1134 lines
48 KiB
Python
1134 lines
48 KiB
Python
# pragma pylint: disable=W0603
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"""
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Cryptocurrency Exchanges support
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"""
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import asyncio
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import inspect
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import logging
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from copy import deepcopy
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from datetime import datetime, timezone
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from math import ceil
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from random import randint
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from typing import Any, Dict, List, Optional, Tuple
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import arrow
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import ccxt
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import ccxt.async_support as ccxt_async
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from ccxt.base.decimal_to_precision import (ROUND_DOWN, ROUND_UP, TICK_SIZE,
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TRUNCATE, decimal_to_precision)
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from pandas import DataFrame
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from freqtrade.data.converter import ohlcv_to_dataframe
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from freqtrade.exceptions import (DependencyException, InvalidOrderException,
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OperationalException, TemporaryError)
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from freqtrade.exchange.common import BAD_EXCHANGES, retrier, retrier_async
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from freqtrade.misc import deep_merge_dicts
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CcxtModuleType = Any
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logger = logging.getLogger(__name__)
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class Exchange:
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_config: Dict = {}
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# Parameters to add directly to ccxt sync/async initialization.
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_ccxt_config: Dict = {}
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# Parameters to add directly to buy/sell calls (like agreeing to trading agreement)
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_params: Dict = {}
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# Dict to specify which options each exchange implements
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# This defines defaults, which can be selectively overridden by subclasses using _ft_has
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# or by specifying them in the configuration.
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_ft_has_default: Dict = {
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"stoploss_on_exchange": False,
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"order_time_in_force": ["gtc"],
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"ohlcv_candle_limit": 500,
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"ohlcv_partial_candle": True,
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"trades_pagination": "time", # Possible are "time" or "id"
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"trades_pagination_arg": "since",
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}
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_ft_has: Dict = {}
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def __init__(self, config: Dict[str, Any], validate: bool = True) -> None:
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"""
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Initializes this module with the given config,
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it does basic validation whether the specified exchange and pairs are valid.
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:return: None
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"""
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self._api: ccxt.Exchange = None
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self._api_async: ccxt_async.Exchange = None
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self._config.update(config)
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# Holds last candle refreshed time of each pair
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self._pairs_last_refresh_time: Dict[Tuple[str, str], int] = {}
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# Timestamp of last markets refresh
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self._last_markets_refresh: int = 0
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# Holds candles
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self._klines: Dict[Tuple[str, str], DataFrame] = {}
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# Holds all open sell orders for dry_run
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self._dry_run_open_orders: Dict[str, Any] = {}
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if config['dry_run']:
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logger.info('Instance is running with dry_run enabled')
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exchange_config = config['exchange']
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# Deep merge ft_has with default ft_has options
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self._ft_has = deep_merge_dicts(self._ft_has, deepcopy(self._ft_has_default))
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if exchange_config.get("_ft_has_params"):
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self._ft_has = deep_merge_dicts(exchange_config.get("_ft_has_params"),
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self._ft_has)
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logger.info("Overriding exchange._ft_has with config params, result: %s", self._ft_has)
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# Assign this directly for easy access
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self._ohlcv_candle_limit = self._ft_has['ohlcv_candle_limit']
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self._ohlcv_partial_candle = self._ft_has['ohlcv_partial_candle']
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self._trades_pagination = self._ft_has['trades_pagination']
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self._trades_pagination_arg = self._ft_has['trades_pagination_arg']
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# Initialize ccxt objects
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ccxt_config = self._ccxt_config.copy()
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ccxt_config = deep_merge_dicts(exchange_config.get('ccxt_config', {}),
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ccxt_config)
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self._api = self._init_ccxt(
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exchange_config, ccxt_kwargs=ccxt_config)
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ccxt_async_config = self._ccxt_config.copy()
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ccxt_async_config = deep_merge_dicts(exchange_config.get('ccxt_async_config', {}),
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ccxt_async_config)
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self._api_async = self._init_ccxt(
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exchange_config, ccxt_async, ccxt_kwargs=ccxt_async_config)
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logger.info('Using Exchange "%s"', self.name)
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if validate:
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# Check if timeframe is available
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self.validate_timeframes(config.get('ticker_interval'))
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# Initial markets load
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self._load_markets()
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# Check if all pairs are available
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self.validate_stakecurrency(config['stake_currency'])
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self.validate_pairs(config['exchange']['pair_whitelist'])
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self.validate_ordertypes(config.get('order_types', {}))
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self.validate_order_time_in_force(config.get('order_time_in_force', {}))
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self.validate_required_startup_candles(config.get('startup_candle_count', 0))
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# Converts the interval provided in minutes in config to seconds
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self.markets_refresh_interval: int = exchange_config.get(
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"markets_refresh_interval", 60) * 60
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def __del__(self):
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"""
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Destructor - clean up async stuff
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"""
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logger.debug("Exchange object destroyed, closing async loop")
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if self._api_async and inspect.iscoroutinefunction(self._api_async.close):
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asyncio.get_event_loop().run_until_complete(self._api_async.close())
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def _init_ccxt(self, exchange_config: Dict[str, Any], ccxt_module: CcxtModuleType = ccxt,
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ccxt_kwargs: dict = None) -> ccxt.Exchange:
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"""
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Initialize ccxt with given config and return valid
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ccxt instance.
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"""
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# Find matching class for the given exchange name
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name = exchange_config['name']
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if not is_exchange_known_ccxt(name, ccxt_module):
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raise OperationalException(f'Exchange {name} is not supported by ccxt')
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ex_config = {
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'apiKey': exchange_config.get('key'),
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'secret': exchange_config.get('secret'),
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'password': exchange_config.get('password'),
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'uid': exchange_config.get('uid', ''),
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}
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if ccxt_kwargs:
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logger.info('Applying additional ccxt config: %s', ccxt_kwargs)
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ex_config.update(ccxt_kwargs)
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try:
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api = getattr(ccxt_module, name.lower())(ex_config)
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except (KeyError, AttributeError) as e:
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raise OperationalException(f'Exchange {name} is not supported') from e
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except ccxt.BaseError as e:
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raise OperationalException(f"Initialization of ccxt failed. Reason: {e}") from e
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self.set_sandbox(api, exchange_config, name)
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return api
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@property
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def name(self) -> str:
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"""exchange Name (from ccxt)"""
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return self._api.name
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@property
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def id(self) -> str:
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"""exchange ccxt id"""
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return self._api.id
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@property
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def timeframes(self) -> List[str]:
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return list((self._api.timeframes or {}).keys())
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@property
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def markets(self) -> Dict:
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"""exchange ccxt markets"""
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if not self._api.markets:
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logger.warning("Markets were not loaded. Loading them now..")
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self._load_markets()
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return self._api.markets
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@property
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def precisionMode(self) -> str:
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"""exchange ccxt precisionMode"""
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return self._api.precisionMode
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def get_markets(self, base_currencies: List[str] = None, quote_currencies: List[str] = None,
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pairs_only: bool = False, active_only: bool = False) -> Dict:
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"""
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Return exchange ccxt markets, filtered out by base currency and quote currency
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if this was requested in parameters.
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TODO: consider moving it to the Dataprovider
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"""
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markets = self.markets
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if not markets:
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raise OperationalException("Markets were not loaded.")
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if base_currencies:
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markets = {k: v for k, v in markets.items() if v['base'] in base_currencies}
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if quote_currencies:
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markets = {k: v for k, v in markets.items() if v['quote'] in quote_currencies}
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if pairs_only:
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markets = {k: v for k, v in markets.items() if symbol_is_pair(v['symbol'])}
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if active_only:
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markets = {k: v for k, v in markets.items() if market_is_active(v)}
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return markets
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def get_quote_currencies(self) -> List[str]:
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"""
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Return a list of supported quote currencies
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"""
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markets = self.markets
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return sorted(set([x['quote'] for _, x in markets.items()]))
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def get_pair_quote_currency(self, pair: str) -> str:
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"""
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Return a pair's quote currency
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"""
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return self.markets.get(pair, {}).get('quote', '')
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def get_pair_base_currency(self, pair: str) -> str:
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"""
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Return a pair's quote currency
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"""
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return self.markets.get(pair, {}).get('base', '')
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def klines(self, pair_interval: Tuple[str, str], copy: bool = True) -> DataFrame:
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if pair_interval in self._klines:
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return self._klines[pair_interval].copy() if copy else self._klines[pair_interval]
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else:
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return DataFrame()
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def set_sandbox(self, api: ccxt.Exchange, exchange_config: dict, name: str) -> None:
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if exchange_config.get('sandbox'):
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if api.urls.get('test'):
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api.urls['api'] = api.urls['test']
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logger.info("Enabled Sandbox API on %s", name)
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else:
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logger.warning(name, "No Sandbox URL in CCXT, exiting. "
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"Please check your config.json")
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raise OperationalException(f'Exchange {name} does not provide a sandbox api')
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def _load_async_markets(self, reload: bool = False) -> None:
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try:
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if self._api_async:
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asyncio.get_event_loop().run_until_complete(
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self._api_async.load_markets(reload=reload))
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except ccxt.BaseError as e:
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logger.warning('Could not load async markets. Reason: %s', e)
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return
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def _load_markets(self) -> None:
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""" Initialize markets both sync and async """
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try:
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self._api.load_markets()
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self._load_async_markets()
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self._last_markets_refresh = arrow.utcnow().timestamp
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except ccxt.BaseError as e:
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logger.warning('Unable to initialize markets. Reason: %s', e)
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def _reload_markets(self) -> None:
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"""Reload markets both sync and async, if refresh interval has passed"""
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# Check whether markets have to be reloaded
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if (self._last_markets_refresh > 0) and (
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self._last_markets_refresh + self.markets_refresh_interval
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> arrow.utcnow().timestamp):
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return None
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logger.debug("Performing scheduled market reload..")
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try:
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self._api.load_markets(reload=True)
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self._last_markets_refresh = arrow.utcnow().timestamp
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except ccxt.BaseError:
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logger.exception("Could not reload markets.")
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def validate_stakecurrency(self, stake_currency: str) -> None:
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"""
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Checks stake-currency against available currencies on the exchange.
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:param stake_currency: Stake-currency to validate
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:raise: OperationalException if stake-currency is not available.
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"""
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quote_currencies = self.get_quote_currencies()
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if stake_currency not in quote_currencies:
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raise OperationalException(
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f"{stake_currency} is not available as stake on {self.name}. "
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f"Available currencies are: {', '.join(quote_currencies)}")
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def validate_pairs(self, pairs: List[str]) -> None:
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"""
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Checks if all given pairs are tradable on the current exchange.
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:param pairs: list of pairs
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:raise: OperationalException if one pair is not available
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:return: None
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"""
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if not self.markets:
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logger.warning('Unable to validate pairs (assuming they are correct).')
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return
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invalid_pairs = []
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for pair in pairs:
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# Note: ccxt has BaseCurrency/QuoteCurrency format for pairs
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# TODO: add a support for having coins in BTC/USDT format
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if self.markets and pair not in self.markets:
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raise OperationalException(
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f'Pair {pair} is not available on {self.name}. '
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f'Please remove {pair} from your whitelist.')
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# From ccxt Documentation:
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# markets.info: An associative array of non-common market properties,
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# including fees, rates, limits and other general market information.
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# The internal info array is different for each particular market,
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# its contents depend on the exchange.
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# It can also be a string or similar ... so we need to verify that first.
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elif (isinstance(self.markets[pair].get('info', None), dict)
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and self.markets[pair].get('info', {}).get('IsRestricted', False)):
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# Warn users about restricted pairs in whitelist.
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# We cannot determine reliably if Users are affected.
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logger.warning(f"Pair {pair} is restricted for some users on this exchange."
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f"Please check if you are impacted by this restriction "
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f"on the exchange and eventually remove {pair} from your whitelist.")
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if (self._config['stake_currency'] and
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self.get_pair_quote_currency(pair) != self._config['stake_currency']):
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invalid_pairs.append(pair)
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if invalid_pairs:
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raise OperationalException(
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f"Stake-currency '{self._config['stake_currency']}' not compatible with "
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f"pair-whitelist. Please remove the following pairs: {invalid_pairs}")
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def get_valid_pair_combination(self, curr_1: str, curr_2: str) -> str:
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"""
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Get valid pair combination of curr_1 and curr_2 by trying both combinations.
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"""
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for pair in [f"{curr_1}/{curr_2}", f"{curr_2}/{curr_1}"]:
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if pair in self.markets and self.markets[pair].get('active'):
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return pair
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raise DependencyException(f"Could not combine {curr_1} and {curr_2} to get a valid pair.")
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def validate_timeframes(self, timeframe: Optional[str]) -> None:
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"""
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Check if timeframe from config is a supported timeframe on the exchange
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"""
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if not hasattr(self._api, "timeframes") or self._api.timeframes is None:
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# If timeframes attribute is missing (or is None), the exchange probably
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# has no fetchOHLCV method.
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# Therefore we also show that.
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raise OperationalException(
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f"The ccxt library does not provide the list of timeframes "
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f"for the exchange \"{self.name}\" and this exchange "
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f"is therefore not supported. ccxt fetchOHLCV: {self.exchange_has('fetchOHLCV')}")
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if timeframe and (timeframe not in self.timeframes):
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raise OperationalException(
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f"Invalid timeframe '{timeframe}'. This exchange supports: {self.timeframes}")
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if timeframe and timeframe_to_minutes(timeframe) < 1:
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raise OperationalException(
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f"Timeframes < 1m are currently not supported by Freqtrade.")
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def validate_ordertypes(self, order_types: Dict) -> None:
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"""
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Checks if order-types configured in strategy/config are supported
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"""
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if any(v == 'market' for k, v in order_types.items()):
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if not self.exchange_has('createMarketOrder'):
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raise OperationalException(
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f'Exchange {self.name} does not support market orders.')
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if (order_types.get("stoploss_on_exchange")
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and not self._ft_has.get("stoploss_on_exchange", False)):
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raise OperationalException(
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f'On exchange stoploss is not supported for {self.name}.'
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)
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def validate_order_time_in_force(self, order_time_in_force: Dict) -> None:
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"""
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Checks if order time in force configured in strategy/config are supported
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"""
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if any(v not in self._ft_has["order_time_in_force"]
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for k, v in order_time_in_force.items()):
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raise OperationalException(
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f'Time in force policies are not supported for {self.name} yet.')
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def validate_required_startup_candles(self, startup_candles: int) -> None:
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"""
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Checks if required startup_candles is more than ohlcv_candle_limit.
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Requires a grace-period of 5 candles - so a startup-period up to 494 is allowed by default.
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"""
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if startup_candles + 5 > self._ft_has['ohlcv_candle_limit']:
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raise OperationalException(
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f"This strategy requires {startup_candles} candles to start. "
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f"{self.name} only provides {self._ft_has['ohlcv_candle_limit']}.")
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def exchange_has(self, endpoint: str) -> bool:
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"""
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Checks if exchange implements a specific API endpoint.
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Wrapper around ccxt 'has' attribute
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:param endpoint: Name of endpoint (e.g. 'fetchOHLCV', 'fetchTickers')
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:return: bool
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"""
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return endpoint in self._api.has and self._api.has[endpoint]
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def amount_to_precision(self, pair: str, amount: float) -> float:
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'''
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Returns the amount to buy or sell to a precision the Exchange accepts
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Reimplementation of ccxt internal methods - ensuring we can test the result is correct
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based on our definitions.
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'''
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if self.markets[pair]['precision']['amount']:
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amount = float(decimal_to_precision(amount, rounding_mode=TRUNCATE,
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precision=self.markets[pair]['precision']['amount'],
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counting_mode=self.precisionMode,
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))
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return amount
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def price_to_precision(self, pair: str, price: float) -> float:
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'''
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Returns the price rounded up to the precision the Exchange accepts.
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Partial Reimplementation of ccxt internal method decimal_to_precision(),
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which does not support rounding up
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TODO: If ccxt supports ROUND_UP for decimal_to_precision(), we could remove this and
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align with amount_to_precision().
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Rounds up
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'''
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if self.markets[pair]['precision']['price']:
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# price = float(decimal_to_precision(price, rounding_mode=ROUND,
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# precision=self.markets[pair]['precision']['price'],
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# counting_mode=self.precisionMode,
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# ))
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if self.precisionMode == TICK_SIZE:
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precision = self.markets[pair]['precision']['price']
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missing = price % precision
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if missing != 0:
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price = price - missing + precision
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else:
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symbol_prec = self.markets[pair]['precision']['price']
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big_price = price * pow(10, symbol_prec)
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price = ceil(big_price) / pow(10, symbol_prec)
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return price
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def price_get_one_pip(self, pair: str, price: float) -> float:
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"""
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Get's the "1 pip" value for this pair.
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Used in PriceFilter to calculate the 1pip movements.
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"""
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precision = self.markets[pair]['precision']['price']
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if self.precisionMode == TICK_SIZE:
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return precision
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else:
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return 1 / pow(10, precision)
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def dry_run_order(self, pair: str, ordertype: str, side: str, amount: float,
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rate: float, params: Dict = {}) -> Dict[str, Any]:
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order_id = f'dry_run_{side}_{randint(0, 10**6)}'
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_amount = self.amount_to_precision(pair, amount)
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dry_order = {
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"id": order_id,
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'pair': pair,
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'price': rate,
|
|
'amount': _amount,
|
|
"cost": _amount * rate,
|
|
'type': ordertype,
|
|
'side': side,
|
|
'remaining': _amount,
|
|
'datetime': arrow.utcnow().isoformat(),
|
|
'status': "closed" if ordertype == "market" else "open",
|
|
'fee': None,
|
|
"info": {}
|
|
}
|
|
self._store_dry_order(dry_order)
|
|
# Copy order and close it - so the returned order is open unless it's a market order
|
|
return dry_order
|
|
|
|
def _store_dry_order(self, dry_order: Dict) -> None:
|
|
closed_order = dry_order.copy()
|
|
if closed_order["type"] in ["market", "limit"]:
|
|
closed_order.update({
|
|
"status": "closed",
|
|
"filled": closed_order["amount"],
|
|
"remaining": 0
|
|
})
|
|
if closed_order["type"] in ["stop_loss_limit"]:
|
|
closed_order["info"].update({"stopPrice": closed_order["price"]})
|
|
self._dry_run_open_orders[closed_order["id"]] = closed_order
|
|
|
|
def create_order(self, pair: str, ordertype: str, side: str, amount: float,
|
|
rate: float, params: Dict = {}) -> Dict:
|
|
try:
|
|
# Set the precision for amount and price(rate) as accepted by the exchange
|
|
amount = self.amount_to_precision(pair, amount)
|
|
needs_price = (ordertype != 'market'
|
|
or self._api.options.get("createMarketBuyOrderRequiresPrice", False))
|
|
rate_for_order = self.price_to_precision(pair, rate) if needs_price else None
|
|
|
|
return self._api.create_order(pair, ordertype, side,
|
|
amount, rate_for_order, params)
|
|
|
|
except ccxt.InsufficientFunds as e:
|
|
raise DependencyException(
|
|
f'Insufficient funds to create {ordertype} {side} order on market {pair}.'
|
|
f'Tried to {side} amount {amount} at rate {rate}.'
|
|
f'Message: {e}') from e
|
|
except ccxt.InvalidOrder as e:
|
|
raise DependencyException(
|
|
f'Could not create {ordertype} {side} order on market {pair}.'
|
|
f'Tried to {side} amount {amount} at rate {rate}.'
|
|
f'Message: {e}') from e
|
|
except (ccxt.NetworkError, ccxt.ExchangeError) as e:
|
|
raise TemporaryError(
|
|
f'Could not place {side} order due to {e.__class__.__name__}. Message: {e}') from e
|
|
except ccxt.BaseError as e:
|
|
raise OperationalException(e) from e
|
|
|
|
def buy(self, pair: str, ordertype: str, amount: float,
|
|
rate: float, time_in_force: str) -> Dict:
|
|
|
|
if self._config['dry_run']:
|
|
dry_order = self.dry_run_order(pair, ordertype, "buy", amount, rate)
|
|
return dry_order
|
|
|
|
params = self._params.copy()
|
|
if time_in_force != 'gtc' and ordertype != 'market':
|
|
params.update({'timeInForce': time_in_force})
|
|
|
|
return self.create_order(pair, ordertype, 'buy', amount, rate, params)
|
|
|
|
def sell(self, pair: str, ordertype: str, amount: float,
|
|
rate: float, time_in_force: str = 'gtc') -> Dict:
|
|
|
|
if self._config['dry_run']:
|
|
dry_order = self.dry_run_order(pair, ordertype, "sell", amount, rate)
|
|
return dry_order
|
|
|
|
params = self._params.copy()
|
|
if time_in_force != 'gtc' and ordertype != 'market':
|
|
params.update({'timeInForce': time_in_force})
|
|
|
|
return self.create_order(pair, ordertype, 'sell', amount, rate, params)
|
|
|
|
def stoploss_adjust(self, stop_loss: float, order: Dict) -> bool:
|
|
"""
|
|
Verify stop_loss against stoploss-order value (limit or price)
|
|
Returns True if adjustment is necessary.
|
|
"""
|
|
raise OperationalException(f"stoploss is not implemented for {self.name}.")
|
|
|
|
def stoploss(self, pair: str, amount: float, stop_price: float, order_types: Dict) -> Dict:
|
|
"""
|
|
creates a stoploss order.
|
|
The precise ordertype is determined by the order_types dict or exchange default.
|
|
Since ccxt does not unify stoploss-limit orders yet, this needs to be implemented in each
|
|
exchange's subclass.
|
|
The exception below should never raise, since we disallow
|
|
starting the bot in validate_ordertypes()
|
|
Note: Changes to this interface need to be applied to all sub-classes too.
|
|
"""
|
|
|
|
raise OperationalException(f"stoploss is not implemented for {self.name}.")
|
|
|
|
@retrier
|
|
def get_balance(self, currency: str) -> float:
|
|
if self._config['dry_run']:
|
|
return self._config['dry_run_wallet']
|
|
|
|
# ccxt exception is already handled by get_balances
|
|
balances = self.get_balances()
|
|
balance = balances.get(currency)
|
|
if balance is None:
|
|
raise TemporaryError(
|
|
f'Could not get {currency} balance due to malformed exchange response: {balances}')
|
|
return balance['free']
|
|
|
|
@retrier
|
|
def get_balances(self) -> dict:
|
|
if self._config['dry_run']:
|
|
return {}
|
|
|
|
try:
|
|
balances = self._api.fetch_balance()
|
|
# Remove additional info from ccxt results
|
|
balances.pop("info", None)
|
|
balances.pop("free", None)
|
|
balances.pop("total", None)
|
|
balances.pop("used", None)
|
|
|
|
return balances
|
|
except (ccxt.NetworkError, ccxt.ExchangeError) as e:
|
|
raise TemporaryError(
|
|
f'Could not get balance due to {e.__class__.__name__}. Message: {e}') from e
|
|
except ccxt.BaseError as e:
|
|
raise OperationalException(e) from e
|
|
|
|
@retrier
|
|
def get_tickers(self) -> Dict:
|
|
try:
|
|
return self._api.fetch_tickers()
|
|
except ccxt.NotSupported as e:
|
|
raise OperationalException(
|
|
f'Exchange {self._api.name} does not support fetching tickers in batch. '
|
|
f'Message: {e}') from e
|
|
except (ccxt.NetworkError, ccxt.ExchangeError) as e:
|
|
raise TemporaryError(
|
|
f'Could not load tickers due to {e.__class__.__name__}. Message: {e}') from e
|
|
except ccxt.BaseError as e:
|
|
raise OperationalException(e) from e
|
|
|
|
@retrier
|
|
def fetch_ticker(self, pair: str) -> dict:
|
|
try:
|
|
if pair not in self._api.markets or not self._api.markets[pair].get('active'):
|
|
raise DependencyException(f"Pair {pair} not available")
|
|
data = self._api.fetch_ticker(pair)
|
|
return data
|
|
except (ccxt.NetworkError, ccxt.ExchangeError) as e:
|
|
raise TemporaryError(
|
|
f'Could not load ticker due to {e.__class__.__name__}. Message: {e}') from e
|
|
except ccxt.BaseError as e:
|
|
raise OperationalException(e) from e
|
|
|
|
def get_historic_ohlcv(self, pair: str, timeframe: str,
|
|
since_ms: int) -> List:
|
|
"""
|
|
Get candle history using asyncio and returns the list of candles.
|
|
Handles all async work for this.
|
|
Async over one pair, assuming we get `self._ohlcv_candle_limit` candles per call.
|
|
:param pair: Pair to download
|
|
:param timeframe: Timeframe to get data for
|
|
:param since_ms: Timestamp in milliseconds to get history from
|
|
:returns List with candle (OHLCV) data
|
|
"""
|
|
return asyncio.get_event_loop().run_until_complete(
|
|
self._async_get_historic_ohlcv(pair=pair, timeframe=timeframe,
|
|
since_ms=since_ms))
|
|
|
|
async def _async_get_historic_ohlcv(self, pair: str,
|
|
timeframe: str,
|
|
since_ms: int) -> List:
|
|
|
|
one_call = timeframe_to_msecs(timeframe) * self._ohlcv_candle_limit
|
|
logger.debug(
|
|
"one_call: %s msecs (%s)",
|
|
one_call,
|
|
arrow.utcnow().shift(seconds=one_call // 1000).humanize(only_distance=True)
|
|
)
|
|
input_coroutines = [self._async_get_candle_history(
|
|
pair, timeframe, since) for since in
|
|
range(since_ms, arrow.utcnow().timestamp * 1000, one_call)]
|
|
|
|
results = await asyncio.gather(*input_coroutines, return_exceptions=True)
|
|
|
|
# Combine gathered results
|
|
data: List = []
|
|
for p, timeframe, res in results:
|
|
if p == pair:
|
|
data.extend(res)
|
|
# Sort data again after extending the result - above calls return in "async order"
|
|
data = sorted(data, key=lambda x: x[0])
|
|
logger.info("Downloaded data for %s with length %s.", pair, len(data))
|
|
return data
|
|
|
|
def refresh_latest_ohlcv(self, pair_list: List[Tuple[str, str]]) -> List[Tuple[str, List]]:
|
|
"""
|
|
Refresh in-memory OHLCV asynchronously and set `_klines` with the result
|
|
Loops asynchronously over pair_list and downloads all pairs async (semi-parallel).
|
|
Only used in the dataprovider.refresh() method.
|
|
:param pair_list: List of 2 element tuples containing pair, interval to refresh
|
|
:return: TODO: return value is only used in the tests, get rid of it
|
|
"""
|
|
logger.debug("Refreshing candle (OHLCV) data for %d pairs", len(pair_list))
|
|
|
|
input_coroutines = []
|
|
|
|
# Gather coroutines to run
|
|
for pair, timeframe in set(pair_list):
|
|
if (not ((pair, timeframe) in self._klines)
|
|
or self._now_is_time_to_refresh(pair, timeframe)):
|
|
input_coroutines.append(self._async_get_candle_history(pair, timeframe))
|
|
else:
|
|
logger.debug(
|
|
"Using cached candle (OHLCV) data for pair %s, timeframe %s ...",
|
|
pair, timeframe
|
|
)
|
|
|
|
results = asyncio.get_event_loop().run_until_complete(
|
|
asyncio.gather(*input_coroutines, return_exceptions=True))
|
|
|
|
# handle caching
|
|
for res in results:
|
|
if isinstance(res, Exception):
|
|
logger.warning("Async code raised an exception: %s", res.__class__.__name__)
|
|
continue
|
|
pair = res[0]
|
|
timeframe = res[1]
|
|
ticks = res[2]
|
|
# keeping last candle time as last refreshed time of the pair
|
|
if ticks:
|
|
self._pairs_last_refresh_time[(pair, timeframe)] = ticks[-1][0] // 1000
|
|
# keeping parsed dataframe in cache
|
|
self._klines[(pair, timeframe)] = ohlcv_to_dataframe(
|
|
ticks, timeframe, pair=pair, fill_missing=True,
|
|
drop_incomplete=self._ohlcv_partial_candle)
|
|
|
|
return results
|
|
|
|
def _now_is_time_to_refresh(self, pair: str, timeframe: str) -> bool:
|
|
# Timeframe in seconds
|
|
interval_in_sec = timeframe_to_seconds(timeframe)
|
|
|
|
return not ((self._pairs_last_refresh_time.get((pair, timeframe), 0)
|
|
+ interval_in_sec) >= arrow.utcnow().timestamp)
|
|
|
|
@retrier_async
|
|
async def _async_get_candle_history(self, pair: str, timeframe: str,
|
|
since_ms: Optional[int] = None) -> Tuple[str, str, List]:
|
|
"""
|
|
Asynchronously get candle history data using fetch_ohlcv
|
|
returns tuple: (pair, timeframe, ohlcv_list)
|
|
"""
|
|
try:
|
|
# Fetch OHLCV asynchronously
|
|
s = '(' + arrow.get(since_ms // 1000).isoformat() + ') ' if since_ms is not None else ''
|
|
logger.debug(
|
|
"Fetching pair %s, interval %s, since %s %s...",
|
|
pair, timeframe, since_ms, s
|
|
)
|
|
|
|
data = await self._api_async.fetch_ohlcv(pair, timeframe=timeframe,
|
|
since=since_ms)
|
|
|
|
# Some exchanges sort OHLCV in ASC order and others in DESC.
|
|
# Ex: Bittrex returns the list of OHLCV in ASC order (oldest first, newest last)
|
|
# while GDAX returns the list of OHLCV in DESC order (newest first, oldest last)
|
|
# Only sort if necessary to save computing time
|
|
try:
|
|
if data and data[0][0] > data[-1][0]:
|
|
data = sorted(data, key=lambda x: x[0])
|
|
except IndexError:
|
|
logger.exception("Error loading %s. Result was %s.", pair, data)
|
|
return pair, timeframe, []
|
|
logger.debug("Done fetching pair %s, interval %s ...", pair, timeframe)
|
|
return pair, timeframe, data
|
|
|
|
except ccxt.NotSupported as e:
|
|
raise OperationalException(
|
|
f'Exchange {self._api.name} does not support fetching historical '
|
|
f'candle (OHLCV) data. Message: {e}') from e
|
|
except (ccxt.NetworkError, ccxt.ExchangeError) as e:
|
|
raise TemporaryError(f'Could not fetch historical candle (OHLCV) data '
|
|
f'for pair {pair} due to {e.__class__.__name__}. '
|
|
f'Message: {e}') from e
|
|
except ccxt.BaseError as e:
|
|
raise OperationalException(f'Could not fetch historical candle (OHLCV) data '
|
|
f'for pair {pair}. Message: {e}') from e
|
|
|
|
@retrier_async
|
|
async def _async_fetch_trades(self, pair: str,
|
|
since: Optional[int] = None,
|
|
params: Optional[dict] = None) -> List[Dict]:
|
|
"""
|
|
Asyncronously gets trade history using fetch_trades.
|
|
Handles exchange errors, does one call to the exchange.
|
|
:param pair: Pair to fetch trade data for
|
|
:param since: Since as integer timestamp in milliseconds
|
|
returns: List of dicts containing trades
|
|
"""
|
|
try:
|
|
# fetch trades asynchronously
|
|
if params:
|
|
logger.debug("Fetching trades for pair %s, params: %s ", pair, params)
|
|
trades = await self._api_async.fetch_trades(pair, params=params, limit=1000)
|
|
else:
|
|
logger.debug(
|
|
"Fetching trades for pair %s, since %s %s...",
|
|
pair, since,
|
|
'(' + arrow.get(since // 1000).isoformat() + ') ' if since is not None else ''
|
|
)
|
|
trades = await self._api_async.fetch_trades(pair, since=since, limit=1000)
|
|
return trades
|
|
except ccxt.NotSupported as e:
|
|
raise OperationalException(
|
|
f'Exchange {self._api.name} does not support fetching historical trade data.'
|
|
f'Message: {e}') from e
|
|
except (ccxt.NetworkError, ccxt.ExchangeError) as e:
|
|
raise TemporaryError(f'Could not load trade history due to {e.__class__.__name__}. '
|
|
f'Message: {e}') from e
|
|
except ccxt.BaseError as e:
|
|
raise OperationalException(f'Could not fetch trade data. Msg: {e}') from e
|
|
|
|
async def _async_get_trade_history_id(self, pair: str,
|
|
until: int,
|
|
since: Optional[int] = None,
|
|
from_id: Optional[str] = None) -> Tuple[str, List[Dict]]:
|
|
"""
|
|
Asyncronously gets trade history using fetch_trades
|
|
use this when exchange uses id-based iteration (check `self._trades_pagination`)
|
|
:param pair: Pair to fetch trade data for
|
|
:param since: Since as integer timestamp in milliseconds
|
|
:param until: Until as integer timestamp in milliseconds
|
|
:param from_id: Download data starting with ID (if id is known). Ignores "since" if set.
|
|
returns tuple: (pair, trades-list)
|
|
"""
|
|
|
|
trades: List[Dict] = []
|
|
|
|
if not from_id:
|
|
# Fetch first elements using timebased method to get an ID to paginate on
|
|
# Depending on the Exchange, this can introduce a drift at the start of the interval
|
|
# of up to an hour.
|
|
# e.g. Binance returns the "last 1000" candles within a 1h time interval
|
|
# - so we will miss the first trades.
|
|
t = await self._async_fetch_trades(pair, since=since)
|
|
from_id = t[-1]['id']
|
|
trades.extend(t[:-1])
|
|
while True:
|
|
t = await self._async_fetch_trades(pair,
|
|
params={self._trades_pagination_arg: from_id})
|
|
if len(t):
|
|
# Skip last id since its the key for the next call
|
|
trades.extend(t[:-1])
|
|
if from_id == t[-1]['id'] or t[-1]['timestamp'] > until:
|
|
logger.debug(f"Stopping because from_id did not change. "
|
|
f"Reached {t[-1]['timestamp']} > {until}")
|
|
# Reached the end of the defined-download period - add last trade as well.
|
|
trades.extend(t[-1:])
|
|
break
|
|
|
|
from_id = t[-1]['id']
|
|
else:
|
|
break
|
|
|
|
return (pair, trades)
|
|
|
|
async def _async_get_trade_history_time(self, pair: str, until: int,
|
|
since: Optional[int] = None) -> Tuple[str, List]:
|
|
"""
|
|
Asyncronously gets trade history using fetch_trades,
|
|
when the exchange uses time-based iteration (check `self._trades_pagination`)
|
|
:param pair: Pair to fetch trade data for
|
|
:param since: Since as integer timestamp in milliseconds
|
|
:param until: Until as integer timestamp in milliseconds
|
|
returns tuple: (pair, trades-list)
|
|
"""
|
|
|
|
trades: List[Dict] = []
|
|
while True:
|
|
t = await self._async_fetch_trades(pair, since=since)
|
|
if len(t):
|
|
since = t[-1]['timestamp']
|
|
trades.extend(t)
|
|
# Reached the end of the defined-download period
|
|
if until and t[-1]['timestamp'] > until:
|
|
logger.debug(
|
|
f"Stopping because until was reached. {t[-1]['timestamp']} > {until}")
|
|
break
|
|
else:
|
|
break
|
|
|
|
return (pair, trades)
|
|
|
|
async def _async_get_trade_history(self, pair: str,
|
|
since: Optional[int] = None,
|
|
until: Optional[int] = None,
|
|
from_id: Optional[str] = None) -> Tuple[str, List[Dict]]:
|
|
"""
|
|
Async wrapper handling downloading trades using either time or id based methods.
|
|
"""
|
|
|
|
if self._trades_pagination == 'time':
|
|
return await self._async_get_trade_history_time(
|
|
pair=pair, since=since,
|
|
until=until or ccxt.Exchange.milliseconds())
|
|
elif self._trades_pagination == 'id':
|
|
return await self._async_get_trade_history_id(
|
|
pair=pair, since=since,
|
|
until=until or ccxt.Exchange.milliseconds(), from_id=from_id
|
|
)
|
|
else:
|
|
raise OperationalException(f"Exchange {self.name} does use neither time, "
|
|
f"nor id based pagination")
|
|
|
|
def get_historic_trades(self, pair: str,
|
|
since: Optional[int] = None,
|
|
until: Optional[int] = None,
|
|
from_id: Optional[str] = None) -> Tuple[str, List]:
|
|
"""
|
|
Get trade history data using asyncio.
|
|
Handles all async work and returns the list of candles.
|
|
Async over one pair, assuming we get `self._ohlcv_candle_limit` candles per call.
|
|
:param pair: Pair to download
|
|
:param since: Timestamp in milliseconds to get history from
|
|
:param until: Timestamp in milliseconds. Defaults to current timestamp if not defined.
|
|
:param from_id: Download data starting with ID (if id is known)
|
|
:returns List of trade data
|
|
"""
|
|
if not self.exchange_has("fetchTrades"):
|
|
raise OperationalException("This exchange does not suport downloading Trades.")
|
|
|
|
return asyncio.get_event_loop().run_until_complete(
|
|
self._async_get_trade_history(pair=pair, since=since,
|
|
until=until, from_id=from_id))
|
|
|
|
@retrier
|
|
def cancel_order(self, order_id: str, pair: str) -> None:
|
|
if self._config['dry_run']:
|
|
return
|
|
|
|
try:
|
|
return self._api.cancel_order(order_id, pair)
|
|
except ccxt.InvalidOrder as e:
|
|
raise InvalidOrderException(
|
|
f'Could not cancel order. Message: {e}') from e
|
|
except (ccxt.NetworkError, ccxt.ExchangeError) as e:
|
|
raise TemporaryError(
|
|
f'Could not cancel order due to {e.__class__.__name__}. Message: {e}') from e
|
|
except ccxt.BaseError as e:
|
|
raise OperationalException(e) from e
|
|
|
|
@retrier
|
|
def get_order(self, order_id: str, pair: str) -> Dict:
|
|
if self._config['dry_run']:
|
|
try:
|
|
order = self._dry_run_open_orders[order_id]
|
|
return order
|
|
except KeyError as e:
|
|
# Gracefully handle errors with dry-run orders.
|
|
raise InvalidOrderException(
|
|
f'Tried to get an invalid dry-run-order (id: {order_id}). Message: {e}') from e
|
|
try:
|
|
return self._api.fetch_order(order_id, pair)
|
|
except ccxt.InvalidOrder as e:
|
|
raise InvalidOrderException(
|
|
f'Tried to get an invalid order (id: {order_id}). Message: {e}') from e
|
|
except (ccxt.NetworkError, ccxt.ExchangeError) as e:
|
|
raise TemporaryError(
|
|
f'Could not get order due to {e.__class__.__name__}. Message: {e}') from e
|
|
except ccxt.BaseError as e:
|
|
raise OperationalException(e) from e
|
|
|
|
@retrier
|
|
def get_order_book(self, pair: str, limit: int = 100) -> dict:
|
|
"""
|
|
get order book level 2 from exchange
|
|
|
|
Notes:
|
|
20180619: bittrex doesnt support limits -.-
|
|
"""
|
|
try:
|
|
|
|
return self._api.fetch_l2_order_book(pair, limit)
|
|
except ccxt.NotSupported as e:
|
|
raise OperationalException(
|
|
f'Exchange {self._api.name} does not support fetching order book.'
|
|
f'Message: {e}') from e
|
|
except (ccxt.NetworkError, ccxt.ExchangeError) as e:
|
|
raise TemporaryError(
|
|
f'Could not get order book due to {e.__class__.__name__}. Message: {e}') from e
|
|
except ccxt.BaseError as e:
|
|
raise OperationalException(e) from e
|
|
|
|
@retrier
|
|
def get_trades_for_order(self, order_id: str, pair: str, since: datetime) -> List:
|
|
"""
|
|
Fetch Orders using the "fetch_my_trades" endpoint and filter them by order-id.
|
|
The "since" argument passed in is coming from the database and is in UTC,
|
|
as timezone-native datetime object.
|
|
From the python documentation:
|
|
> Naive datetime instances are assumed to represent local time
|
|
Therefore, calling "since.timestamp()" will get the UTC timestamp, after applying the
|
|
transformation from local timezone to UTC.
|
|
This works for timezones UTC+ since then the result will contain trades from a few hours
|
|
instead of from the last 5 seconds, however fails for UTC- timezones,
|
|
since we're then asking for trades with a "since" argument in the future.
|
|
|
|
:param order_id order_id: Order-id as given when creating the order
|
|
:param pair: Pair the order is for
|
|
:param since: datetime object of the order creation time. Assumes object is in UTC.
|
|
"""
|
|
if self._config['dry_run']:
|
|
return []
|
|
if not self.exchange_has('fetchMyTrades'):
|
|
return []
|
|
try:
|
|
# Allow 5s offset to catch slight time offsets (discovered in #1185)
|
|
# since needs to be int in milliseconds
|
|
my_trades = self._api.fetch_my_trades(
|
|
pair, int((since.replace(tzinfo=timezone.utc).timestamp() - 5) * 1000))
|
|
matched_trades = [trade for trade in my_trades if trade['order'] == order_id]
|
|
|
|
return matched_trades
|
|
|
|
except ccxt.NetworkError as e:
|
|
raise TemporaryError(
|
|
f'Could not get trades due to networking error. Message: {e}') from e
|
|
except ccxt.BaseError as e:
|
|
raise OperationalException(e) from e
|
|
|
|
@retrier
|
|
def get_fee(self, symbol: str, type: str = '', side: str = '', amount: float = 1,
|
|
price: float = 1, taker_or_maker: str = 'maker') -> float:
|
|
try:
|
|
# validate that markets are loaded before trying to get fee
|
|
if self._api.markets is None or len(self._api.markets) == 0:
|
|
self._api.load_markets()
|
|
|
|
return self._api.calculate_fee(symbol=symbol, type=type, side=side, amount=amount,
|
|
price=price, takerOrMaker=taker_or_maker)['rate']
|
|
except (ccxt.NetworkError, ccxt.ExchangeError) as e:
|
|
raise TemporaryError(
|
|
f'Could not get fee info due to {e.__class__.__name__}. Message: {e}') from e
|
|
except ccxt.BaseError as e:
|
|
raise OperationalException(e) from e
|
|
|
|
|
|
def is_exchange_bad(exchange_name: str) -> bool:
|
|
return exchange_name in BAD_EXCHANGES
|
|
|
|
|
|
def get_exchange_bad_reason(exchange_name: str) -> str:
|
|
return BAD_EXCHANGES.get(exchange_name, "")
|
|
|
|
|
|
def is_exchange_known_ccxt(exchange_name: str, ccxt_module: CcxtModuleType = None) -> bool:
|
|
return exchange_name in ccxt_exchanges(ccxt_module)
|
|
|
|
|
|
def is_exchange_officially_supported(exchange_name: str) -> bool:
|
|
return exchange_name in ['bittrex', 'binance', 'kraken']
|
|
|
|
|
|
def ccxt_exchanges(ccxt_module: CcxtModuleType = None) -> List[str]:
|
|
"""
|
|
Return the list of all exchanges known to ccxt
|
|
"""
|
|
return ccxt_module.exchanges if ccxt_module is not None else ccxt.exchanges
|
|
|
|
|
|
def available_exchanges(ccxt_module: CcxtModuleType = None) -> List[str]:
|
|
"""
|
|
Return exchanges available to the bot, i.e. non-bad exchanges in the ccxt list
|
|
"""
|
|
exchanges = ccxt_exchanges(ccxt_module)
|
|
return [x for x in exchanges if not is_exchange_bad(x)]
|
|
|
|
|
|
def timeframe_to_seconds(timeframe: str) -> int:
|
|
"""
|
|
Translates the timeframe interval value written in the human readable
|
|
form ('1m', '5m', '1h', '1d', '1w', etc.) to the number
|
|
of seconds for one timeframe interval.
|
|
"""
|
|
return ccxt.Exchange.parse_timeframe(timeframe)
|
|
|
|
|
|
def timeframe_to_minutes(timeframe: str) -> int:
|
|
"""
|
|
Same as timeframe_to_seconds, but returns minutes.
|
|
"""
|
|
return ccxt.Exchange.parse_timeframe(timeframe) // 60
|
|
|
|
|
|
def timeframe_to_msecs(timeframe: str) -> int:
|
|
"""
|
|
Same as timeframe_to_seconds, but returns milliseconds.
|
|
"""
|
|
return ccxt.Exchange.parse_timeframe(timeframe) * 1000
|
|
|
|
|
|
def timeframe_to_prev_date(timeframe: str, date: datetime = None) -> datetime:
|
|
"""
|
|
Use Timeframe and determine last possible candle.
|
|
:param timeframe: timeframe in string format (e.g. "5m")
|
|
:param date: date to use. Defaults to utcnow()
|
|
:returns: date of previous candle (with utc timezone)
|
|
"""
|
|
if not date:
|
|
date = datetime.now(timezone.utc)
|
|
|
|
new_timestamp = ccxt.Exchange.round_timeframe(timeframe, date.timestamp() * 1000,
|
|
ROUND_DOWN) // 1000
|
|
return datetime.fromtimestamp(new_timestamp, tz=timezone.utc)
|
|
|
|
|
|
def timeframe_to_next_date(timeframe: str, date: datetime = None) -> datetime:
|
|
"""
|
|
Use Timeframe and determine next candle.
|
|
:param timeframe: timeframe in string format (e.g. "5m")
|
|
:param date: date to use. Defaults to utcnow()
|
|
:returns: date of next candle (with utc timezone)
|
|
"""
|
|
if not date:
|
|
date = datetime.now(timezone.utc)
|
|
new_timestamp = ccxt.Exchange.round_timeframe(timeframe, date.timestamp() * 1000,
|
|
ROUND_UP) // 1000
|
|
return datetime.fromtimestamp(new_timestamp, tz=timezone.utc)
|
|
|
|
|
|
def symbol_is_pair(market_symbol: str, base_currency: str = None,
|
|
quote_currency: str = None) -> bool:
|
|
"""
|
|
Check if the market symbol is a pair, i.e. that its symbol consists of the base currency and the
|
|
quote currency separated by '/' character. If base_currency and/or quote_currency is passed,
|
|
it also checks that the symbol contains appropriate base and/or quote currency part before
|
|
and after the separating character correspondingly.
|
|
"""
|
|
symbol_parts = market_symbol.split('/')
|
|
return (len(symbol_parts) == 2 and
|
|
(symbol_parts[0] == base_currency if base_currency else len(symbol_parts[0]) > 0) and
|
|
(symbol_parts[1] == quote_currency if quote_currency else len(symbol_parts[1]) > 0))
|
|
|
|
|
|
def market_is_active(market: Dict) -> bool:
|
|
"""
|
|
Return True if the market is active.
|
|
"""
|
|
# "It's active, if the active flag isn't explicitly set to false. If it's missing or
|
|
# true then it's true. If it's undefined, then it's most likely true, but not 100% )"
|
|
# See https://github.com/ccxt/ccxt/issues/4874,
|
|
# https://github.com/ccxt/ccxt/issues/4075#issuecomment-434760520
|
|
return market.get('active', True) is not False
|