1482 lines
65 KiB
Python
1482 lines
65 KiB
Python
"""
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Freqtrade is the main module of this bot. It contains the class Freqtrade()
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"""
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import copy
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import logging
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import traceback
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from datetime import datetime, timezone
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from math import isclose
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from threading import Lock
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from typing import Any, Dict, List, Optional
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import arrow
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from cachetools import TTLCache
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from freqtrade import __version__, constants
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from freqtrade.configuration import validate_config_consistency
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from freqtrade.data.converter import order_book_to_dataframe
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from freqtrade.data.dataprovider import DataProvider
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from freqtrade.edge import Edge
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from freqtrade.exceptions import (DependencyException, ExchangeError, InsufficientFundsError,
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InvalidOrderException, PricingError)
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from freqtrade.exchange import timeframe_to_minutes, timeframe_to_seconds
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from freqtrade.misc import safe_value_fallback, safe_value_fallback2
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from freqtrade.mixins import LoggingMixin
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from freqtrade.persistence import Order, PairLocks, Trade, cleanup_db, init_db
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from freqtrade.plugins.pairlistmanager import PairListManager
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from freqtrade.plugins.protectionmanager import ProtectionManager
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from freqtrade.resolvers import ExchangeResolver, StrategyResolver
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from freqtrade.rpc import RPCManager, RPCMessageType
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from freqtrade.state import State
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from freqtrade.strategy.interface import IStrategy, SellCheckTuple, SellType
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from freqtrade.strategy.strategy_wrapper import strategy_safe_wrapper
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from freqtrade.wallets import Wallets
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logger = logging.getLogger(__name__)
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class FreqtradeBot(LoggingMixin):
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"""
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Freqtrade is the main class of the bot.
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This is from here the bot start its logic.
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"""
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def __init__(self, config: Dict[str, Any]) -> None:
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"""
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Init all variables and objects the bot needs to work
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:param config: configuration dict, you can use Configuration.get_config()
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to get the config dict.
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"""
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logger.info('Starting freqtrade %s', __version__)
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# Init bot state
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self.state = State.STOPPED
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# Init objects
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self.config = config
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# Cache values for 1800 to avoid frequent polling of the exchange for prices
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# Caching only applies to RPC methods, so prices for open trades are still
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# refreshed once every iteration.
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self._sell_rate_cache: TTLCache = TTLCache(maxsize=100, ttl=1800)
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self._buy_rate_cache: TTLCache = TTLCache(maxsize=100, ttl=1800)
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self.strategy: IStrategy = StrategyResolver.load_strategy(self.config)
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# Check config consistency here since strategies can set certain options
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validate_config_consistency(config)
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self.exchange = ExchangeResolver.load_exchange(self.config['exchange']['name'], self.config)
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init_db(self.config.get('db_url', None), clean_open_orders=self.config['dry_run'])
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self.wallets = Wallets(self.config, self.exchange)
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PairLocks.timeframe = self.config['timeframe']
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self.pairlists = PairListManager(self.exchange, self.config)
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self.dataprovider = DataProvider(self.config, self.exchange, self.pairlists)
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self.protections = ProtectionManager(self.config)
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# Attach Dataprovider to Strategy baseclass
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IStrategy.dp = self.dataprovider
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# Attach Wallets to Strategy baseclass
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IStrategy.wallets = self.wallets
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# Initializing Edge only if enabled
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self.edge = Edge(self.config, self.exchange, self.strategy) if \
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self.config.get('edge', {}).get('enabled', False) else None
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self.active_pair_whitelist = self._refresh_active_whitelist()
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# Set initial bot state from config
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initial_state = self.config.get('initial_state')
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self.state = State[initial_state.upper()] if initial_state else State.STOPPED
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# RPC runs in separate threads, can start handling external commands just after
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# initialization, even before Freqtradebot has a chance to start its throttling,
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# so anything in the Freqtradebot instance should be ready (initialized), including
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# the initial state of the bot.
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# Keep this at the end of this initialization method.
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self.rpc: RPCManager = RPCManager(self)
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# Protect sell-logic from forcesell and viceversa
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self._sell_lock = Lock()
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LoggingMixin.__init__(self, logger, timeframe_to_seconds(self.strategy.timeframe))
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def notify_status(self, msg: str) -> None:
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"""
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Public method for users of this class (worker, etc.) to send notifications
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via RPC about changes in the bot status.
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"""
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self.rpc.send_msg({
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'type': RPCMessageType.STATUS,
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'status': msg
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})
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def cleanup(self) -> None:
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"""
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Cleanup pending resources on an already stopped bot
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:return: None
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"""
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logger.info('Cleaning up modules ...')
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if self.config['cancel_open_orders_on_exit']:
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self.cancel_all_open_orders()
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self.check_for_open_trades()
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self.rpc.cleanup()
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cleanup_db()
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def startup(self) -> None:
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"""
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Called on startup and after reloading the bot - triggers notifications and
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performs startup tasks
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"""
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self.rpc.startup_messages(self.config, self.pairlists, self.protections)
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if not self.edge:
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# Adjust stoploss if it was changed
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Trade.stoploss_reinitialization(self.strategy.stoploss)
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# Only update open orders on startup
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# This will update the database after the initial migration
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self.update_open_orders()
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def process(self) -> None:
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"""
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Queries the persistence layer for open trades and handles them,
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otherwise a new trade is created.
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:return: True if one or more trades has been created or closed, False otherwise
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"""
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# Check whether markets have to be reloaded and reload them when it's needed
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self.exchange.reload_markets()
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self.update_closed_trades_without_assigned_fees()
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# Query trades from persistence layer
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trades = Trade.get_open_trades()
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self.active_pair_whitelist = self._refresh_active_whitelist(trades)
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# Refreshing candles
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self.dataprovider.refresh(self.pairlists.create_pair_list(self.active_pair_whitelist),
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self.strategy.informative_pairs())
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strategy_safe_wrapper(self.strategy.bot_loop_start, supress_error=True)()
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self.strategy.analyze(self.active_pair_whitelist)
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with self._sell_lock:
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# Check and handle any timed out open orders
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self.check_handle_timedout()
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# Protect from collisions with forcesell.
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# Without this, freqtrade my try to recreate stoploss_on_exchange orders
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# while selling is in process, since telegram messages arrive in an different thread.
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with self._sell_lock:
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trades = Trade.get_open_trades()
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# First process current opened trades (positions)
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self.exit_positions(trades)
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# Then looking for buy opportunities
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if self.get_free_open_trades():
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self.enter_positions()
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Trade.query.session.flush()
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def process_stopped(self) -> None:
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"""
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Close all orders that were left open
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"""
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if self.config['cancel_open_orders_on_exit']:
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self.cancel_all_open_orders()
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def check_for_open_trades(self):
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"""
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Notify the user when the bot is stopped
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and there are still open trades active.
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"""
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open_trades = Trade.get_trades([Trade.is_open.is_(True)]).all()
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if len(open_trades) != 0:
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msg = {
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'type': RPCMessageType.WARNING,
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'status': f"{len(open_trades)} open trades active.\n\n"
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f"Handle these trades manually on {self.exchange.name}, "
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f"or '/start' the bot again and use '/stopbuy' "
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f"to handle open trades gracefully. \n"
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f"{'Trades are simulated.' if self.config['dry_run'] else ''}",
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}
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self.rpc.send_msg(msg)
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def _refresh_active_whitelist(self, trades: List[Trade] = []) -> List[str]:
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"""
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Refresh active whitelist from pairlist or edge and extend it with
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pairs that have open trades.
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"""
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# Refresh whitelist
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self.pairlists.refresh_pairlist()
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_whitelist = self.pairlists.whitelist
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# Calculating Edge positioning
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if self.edge:
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self.edge.calculate(_whitelist)
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_whitelist = self.edge.adjust(_whitelist)
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if trades:
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# Extend active-pair whitelist with pairs of open trades
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# It ensures that candle (OHLCV) data are downloaded for open trades as well
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_whitelist.extend([trade.pair for trade in trades if trade.pair not in _whitelist])
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return _whitelist
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def get_free_open_trades(self) -> int:
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"""
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Return the number of free open trades slots or 0 if
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max number of open trades reached
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"""
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open_trades = len(Trade.get_open_trades())
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return max(0, self.config['max_open_trades'] - open_trades)
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def update_open_orders(self):
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"""
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Updates open orders based on order list kept in the database.
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Mainly updates the state of orders - but may also close trades
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"""
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if self.config['dry_run'] or self.config['exchange'].get('skip_open_order_update', False):
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# Updating open orders in dry-run does not make sense and will fail.
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return
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orders = Order.get_open_orders()
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logger.info(f"Updating {len(orders)} open orders.")
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for order in orders:
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try:
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fo = self.exchange.fetch_order_or_stoploss_order(order.order_id, order.ft_pair,
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order.ft_order_side == 'stoploss')
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self.update_trade_state(order.trade, order.order_id, fo)
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except ExchangeError as e:
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logger.warning(f"Error updating Order {order.order_id} due to {e}")
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def update_closed_trades_without_assigned_fees(self):
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"""
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Update closed trades without close fees assigned.
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Only acts when Orders are in the database, otherwise the last order-id is unknown.
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"""
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if self.config['dry_run']:
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# Updating open orders in dry-run does not make sense and will fail.
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return
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trades: List[Trade] = Trade.get_sold_trades_without_assigned_fees()
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for trade in trades:
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if not trade.is_open and not trade.fee_updated('sell'):
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# Get sell fee
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order = trade.select_order('sell', False)
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if order:
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logger.info(f"Updating sell-fee on trade {trade} for order {order.order_id}.")
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self.update_trade_state(trade, order.order_id,
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stoploss_order=order.ft_order_side == 'stoploss')
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trades: List[Trade] = Trade.get_open_trades_without_assigned_fees()
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for trade in trades:
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if trade.is_open and not trade.fee_updated('buy'):
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order = trade.select_order('buy', False)
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if order:
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logger.info(f"Updating buy-fee on trade {trade} for order {order.order_id}.")
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self.update_trade_state(trade, order.order_id)
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def handle_insufficient_funds(self, trade: Trade):
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"""
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Determine if we ever opened a sell order for this trade.
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If not, try update buy fees - otherwise "refind" the open order we obviously lost.
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"""
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sell_order = trade.select_order('sell', None)
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if sell_order:
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self.refind_lost_order(trade)
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else:
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self.reupdate_buy_order_fees(trade)
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def reupdate_buy_order_fees(self, trade: Trade):
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"""
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Get buy order from database, and try to reupdate.
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Handles trades where the initial fee-update did not work.
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"""
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logger.info(f"Trying to reupdate buy fees for {trade}")
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order = trade.select_order('buy', False)
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if order:
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logger.info(f"Updating buy-fee on trade {trade} for order {order.order_id}.")
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self.update_trade_state(trade, order.order_id)
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def refind_lost_order(self, trade):
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"""
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Try refinding a lost trade.
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Only used when InsufficientFunds appears on sell orders (stoploss or sell).
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Tries to walk the stored orders and sell them off eventually.
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"""
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logger.info(f"Trying to refind lost order for {trade}")
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for order in trade.orders:
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logger.info(f"Trying to refind {order}")
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fo = None
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if not order.ft_is_open:
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logger.debug(f"Order {order} is no longer open.")
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continue
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if order.ft_order_side == 'buy':
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# Skip buy side - this is handled by reupdate_buy_order_fees
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continue
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try:
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fo = self.exchange.fetch_order_or_stoploss_order(order.order_id, order.ft_pair,
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order.ft_order_side == 'stoploss')
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if order.ft_order_side == 'stoploss':
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if fo and fo['status'] == 'open':
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# Assume this as the open stoploss order
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trade.stoploss_order_id = order.order_id
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elif order.ft_order_side == 'sell':
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if fo and fo['status'] == 'open':
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# Assume this as the open order
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trade.open_order_id = order.order_id
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if fo:
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logger.info(f"Found {order} for trade {trade}.jj")
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self.update_trade_state(trade, order.order_id, fo,
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stoploss_order=order.ft_order_side == 'stoploss')
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except ExchangeError:
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logger.warning(f"Error updating {order.order_id}.")
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#
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# BUY / enter positions / open trades logic and methods
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#
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def enter_positions(self) -> int:
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"""
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Tries to execute buy orders for new trades (positions)
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"""
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trades_created = 0
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whitelist = copy.deepcopy(self.active_pair_whitelist)
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if not whitelist:
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logger.info("Active pair whitelist is empty.")
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return trades_created
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# Remove pairs for currently opened trades from the whitelist
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for trade in Trade.get_open_trades():
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if trade.pair in whitelist:
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whitelist.remove(trade.pair)
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logger.debug('Ignoring %s in pair whitelist', trade.pair)
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if not whitelist:
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logger.info("No currency pair in active pair whitelist, "
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"but checking to sell open trades.")
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return trades_created
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if PairLocks.is_global_lock():
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lock = PairLocks.get_pair_longest_lock('*')
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if lock:
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self.log_once(f"Global pairlock active until "
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f"{lock.lock_end_time.strftime(constants.DATETIME_PRINT_FORMAT)}. "
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f"Not creating new trades, reason: {lock.reason}.", logger.info)
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else:
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self.log_once("Global pairlock active. Not creating new trades.", logger.info)
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return trades_created
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# Create entity and execute trade for each pair from whitelist
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for pair in whitelist:
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try:
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trades_created += self.create_trade(pair)
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except DependencyException as exception:
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logger.warning('Unable to create trade for %s: %s', pair, exception)
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if not trades_created:
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logger.debug("Found no buy signals for whitelisted currencies. Trying again...")
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return trades_created
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def get_buy_rate(self, pair: str, refresh: bool) -> float:
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"""
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Calculates bid target between current ask price and last price
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:param pair: Pair to get rate for
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:param refresh: allow cached data
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:return: float: Price
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"""
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if not refresh:
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rate = self._buy_rate_cache.get(pair)
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# Check if cache has been invalidated
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if rate:
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logger.debug(f"Using cached buy rate for {pair}.")
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return rate
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bid_strategy = self.config.get('bid_strategy', {})
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if 'use_order_book' in bid_strategy and bid_strategy.get('use_order_book', False):
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order_book_top = bid_strategy.get('order_book_top', 1)
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order_book = self.exchange.fetch_l2_order_book(pair, order_book_top)
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logger.debug('order_book %s', order_book)
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# top 1 = index 0
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try:
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rate_from_l2 = order_book[f"{bid_strategy['price_side']}s"][order_book_top - 1][0]
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except (IndexError, KeyError) as e:
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logger.warning(
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"Buy Price from orderbook could not be determined."
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f"Orderbook: {order_book}"
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)
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raise PricingError from e
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logger.info(f"Buy price from orderbook {bid_strategy['price_side'].capitalize()} side "
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f"- top {order_book_top} order book buy rate {rate_from_l2:.8f}")
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used_rate = rate_from_l2
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else:
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logger.info(f"Using Last {bid_strategy['price_side'].capitalize()} / Last Price")
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ticker = self.exchange.fetch_ticker(pair)
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ticker_rate = ticker[bid_strategy['price_side']]
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if ticker['last'] and ticker_rate > ticker['last']:
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balance = bid_strategy['ask_last_balance']
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ticker_rate = ticker_rate + balance * (ticker['last'] - ticker_rate)
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used_rate = ticker_rate
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self._buy_rate_cache[pair] = used_rate
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return used_rate
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def create_trade(self, pair: str) -> bool:
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"""
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Check the implemented trading strategy for buy signals.
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If the pair triggers the buy signal a new trade record gets created
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and the buy-order opening the trade gets issued towards the exchange.
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:return: True if a trade has been created.
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"""
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logger.debug(f"create_trade for pair {pair}")
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analyzed_df, _ = self.dataprovider.get_analyzed_dataframe(pair, self.strategy.timeframe)
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nowtime = analyzed_df.iloc[-1]['date'] if len(analyzed_df) > 0 else None
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if self.strategy.is_pair_locked(pair, nowtime):
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lock = PairLocks.get_pair_longest_lock(pair, nowtime)
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if lock:
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self.log_once(f"Pair {pair} is still locked until "
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f"{lock.lock_end_time.strftime(constants.DATETIME_PRINT_FORMAT)} "
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f"due to {lock.reason}.",
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logger.info)
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else:
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self.log_once(f"Pair {pair} is still locked.", logger.info)
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return False
|
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|
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# get_free_open_trades is checked before create_trade is called
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# but it is still used here to prevent opening too many trades within one iteration
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if not self.get_free_open_trades():
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logger.debug(f"Can't open a new trade for {pair}: max number of trades is reached.")
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return False
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|
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# running get_signal on historical data fetched
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(buy, sell) = self.strategy.get_signal(pair, self.strategy.timeframe, analyzed_df)
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if buy and not sell:
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stake_amount = self.wallets.get_trade_stake_amount(pair, self.edge)
|
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if not stake_amount:
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logger.debug(f"Stake amount is 0, ignoring possible trade for {pair}.")
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|
return False
|
|
|
|
logger.info(f"Buy signal found: about create a new trade for {pair} with stake_amount: "
|
|
f"{stake_amount} ...")
|
|
|
|
bid_check_dom = self.config.get('bid_strategy', {}).get('check_depth_of_market', {})
|
|
if ((bid_check_dom.get('enabled', False)) and
|
|
(bid_check_dom.get('bids_to_ask_delta', 0) > 0)):
|
|
if self._check_depth_of_market_buy(pair, bid_check_dom):
|
|
return self.execute_buy(pair, stake_amount)
|
|
else:
|
|
return False
|
|
|
|
return self.execute_buy(pair, stake_amount)
|
|
else:
|
|
return False
|
|
|
|
def _check_depth_of_market_buy(self, pair: str, conf: Dict) -> bool:
|
|
"""
|
|
Checks depth of market before executing a buy
|
|
"""
|
|
conf_bids_to_ask_delta = conf.get('bids_to_ask_delta', 0)
|
|
logger.info(f"Checking depth of market for {pair} ...")
|
|
order_book = self.exchange.fetch_l2_order_book(pair, 1000)
|
|
order_book_data_frame = order_book_to_dataframe(order_book['bids'], order_book['asks'])
|
|
order_book_bids = order_book_data_frame['b_size'].sum()
|
|
order_book_asks = order_book_data_frame['a_size'].sum()
|
|
bids_ask_delta = order_book_bids / order_book_asks
|
|
logger.info(
|
|
f"Bids: {order_book_bids}, Asks: {order_book_asks}, Delta: {bids_ask_delta}, "
|
|
f"Bid Price: {order_book['bids'][0][0]}, Ask Price: {order_book['asks'][0][0]}, "
|
|
f"Immediate Bid Quantity: {order_book['bids'][0][1]}, "
|
|
f"Immediate Ask Quantity: {order_book['asks'][0][1]}."
|
|
)
|
|
if bids_ask_delta >= conf_bids_to_ask_delta:
|
|
logger.info(f"Bids to asks delta for {pair} DOES satisfy condition.")
|
|
return True
|
|
else:
|
|
logger.info(f"Bids to asks delta for {pair} does not satisfy condition.")
|
|
return False
|
|
|
|
def execute_buy(self, pair: str, stake_amount: float, price: Optional[float] = None,
|
|
forcebuy: bool = False) -> bool:
|
|
"""
|
|
Executes a limit buy for the given pair
|
|
:param pair: pair for which we want to create a LIMIT_BUY
|
|
:return: True if a buy order is created, false if it fails.
|
|
"""
|
|
time_in_force = self.strategy.order_time_in_force['buy']
|
|
|
|
if price:
|
|
buy_limit_requested = price
|
|
else:
|
|
# Calculate price
|
|
buy_limit_requested = self.get_buy_rate(pair, True)
|
|
|
|
if not buy_limit_requested:
|
|
raise PricingError('Could not determine buy price.')
|
|
|
|
min_stake_amount = self.exchange.get_min_pair_stake_amount(pair, buy_limit_requested,
|
|
self.strategy.stoploss)
|
|
if min_stake_amount is not None and min_stake_amount > stake_amount:
|
|
logger.warning(
|
|
f"Can't open a new trade for {pair}: stake amount "
|
|
f"is too small ({stake_amount} < {min_stake_amount})"
|
|
)
|
|
return False
|
|
|
|
amount = stake_amount / buy_limit_requested
|
|
order_type = self.strategy.order_types['buy']
|
|
if forcebuy:
|
|
# Forcebuy can define a different ordertype
|
|
order_type = self.strategy.order_types.get('forcebuy', order_type)
|
|
|
|
if not strategy_safe_wrapper(self.strategy.confirm_trade_entry, default_retval=True)(
|
|
pair=pair, order_type=order_type, amount=amount, rate=buy_limit_requested,
|
|
time_in_force=time_in_force, current_time=datetime.now(timezone.utc)):
|
|
logger.info(f"User requested abortion of buying {pair}")
|
|
return False
|
|
amount = self.exchange.amount_to_precision(pair, amount)
|
|
order = self.exchange.buy(pair=pair, ordertype=order_type,
|
|
amount=amount, rate=buy_limit_requested,
|
|
time_in_force=time_in_force)
|
|
order_obj = Order.parse_from_ccxt_object(order, pair, 'buy')
|
|
order_id = order['id']
|
|
order_status = order.get('status', None)
|
|
|
|
# we assume the order is executed at the price requested
|
|
buy_limit_filled_price = buy_limit_requested
|
|
amount_requested = amount
|
|
|
|
if order_status == 'expired' or order_status == 'rejected':
|
|
order_tif = self.strategy.order_time_in_force['buy']
|
|
|
|
# return false if the order is not filled
|
|
if float(order['filled']) == 0:
|
|
logger.warning('Buy %s order with time in force %s for %s is %s by %s.'
|
|
' zero amount is fulfilled.',
|
|
order_tif, order_type, pair, order_status, self.exchange.name)
|
|
return False
|
|
else:
|
|
# the order is partially fulfilled
|
|
# in case of IOC orders we can check immediately
|
|
# if the order is fulfilled fully or partially
|
|
logger.warning('Buy %s order with time in force %s for %s is %s by %s.'
|
|
' %s amount fulfilled out of %s (%s remaining which is canceled).',
|
|
order_tif, order_type, pair, order_status, self.exchange.name,
|
|
order['filled'], order['amount'], order['remaining']
|
|
)
|
|
stake_amount = order['cost']
|
|
amount = safe_value_fallback(order, 'filled', 'amount')
|
|
buy_limit_filled_price = safe_value_fallback(order, 'average', 'price')
|
|
|
|
# in case of FOK the order may be filled immediately and fully
|
|
elif order_status == 'closed':
|
|
stake_amount = order['cost']
|
|
amount = safe_value_fallback(order, 'filled', 'amount')
|
|
buy_limit_filled_price = safe_value_fallback(order, 'average', 'price')
|
|
|
|
# Fee is applied twice because we make a LIMIT_BUY and LIMIT_SELL
|
|
fee = self.exchange.get_fee(symbol=pair, taker_or_maker='maker')
|
|
trade = Trade(
|
|
pair=pair,
|
|
stake_amount=stake_amount,
|
|
amount=amount,
|
|
is_open=True,
|
|
amount_requested=amount_requested,
|
|
fee_open=fee,
|
|
fee_close=fee,
|
|
open_rate=buy_limit_filled_price,
|
|
open_rate_requested=buy_limit_requested,
|
|
open_date=datetime.utcnow(),
|
|
exchange=self.exchange.id,
|
|
open_order_id=order_id,
|
|
strategy=self.strategy.get_strategy_name(),
|
|
timeframe=timeframe_to_minutes(self.config['timeframe'])
|
|
)
|
|
trade.orders.append(order_obj)
|
|
|
|
# Update fees if order is closed
|
|
if order_status == 'closed':
|
|
self.update_trade_state(trade, order_id, order)
|
|
|
|
Trade.query.session.add(trade)
|
|
Trade.query.session.flush()
|
|
|
|
# Updating wallets
|
|
self.wallets.update()
|
|
|
|
self._notify_buy(trade, order_type)
|
|
|
|
return True
|
|
|
|
def _notify_buy(self, trade: Trade, order_type: str) -> None:
|
|
"""
|
|
Sends rpc notification when a buy occurred.
|
|
"""
|
|
msg = {
|
|
'trade_id': trade.id,
|
|
'type': RPCMessageType.BUY,
|
|
'exchange': self.exchange.name.capitalize(),
|
|
'pair': trade.pair,
|
|
'limit': trade.open_rate,
|
|
'order_type': order_type,
|
|
'stake_amount': trade.stake_amount,
|
|
'stake_currency': self.config['stake_currency'],
|
|
'fiat_currency': self.config.get('fiat_display_currency', None),
|
|
'amount': trade.amount,
|
|
'open_date': trade.open_date or datetime.utcnow(),
|
|
'current_rate': trade.open_rate_requested,
|
|
}
|
|
|
|
# Send the message
|
|
self.rpc.send_msg(msg)
|
|
|
|
def _notify_buy_cancel(self, trade: Trade, order_type: str, reason: str) -> None:
|
|
"""
|
|
Sends rpc notification when a buy cancel occurred.
|
|
"""
|
|
current_rate = self.get_buy_rate(trade.pair, False)
|
|
|
|
msg = {
|
|
'trade_id': trade.id,
|
|
'type': RPCMessageType.BUY_CANCEL,
|
|
'exchange': self.exchange.name.capitalize(),
|
|
'pair': trade.pair,
|
|
'limit': trade.open_rate,
|
|
'order_type': order_type,
|
|
'stake_amount': trade.stake_amount,
|
|
'stake_currency': self.config['stake_currency'],
|
|
'fiat_currency': self.config.get('fiat_display_currency', None),
|
|
'amount': trade.amount,
|
|
'open_date': trade.open_date,
|
|
'current_rate': current_rate,
|
|
'reason': reason,
|
|
}
|
|
|
|
# Send the message
|
|
self.rpc.send_msg(msg)
|
|
|
|
def _notify_buy_fill(self, trade: Trade) -> None:
|
|
msg = {
|
|
'trade_id': trade.id,
|
|
'type': RPCMessageType.BUY_FILL,
|
|
'exchange': self.exchange.name.capitalize(),
|
|
'pair': trade.pair,
|
|
'open_rate': trade.open_rate,
|
|
'stake_amount': trade.stake_amount,
|
|
'stake_currency': self.config['stake_currency'],
|
|
'fiat_currency': self.config.get('fiat_display_currency', None),
|
|
'amount': trade.amount,
|
|
'open_date': trade.open_date,
|
|
}
|
|
self.rpc.send_msg(msg)
|
|
|
|
#
|
|
# SELL / exit positions / close trades logic and methods
|
|
#
|
|
|
|
def exit_positions(self, trades: List[Any]) -> int:
|
|
"""
|
|
Tries to execute sell orders for open trades (positions)
|
|
"""
|
|
trades_closed = 0
|
|
for trade in trades:
|
|
try:
|
|
|
|
if (self.strategy.order_types.get('stoploss_on_exchange') and
|
|
self.handle_stoploss_on_exchange(trade)):
|
|
trades_closed += 1
|
|
continue
|
|
# Check if we can sell our current pair
|
|
if trade.open_order_id is None and trade.is_open and self.handle_trade(trade):
|
|
trades_closed += 1
|
|
|
|
except DependencyException as exception:
|
|
logger.warning('Unable to sell trade %s: %s', trade.pair, exception)
|
|
|
|
# Updating wallets if any trade occurred
|
|
if trades_closed:
|
|
self.wallets.update()
|
|
|
|
return trades_closed
|
|
|
|
def _order_book_gen(self, pair: str, side: str, order_book_max: int = 1,
|
|
order_book_min: int = 1):
|
|
"""
|
|
Helper generator to query orderbook in loop (used for early sell-order placing)
|
|
"""
|
|
order_book = self.exchange.fetch_l2_order_book(pair, order_book_max)
|
|
for i in range(order_book_min, order_book_max + 1):
|
|
yield order_book[side][i - 1][0]
|
|
|
|
def get_sell_rate(self, pair: str, refresh: bool) -> float:
|
|
"""
|
|
Get sell rate - either using ticker bid or first bid based on orderbook
|
|
The orderbook portion is only used for rpc messaging, which would otherwise fail
|
|
for BitMex (has no bid/ask in fetch_ticker)
|
|
or remain static in any other case since it's not updating.
|
|
:param pair: Pair to get rate for
|
|
:param refresh: allow cached data
|
|
:return: Bid rate
|
|
"""
|
|
if not refresh:
|
|
rate = self._sell_rate_cache.get(pair)
|
|
# Check if cache has been invalidated
|
|
if rate:
|
|
logger.debug(f"Using cached sell rate for {pair}.")
|
|
return rate
|
|
|
|
ask_strategy = self.config.get('ask_strategy', {})
|
|
if ask_strategy.get('use_order_book', False):
|
|
# This code is only used for notifications, selling uses the generator directly
|
|
logger.info(
|
|
f"Getting price from order book {ask_strategy['price_side'].capitalize()} side."
|
|
)
|
|
try:
|
|
rate = next(self._order_book_gen(pair, f"{ask_strategy['price_side']}s"))
|
|
except (IndexError, KeyError) as e:
|
|
logger.warning("Sell Price at location from orderbook could not be determined.")
|
|
raise PricingError from e
|
|
else:
|
|
ticker = self.exchange.fetch_ticker(pair)
|
|
ticker_rate = ticker[ask_strategy['price_side']]
|
|
if ticker['last'] and ticker_rate < ticker['last']:
|
|
balance = ask_strategy.get('bid_last_balance', 0.0)
|
|
ticker_rate = ticker_rate - balance * (ticker_rate - ticker['last'])
|
|
rate = ticker_rate
|
|
|
|
if rate is None:
|
|
raise PricingError(f"Sell-Rate for {pair} was empty.")
|
|
self._sell_rate_cache[pair] = rate
|
|
return rate
|
|
|
|
def handle_trade(self, trade: Trade) -> bool:
|
|
"""
|
|
Sells the current pair if the threshold is reached and updates the trade record.
|
|
:return: True if trade has been sold, False otherwise
|
|
"""
|
|
if not trade.is_open:
|
|
raise DependencyException(f'Attempt to handle closed trade: {trade}')
|
|
|
|
logger.debug('Handling %s ...', trade)
|
|
|
|
(buy, sell) = (False, False)
|
|
|
|
config_ask_strategy = self.config.get('ask_strategy', {})
|
|
|
|
if (config_ask_strategy.get('use_sell_signal', True) or
|
|
config_ask_strategy.get('ignore_roi_if_buy_signal', False)):
|
|
analyzed_df, _ = self.dataprovider.get_analyzed_dataframe(trade.pair,
|
|
self.strategy.timeframe)
|
|
|
|
(buy, sell) = self.strategy.get_signal(trade.pair, self.strategy.timeframe, analyzed_df)
|
|
|
|
if config_ask_strategy.get('use_order_book', False):
|
|
order_book_min = config_ask_strategy.get('order_book_min', 1)
|
|
order_book_max = config_ask_strategy.get('order_book_max', 1)
|
|
logger.debug(f'Using order book between {order_book_min} and {order_book_max} '
|
|
f'for selling {trade.pair}...')
|
|
|
|
order_book = self._order_book_gen(trade.pair, f"{config_ask_strategy['price_side']}s",
|
|
order_book_min=order_book_min,
|
|
order_book_max=order_book_max)
|
|
for i in range(order_book_min, order_book_max + 1):
|
|
try:
|
|
sell_rate = next(order_book)
|
|
except (IndexError, KeyError) as e:
|
|
logger.warning(
|
|
f"Sell Price at location {i} from orderbook could not be determined."
|
|
)
|
|
raise PricingError from e
|
|
logger.debug(f" order book {config_ask_strategy['price_side']} top {i}: "
|
|
f"{sell_rate:0.8f}")
|
|
# Assign sell-rate to cache - otherwise sell-rate is never updated in the cache,
|
|
# resulting in outdated RPC messages
|
|
self._sell_rate_cache[trade.pair] = sell_rate
|
|
|
|
if self._check_and_execute_sell(trade, sell_rate, buy, sell):
|
|
return True
|
|
|
|
else:
|
|
logger.debug('checking sell')
|
|
sell_rate = self.get_sell_rate(trade.pair, True)
|
|
if self._check_and_execute_sell(trade, sell_rate, buy, sell):
|
|
return True
|
|
|
|
logger.debug('Found no sell signal for %s.', trade)
|
|
return False
|
|
|
|
def create_stoploss_order(self, trade: Trade, stop_price: float) -> bool:
|
|
"""
|
|
Abstracts creating stoploss orders from the logic.
|
|
Handles errors and updates the trade database object.
|
|
Force-sells the pair (using EmergencySell reason) in case of Problems creating the order.
|
|
:return: True if the order succeeded, and False in case of problems.
|
|
"""
|
|
try:
|
|
stoploss_order = self.exchange.stoploss(pair=trade.pair, amount=trade.amount,
|
|
stop_price=stop_price,
|
|
order_types=self.strategy.order_types)
|
|
|
|
order_obj = Order.parse_from_ccxt_object(stoploss_order, trade.pair, 'stoploss')
|
|
trade.orders.append(order_obj)
|
|
trade.stoploss_order_id = str(stoploss_order['id'])
|
|
return True
|
|
except InsufficientFundsError as e:
|
|
logger.warning(f"Unable to place stoploss order {e}.")
|
|
# Try to figure out what went wrong
|
|
self.handle_insufficient_funds(trade)
|
|
|
|
except InvalidOrderException as e:
|
|
trade.stoploss_order_id = None
|
|
logger.error(f'Unable to place a stoploss order on exchange. {e}')
|
|
logger.warning('Selling the trade forcefully')
|
|
self.execute_sell(trade, trade.stop_loss, sell_reason=SellCheckTuple(
|
|
sell_type=SellType.EMERGENCY_SELL))
|
|
|
|
except ExchangeError:
|
|
trade.stoploss_order_id = None
|
|
logger.exception('Unable to place a stoploss order on exchange.')
|
|
return False
|
|
|
|
def handle_stoploss_on_exchange(self, trade: Trade) -> bool:
|
|
"""
|
|
Check if trade is fulfilled in which case the stoploss
|
|
on exchange should be added immediately if stoploss on exchange
|
|
is enabled.
|
|
"""
|
|
|
|
logger.debug('Handling stoploss on exchange %s ...', trade)
|
|
|
|
stoploss_order = None
|
|
|
|
try:
|
|
# First we check if there is already a stoploss on exchange
|
|
stoploss_order = self.exchange.fetch_stoploss_order(
|
|
trade.stoploss_order_id, trade.pair) if trade.stoploss_order_id else None
|
|
except InvalidOrderException as exception:
|
|
logger.warning('Unable to fetch stoploss order: %s', exception)
|
|
|
|
if stoploss_order:
|
|
trade.update_order(stoploss_order)
|
|
|
|
# We check if stoploss order is fulfilled
|
|
if stoploss_order and stoploss_order['status'] in ('closed', 'triggered'):
|
|
trade.sell_reason = SellType.STOPLOSS_ON_EXCHANGE.value
|
|
self.update_trade_state(trade, trade.stoploss_order_id, stoploss_order,
|
|
stoploss_order=True)
|
|
# Lock pair for one candle to prevent immediate rebuys
|
|
self.strategy.lock_pair(trade.pair, datetime.now(timezone.utc),
|
|
reason='Auto lock')
|
|
self._notify_sell(trade, "stoploss")
|
|
return True
|
|
|
|
if trade.open_order_id or not trade.is_open:
|
|
# Trade has an open Buy or Sell order, Stoploss-handling can't happen in this case
|
|
# as the Amount on the exchange is tied up in another trade.
|
|
# The trade can be closed already (sell-order fill confirmation came in this iteration)
|
|
return False
|
|
|
|
# If buy order is fulfilled but there is no stoploss, we add a stoploss on exchange
|
|
if not stoploss_order:
|
|
stoploss = self.edge.stoploss(pair=trade.pair) if self.edge else self.strategy.stoploss
|
|
stop_price = trade.open_rate * (1 + stoploss)
|
|
|
|
if self.create_stoploss_order(trade=trade, stop_price=stop_price):
|
|
trade.stoploss_last_update = datetime.utcnow()
|
|
return False
|
|
|
|
# If stoploss order is canceled for some reason we add it
|
|
if stoploss_order and stoploss_order['status'] in ('canceled', 'cancelled'):
|
|
if self.create_stoploss_order(trade=trade, stop_price=trade.stop_loss):
|
|
return False
|
|
else:
|
|
trade.stoploss_order_id = None
|
|
logger.warning('Stoploss order was cancelled, but unable to recreate one.')
|
|
|
|
# Finally we check if stoploss on exchange should be moved up because of trailing.
|
|
if stoploss_order and (self.config.get('trailing_stop', False)
|
|
or self.config.get('use_custom_stoploss', False)):
|
|
# if trailing stoploss is enabled we check if stoploss value has changed
|
|
# in which case we cancel stoploss order and put another one with new
|
|
# value immediately
|
|
self.handle_trailing_stoploss_on_exchange(trade, stoploss_order)
|
|
|
|
return False
|
|
|
|
def handle_trailing_stoploss_on_exchange(self, trade: Trade, order: dict) -> None:
|
|
"""
|
|
Check to see if stoploss on exchange should be updated
|
|
in case of trailing stoploss on exchange
|
|
:param Trade: Corresponding Trade
|
|
:param order: Current on exchange stoploss order
|
|
:return: None
|
|
"""
|
|
if self.exchange.stoploss_adjust(trade.stop_loss, order):
|
|
# we check if the update is necessary
|
|
update_beat = self.strategy.order_types.get('stoploss_on_exchange_interval', 60)
|
|
if (datetime.utcnow() - trade.stoploss_last_update).total_seconds() >= update_beat:
|
|
# cancelling the current stoploss on exchange first
|
|
logger.info(f"Cancelling current stoploss on exchange for pair {trade.pair} "
|
|
f"(orderid:{order['id']}) in order to add another one ...")
|
|
try:
|
|
co = self.exchange.cancel_stoploss_order_with_result(order['id'], trade.pair,
|
|
trade.amount)
|
|
trade.update_order(co)
|
|
except InvalidOrderException:
|
|
logger.exception(f"Could not cancel stoploss order {order['id']} "
|
|
f"for pair {trade.pair}")
|
|
|
|
# Create new stoploss order
|
|
if not self.create_stoploss_order(trade=trade, stop_price=trade.stop_loss):
|
|
logger.warning(f"Could not create trailing stoploss order "
|
|
f"for pair {trade.pair}.")
|
|
|
|
def _check_and_execute_sell(self, trade: Trade, sell_rate: float,
|
|
buy: bool, sell: bool) -> bool:
|
|
"""
|
|
Check and execute sell
|
|
"""
|
|
should_sell = self.strategy.should_sell(
|
|
trade, sell_rate, datetime.now(timezone.utc), buy, sell,
|
|
force_stoploss=self.edge.stoploss(trade.pair) if self.edge else 0
|
|
)
|
|
|
|
if should_sell.sell_flag:
|
|
logger.info(f'Executing Sell for {trade.pair}. Reason: {should_sell.sell_type}')
|
|
self.execute_sell(trade, sell_rate, should_sell)
|
|
return True
|
|
return False
|
|
|
|
def _check_timed_out(self, side: str, order: dict) -> bool:
|
|
"""
|
|
Check if timeout is active, and if the order is still open and timed out
|
|
"""
|
|
timeout = self.config.get('unfilledtimeout', {}).get(side)
|
|
ordertime = arrow.get(order['datetime']).datetime
|
|
if timeout is not None:
|
|
timeout_unit = self.config.get('unfilledtimeout', {}).get('unit', 'minutes')
|
|
timeout_kwargs = {timeout_unit: -timeout}
|
|
timeout_threshold = arrow.utcnow().shift(**timeout_kwargs).datetime
|
|
return (order['status'] == 'open' and order['side'] == side
|
|
and ordertime < timeout_threshold)
|
|
return False
|
|
|
|
def check_handle_timedout(self) -> None:
|
|
"""
|
|
Check if any orders are timed out and cancel if necessary
|
|
:param timeoutvalue: Number of minutes until order is considered timed out
|
|
:return: None
|
|
"""
|
|
|
|
for trade in Trade.get_open_order_trades():
|
|
try:
|
|
if not trade.open_order_id:
|
|
continue
|
|
order = self.exchange.fetch_order(trade.open_order_id, trade.pair)
|
|
except (ExchangeError):
|
|
logger.info('Cannot query order for %s due to %s', trade, traceback.format_exc())
|
|
continue
|
|
|
|
fully_cancelled = self.update_trade_state(trade, trade.open_order_id, order)
|
|
|
|
if (order['side'] == 'buy' and (order['status'] == 'open' or fully_cancelled) and (
|
|
fully_cancelled
|
|
or self._check_timed_out('buy', order)
|
|
or strategy_safe_wrapper(self.strategy.check_buy_timeout,
|
|
default_retval=False)(pair=trade.pair,
|
|
trade=trade,
|
|
order=order))):
|
|
self.handle_cancel_buy(trade, order, constants.CANCEL_REASON['TIMEOUT'])
|
|
|
|
elif (order['side'] == 'sell' and (order['status'] == 'open' or fully_cancelled) and (
|
|
fully_cancelled
|
|
or self._check_timed_out('sell', order)
|
|
or strategy_safe_wrapper(self.strategy.check_sell_timeout,
|
|
default_retval=False)(pair=trade.pair,
|
|
trade=trade,
|
|
order=order))):
|
|
self.handle_cancel_sell(trade, order, constants.CANCEL_REASON['TIMEOUT'])
|
|
|
|
def cancel_all_open_orders(self) -> None:
|
|
"""
|
|
Cancel all orders that are currently open
|
|
:return: None
|
|
"""
|
|
|
|
for trade in Trade.get_open_order_trades():
|
|
try:
|
|
order = self.exchange.fetch_order(trade.open_order_id, trade.pair)
|
|
except (ExchangeError):
|
|
logger.info('Cannot query order for %s due to %s', trade, traceback.format_exc())
|
|
continue
|
|
|
|
if order['side'] == 'buy':
|
|
self.handle_cancel_buy(trade, order, constants.CANCEL_REASON['ALL_CANCELLED'])
|
|
|
|
elif order['side'] == 'sell':
|
|
self.handle_cancel_sell(trade, order, constants.CANCEL_REASON['ALL_CANCELLED'])
|
|
|
|
def handle_cancel_buy(self, trade: Trade, order: Dict, reason: str) -> bool:
|
|
"""
|
|
Buy cancel - cancel order
|
|
:return: True if order was fully cancelled
|
|
"""
|
|
was_trade_fully_canceled = False
|
|
|
|
# Cancelled orders may have the status of 'canceled' or 'closed'
|
|
if order['status'] not in ('cancelled', 'canceled', 'closed'):
|
|
filled_val = order.get('filled', 0.0) or 0.0
|
|
filled_stake = filled_val * trade.open_rate
|
|
minstake = self.exchange.get_min_pair_stake_amount(
|
|
trade.pair, trade.open_rate, self.strategy.stoploss)
|
|
|
|
if filled_val > 0 and filled_stake < minstake:
|
|
logger.warning(
|
|
f"Order {trade.open_order_id} for {trade.pair} not cancelled, "
|
|
f"as the filled amount of {filled_val} would result in an unsellable trade.")
|
|
return False
|
|
corder = self.exchange.cancel_order_with_result(trade.open_order_id, trade.pair,
|
|
trade.amount)
|
|
# Avoid race condition where the order could not be cancelled coz its already filled.
|
|
# Simply bailing here is the only safe way - as this order will then be
|
|
# handled in the next iteration.
|
|
if corder.get('status') not in ('cancelled', 'canceled', 'closed'):
|
|
logger.warning(f"Order {trade.open_order_id} for {trade.pair} not cancelled.")
|
|
return False
|
|
else:
|
|
# Order was cancelled already, so we can reuse the existing dict
|
|
corder = order
|
|
reason = constants.CANCEL_REASON['CANCELLED_ON_EXCHANGE']
|
|
|
|
logger.info('Buy order %s for %s.', reason, trade)
|
|
|
|
# Using filled to determine the filled amount
|
|
filled_amount = safe_value_fallback2(corder, order, 'filled', 'filled')
|
|
if isclose(filled_amount, 0.0, abs_tol=constants.MATH_CLOSE_PREC):
|
|
logger.info('Buy order fully cancelled. Removing %s from database.', trade)
|
|
# if trade is not partially completed, just delete the trade
|
|
trade.delete()
|
|
was_trade_fully_canceled = True
|
|
reason += f", {constants.CANCEL_REASON['FULLY_CANCELLED']}"
|
|
else:
|
|
# if trade is partially complete, edit the stake details for the trade
|
|
# and close the order
|
|
# cancel_order may not contain the full order dict, so we need to fallback
|
|
# to the order dict aquired before cancelling.
|
|
# we need to fall back to the values from order if corder does not contain these keys.
|
|
trade.amount = filled_amount
|
|
trade.stake_amount = trade.amount * trade.open_rate
|
|
self.update_trade_state(trade, trade.open_order_id, corder)
|
|
|
|
trade.open_order_id = None
|
|
logger.info('Partial buy order timeout for %s.', trade)
|
|
reason += f", {constants.CANCEL_REASON['PARTIALLY_FILLED']}"
|
|
|
|
self.wallets.update()
|
|
self._notify_buy_cancel(trade, order_type=self.strategy.order_types['buy'],
|
|
reason=reason)
|
|
return was_trade_fully_canceled
|
|
|
|
def handle_cancel_sell(self, trade: Trade, order: Dict, reason: str) -> str:
|
|
"""
|
|
Sell cancel - cancel order and update trade
|
|
:return: Reason for cancel
|
|
"""
|
|
# if trade is not partially completed, just cancel the order
|
|
if order['remaining'] == order['amount'] or order.get('filled') == 0.0:
|
|
if not self.exchange.check_order_canceled_empty(order):
|
|
try:
|
|
# if trade is not partially completed, just delete the order
|
|
co = self.exchange.cancel_order_with_result(trade.open_order_id, trade.pair,
|
|
trade.amount)
|
|
trade.update_order(co)
|
|
except InvalidOrderException:
|
|
logger.exception(f"Could not cancel sell order {trade.open_order_id}")
|
|
return 'error cancelling order'
|
|
logger.info('Sell order %s for %s.', reason, trade)
|
|
else:
|
|
reason = constants.CANCEL_REASON['CANCELLED_ON_EXCHANGE']
|
|
logger.info('Sell order %s for %s.', reason, trade)
|
|
trade.update_order(order)
|
|
|
|
trade.close_rate = None
|
|
trade.close_rate_requested = None
|
|
trade.close_profit = None
|
|
trade.close_profit_abs = None
|
|
trade.close_date = None
|
|
trade.is_open = True
|
|
trade.open_order_id = None
|
|
else:
|
|
# TODO: figure out how to handle partially complete sell orders
|
|
reason = constants.CANCEL_REASON['PARTIALLY_FILLED_KEEP_OPEN']
|
|
|
|
self.wallets.update()
|
|
self._notify_sell_cancel(
|
|
trade,
|
|
order_type=self.strategy.order_types['sell'],
|
|
reason=reason
|
|
)
|
|
return reason
|
|
|
|
def _safe_sell_amount(self, pair: str, amount: float) -> float:
|
|
"""
|
|
Get sellable amount.
|
|
Should be trade.amount - but will fall back to the available amount if necessary.
|
|
This should cover cases where get_real_amount() was not able to update the amount
|
|
for whatever reason.
|
|
:param pair: Pair we're trying to sell
|
|
:param amount: amount we expect to be available
|
|
:return: amount to sell
|
|
:raise: DependencyException: if available balance is not within 2% of the available amount.
|
|
"""
|
|
# Update wallets to ensure amounts tied up in a stoploss is now free!
|
|
self.wallets.update()
|
|
trade_base_currency = self.exchange.get_pair_base_currency(pair)
|
|
wallet_amount = self.wallets.get_free(trade_base_currency)
|
|
logger.debug(f"{pair} - Wallet: {wallet_amount} - Trade-amount: {amount}")
|
|
if wallet_amount >= amount:
|
|
return amount
|
|
elif wallet_amount > amount * 0.98:
|
|
logger.info(f"{pair} - Falling back to wallet-amount {wallet_amount} -> {amount}.")
|
|
return wallet_amount
|
|
else:
|
|
raise DependencyException(
|
|
f"Not enough amount to sell. Trade-amount: {amount}, Wallet: {wallet_amount}")
|
|
|
|
def execute_sell(self, trade: Trade, limit: float, sell_reason: SellCheckTuple) -> bool:
|
|
"""
|
|
Executes a limit sell for the given trade and limit
|
|
:param trade: Trade instance
|
|
:param limit: limit rate for the sell order
|
|
:param sell_reason: Reason the sell was triggered
|
|
:return: True if it succeeds (supported) False (not supported)
|
|
"""
|
|
sell_type = 'sell'
|
|
if sell_reason.sell_type in (SellType.STOP_LOSS, SellType.TRAILING_STOP_LOSS):
|
|
sell_type = 'stoploss'
|
|
|
|
# if stoploss is on exchange and we are on dry_run mode,
|
|
# we consider the sell price stop price
|
|
if self.config['dry_run'] and sell_type == 'stoploss' \
|
|
and self.strategy.order_types['stoploss_on_exchange']:
|
|
limit = trade.stop_loss
|
|
|
|
# First cancelling stoploss on exchange ...
|
|
if self.strategy.order_types.get('stoploss_on_exchange') and trade.stoploss_order_id:
|
|
try:
|
|
co = self.exchange.cancel_stoploss_order_with_result(trade.stoploss_order_id,
|
|
trade.pair, trade.amount)
|
|
trade.update_order(co)
|
|
except InvalidOrderException:
|
|
logger.exception(f"Could not cancel stoploss order {trade.stoploss_order_id}")
|
|
|
|
order_type = self.strategy.order_types[sell_type]
|
|
if sell_reason.sell_type == SellType.EMERGENCY_SELL:
|
|
# Emergency sells (default to market!)
|
|
order_type = self.strategy.order_types.get("emergencysell", "market")
|
|
if sell_reason.sell_type == SellType.FORCE_SELL:
|
|
# Force sells (default to the sell_type defined in the strategy,
|
|
# but we allow this value to be changed)
|
|
order_type = self.strategy.order_types.get("forcesell", order_type)
|
|
|
|
amount = self._safe_sell_amount(trade.pair, trade.amount)
|
|
time_in_force = self.strategy.order_time_in_force['sell']
|
|
|
|
if not strategy_safe_wrapper(self.strategy.confirm_trade_exit, default_retval=True)(
|
|
pair=trade.pair, trade=trade, order_type=order_type, amount=amount, rate=limit,
|
|
time_in_force=time_in_force, sell_reason=sell_reason.sell_reason,
|
|
current_time=datetime.now(timezone.utc)):
|
|
logger.info(f"User requested abortion of selling {trade.pair}")
|
|
return False
|
|
|
|
try:
|
|
# Execute sell and update trade record
|
|
order = self.exchange.sell(pair=trade.pair,
|
|
ordertype=order_type,
|
|
amount=amount, rate=limit,
|
|
time_in_force=time_in_force
|
|
)
|
|
except InsufficientFundsError as e:
|
|
logger.warning(f"Unable to place order {e}.")
|
|
# Try to figure out what went wrong
|
|
self.handle_insufficient_funds(trade)
|
|
return False
|
|
|
|
order_obj = Order.parse_from_ccxt_object(order, trade.pair, 'sell')
|
|
trade.orders.append(order_obj)
|
|
|
|
trade.open_order_id = order['id']
|
|
trade.sell_order_status = ''
|
|
trade.close_rate_requested = limit
|
|
trade.sell_reason = sell_reason.sell_reason
|
|
# In case of market sell orders the order can be closed immediately
|
|
if order.get('status', 'unknown') == 'closed':
|
|
self.update_trade_state(trade, trade.open_order_id, order)
|
|
Trade.query.session.flush()
|
|
|
|
# Lock pair for one candle to prevent immediate re-buys
|
|
self.strategy.lock_pair(trade.pair, datetime.now(timezone.utc),
|
|
reason='Auto lock')
|
|
|
|
self._notify_sell(trade, order_type)
|
|
|
|
return True
|
|
|
|
def _notify_sell(self, trade: Trade, order_type: str, fill: bool = False) -> None:
|
|
"""
|
|
Sends rpc notification when a sell occurred.
|
|
"""
|
|
profit_rate = trade.close_rate if trade.close_rate else trade.close_rate_requested
|
|
profit_trade = trade.calc_profit(rate=profit_rate)
|
|
# Use cached rates here - it was updated seconds ago.
|
|
current_rate = self.get_sell_rate(trade.pair, False) if not fill else None
|
|
profit_ratio = trade.calc_profit_ratio(profit_rate)
|
|
gain = "profit" if profit_ratio > 0 else "loss"
|
|
|
|
msg = {
|
|
'type': (RPCMessageType.SELL_FILL if fill
|
|
else RPCMessageType.SELL),
|
|
'trade_id': trade.id,
|
|
'exchange': trade.exchange.capitalize(),
|
|
'pair': trade.pair,
|
|
'gain': gain,
|
|
'limit': profit_rate,
|
|
'order_type': order_type,
|
|
'amount': trade.amount,
|
|
'open_rate': trade.open_rate,
|
|
'close_rate': trade.close_rate,
|
|
'current_rate': current_rate,
|
|
'profit_amount': profit_trade,
|
|
'profit_ratio': profit_ratio,
|
|
'sell_reason': trade.sell_reason,
|
|
'open_date': trade.open_date,
|
|
'close_date': trade.close_date or datetime.utcnow(),
|
|
'stake_currency': self.config['stake_currency'],
|
|
'fiat_currency': self.config.get('fiat_display_currency', None),
|
|
}
|
|
|
|
if 'fiat_display_currency' in self.config:
|
|
msg.update({
|
|
'fiat_currency': self.config['fiat_display_currency'],
|
|
})
|
|
|
|
# Send the message
|
|
self.rpc.send_msg(msg)
|
|
|
|
def _notify_sell_cancel(self, trade: Trade, order_type: str, reason: str) -> None:
|
|
"""
|
|
Sends rpc notification when a sell cancel occurred.
|
|
"""
|
|
if trade.sell_order_status == reason:
|
|
return
|
|
else:
|
|
trade.sell_order_status = reason
|
|
|
|
profit_rate = trade.close_rate if trade.close_rate else trade.close_rate_requested
|
|
profit_trade = trade.calc_profit(rate=profit_rate)
|
|
current_rate = self.get_sell_rate(trade.pair, False)
|
|
profit_ratio = trade.calc_profit_ratio(profit_rate)
|
|
gain = "profit" if profit_ratio > 0 else "loss"
|
|
|
|
msg = {
|
|
'type': RPCMessageType.SELL_CANCEL,
|
|
'trade_id': trade.id,
|
|
'exchange': trade.exchange.capitalize(),
|
|
'pair': trade.pair,
|
|
'gain': gain,
|
|
'limit': profit_rate,
|
|
'order_type': order_type,
|
|
'amount': trade.amount,
|
|
'open_rate': trade.open_rate,
|
|
'current_rate': current_rate,
|
|
'profit_amount': profit_trade,
|
|
'profit_ratio': profit_ratio,
|
|
'sell_reason': trade.sell_reason,
|
|
'open_date': trade.open_date,
|
|
'close_date': trade.close_date,
|
|
'stake_currency': self.config['stake_currency'],
|
|
'fiat_currency': self.config.get('fiat_display_currency', None),
|
|
'reason': reason,
|
|
}
|
|
|
|
if 'fiat_display_currency' in self.config:
|
|
msg.update({
|
|
'fiat_currency': self.config['fiat_display_currency'],
|
|
})
|
|
|
|
# Send the message
|
|
self.rpc.send_msg(msg)
|
|
|
|
#
|
|
# Common update trade state methods
|
|
#
|
|
|
|
def update_trade_state(self, trade: Trade, order_id: str, action_order: Dict[str, Any] = None,
|
|
stoploss_order: bool = False) -> bool:
|
|
"""
|
|
Checks trades with open orders and updates the amount if necessary
|
|
Handles closing both buy and sell orders.
|
|
:param trade: Trade object of the trade we're analyzing
|
|
:param order_id: Order-id of the order we're analyzing
|
|
:param action_order: Already acquired order object
|
|
:return: True if order has been cancelled without being filled partially, False otherwise
|
|
"""
|
|
if not order_id:
|
|
logger.warning(f'Orderid for trade {trade} is empty.')
|
|
return False
|
|
|
|
# Update trade with order values
|
|
logger.info('Found open order for %s', trade)
|
|
try:
|
|
order = action_order or self.exchange.fetch_order_or_stoploss_order(order_id,
|
|
trade.pair,
|
|
stoploss_order)
|
|
except InvalidOrderException as exception:
|
|
logger.warning('Unable to fetch order %s: %s', order_id, exception)
|
|
return False
|
|
|
|
trade.update_order(order)
|
|
|
|
# Try update amount (binance-fix)
|
|
try:
|
|
new_amount = self.get_real_amount(trade, order)
|
|
if not isclose(safe_value_fallback(order, 'filled', 'amount'), new_amount,
|
|
abs_tol=constants.MATH_CLOSE_PREC):
|
|
order['amount'] = new_amount
|
|
order.pop('filled', None)
|
|
trade.recalc_open_trade_value()
|
|
except DependencyException as exception:
|
|
logger.warning("Could not update trade amount: %s", exception)
|
|
|
|
if self.exchange.check_order_canceled_empty(order):
|
|
# Trade has been cancelled on exchange
|
|
# Handling of this will happen in check_handle_timeout.
|
|
return True
|
|
trade.update(order)
|
|
|
|
# Updating wallets when order is closed
|
|
if not trade.is_open:
|
|
if not stoploss_order and not trade.open_order_id:
|
|
self._notify_sell(trade, '', True)
|
|
self.protections.stop_per_pair(trade.pair)
|
|
self.protections.global_stop()
|
|
self.wallets.update()
|
|
elif not trade.open_order_id:
|
|
# Buy fill
|
|
self._notify_buy_fill(trade)
|
|
|
|
return False
|
|
|
|
def apply_fee_conditional(self, trade: Trade, trade_base_currency: str,
|
|
amount: float, fee_abs: float) -> float:
|
|
"""
|
|
Applies the fee to amount (either from Order or from Trades).
|
|
Can eat into dust if more than the required asset is available.
|
|
"""
|
|
self.wallets.update()
|
|
if fee_abs != 0 and self.wallets.get_free(trade_base_currency) >= amount:
|
|
# Eat into dust if we own more than base currency
|
|
logger.info(f"Fee amount for {trade} was in base currency - "
|
|
f"Eating Fee {fee_abs} into dust.")
|
|
elif fee_abs != 0:
|
|
real_amount = self.exchange.amount_to_precision(trade.pair, amount - fee_abs)
|
|
logger.info(f"Applying fee on amount for {trade} "
|
|
f"(from {amount} to {real_amount}).")
|
|
return real_amount
|
|
return amount
|
|
|
|
def get_real_amount(self, trade: Trade, order: Dict) -> float:
|
|
"""
|
|
Detect and update trade fee.
|
|
Calls trade.update_fee() upon correct detection.
|
|
Returns modified amount if the fee was taken from the destination currency.
|
|
Necessary for exchanges which charge fees in base currency (e.g. binance)
|
|
:return: identical (or new) amount for the trade
|
|
"""
|
|
# Init variables
|
|
order_amount = safe_value_fallback(order, 'filled', 'amount')
|
|
# Only run for closed orders
|
|
if trade.fee_updated(order.get('side', '')) or order['status'] == 'open':
|
|
return order_amount
|
|
|
|
trade_base_currency = self.exchange.get_pair_base_currency(trade.pair)
|
|
# use fee from order-dict if possible
|
|
if self.exchange.order_has_fee(order):
|
|
fee_cost, fee_currency, fee_rate = self.exchange.extract_cost_curr_rate(order)
|
|
logger.info(f"Fee for Trade {trade} [{order.get('side')}]: "
|
|
f"{fee_cost:.8g} {fee_currency} - rate: {fee_rate}")
|
|
if fee_rate is None or fee_rate < 0.02:
|
|
# Reject all fees that report as > 2%.
|
|
# These are most likely caused by a parsing bug in ccxt
|
|
# due to multiple trades (https://github.com/ccxt/ccxt/issues/8025)
|
|
trade.update_fee(fee_cost, fee_currency, fee_rate, order.get('side', ''))
|
|
if trade_base_currency == fee_currency:
|
|
# Apply fee to amount
|
|
return self.apply_fee_conditional(trade, trade_base_currency,
|
|
amount=order_amount, fee_abs=fee_cost)
|
|
return order_amount
|
|
return self.fee_detection_from_trades(trade, order, order_amount)
|
|
|
|
def fee_detection_from_trades(self, trade: Trade, order: Dict, order_amount: float) -> float:
|
|
"""
|
|
fee-detection fallback to Trades. Parses result of fetch_my_trades to get correct fee.
|
|
"""
|
|
trades = self.exchange.get_trades_for_order(self.exchange.get_order_id_conditional(order),
|
|
trade.pair, trade.open_date)
|
|
|
|
if len(trades) == 0:
|
|
logger.info("Applying fee on amount for %s failed: myTrade-Dict empty found", trade)
|
|
return order_amount
|
|
fee_currency = None
|
|
amount = 0
|
|
fee_abs = 0.0
|
|
fee_cost = 0.0
|
|
trade_base_currency = self.exchange.get_pair_base_currency(trade.pair)
|
|
fee_rate_array: List[float] = []
|
|
for exectrade in trades:
|
|
amount += exectrade['amount']
|
|
if self.exchange.order_has_fee(exectrade):
|
|
fee_cost_, fee_currency, fee_rate_ = self.exchange.extract_cost_curr_rate(exectrade)
|
|
fee_cost += fee_cost_
|
|
if fee_rate_ is not None:
|
|
fee_rate_array.append(fee_rate_)
|
|
# only applies if fee is in quote currency!
|
|
if trade_base_currency == fee_currency:
|
|
fee_abs += fee_cost_
|
|
# Ensure at least one trade was found:
|
|
if fee_currency:
|
|
# fee_rate should use mean
|
|
fee_rate = sum(fee_rate_array) / float(len(fee_rate_array)) if fee_rate_array else None
|
|
trade.update_fee(fee_cost, fee_currency, fee_rate, order.get('side', ''))
|
|
|
|
if not isclose(amount, order_amount, abs_tol=constants.MATH_CLOSE_PREC):
|
|
logger.warning(f"Amount {amount} does not match amount {trade.amount}")
|
|
raise DependencyException("Half bought? Amounts don't match")
|
|
|
|
if fee_abs != 0:
|
|
return self.apply_fee_conditional(trade, trade_base_currency,
|
|
amount=amount, fee_abs=fee_abs)
|
|
else:
|
|
return amount
|