121 lines
4.8 KiB
Python
121 lines
4.8 KiB
Python
""" Binance exchange subclass """
|
|
import logging
|
|
from datetime import datetime
|
|
from typing import Dict, List, Optional
|
|
|
|
import ccxt
|
|
|
|
from freqtrade.exceptions import (DDosProtection, InsufficientFundsError, InvalidOrderException,
|
|
OperationalException, TemporaryError)
|
|
from freqtrade.exchange import Exchange
|
|
from freqtrade.exchange.common import retrier
|
|
|
|
|
|
logger = logging.getLogger(__name__)
|
|
|
|
|
|
class Binance(Exchange):
|
|
|
|
_ft_has: Dict = {
|
|
"stoploss_on_exchange": True,
|
|
"order_time_in_force": ['gtc', 'fok', 'ioc'],
|
|
"ohlcv_candle_limit": 1000,
|
|
"trades_pagination": "id",
|
|
"trades_pagination_arg": "fromId",
|
|
"l2_limit_range": [5, 10, 20, 50, 100, 500, 1000],
|
|
}
|
|
funding_fee_times: List[int] = [0, 8, 16] # hours of the day
|
|
|
|
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'])
|
|
|
|
@retrier(retries=0)
|
|
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.create_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=rate, params=params)
|
|
logger.info('stoploss limit order added for %s. '
|
|
'stop price: %s. limit: %s', pair, stop_price, rate)
|
|
self._log_exchange_response('create_stoploss_order', order)
|
|
return order
|
|
except ccxt.InsufficientFunds as e:
|
|
raise InsufficientFundsError(
|
|
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.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
|
|
|
|
def _get_funding_rate(self, pair: str, when: datetime) -> Optional[float]:
|
|
"""
|
|
Get's the funding_rate for a pair at a specific date and time in the past
|
|
"""
|
|
# TODO-lev: implement
|
|
raise OperationalException("_get_funding_rate has not been implement on binance")
|
|
|
|
def _get_funding_fee(
|
|
self,
|
|
contract_size: float,
|
|
mark_price: float,
|
|
funding_rate: Optional[float],
|
|
) -> float:
|
|
"""
|
|
Calculates a single funding fee
|
|
:param contract_size: The amount/quanity
|
|
:param mark_price: The price of the asset that the contract is based off of
|
|
:param funding_rate: the interest rate and the premium
|
|
- interest rate: 0.03% daily, BNBUSDT, LINKUSDT, and LTCUSDT are 0%
|
|
- premium: varies by price difference between the perpetual contract and mark price
|
|
"""
|
|
if funding_rate is None:
|
|
raise OperationalException("Funding rate cannot be None for Binance._get_funding_fee")
|
|
nominal_value = mark_price * contract_size
|
|
adjustment = nominal_value * funding_rate
|
|
return adjustment
|