231 lines
9.3 KiB
Python
231 lines
9.3 KiB
Python
""" Binance exchange subclass """
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import json
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import logging
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from datetime import datetime
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from pathlib import Path
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from typing import Dict, List, Optional, Tuple
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import arrow
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import ccxt
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from freqtrade.enums import CandleType, Collateral, TradingMode
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from freqtrade.exceptions import (DDosProtection, InsufficientFundsError, InvalidOrderException,
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OperationalException, TemporaryError)
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from freqtrade.exchange import Exchange
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from freqtrade.exchange.common import retrier
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logger = logging.getLogger(__name__)
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class Binance(Exchange):
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_ft_has: Dict = {
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"stoploss_on_exchange": True,
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"order_time_in_force": ['gtc', 'fok', 'ioc'],
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"time_in_force_parameter": "timeInForce",
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"ohlcv_candle_limit": 1000,
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"trades_pagination": "id",
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"trades_pagination_arg": "fromId",
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"l2_limit_range": [5, 10, 20, 50, 100, 500, 1000],
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"ccxt_futures_name": "future"
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}
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_supported_trading_mode_collateral_pairs: List[Tuple[TradingMode, Collateral]] = [
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# TradingMode.SPOT always supported and not required in this list
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# TODO-lev: Uncomment once supported
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# (TradingMode.MARGIN, Collateral.CROSS),
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# (TradingMode.FUTURES, Collateral.CROSS),
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# (TradingMode.FUTURES, Collateral.ISOLATED)
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]
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def stoploss_adjust(self, stop_loss: float, order: Dict, side: str) -> bool:
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"""
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Verify stop_loss against stoploss-order value (limit or price)
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Returns True if adjustment is necessary.
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:param side: "buy" or "sell"
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"""
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return order['type'] == 'stop_loss_limit' and (
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(side == "sell" and stop_loss > float(order['info']['stopPrice'])) or
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(side == "buy" and stop_loss < float(order['info']['stopPrice']))
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)
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@retrier(retries=0)
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def stoploss(self, pair: str, amount: float, stop_price: float,
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order_types: Dict, side: str, leverage: float) -> Dict:
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"""
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creates a stoploss limit order.
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this stoploss-limit is binance-specific.
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It may work with a limited number of other exchanges, but this has not been tested yet.
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:param side: "buy" or "sell"
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"""
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# Limit price threshold: As limit price should always be below stop-price
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limit_price_pct = order_types.get('stoploss_on_exchange_limit_ratio', 0.99)
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if side == "sell":
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# TODO: Name limit_rate in other exchange subclasses
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rate = stop_price * limit_price_pct
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else:
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rate = stop_price * (2 - limit_price_pct)
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ordertype = "stop_loss_limit"
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stop_price = self.price_to_precision(pair, stop_price)
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bad_stop_price = (stop_price <= rate) if side == "sell" else (stop_price >= rate)
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# Ensure rate is less than stop price
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if bad_stop_price:
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raise OperationalException(
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'In stoploss limit order, stop price should be better than limit price')
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if self._config['dry_run']:
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dry_order = self.create_dry_run_order(
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pair, ordertype, side, amount, stop_price, leverage)
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return dry_order
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try:
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params = self._params.copy()
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params.update({'stopPrice': stop_price})
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amount = self.amount_to_precision(pair, amount)
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rate = self.price_to_precision(pair, rate)
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self._lev_prep(pair, leverage)
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order = self._api.create_order(symbol=pair, type=ordertype, side=side,
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amount=amount, price=rate, params=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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self._log_exchange_response('create_stoploss_order', order)
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return order
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except ccxt.InsufficientFunds as e:
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raise InsufficientFundsError(
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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}. '
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f'Message: {e}') from e
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except ccxt.InvalidOrder as e:
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# Errors:
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# `binance Order would trigger immediately.`
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raise InvalidOrderException(
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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}. '
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f'Message: {e}') from e
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except ccxt.DDoSProtection as e:
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raise DDosProtection(e) from 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}') from e
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except ccxt.BaseError as e:
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raise OperationalException(e) from e
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@retrier
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def fill_leverage_brackets(self):
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"""
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Assigns property _leverage_brackets to a dictionary of information about the leverage
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allowed on each pair
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"""
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if self.trading_mode == TradingMode.FUTURES:
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try:
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if self._config['dry_run']:
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leverage_brackets_path = (
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Path(__file__).parent / 'binance_leverage_brackets.json'
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)
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with open(leverage_brackets_path) as json_file:
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leverage_brackets = json.load(json_file)
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else:
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leverage_brackets = self._api.load_leverage_brackets()
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for pair, brackets in leverage_brackets.items():
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self._leverage_brackets[pair] = [
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[
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min_amount,
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float(margin_req)
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] for [
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min_amount,
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margin_req
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] in brackets
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]
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except ccxt.DDoSProtection as e:
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raise DDosProtection(e) from e
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except (ccxt.NetworkError, ccxt.ExchangeError) as e:
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raise TemporaryError(f'Could not fetch leverage amounts due to'
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f'{e.__class__.__name__}. Message: {e}') from e
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except ccxt.BaseError as e:
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raise OperationalException(e) from e
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def get_max_leverage(self, pair: Optional[str], nominal_value: Optional[float]) -> float:
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"""
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Returns the maximum leverage that a pair can be traded at
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:param pair: The base/quote currency pair being traded
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:nominal_value: The total value of the trade in quote currency (collateral + debt)
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"""
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if pair not in self._leverage_brackets:
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return 1.0
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pair_brackets = self._leverage_brackets[pair]
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max_lev = 1.0
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for [min_amount, margin_req] in pair_brackets:
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if nominal_value >= min_amount:
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max_lev = 1/margin_req
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return max_lev
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@retrier
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def _set_leverage(
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self,
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leverage: float,
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pair: Optional[str] = None,
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trading_mode: Optional[TradingMode] = None
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):
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"""
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Set's the leverage before making a trade, in order to not
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have the same leverage on every trade
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"""
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trading_mode = trading_mode or self.trading_mode
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if self._config['dry_run'] or trading_mode != TradingMode.FUTURES:
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return
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try:
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self._api.set_leverage(symbol=pair, leverage=leverage)
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except ccxt.DDoSProtection as e:
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raise DDosProtection(e) from 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 set leverage due to {e.__class__.__name__}. Message: {e}') from e
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except ccxt.BaseError as e:
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raise OperationalException(e) from e
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async def _async_get_historic_ohlcv(self, pair: str, timeframe: str,
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since_ms: int, candle_type: CandleType,
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is_new_pair: bool = False, raise_: bool = False,
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) -> Tuple[str, str, str, List]:
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"""
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Overwrite to introduce "fast new pair" functionality by detecting the pair's listing date
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Does not work for other exchanges, which don't return the earliest data when called with "0"
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:param candle_type: Any of the enum CandleType (must match trading mode!)
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"""
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if is_new_pair:
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x = await self._async_get_candle_history(pair, timeframe, candle_type, 0)
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if x and x[3] and x[3][0] and x[3][0][0] > since_ms:
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# Set starting date to first available candle.
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since_ms = x[3][0][0]
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logger.info(f"Candle-data for {pair} available starting with "
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f"{arrow.get(since_ms // 1000).isoformat()}.")
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return await super()._async_get_historic_ohlcv(
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pair=pair,
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timeframe=timeframe,
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since_ms=since_ms,
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is_new_pair=is_new_pair,
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raise_=raise_,
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candle_type=candle_type
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)
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def funding_fee_cutoff(self, open_date: datetime):
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"""
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:param open_date: The open date for a trade
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:return: The cutoff open time for when a funding fee is charged
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"""
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return open_date.minute > 0 or (open_date.minute == 0 and open_date.second > 15)
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