stable/freqtrade/exchange/ftx.py

""" FTX exchange subclass """
import logging
from typing import Any, Dict, List, Optional

import ccxt
from datetime import time
from freqtrade.exceptions import (DDosProtection, InsufficientFundsError, InvalidOrderException,
                                  OperationalException, TemporaryError)
from freqtrade.exchange import Exchange
from freqtrade.exchange.common import API_FETCH_ORDER_RETRY_COUNT, retrier
from freqtrade.misc import safe_value_fallback2
from freqtrade.utils import hours_to_time

logger = logging.getLogger(__name__)


class Ftx(Exchange):

    _ft_has: Dict = {
        "stoploss_on_exchange": True,
        "ohlcv_candle_limit": 1500,
    }
    funding_fee_times: List[time] = hours_to_time(list(range(0, 23)))

    def market_is_tradable(self, market: Dict[str, Any]) -> bool:
        """
        Check if the market symbol is tradable by Freqtrade.
        Default checks + check if pair is spot pair (no futures trading yet).
        """
        parent_check = super().market_is_tradable(market)

        return (parent_check and
                market.get('spot', False) is True)

    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' and stop_loss > float(order['price'])

    @retrier(retries=0)
    def stoploss(self, pair: str, amount: float, stop_price: float, order_types: Dict) -> Dict:
        """
        Creates a stoploss order.
        depending on order_types.stoploss configuration, uses 'market' or limit order.

        Limit orders are defined by having orderPrice set, otherwise a market order is used.
        """
        limit_price_pct = order_types.get('stoploss_on_exchange_limit_ratio', 0.99)
        limit_rate = stop_price * limit_price_pct

        ordertype = "stop"

        stop_price = self.price_to_precision(pair, stop_price)

        if self._config['dry_run']:
            dry_order = self.create_dry_run_order(
                pair, ordertype, "sell", amount, stop_price)
            return dry_order

        try:
            params = self._params.copy()
            if order_types.get('stoploss', 'market') == 'limit':
                # set orderPrice to place limit order, otherwise it's a market order
                params['orderPrice'] = limit_rate

            params['stopPrice'] = stop_price
            amount = self.amount_to_precision(pair, amount)

            order = self._api.create_order(symbol=pair, type=ordertype, side='sell',
                                           amount=amount, params=params)
            self._log_exchange_response('create_stoploss_order', order)
            logger.info('stoploss order added for %s. '
                        'stop price: %s.', pair, stop_price)
            return order
        except ccxt.InsufficientFunds as e:
            raise InsufficientFundsError(
                f'Insufficient funds to create {ordertype} sell order on market {pair}. '
                f'Tried to create stoploss with amount {amount} at stoploss {stop_price}. '
                f'Message: {e}') from e
        except ccxt.InvalidOrder as e:
            raise InvalidOrderException(
                f'Could not create {ordertype} sell order on market {pair}. '
                f'Tried to create stoploss with amount {amount} at stoploss {stop_price}. '
                f'Message: {e}') from e
        except ccxt.DDoSProtection as e:
            raise DDosProtection(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

    @retrier(retries=API_FETCH_ORDER_RETRY_COUNT)
    def fetch_stoploss_order(self, order_id: str, pair: str) -> Dict:
        if self._config['dry_run']:
            return self.fetch_dry_run_order(order_id)

        try:
            orders = self._api.fetch_orders(pair, None, params={'type': 'stop'})

            order = [order for order in orders if order['id'] == order_id]
            self._log_exchange_response('fetch_stoploss_order', order)
            if len(order) == 1:
                if order[0].get('status') == 'closed':
                    # Trigger order was triggered ...
                    real_order_id = order[0].get('info', {}).get('orderId')

                    order1 = self._api.fetch_order(real_order_id, pair)
                    self._log_exchange_response('fetch_stoploss_order1', order1)
                    # Fake type to stop - as this was really a stop order.
                    order1['id_stop'] = order1['id']
                    order1['id'] = order_id
                    order1['type'] = 'stop'
                    order1['status_stop'] = 'triggered'
                    return order1
                return order[0]
            else:
                raise InvalidOrderException(f"Could not get stoploss order for id {order_id}")

        except ccxt.InvalidOrder as e:
            raise InvalidOrderException(
                f'Tried to get an invalid order (id: {order_id}). Message: {e}') from e
        except ccxt.DDoSProtection as e:
            raise DDosProtection(e) from e
        except (ccxt.NetworkError, ccxt.ExchangeError) as e:
            raise TemporaryError(
                f'Could not get order due to {e.__class__.__name__}. Message: {e}') from e
        except ccxt.BaseError as e:
            raise OperationalException(e) from e

    @retrier
    def cancel_stoploss_order(self, order_id: str, pair: str) -> Dict:
        if self._config['dry_run']:
            return {}
        try:
            order = self._api.cancel_order(order_id, pair, params={'type': 'stop'})
            self._log_exchange_response('cancel_stoploss_order', order)
            return order
        except ccxt.InvalidOrder as e:
            raise InvalidOrderException(
                f'Could not cancel order. Message: {e}') from e
        except ccxt.DDoSProtection as e:
            raise DDosProtection(e) from e
        except (ccxt.NetworkError, ccxt.ExchangeError) as e:
            raise TemporaryError(
                f'Could not cancel order due to {e.__class__.__name__}. Message: {e}') from e
        except ccxt.BaseError as e:
            raise OperationalException(e) from e

    def get_order_id_conditional(self, order: Dict[str, Any]) -> str:
        if order['type'] == 'stop':
            return safe_value_fallback2(order, order, 'id_stop', 'id')
        return order['id']

    def _get_funding_fee(
        self,
        contract_size: float,
        mark_price: float,
        funding_rate: Optional[float],
        # index_price: float,
        # interest_rate: float)
    ):
        """
            Calculates a single funding fee
            Always paid in USD on FTX # TODO: How do we account for this
            :param contract_size: The amount/quanity
            :param mark_price: The price of the asset that the contract is based off of
            :param funding_rate: Must be None on ftx
        """
        (contract_size * mark_price) / 24
        return