c9e49ed7b4
CCXT does not sort the ticker history from exchanges. Bittrex and Binance are sorted ASC (oldest first, newest last) when GDAX is sorted DESC (newest first, oldest last). Because of that the get_ticker_history() fall in a very long loop when the tickers are sorted DESC. Means it downloads more than needed. This commit enable exhanges like GDAX and unify the ticker_history list across all exchanges.
445 lines
14 KiB
Python
445 lines
14 KiB
Python
# pragma pylint: disable=W0603
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""" Cryptocurrency Exchanges support """
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import logging
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from random import randint
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from typing import List, Dict, Any, Optional
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from datetime import datetime
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import ccxt
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import arrow
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from freqtrade import constants, OperationalException, DependencyException, TemporaryError
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logger = logging.getLogger(__name__)
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# Current selected exchange
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_API: ccxt.Exchange = None
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_CONF: Dict = {}
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API_RETRY_COUNT = 4
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# Holds all open sell orders for dry_run
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_DRY_RUN_OPEN_ORDERS: Dict[str, Any] = {}
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# Urls to exchange markets, insert quote and base with .format()
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_EXCHANGE_URLS = {
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ccxt.bittrex.__name__: '/Market/Index?MarketName={quote}-{base}',
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ccxt.binance.__name__: '/tradeDetail.html?symbol={base}_{quote}'
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}
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def retrier(f):
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def wrapper(*args, **kwargs):
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count = kwargs.pop('count', API_RETRY_COUNT)
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try:
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return f(*args, **kwargs)
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except (TemporaryError, DependencyException) as ex:
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logger.warning('%s() returned exception: "%s"', f.__name__, ex)
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if count > 0:
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count -= 1
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kwargs.update({'count': count})
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logger.warning('retrying %s() still for %s times', f.__name__, count)
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return wrapper(*args, **kwargs)
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else:
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logger.warning('Giving up retrying: %s()', f.__name__)
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raise ex
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return wrapper
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def init_ccxt(exchange_config: dict) -> ccxt.Exchange:
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"""
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Initialize ccxt with given config and return valid
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ccxt instance.
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:param config: config to use
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:return: ccxt
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"""
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# Find matching class for the given exchange name
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name = exchange_config['name']
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if name not in ccxt.exchanges:
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raise OperationalException('Exchange {} is not supported'.format(name))
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try:
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api = getattr(ccxt, name.lower())({
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'apiKey': exchange_config.get('key'),
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'secret': exchange_config.get('secret'),
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'password': exchange_config.get('password'),
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'uid': exchange_config.get('uid', ''),
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'enableRateLimit': True,
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})
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except (KeyError, AttributeError):
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raise OperationalException('Exchange {} is not supported'.format(name))
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return api
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def init(config: dict) -> None:
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"""
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Initializes this module with the given config,
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it does basic validation whether the specified
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exchange and pairs are valid.
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:param config: config to use
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:return: None
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"""
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global _CONF, _API
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_CONF.update(config)
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if config['dry_run']:
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logger.info('Instance is running with dry_run enabled')
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exchange_config = config['exchange']
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_API = init_ccxt(exchange_config)
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logger.info('Using Exchange "%s"', get_name())
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# Check if all pairs are available
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validate_pairs(config['exchange']['pair_whitelist'])
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def validate_pairs(pairs: List[str]) -> None:
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"""
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Checks if all given pairs are tradable on the current exchange.
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Raises OperationalException if one pair is not available.
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:param pairs: list of pairs
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:return: None
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"""
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try:
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markets = _API.load_markets()
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except ccxt.BaseError as e:
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logger.warning('Unable to validate pairs (assuming they are correct). Reason: %s', e)
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return
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stake_cur = _CONF['stake_currency']
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for pair in pairs:
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# Note: ccxt has BaseCurrency/QuoteCurrency format for pairs
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# TODO: add a support for having coins in BTC/USDT format
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if not pair.endswith(stake_cur):
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raise OperationalException(
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'Pair {} not compatible with stake_currency: {}'.format(pair, stake_cur)
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)
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if pair not in markets:
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raise OperationalException(
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'Pair {} is not available at {}'.format(pair, get_name()))
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def exchange_has(endpoint: str) -> bool:
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"""
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Checks if exchange implements a specific API endpoint.
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Wrapper around ccxt 'has' attribute
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:param endpoint: Name of endpoint (e.g. 'fetchOHLCV', 'fetchTickers')
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:return: bool
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"""
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return endpoint in _API.has and _API.has[endpoint]
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def buy(pair: str, rate: float, amount: float) -> Dict:
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if _CONF['dry_run']:
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global _DRY_RUN_OPEN_ORDERS
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order_id = 'dry_run_buy_{}'.format(randint(0, 10**6))
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_DRY_RUN_OPEN_ORDERS[order_id] = {
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'pair': pair,
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'price': rate,
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'amount': amount,
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'type': 'limit',
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'side': 'buy',
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'remaining': 0.0,
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'datetime': arrow.utcnow().isoformat(),
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'status': 'closed',
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'fee': None
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}
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return {'id': order_id}
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try:
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return _API.create_limit_buy_order(pair, amount, rate)
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except ccxt.InsufficientFunds as e:
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raise DependencyException(
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'Insufficient funds to create limit buy order on market {}.'
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'Tried to buy amount {} at rate {} (total {}).'
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'Message: {}'.format(pair, amount, rate, rate*amount, e)
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)
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except ccxt.InvalidOrder as e:
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raise DependencyException(
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'Could not create limit buy order on market {}.'
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'Tried to buy amount {} at rate {} (total {}).'
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'Message: {}'.format(pair, amount, rate, rate*amount, e)
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)
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except (ccxt.NetworkError, ccxt.ExchangeError) as e:
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raise TemporaryError(
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'Could not place buy order due to {}. Message: {}'.format(
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e.__class__.__name__, e))
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except ccxt.BaseError as e:
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raise OperationalException(e)
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def sell(pair: str, rate: float, amount: float) -> Dict:
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if _CONF['dry_run']:
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global _DRY_RUN_OPEN_ORDERS
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order_id = 'dry_run_sell_{}'.format(randint(0, 10**6))
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_DRY_RUN_OPEN_ORDERS[order_id] = {
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'pair': pair,
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'price': rate,
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'amount': amount,
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'type': 'limit',
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'side': 'sell',
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'remaining': 0.0,
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'datetime': arrow.utcnow().isoformat(),
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'status': 'closed'
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}
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return {'id': order_id}
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try:
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return _API.create_limit_sell_order(pair, amount, rate)
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except ccxt.InsufficientFunds as e:
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raise DependencyException(
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'Insufficient funds to create limit sell order on market {}.'
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'Tried to sell amount {} at rate {} (total {}).'
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'Message: {}'.format(pair, amount, rate, rate*amount, e)
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)
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except ccxt.InvalidOrder as e:
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raise DependencyException(
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'Could not create limit sell order on market {}.'
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'Tried to sell amount {} at rate {} (total {}).'
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'Message: {}'.format(pair, amount, rate, rate*amount, e)
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)
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except (ccxt.NetworkError, ccxt.ExchangeError) as e:
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raise TemporaryError(
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'Could not place sell order due to {}. Message: {}'.format(
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e.__class__.__name__, e))
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except ccxt.BaseError as e:
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raise OperationalException(e)
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@retrier
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def get_balance(currency: str) -> float:
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if _CONF['dry_run']:
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return 999.9
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# ccxt exception is already handled by get_balances
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balances = get_balances()
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balance = balances.get(currency)
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if balance is None:
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raise TemporaryError(
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'Could not get {} balance due to malformed exchange response: {}'.format(
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currency, balances))
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return balance['free']
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@retrier
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def get_balances() -> dict:
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if _CONF['dry_run']:
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return {}
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try:
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balances = _API.fetch_balance()
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# Remove additional info from ccxt results
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balances.pop("info", None)
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balances.pop("free", None)
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balances.pop("total", None)
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balances.pop("used", None)
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return balances
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except (ccxt.NetworkError, ccxt.ExchangeError) as e:
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raise TemporaryError(
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'Could not get balance due to {}. Message: {}'.format(
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e.__class__.__name__, e))
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except ccxt.BaseError as e:
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raise OperationalException(e)
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@retrier
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def get_tickers() -> Dict:
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try:
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return _API.fetch_tickers()
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except ccxt.NotSupported as e:
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raise OperationalException(
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'Exchange {} does not support fetching tickers in batch.'
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'Message: {}'.format(_API.name, e)
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)
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except (ccxt.NetworkError, ccxt.ExchangeError) as e:
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raise TemporaryError(
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'Could not load tickers due to {}. Message: {}'.format(
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e.__class__.__name__, e))
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except ccxt.BaseError as e:
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raise OperationalException(e)
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# TODO: remove refresh argument, keeping it to keep track of where it was intended to be used
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@retrier
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def get_ticker(pair: str, refresh: Optional[bool] = True) -> dict:
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try:
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return _API.fetch_ticker(pair)
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except (ccxt.NetworkError, ccxt.ExchangeError) as e:
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raise TemporaryError(
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'Could not load ticker history due to {}. Message: {}'.format(
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e.__class__.__name__, e))
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except ccxt.BaseError as e:
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raise OperationalException(e)
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@retrier
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def get_ticker_history(pair: str, tick_interval: str, since_ms: Optional[int] = None) -> List[Dict]:
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try:
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# last item should be in the time interval [now - tick_interval, now]
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till_time_ms = arrow.utcnow().shift(
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minutes=-constants.TICKER_INTERVAL_MINUTES[tick_interval]
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).timestamp * 1000
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# it looks as if some exchanges return cached data
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# and they update it one in several minute, so 10 mins interval
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# is necessary to skeep downloading of an empty array when all
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# chached data was already downloaded
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till_time_ms = min(till_time_ms, arrow.utcnow().shift(minutes=-10).timestamp * 1000)
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data = []
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while not since_ms or since_ms < till_time_ms:
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data_part = _API.fetch_ohlcv(pair, timeframe=tick_interval, since=since_ms)
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# Because some exchange sort Tickers ASC and other DESC.
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# Ex: Bittrex returns a list of tickers ASC (oldest first, newest last)
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# when GDAX returns a list of tickers DESC (newest first, oldest last)
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data_part = sorted(data_part, key=lambda x: x[0])
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if not data_part:
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break
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logger.debug('Downloaded data for %s time range [%s, %s]',
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pair,
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arrow.get(data_part[0][0] / 1000).format(),
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arrow.get(data_part[-1][0] / 1000).format())
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data.extend(data_part)
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since_ms = data[-1][0] + 1
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return data
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except ccxt.NotSupported as e:
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raise OperationalException(
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'Exchange {} does not support fetching historical candlestick data.'
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'Message: {}'.format(_API.name, e)
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)
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except (ccxt.NetworkError, ccxt.ExchangeError) as e:
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raise TemporaryError(
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'Could not load ticker history due to {}. Message: {}'.format(
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e.__class__.__name__, e))
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except ccxt.BaseError as e:
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raise OperationalException('Could not fetch ticker data. Msg: {}'.format(e))
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@retrier
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def cancel_order(order_id: str, pair: str) -> None:
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if _CONF['dry_run']:
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return
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try:
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return _API.cancel_order(order_id, pair)
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except ccxt.InvalidOrder as e:
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raise DependencyException(
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'Could not cancel order. Message: {}'.format(e)
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)
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except (ccxt.NetworkError, ccxt.ExchangeError) as e:
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raise TemporaryError(
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'Could not cancel order due to {}. Message: {}'.format(
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e.__class__.__name__, e))
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except ccxt.BaseError as e:
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raise OperationalException(e)
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@retrier
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def get_order(order_id: str, pair: str) -> Dict:
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if _CONF['dry_run']:
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order = _DRY_RUN_OPEN_ORDERS[order_id]
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order.update({
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'id': order_id
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})
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return order
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try:
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return _API.fetch_order(order_id, pair)
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except ccxt.InvalidOrder as e:
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raise DependencyException(
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'Could not get order. Message: {}'.format(e)
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)
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except (ccxt.NetworkError, ccxt.ExchangeError) as e:
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raise TemporaryError(
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'Could not get order due to {}. Message: {}'.format(
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e.__class__.__name__, e))
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except ccxt.BaseError as e:
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raise OperationalException(e)
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@retrier
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def get_trades_for_order(order_id: str, pair: str, since: datetime) -> List:
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if _CONF['dry_run']:
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return []
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if not exchange_has('fetchMyTrades'):
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return []
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try:
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my_trades = _API.fetch_my_trades(pair, since.timestamp())
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matched_trades = [trade for trade in my_trades if trade['order'] == order_id]
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return matched_trades
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except ccxt.NetworkError as e:
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raise TemporaryError(
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'Could not get trades due to networking error. Message: {}'.format(e)
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)
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except ccxt.BaseError as e:
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raise OperationalException(e)
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def get_pair_detail_url(pair: str) -> str:
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try:
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url_base = _API.urls.get('www')
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base, quote = pair.split('/')
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return url_base + _EXCHANGE_URLS[_API.id].format(base=base, quote=quote)
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except KeyError:
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logger.warning('Could not get exchange url for %s', get_name())
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return ""
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@retrier
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def get_markets() -> List[dict]:
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try:
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return _API.fetch_markets()
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except (ccxt.NetworkError, ccxt.ExchangeError) as e:
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raise TemporaryError(
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'Could not load markets due to {}. Message: {}'.format(
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e.__class__.__name__, e))
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except ccxt.BaseError as e:
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raise OperationalException(e)
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def get_name() -> str:
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return _API.name
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def get_id() -> str:
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return _API.id
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@retrier
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def get_fee(symbol='ETH/BTC', type='', side='', amount=1,
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price=1, taker_or_maker='maker') -> float:
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try:
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# validate that markets are loaded before trying to get fee
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if _API.markets is None or len(_API.markets) == 0:
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_API.load_markets()
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return _API.calculate_fee(symbol=symbol, type=type, side=side, amount=amount,
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price=price, takerOrMaker=taker_or_maker)['rate']
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except (ccxt.NetworkError, ccxt.ExchangeError) as e:
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raise TemporaryError(
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'Could not get fee info due to {}. Message: {}'.format(
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e.__class__.__name__, e))
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except ccxt.BaseError as e:
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raise OperationalException(e)
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def get_amount_lots(pair: str, amount: float) -> float:
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"""
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get buyable amount rounding, ..
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"""
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# validate that markets are loaded before trying to get fee
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if not _API.markets:
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_API.load_markets()
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return _API.amount_to_lots(pair, amount)
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