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