557 lines
19 KiB
Python
Executable File
557 lines
19 KiB
Python
Executable File
#!/usr/bin/env python3
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import copy
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import json
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import logging
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import sys
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import time
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import traceback
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from datetime import datetime
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from typing import Dict, List, Optional
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import arrow
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import requests
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from cachetools import cached, TTLCache
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from freqtrade import (DependencyException, OperationalException, __version__,
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exchange, persistence, rpc)
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from freqtrade.analyze import get_signal
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from freqtrade.fiat_convert import CryptoToFiatConverter
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from freqtrade.misc import (State, get_state, load_config, parse_args,
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throttle, update_state)
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from freqtrade.persistence import Trade
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from freqtrade.strategy.strategy import Strategy
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logger = logging.getLogger('freqtrade')
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_CONF = {}
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def refresh_whitelist(whitelist: List[str]) -> List[str]:
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"""
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Check wallet health and remove pair from whitelist if necessary
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:param whitelist: the sorted list (based on BaseVolume) of pairs the user might want to trade
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:return: the list of pairs the user wants to trade without the one unavailable or black_listed
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"""
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sanitized_whitelist = whitelist
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health = exchange.get_wallet_health()
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known_pairs = set()
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for status in health:
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pair = '{}_{}'.format(_CONF['stake_currency'], status['Currency'])
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# pair is not int the generated dynamic market, or in the blacklist ... ignore it
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if pair not in whitelist or pair in _CONF['exchange'].get('pair_blacklist', []):
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continue
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# else the pair is valid
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known_pairs.add(pair)
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# Market is not active
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if not status['IsActive']:
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sanitized_whitelist.remove(pair)
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logger.info(
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'Ignoring %s from whitelist (reason: %s).',
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pair, status.get('Notice') or 'wallet is not active'
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)
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# We need to remove pairs that are unknown
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final_list = [x for x in sanitized_whitelist if x in known_pairs]
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return final_list
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def process_maybe_execute_buy(conf, interval):
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"""
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Tries to execute a buy trade in a safe way
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:return: True if executed
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"""
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try:
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# Create entity and execute trade
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if create_trade(float(_CONF['stake_amount']), interval):
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return True
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else:
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logger.info(
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'Checked all whitelisted currencies. '
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'Found no suitable entry positions for buying. Will keep looking ...'
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)
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return False
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except DependencyException as exception:
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logger.warning('Unable to create trade: %s', exception)
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return False
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def process_maybe_execute_sell(trade, interval):
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"""
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Tries to execute a sell trade
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:return: True if executed
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"""
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# Get order details for actual price per unit
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if trade.open_order_id:
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# Update trade with order values
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logger.info('Got open order for %s', trade)
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trade.update(exchange.get_order(trade.open_order_id))
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if trade.is_open and trade.open_order_id is None:
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# Check if we can sell our current pair
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return handle_trade(trade, interval)
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return False
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def _process(interval: int, nb_assets: Optional[int] = 0) -> bool:
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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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:param: nb_assets: the maximum number of pairs to be traded at the same time
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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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state_changed = False
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try:
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# Refresh whitelist based on wallet maintenance
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sanitized_list = refresh_whitelist(
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gen_pair_whitelist(
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_CONF['stake_currency']
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) if nb_assets else _CONF['exchange']['pair_whitelist']
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)
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# Keep only the subsets of pairs wanted (up to nb_assets)
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final_list = sanitized_list[:nb_assets] if nb_assets else sanitized_list
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_CONF['exchange']['pair_whitelist'] = final_list
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# Query trades from persistence layer
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trades = Trade.query.filter(Trade.is_open.is_(True)).all()
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if len(trades) < _CONF['max_open_trades']:
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state_changed = process_maybe_execute_buy(_CONF, interval)
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for trade in trades:
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state_changed |= process_maybe_execute_sell(trade, interval)
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if 'unfilledtimeout' in _CONF:
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# Check and handle any timed out open orders
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check_handle_timedout(_CONF['unfilledtimeout'])
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Trade.session.flush()
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except (requests.exceptions.RequestException, json.JSONDecodeError) as error:
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logger.warning(
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'Got %s in _process(), retrying in 30 seconds...',
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error
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)
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time.sleep(30)
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except OperationalException:
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rpc.send_msg('*Status:* Got OperationalException:\n```\n{traceback}```{hint}'.format(
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traceback=traceback.format_exc(),
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hint='Issue `/start` if you think it is safe to restart.'
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))
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logger.exception('Got OperationalException. Stopping trader ...')
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update_state(State.STOPPED)
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return state_changed
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# FIX: 20180110, why is cancel.order unconditionally here, whereas
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# it is conditionally called in the
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# handle_timedout_limit_sell()?
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def handle_timedout_limit_buy(trade: Trade, order: Dict) -> bool:
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"""Buy timeout - cancel order
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:return: True if order was fully cancelled
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"""
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exchange.cancel_order(trade.open_order_id)
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if order['remaining'] == order['amount']:
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# if trade is not partially completed, just delete the trade
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Trade.session.delete(trade)
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# FIX? do we really need to flush, caller of
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# check_handle_timedout will flush afterwards
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Trade.session.flush()
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logger.info('Buy order timeout for %s.', trade)
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rpc.send_msg('*Timeout:* Unfilled buy order for {} cancelled'.format(
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trade.pair.replace('_', '/')))
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return True
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else:
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# if trade is partially complete, edit the stake details for the trade
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# and close the order
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trade.amount = order['amount'] - order['remaining']
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trade.stake_amount = trade.amount * trade.open_rate
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trade.open_order_id = None
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logger.info('Partial buy order timeout for %s.', trade)
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rpc.send_msg('*Timeout:* Remaining buy order for {} cancelled'.format(
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trade.pair.replace('_', '/')))
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return False
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# FIX: 20180110, should cancel_order() be cond. or unconditionally called?
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def handle_timedout_limit_sell(trade: Trade, order: Dict) -> bool:
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"""
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Sell timeout - cancel order and update trade
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:return: True if order was fully cancelled
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"""
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if order['remaining'] == order['amount']:
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# if trade is not partially completed, just cancel the trade
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exchange.cancel_order(trade.open_order_id)
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trade.close_rate = None
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trade.close_profit = None
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trade.close_date = None
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trade.is_open = True
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trade.open_order_id = None
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rpc.send_msg('*Timeout:* Unfilled sell order for {} cancelled'.format(
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trade.pair.replace('_', '/')))
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logger.info('Sell order timeout for %s.', trade)
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return True
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else:
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# TODO: figure out how to handle partially complete sell orders
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return False
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def check_handle_timedout(timeoutvalue: int) -> None:
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"""
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Check if any orders are timed out and cancel if neccessary
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:param timeoutvalue: Number of minutes until order is considered timed out
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:return: None
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"""
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timeoutthreashold = arrow.utcnow().shift(minutes=-timeoutvalue).datetime
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for trade in Trade.query.filter(Trade.open_order_id.isnot(None)).all():
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try:
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order = exchange.get_order(trade.open_order_id)
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except requests.exceptions.RequestException:
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logger.info('Cannot query order for %s due to %s', trade, traceback.format_exc())
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continue
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ordertime = arrow.get(order['opened'])
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# Check if trade is still actually open
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if int(order['remaining']) == 0:
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continue
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if order['type'] == "LIMIT_BUY" and ordertime < timeoutthreashold:
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handle_timedout_limit_buy(trade, order)
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elif order['type'] == "LIMIT_SELL" and ordertime < timeoutthreashold:
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handle_timedout_limit_sell(trade, order)
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def execute_sell(trade: Trade, limit: float) -> None:
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"""
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Executes a limit sell for the given trade and limit
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:param trade: Trade instance
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:param limit: limit rate for the sell order
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:return: None
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"""
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# Execute sell and update trade record
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order_id = exchange.sell(str(trade.pair), limit, trade.amount)
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trade.open_order_id = order_id
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fmt_exp_profit = round(trade.calc_profit_percent(rate=limit) * 100, 2)
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profit_trade = trade.calc_profit(rate=limit)
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current_rate = exchange.get_ticker(trade.pair, False)['bid']
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profit = trade.calc_profit_percent(current_rate)
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message = """*{exchange}:* Selling
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*Current Pair:* [{pair}]({pair_url})
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*Limit:* `{limit}`
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*Amount:* `{amount}`
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*Open Rate:* `{open_rate:.8f}`
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*Current Rate:* `{current_rate:.8f}`
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*Profit:* `{profit:.2f}%`
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""".format(
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exchange=trade.exchange,
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pair=trade.pair,
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pair_url=exchange.get_pair_detail_url(trade.pair),
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limit=limit,
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open_rate=trade.open_rate,
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current_rate=current_rate,
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amount=round(trade.amount, 8),
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profit=round(profit * 100, 2),
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)
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# For regular case, when the configuration exists
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if 'stake_currency' in _CONF and 'fiat_display_currency' in _CONF:
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fiat_converter = CryptoToFiatConverter()
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profit_fiat = fiat_converter.convert_amount(
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profit_trade,
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_CONF['stake_currency'],
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_CONF['fiat_display_currency']
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)
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message += '` ({gain}: {profit_percent:.2f}%, {profit_coin:.8f} {coin}`' \
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'` / {profit_fiat:.3f} {fiat})`'.format(
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gain="profit" if fmt_exp_profit > 0 else "loss",
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profit_percent=fmt_exp_profit,
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profit_coin=profit_trade,
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coin=_CONF['stake_currency'],
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profit_fiat=profit_fiat,
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fiat=_CONF['fiat_display_currency'],
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)
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# Because telegram._forcesell does not have the configuration
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# Ignore the FIAT value and does not show the stake_currency as well
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else:
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message += '` ({gain}: {profit_percent:.2f}%, {profit_coin:.8f})`'.format(
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gain="profit" if fmt_exp_profit > 0 else "loss",
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profit_percent=fmt_exp_profit,
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profit_coin=profit_trade
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)
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# Send the message
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rpc.send_msg(message)
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Trade.session.flush()
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def min_roi_reached(trade: Trade, current_rate: float, current_time: datetime) -> bool:
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"""
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Based an earlier trade and current price and ROI configuration, decides whether bot should sell
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:return True if bot should sell at current rate
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"""
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strategy = Strategy()
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current_profit = trade.calc_profit_percent(current_rate)
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if strategy.stoploss is not None and current_profit < float(strategy.stoploss):
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logger.debug('Stop loss hit.')
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return True
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# Check if time matches and current rate is above threshold
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time_diff = (current_time - trade.open_date).total_seconds() / 60
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for duration, threshold in sorted(strategy.minimal_roi.items()):
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if time_diff > float(duration) and current_profit > threshold:
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return True
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logger.debug('Threshold not reached. (cur_profit: %1.2f%%)', float(current_profit) * 100.0)
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return False
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def handle_trade(trade: Trade, interval: int) -> bool:
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"""
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Sells the current pair if the threshold is reached and updates the trade record.
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:return: True if trade has been sold, False otherwise
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"""
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if not trade.is_open:
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raise ValueError('attempt to handle closed trade: {}'.format(trade))
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logger.debug('Handling %s ...', trade)
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current_rate = exchange.get_ticker(trade.pair)['bid']
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(buy, sell) = (False, False)
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if _CONF.get('experimental', {}).get('use_sell_signal'):
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(buy, sell) = get_signal(trade.pair, interval)
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# Check if minimal roi has been reached and no longer in buy conditions (avoiding a fee)
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if not buy and min_roi_reached(trade, current_rate, datetime.utcnow()):
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logger.debug('Executing sell due to ROI ...')
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execute_sell(trade, current_rate)
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return True
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# Experimental: Check if the trade is profitable before selling it (avoid selling at loss)
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if _CONF.get('experimental', {}).get('sell_profit_only', False):
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logger.debug('Checking if trade is profitable ...')
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if not buy and trade.calc_profit(rate=current_rate) <= 0:
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return False
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if sell and not buy:
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logger.debug('Executing sell due to sell signal ...')
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execute_sell(trade, current_rate)
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return True
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return False
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def get_target_bid(ticker: Dict[str, float]) -> float:
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""" Calculates bid target between current ask price and last price """
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if ticker['ask'] < ticker['last']:
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return ticker['ask']
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balance = _CONF['bid_strategy']['ask_last_balance']
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return ticker['ask'] + balance * (ticker['last'] - ticker['ask'])
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def create_trade(stake_amount: float, interval: int) -> bool:
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"""
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Checks the implemented trading indicator(s) for a randomly picked pair,
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if one pair triggers the buy_signal a new trade record gets created
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:param stake_amount: amount of btc to spend
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:return: True if a trade object has been created and persisted, False otherwise
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"""
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logger.info(
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'Checking buy signals to create a new trade with stake_amount: %f ...',
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stake_amount
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)
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whitelist = copy.deepcopy(_CONF['exchange']['pair_whitelist'])
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# Check if stake_amount is fulfilled
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if exchange.get_balance(_CONF['stake_currency']) < stake_amount:
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raise DependencyException(
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'stake amount is not fulfilled (currency={})'.format(_CONF['stake_currency'])
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)
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# Remove currently opened and latest pairs from whitelist
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for trade in Trade.query.filter(Trade.is_open.is_(True)).all():
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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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raise DependencyException('No pair in whitelist')
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# Pick pair based on StochRSI buy signals
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for _pair in whitelist:
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(buy, sell) = get_signal(_pair, interval)
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if buy and not sell:
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pair = _pair
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break
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else:
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return False
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# Calculate amount
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buy_limit = get_target_bid(exchange.get_ticker(pair))
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amount = stake_amount / buy_limit
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order_id = exchange.buy(pair, buy_limit, amount)
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fiat_converter = CryptoToFiatConverter()
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stake_amount_fiat = fiat_converter.convert_amount(
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stake_amount,
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_CONF['stake_currency'],
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_CONF['fiat_display_currency']
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)
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# Create trade entity and return
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rpc.send_msg('*{}:* Buying [{}]({}) with limit `{:.8f} ({:.6f} {}, {:.3f} {})` '.format(
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exchange.get_name().upper(),
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pair.replace('_', '/'),
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exchange.get_pair_detail_url(pair),
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buy_limit, stake_amount, _CONF['stake_currency'],
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stake_amount_fiat, _CONF['fiat_display_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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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=exchange.get_fee(),
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open_rate=buy_limit,
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open_date=datetime.utcnow(),
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exchange=exchange.get_name().upper(),
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open_order_id=order_id
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)
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Trade.session.add(trade)
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Trade.session.flush()
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return True
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def init(config: dict, db_url: Optional[str] = None) -> None:
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"""
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Initializes all modules and updates the config
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:param config: config as dict
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:param db_url: database connector string for sqlalchemy (Optional)
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:return: None
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"""
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# Initialize all modules
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rpc.init(config)
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persistence.init(config, db_url)
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exchange.init(config)
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strategy = Strategy()
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strategy.init(config)
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# Set initial application state
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initial_state = config.get('initial_state')
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if initial_state:
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update_state(State[initial_state.upper()])
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else:
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update_state(State.STOPPED)
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@cached(TTLCache(maxsize=1, ttl=1800))
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def gen_pair_whitelist(base_currency: str, key: str = 'BaseVolume') -> List[str]:
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"""
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Updates the whitelist with with a dynamically generated list
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:param base_currency: base currency as str
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:param key: sort key (defaults to 'BaseVolume')
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:return: List of pairs
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"""
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summaries = sorted(
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(s for s in exchange.get_market_summaries() if s['MarketName'].startswith(base_currency)),
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key=lambda s: s.get(key) or 0.0,
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reverse=True
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)
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return [s['MarketName'].replace('-', '_') for s in summaries]
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def cleanup() -> None:
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"""
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Cleanup the application state und finish all pending tasks
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:return: None
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"""
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rpc.send_msg('*Status:* `Stopping trader...`')
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logger.info('Stopping trader and cleaning up modules...')
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update_state(State.STOPPED)
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persistence.cleanup()
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rpc.cleanup()
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exit(0)
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def main(sysargv=sys.argv[1:]) -> int:
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"""
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Loads and validates the config and handles the main loop
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:return: None
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"""
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global _CONF
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args = parse_args(sysargv,
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'Simple High Frequency Trading Bot for crypto currencies')
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# A subcommand has been issued
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if hasattr(args, 'func'):
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args.func(args)
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return 0
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# Initialize logger
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logging.basicConfig(
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level=args.loglevel,
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format='%(asctime)s - %(name)s - %(levelname)s - %(message)s',
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)
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logger.info(
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'Starting freqtrade %s (loglevel=%s)',
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__version__,
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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('Got SIGINT, aborting ...')
|
|
except BaseException:
|
|
logger.exception('Got fatal exception!')
|
|
finally:
|
|
cleanup()
|
|
return 0
|
|
|
|
|
|
if __name__ == '__main__':
|
|
main(sys.argv[1:])
|