stable/freqtrade/exchange/binance.py
Matthias cf9331919f move exchange-specific order-parsing to exchange class
Related to stoploss_on_exchange in combination with trailing stoploss.

Binance contains stopPrice in the info, while kraken returns the same
value as "price".
2020-01-19 19:54:30 +01:00

96 lines
3.7 KiB
Python

""" Binance exchange subclass """
import logging
from typing import Dict
import ccxt
from freqtrade.exceptions import (DependencyException, InvalidOrderException,
OperationalException, TemporaryError)
from freqtrade.exchange import Exchange
logger = logging.getLogger(__name__)
class Binance(Exchange):
_ft_has: Dict = {
"stoploss_on_exchange": True,
"order_time_in_force": ['gtc', 'fok', 'ioc'],
"trades_pagination": "id",
"trades_pagination_arg": "fromId",
}
def get_order_book(self, pair: str, limit: int = 100) -> dict:
"""
get order book level 2 from exchange
20180619: binance support limits but only on specific range
"""
limit_range = [5, 10, 20, 50, 100, 500, 1000]
# get next-higher step in the limit_range list
limit = min(list(filter(lambda x: limit <= x, limit_range)))
return super().get_order_book(pair, limit)
def stoploss_adjust(self, stop_loss: float, order: Dict) -> bool:
"""
Verify stop_loss against stoploss-order value (limit or price)
Returns True if adjustment is necessary.
"""
return order['type'] == 'stop_loss_limit' and stop_loss > float(order['info']['stopPrice'])
def stoploss(self, pair: str, amount: float, stop_price: float, order_types: Dict) -> Dict:
"""
creates a stoploss limit order.
this stoploss-limit is binance-specific.
It may work with a limited number of other exchanges, but this has not been tested yet.
"""
# Limit price threshold: As limit price should always be below stop-price
LIMIT_PRICE_PCT = order_types.get('stoploss_on_exchange_limit_ratio', 0.99)
rate = stop_price * LIMIT_PRICE_PCT
ordertype = "stop_loss_limit"
stop_price = self.price_to_precision(pair, stop_price)
# Ensure rate is less than stop price
if stop_price <= rate:
raise OperationalException(
'In stoploss limit order, stop price should be more than limit price')
if self._config['dry_run']:
dry_order = self.dry_run_order(
pair, ordertype, "sell", amount, stop_price)
return dry_order
try:
params = self._params.copy()
params.update({'stopPrice': stop_price})
amount = self.amount_to_precision(pair, amount)
rate = self.price_to_precision(pair, rate)
order = self._api.create_order(symbol=pair, type=ordertype, side='sell',
amount=amount, price=stop_price, params=params)
logger.info('stoploss limit order added for %s. '
'stop price: %s. limit: %s', pair, stop_price, rate)
return order
except ccxt.InsufficientFunds as e:
raise DependencyException(
f'Insufficient funds to create {ordertype} sell order on market {pair}.'
f'Tried to sell amount {amount} at rate {rate}. '
f'Message: {e}') from e
except ccxt.InvalidOrder as e:
# Errors:
# `binance Order would trigger immediately.`
raise InvalidOrderException(
f'Could not create {ordertype} sell order on market {pair}. '
f'Tried to sell amount {amount} at rate {rate}. '
f'Message: {e}') from e
except (ccxt.NetworkError, ccxt.ExchangeError) as e:
raise TemporaryError(
f'Could not place sell order due to {e.__class__.__name__}. Message: {e}') from e
except ccxt.BaseError as e:
raise OperationalException(e) from e