689 lines
27 KiB
Python
689 lines
27 KiB
Python
# pragma pylint: disable=W0603
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""" Cryptocurrency Exchanges support """
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import logging
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import inspect
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from random import randint
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from typing import List, Dict, Tuple, Any, Optional
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from datetime import datetime
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from math import floor, ceil
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import arrow
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import asyncio
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import ccxt
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import ccxt.async_support as ccxt_async
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from pandas import DataFrame
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from freqtrade import constants, DependencyException, OperationalException, TemporaryError
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from freqtrade.data.converter import parse_ticker_dataframe
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logger = logging.getLogger(__name__)
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API_RETRY_COUNT = 4
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def retrier_async(f):
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async def wrapper(*args, **kwargs):
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count = kwargs.pop('count', API_RETRY_COUNT)
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try:
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return await f(*args, **kwargs)
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except (TemporaryError, DependencyException) as ex:
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logger.warning('%s() returned exception: "%s"', f.__name__, ex)
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if count > 0:
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count -= 1
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kwargs.update({'count': count})
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logger.warning('retrying %s() still for %s times', f.__name__, count)
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return await wrapper(*args, **kwargs)
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else:
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logger.warning('Giving up retrying: %s()', f.__name__)
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raise ex
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return wrapper
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def retrier(f):
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def wrapper(*args, **kwargs):
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count = kwargs.pop('count', API_RETRY_COUNT)
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try:
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return f(*args, **kwargs)
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except (TemporaryError, DependencyException) as ex:
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logger.warning('%s() returned exception: "%s"', f.__name__, ex)
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if count > 0:
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count -= 1
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kwargs.update({'count': count})
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logger.warning('retrying %s() still for %s times', f.__name__, count)
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return wrapper(*args, **kwargs)
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else:
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logger.warning('Giving up retrying: %s()', f.__name__)
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raise ex
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return wrapper
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class Exchange(object):
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_config: Dict = {}
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_params: Dict = {}
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# Dict to specify which options each exchange implements
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# TODO: this should be merged with attributes from subclasses
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# To avoid having to copy/paste this to all subclasses.
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_ft_has: Dict = {
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"stoploss_on_exchange": False,
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"order_time_in_force": ["gtc"],
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}
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def __init__(self, config: dict) -> 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._config.update(config)
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self._cached_ticker: Dict[str, Any] = {}
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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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self._api: ccxt.Exchange = self._init_ccxt(
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exchange_config, ccxt_kwargs=exchange_config.get('ccxt_config'))
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self._api_async: ccxt_async.Exchange = self._init_ccxt(
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exchange_config, ccxt_async, ccxt_kwargs=exchange_config.get('ccxt_async_config'))
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logger.info('Using Exchange "%s"', self.name)
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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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# 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_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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if config.get('ticker_interval'):
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# Check if timeframe is available
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self.validate_timeframes(config['ticker_interval'])
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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, ccxt_module=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 name not in ccxt_module.exchanges:
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raise OperationalException(f'Exchange {name} is not supported')
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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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'enableRateLimit': exchange_config.get('ccxt_rate_limit', True)
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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):
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raise OperationalException(f'Exchange {name} is not supported')
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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 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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def klines(self, pair_interval: Tuple[str, str], copy=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, exchange_config: dict, name: str):
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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=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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self._api.load_markets(reload=True)
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self._last_markets_refresh = arrow.utcnow().timestamp
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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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Raises OperationalException if one pair is not available.
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:param pairs: list of pairs
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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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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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def validate_timeframes(self, timeframe: List[str]) -> None:
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"""
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Checks if ticker interval from config is a supported timeframe on the exchange
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"""
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timeframes = self._api.timeframes
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if timeframe not in timeframes:
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raise OperationalException(
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f'Invalid ticker {timeframe}, this Exchange supports {timeframes}')
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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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'On exchange stoploss is not supported for %s.' % 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 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 symbol_amount_prec(self, pair, amount: 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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Rounded down
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'''
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if self.markets[pair]['precision']['amount']:
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symbol_prec = self.markets[pair]['precision']['amount']
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big_amount = amount * pow(10, symbol_prec)
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amount = floor(big_amount) / pow(10, symbol_prec)
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return amount
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def symbol_price_prec(self, pair, price: float):
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'''
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Returns the price buying or selling with to the precision the Exchange accepts
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Rounds up
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'''
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if self.markets[pair]['precision']['price']:
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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 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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dry_order = { # TODO: additional entry should be added for stoploss limit
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"id": order_id,
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'pair': pair,
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'price': rate,
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'amount': amount,
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"cost": amount * rate,
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'type': ordertype,
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'side': side,
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'remaining': amount,
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'datetime': arrow.utcnow().isoformat(),
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'status': "open",
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'fee': None,
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"info": {}
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}
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self._store_dry_order(dry_order)
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return dry_order
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def _store_dry_order(self, dry_order: Dict) -> None:
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closed_order = dry_order.copy()
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if closed_order["type"] in ["market", "limit"]:
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closed_order.update({
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"status": "closed",
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"filled": closed_order["amount"],
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"remaining": 0
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})
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self._dry_run_open_orders[closed_order["id"]] = closed_order
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def create_order(self, pair: str, ordertype: str, side: str, amount: float,
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rate: float, params: Dict = {}) -> Dict:
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try:
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# Set the precision for amount and price(rate) as accepted by the exchange
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amount = self.symbol_amount_prec(pair, amount)
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rate = self.symbol_price_prec(pair, rate) if ordertype != 'market' else None
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return self._api.create_order(pair, ordertype, side,
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amount, rate, params)
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except ccxt.InsufficientFunds as e:
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raise DependencyException(
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f'Insufficient funds to create {ordertype} {side} order on market {pair}.'
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f'Tried to {side} amount {amount} at rate {rate} (total {rate*amount}).'
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f'Message: {e}')
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except ccxt.InvalidOrder as e:
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raise DependencyException(
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f'Could not create {ordertype} {side} order on market {pair}.'
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f'Tried to {side} amount {amount} at rate {rate} (total {rate*amount}).'
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f'Message: {e}')
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except (ccxt.NetworkError, ccxt.ExchangeError) as e:
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raise TemporaryError(
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f'Could not place {side} order due to {e.__class__.__name__}. Message: {e}')
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except ccxt.BaseError as e:
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raise OperationalException(e)
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def buy(self, pair: str, ordertype: str, amount: float,
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rate: float, time_in_force) -> Dict:
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if self._config['dry_run']:
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dry_order = self.dry_run_order(pair, ordertype, "buy", amount, rate)
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return dry_order
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params = self._params.copy()
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if time_in_force != 'gtc' and ordertype != 'market':
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params.update({'timeInForce': time_in_force})
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return self.create_order(pair, ordertype, 'buy', amount, rate, params)
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def sell(self, pair: str, ordertype: str, amount: float,
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rate: float, time_in_force='gtc') -> Dict:
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if self._config['dry_run']:
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dry_order = self.dry_run_order(pair, ordertype, "sell", amount, rate)
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return dry_order
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params = self._params.copy()
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if time_in_force != 'gtc' and ordertype != 'market':
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params.update({'timeInForce': time_in_force})
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return self.create_order(pair, ordertype, 'sell', amount, rate, params)
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def stoploss_limit(self, pair: str, amount: float, stop_price: float, rate: float) -> Dict:
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"""
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creates a stoploss limit order.
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NOTICE: it is not supported by all exchanges. only binance is tested for now.
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TODO: implementation maybe needs to be moved to the binance subclass
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"""
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ordertype = "stop_loss_limit"
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stop_price = self.symbol_price_prec(pair, stop_price)
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# Ensure rate is less than stop price
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if stop_price <= rate:
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raise OperationalException(
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'In stoploss limit order, stop price should be more than limit price')
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if self._config['dry_run']:
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dry_order = self.dry_run_order(
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pair, ordertype, "sell", amount, stop_price)
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return dry_order
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params = self._params.copy()
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params.update({'stopPrice': stop_price})
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order = self.create_order(pair, ordertype, 'sell', amount, rate, params)
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logger.info('stoploss limit order added for %s. '
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'stop price: %s. limit: %s' % (pair, stop_price, rate))
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return order
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@retrier
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def get_balance(self, currency: str) -> float:
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if self._config['dry_run']:
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return constants.DRY_RUN_WALLET
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# ccxt exception is already handled by get_balances
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balances = self.get_balances()
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balance = balances.get(currency)
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if balance is None:
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raise TemporaryError(
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f'Could not get {currency} balance due to malformed exchange response: {balances}')
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return balance['free']
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@retrier
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def get_balances(self) -> dict:
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if self._config['dry_run']:
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return {}
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try:
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balances = self._api.fetch_balance()
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# Remove additional info from ccxt results
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balances.pop("info", None)
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balances.pop("free", None)
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balances.pop("total", None)
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balances.pop("used", None)
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return balances
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except (ccxt.NetworkError, ccxt.ExchangeError) as e:
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raise TemporaryError(
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f'Could not get balance due to {e.__class__.__name__}. Message: {e}')
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except ccxt.BaseError as e:
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raise OperationalException(e)
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@retrier
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def get_tickers(self) -> Dict:
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try:
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return self._api.fetch_tickers()
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except ccxt.NotSupported as e:
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raise OperationalException(
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f'Exchange {self._api.name} does not support fetching tickers in batch.'
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f'Message: {e}')
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except (ccxt.NetworkError, ccxt.ExchangeError) as e:
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raise TemporaryError(
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f'Could not load tickers due to {e.__class__.__name__}. Message: {e}')
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except ccxt.BaseError as e:
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raise OperationalException(e)
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@retrier
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def get_ticker(self, pair: str, refresh: Optional[bool] = True) -> dict:
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if refresh or pair not in self._cached_ticker.keys():
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try:
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if pair not in self._api.markets:
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raise DependencyException(f"Pair {pair} not available")
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data = self._api.fetch_ticker(pair)
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try:
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self._cached_ticker[pair] = {
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'bid': float(data['bid']),
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'ask': float(data['ask']),
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}
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except KeyError:
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logger.debug("Could not cache ticker data for %s", pair)
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return data
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except (ccxt.NetworkError, ccxt.ExchangeError) as e:
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raise TemporaryError(
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f'Could not load ticker due to {e.__class__.__name__}. Message: {e}')
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except ccxt.BaseError as e:
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raise OperationalException(e)
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else:
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logger.info("returning cached ticker-data for %s", pair)
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return self._cached_ticker[pair]
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def get_history(self, pair: str, tick_interval: str,
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since_ms: int) -> List:
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"""
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Gets candle history using asyncio and returns the list of candles.
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Handles all async doing.
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"""
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return asyncio.get_event_loop().run_until_complete(
|
|
self._async_get_history(pair=pair, tick_interval=tick_interval,
|
|
since_ms=since_ms))
|
|
|
|
async def _async_get_history(self, pair: str,
|
|
tick_interval: str,
|
|
since_ms: int) -> List:
|
|
# Assume exchange returns 500 candles
|
|
_LIMIT = 500
|
|
|
|
one_call = constants.TICKER_INTERVAL_MINUTES[tick_interval] * 60 * _LIMIT * 1000
|
|
logger.debug("one_call: %s", one_call)
|
|
input_coroutines = [self._async_get_candle_history(
|
|
pair, tick_interval, since) for since in
|
|
range(since_ms, arrow.utcnow().timestamp * 1000, one_call)]
|
|
|
|
tickers = await asyncio.gather(*input_coroutines, return_exceptions=True)
|
|
|
|
# Combine tickers
|
|
data: List = []
|
|
for p, ticker_interval, ticker in tickers:
|
|
if p == pair:
|
|
data.extend(ticker)
|
|
# Sort data again after extending the result - above calls return in "async order"
|
|
data = sorted(data, key=lambda x: x[0])
|
|
logger.info("downloaded %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 asyncronously and set `_klines` with the result
|
|
"""
|
|
logger.debug("Refreshing ohlcv data for %d pairs", len(pair_list))
|
|
|
|
input_coroutines = []
|
|
|
|
# Gather coroutines to run
|
|
for pair, ticker_interval in set(pair_list):
|
|
if (not ((pair, ticker_interval) in self._klines)
|
|
or self._now_is_time_to_refresh(pair, ticker_interval)):
|
|
input_coroutines.append(self._async_get_candle_history(pair, ticker_interval))
|
|
else:
|
|
logger.debug("Using cached ohlcv data for %s, %s ...", pair, ticker_interval)
|
|
|
|
tickers = asyncio.get_event_loop().run_until_complete(
|
|
asyncio.gather(*input_coroutines, return_exceptions=True))
|
|
|
|
# handle caching
|
|
for res in tickers:
|
|
if isinstance(res, Exception):
|
|
logger.warning("Async code raised an exception: %s", res.__class__.__name__)
|
|
continue
|
|
pair = res[0]
|
|
tick_interval = res[1]
|
|
ticks = res[2]
|
|
# keeping last candle time as last refreshed time of the pair
|
|
if ticks:
|
|
self._pairs_last_refresh_time[(pair, tick_interval)] = ticks[-1][0] // 1000
|
|
# keeping parsed dataframe in cache
|
|
self._klines[(pair, tick_interval)] = parse_ticker_dataframe(
|
|
ticks, tick_interval, fill_missing=True)
|
|
return tickers
|
|
|
|
def _now_is_time_to_refresh(self, pair: str, ticker_interval: str) -> bool:
|
|
# Calculating ticker interval in seconds
|
|
interval_in_sec = constants.TICKER_INTERVAL_MINUTES[ticker_interval] * 60
|
|
|
|
return not ((self._pairs_last_refresh_time.get((pair, ticker_interval), 0)
|
|
+ interval_in_sec) >= arrow.utcnow().timestamp)
|
|
|
|
@retrier_async
|
|
async def _async_get_candle_history(self, pair: str, tick_interval: str,
|
|
since_ms: Optional[int] = None) -> Tuple[str, str, List]:
|
|
"""
|
|
Asyncronously gets candle histories using fetch_ohlcv
|
|
returns tuple: (pair, tick_interval, ohlcv_list)
|
|
"""
|
|
try:
|
|
# fetch ohlcv asynchronously
|
|
logger.debug("fetching %s, %s since %s ...", pair, tick_interval, since_ms)
|
|
|
|
data = await self._api_async.fetch_ohlcv(pair, timeframe=tick_interval,
|
|
since=since_ms)
|
|
|
|
# Because some exchange sort Tickers ASC and other DESC.
|
|
# Ex: Bittrex returns a list of tickers ASC (oldest first, newest last)
|
|
# when GDAX returns a list of tickers DESC (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, tick_interval, []
|
|
logger.debug("done fetching %s, %s ...", pair, tick_interval)
|
|
return pair, tick_interval, data
|
|
|
|
except ccxt.NotSupported as e:
|
|
raise OperationalException(
|
|
f'Exchange {self._api.name} does not support fetching historical candlestick data.'
|
|
f'Message: {e}')
|
|
except (ccxt.NetworkError, ccxt.ExchangeError) as e:
|
|
raise TemporaryError(
|
|
f'Could not load ticker history due to {e.__class__.__name__}. Message: {e}')
|
|
except ccxt.BaseError as e:
|
|
raise OperationalException(f'Could not fetch ticker data. Msg: {e}')
|
|
|
|
@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 DependencyException(
|
|
f'Could not cancel order. Message: {e}')
|
|
except (ccxt.NetworkError, ccxt.ExchangeError) as e:
|
|
raise TemporaryError(
|
|
f'Could not cancel order due to {e.__class__.__name__}. Message: {e}')
|
|
except ccxt.BaseError as e:
|
|
raise OperationalException(e)
|
|
|
|
@retrier
|
|
def get_order(self, order_id: str, pair: str) -> Dict:
|
|
if self._config['dry_run']:
|
|
order = self._dry_run_open_orders[order_id]
|
|
return order
|
|
try:
|
|
return self._api.fetch_order(order_id, pair)
|
|
except ccxt.InvalidOrder as e:
|
|
raise DependencyException(
|
|
f'Could not get order. Message: {e}')
|
|
except (ccxt.NetworkError, ccxt.ExchangeError) as e:
|
|
raise TemporaryError(
|
|
f'Could not get order due to {e.__class__.__name__}. Message: {e}')
|
|
except ccxt.BaseError as e:
|
|
raise OperationalException(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}')
|
|
except (ccxt.NetworkError, ccxt.ExchangeError) as e:
|
|
raise TemporaryError(
|
|
f'Could not get order book due to {e.__class__.__name__}. Message: {e}')
|
|
except ccxt.BaseError as e:
|
|
raise OperationalException(e)
|
|
|
|
@retrier
|
|
def get_trades_for_order(self, order_id: str, pair: str, since: datetime) -> List:
|
|
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)
|
|
my_trades = self._api.fetch_my_trades(pair, since.timestamp() - 5)
|
|
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}')
|
|
except ccxt.BaseError as e:
|
|
raise OperationalException(e)
|
|
|
|
@retrier
|
|
def get_fee(self, symbol='ETH/BTC', type='', side='', amount=1,
|
|
price=1, taker_or_maker='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}')
|
|
except ccxt.BaseError as e:
|
|
raise OperationalException(e)
|