'stake_currency' in self.config and 'fiat_display_currency' in self.config:
|
|
stake = self.config['stake_currency']
|
|
fiat = self.config['fiat_display_currency']
|
|
fiat_converter = CryptoToFiatConverter()
|
|
profit_fiat = fiat_converter.convert_amount(
|
|
profit_trade,
|
|
stake,
|
|
fiat
|
|
)
|
|
message += f'` ({gain}: {fmt_exp_profit:.2f}%, {profit_trade:.8f} {stake}`' \
|
|
f'` / {profit_fiat:.3f} {fiat})`'\
|
|
''
|
|
# 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
|
|
self.rpc.send_msg(message)
|
|
Trade.session.flush()
|