freqtrade_origin/freqtrade/freqtradebot.py

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"""
Freqtrade is the main module of this bot. It contains the class Freqtrade()
"""
import copy
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import logging
import time
import traceback
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from datetime import datetime
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from typing import Any, Callable, Dict, List, Optional
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import arrow
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import requests
from cachetools import TTLCache, cached
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from freqtrade import (DependencyException, OperationalException,
TemporaryError, __version__, constants, persistence)
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from freqtrade.exchange import Exchange
from freqtrade.persistence import Trade
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from freqtrade.rpc import RPCManager, RPCMessageType
from freqtrade.state import State
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from freqtrade.strategy.interface import SellType
from freqtrade.strategy.resolver import IStrategy, StrategyResolver
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from freqtrade.exchange.exchange_helpers import order_book_to_dataframe
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logger = logging.getLogger(__name__)
class FreqtradeBot(object):
"""
Freqtrade is the main class of the bot.
This is from here the bot start its logic.
"""
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def __init__(self, config: Dict[str, Any])-> None:
"""
Init all variables and object the bot need to work
:param config: configuration dict, you can use the Configuration.get_config()
method to get the config dict.
"""
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logger.info(
'Starting freqtrade %s',
__version__,
)
# Init bot states
self.state = State.STOPPED
# Init objects
self.config = config
self.strategy: IStrategy = StrategyResolver(self.config).strategy
self.rpc: RPCManager = RPCManager(self)
self.persistence = None
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self.exchange = Exchange(self.config)
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self._init_modules()
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def _init_modules(self) -> None:
"""
Initializes all modules and updates the config
:return: None
"""
# Initialize all modules
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persistence.init(self.config)
# Set initial application state
initial_state = self.config.get('initial_state')
if initial_state:
self.state = State[initial_state.upper()]
else:
self.state = State.STOPPED
def cleanup(self) -> None:
"""
Cleanup pending resources on an already stopped bot
:return: None
"""
logger.info('Cleaning up modules ...')
self.rpc.cleanup()
persistence.cleanup()
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def worker(self, old_state: State = None) -> State:
"""
Trading routine that must be run at each loop
:param old_state: the previous service state from the previous call
:return: current service state
"""
# Log state transition
state = self.state
if state != old_state:
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self.rpc.send_msg({
'type': RPCMessageType.STATUS_NOTIFICATION,
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'status': f'{state.name.lower()}'
})
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logger.info('Changing state to: %s', state.name)
if state == State.STOPPED:
time.sleep(1)
elif state == State.RUNNING:
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min_secs = self.config.get('internals', {}).get(
'process_throttle_secs',
constants.PROCESS_THROTTLE_SECS
)
nb_assets = self.config.get('dynamic_whitelist', None)
self._throttle(func=self._process,
min_secs=min_secs,
nb_assets=nb_assets)
return state
def _throttle(self, func: Callable[..., Any], min_secs: float, *args, **kwargs) -> Any:
"""
Throttles the given callable that it
takes at least `min_secs` to finish execution.
:param func: Any callable
:param min_secs: minimum execution time in seconds
:return: Any
"""
start = time.time()
result = func(*args, **kwargs)
end = time.time()
duration = max(min_secs - (end - start), 0.0)
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logger.debug('Throttling %s for %.2f seconds', func.__name__, duration)
time.sleep(duration)
return result
def _process(self, nb_assets: Optional[int] = 0) -> bool:
"""
Queries the persistence layer for open trades and handles them,
otherwise a new trade is created.
:param: nb_assets: the maximum number of pairs to be traded at the same time
:return: True if one or more trades has been created or closed, False otherwise
"""
state_changed = False
try:
# Refresh whitelist based on wallet maintenance
sanitized_list = self._refresh_whitelist(
self._gen_pair_whitelist(
self.config['stake_currency']
) if nb_assets else self.config['exchange']['pair_whitelist']
)
# Keep only the subsets of pairs wanted (up to nb_assets)
final_list = sanitized_list[:nb_assets] if nb_assets else sanitized_list
self.config['exchange']['pair_whitelist'] = final_list
# Query trades from persistence layer
trades = Trade.query.filter(Trade.is_open.is_(True)).all()
# First process current opened trades
for trade in trades:
state_changed |= self.process_maybe_execute_sell(trade)
# Then looking for buy opportunities
if len(trades) < self.config['max_open_trades']:
state_changed = self.process_maybe_execute_buy()
if 'unfilledtimeout' in self.config:
# Check and handle any timed out open orders
self.check_handle_timedout()
Trade.session.flush()
except TemporaryError as error:
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logger.warning('%s, retrying in 30 seconds...', error)
time.sleep(constants.RETRY_TIMEOUT)
except OperationalException:
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tb = traceback.format_exc()
hint = 'Issue `/start` if you think it is safe to restart.'
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self.rpc.send_msg({
'type': RPCMessageType.STATUS_NOTIFICATION,
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'status': f'OperationalException:\n```\n{tb}```{hint}'
})
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logger.exception('OperationalException. Stopping trader ...')
self.state = State.STOPPED
return state_changed
@cached(TTLCache(maxsize=1, ttl=1800))
def _gen_pair_whitelist(self, base_currency: str, key: str = 'quoteVolume') -> List[str]:
"""
Updates the whitelist with with a dynamically generated list
:param base_currency: base currency as str
:param key: sort key (defaults to 'quoteVolume')
:return: List of pairs
"""
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if not self.exchange.exchange_has('fetchTickers'):
raise OperationalException(
'Exchange does not support dynamic whitelist.'
'Please edit your config and restart the bot'
)
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tickers = self.exchange.get_tickers()
# check length so that we make sure that '/' is actually in the string
tickers = [v for k, v in tickers.items()
if len(k.split('/')) == 2 and k.split('/')[1] == base_currency]
sorted_tickers = sorted(tickers, reverse=True, key=lambda t: t[key])
pairs = [s['symbol'] for s in sorted_tickers]
return pairs
def _refresh_whitelist(self, whitelist: List[str]) -> List[str]:
"""
Check available markets and remove pair from whitelist if necessary
:param whitelist: the sorted list (based on BaseVolume) of pairs the user might want to
trade
:return: the list of pairs the user wants to trade without the one unavailable or
black_listed
"""
sanitized_whitelist = whitelist
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markets = self.exchange.get_markets()
markets = [m for m in markets if m['quote'] == self.config['stake_currency']]
known_pairs = set()
for market in markets:
pair = market['symbol']
# pair is not int the generated dynamic market, or in the blacklist ... ignore it
if pair not in whitelist or pair in self.config['exchange'].get('pair_blacklist', []):
continue
# else the pair is valid
known_pairs.add(pair)
# Market is not active
if not market['active']:
sanitized_whitelist.remove(pair)
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logger.info(
'Ignoring %s from whitelist. Market is not active.',
pair
)
# We need to remove pairs that are unknown
final_list = [x for x in sanitized_whitelist if x in known_pairs]
return final_list
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def get_target_bid(self, pair: str, ticker: Dict[str, float]) -> float:
"""
Calculates bid target between current ask price and last price
:param ticker: Ticker to use for getting Ask and Last Price
:return: float: Price
"""
if ticker['ask'] < ticker['last']:
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ticker_rate = ticker['ask']
else:
balance = self.config['bid_strategy']['ask_last_balance']
ticker_rate = ticker['ask'] + balance * (ticker['last'] - ticker['ask'])
used_rate = ticker_rate
experimental_bid_strategy = self.config.get('experimental', {}).get('bid_strategy', {})
if 'use_order_book' in experimental_bid_strategy and\
experimental_bid_strategy.get('use_order_book', False):
logger.info('Getting price from order book')
order_book_top = experimental_bid_strategy.get('order_book_top', 1)
order_book = self.exchange.get_order_book(pair, order_book_top)
# top 1 = index 0
order_book_rate = order_book['bids'][order_book_top - 1][0]
# if ticker has lower rate, then use ticker ( usefull if down trending )
logger.info('...top %s order book buy rate %0.8f', order_book_top, order_book_rate)
if ticker_rate < order_book_rate:
logger.info('...using ticker rate instead %0.8f', ticker_rate)
used_rate = ticker_rate
used_rate = order_book_rate
else:
logger.info('Using Last Ask / Last Price')
used_rate = ticker_rate
return used_rate
def _trunc_num(self, f, n):
import math
return math.floor(f * 10 ** n) / 10 ** n
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def _get_trade_stake_amount(self) -> Optional[float]:
"""
Check if stake amount can be fulfilled with the available balance
for the stake currency
:return: float: Stake Amount
"""
stake_amount = self.config['stake_amount']
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avaliable_amount = self.exchange.get_balance(self.config['stake_currency'])
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if stake_amount == constants.UNLIMITED_STAKE_AMOUNT:
open_trades = len(Trade.query.filter(Trade.is_open.is_(True)).all())
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if open_trades >= self.config['max_open_trades']:
logger.warning('Can\'t open a new trade: max number of trades is reached')
return None
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return avaliable_amount / (self.config['max_open_trades'] - open_trades)
# Check if stake_amount is fulfilled
if avaliable_amount < stake_amount:
raise DependencyException(
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'Available balance(%f %s) is lower than stake amount(%f %s)' % (
avaliable_amount, self.config['stake_currency'],
stake_amount, self.config['stake_currency'])
)
return stake_amount
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def _get_min_pair_stake_amount(self, pair: str, price: float) -> Optional[float]:
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markets = self.exchange.get_markets()
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markets = [m for m in markets if m['symbol'] == pair]
if not markets:
raise ValueError(f'Can\'t get market information for symbol {pair}')
market = markets[0]
if 'limits' not in market:
return None
min_stake_amounts = []
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limits = market['limits']
if ('cost' in limits and 'min' in limits['cost']
and limits['cost']['min'] is not None):
min_stake_amounts.append(limits['cost']['min'])
if ('amount' in limits and 'min' in limits['amount']
and limits['amount']['min'] is not None):
min_stake_amounts.append(limits['amount']['min'] * price)
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if not min_stake_amounts:
return None
amount_reserve_percent = 1 - 0.05 # reserve 5% + stoploss
if self.strategy.stoploss is not None:
amount_reserve_percent += self.strategy.stoploss
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# it should not be more than 50%
amount_reserve_percent = max(amount_reserve_percent, 0.5)
return min(min_stake_amounts)/amount_reserve_percent
def create_trade(self) -> bool:
"""
Checks the implemented trading indicator(s) for a randomly picked pair,
if one pair triggers the buy_signal a new trade record gets created
:return: True if a trade object has been created and persisted, False otherwise
"""
interval = self.strategy.ticker_interval
stake_amount = self._get_trade_stake_amount()
if not stake_amount:
return False
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logger.info(
'Checking buy signals to create a new trade with stake_amount: %f ...',
stake_amount
)
whitelist = copy.deepcopy(self.config['exchange']['pair_whitelist'])
# Remove currently opened and latest pairs from whitelist
for trade in Trade.query.filter(Trade.is_open.is_(True)).all():
if trade.pair in whitelist:
whitelist.remove(trade.pair)
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logger.debug('Ignoring %s in pair whitelist', trade.pair)
if not whitelist:
raise DependencyException('No currency pairs in whitelist')
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# Pick pair based on buy signals
for _pair in whitelist:
thistory = self.exchange.get_ticker_history(_pair, interval)
(buy, sell) = self.strategy.get_signal(_pair, interval, thistory)
if buy and not sell:
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experimental_check_depth_of_market = self.config.get('experimental', {}).\
get('check_depth_of_market', {})
if (experimental_check_depth_of_market.get('enabled', False)) and\
(experimental_check_depth_of_market.get('bids_to_ask_delta', 0) > 0):
if self._check_depth_of_market_buy(_pair):
return self.execute_buy(_pair, stake_amount)
else:
return False
return self.execute_buy(_pair, stake_amount)
return False
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def _check_depth_of_market_buy(self, pair: str) -> bool:
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"""
Checks depth of market before executing a buy
"""
experimental_check_depth_of_market = self.config.get('experimental', {}).\
get('check_depth_of_market', {})
conf_bids_to_ask_delta = experimental_check_depth_of_market.get('bids_to_ask_delta', 0)
logger.info('checking depth of market for %s', pair)
order_book = self.exchange.get_order_book(pair, 1000)
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order_book_data_frame = order_book_to_dataframe(order_book['bids'], order_book['asks'])
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order_book_bids = order_book_data_frame['b_size'].sum()
order_book_asks = order_book_data_frame['a_size'].sum()
bids_ask_delta = order_book_bids / order_book_asks
logger.info('bids: %s, asks: %s, delta: %s', order_book_bids,
order_book_asks,
order_book_bids / order_book_asks)
if bids_ask_delta >= conf_bids_to_ask_delta:
return True
return False
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def execute_buy(self, pair: str, stake_amount: float) -> bool:
"""
Executes a limit buy for the given pair
:param pair: pair for which we want to create a LIMIT_BUY
:return: None
"""
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pair_s = pair.replace('_', '/')
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pair_url = self.exchange.get_pair_detail_url(pair)
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stake_currency = self.config['stake_currency']
fiat_currency = self.config.get('fiat_display_currency', None)
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# Calculate amount
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buy_limit = self.get_target_bid(pair, self.exchange.get_ticker(pair))
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min_stake_amount = self._get_min_pair_stake_amount(pair_s, buy_limit)
if min_stake_amount is not None and min_stake_amount > stake_amount:
logger.warning(
f'Can\'t open a new trade for {pair_s}: stake amount'
f' is too small ({stake_amount} < {min_stake_amount})'
)
return False
amount = stake_amount / buy_limit
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order_id = self.exchange.buy(pair, buy_limit, amount)['id']
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self.rpc.send_msg({
'type': RPCMessageType.BUY_NOTIFICATION,
'exchange': self.exchange.name.capitalize(),
'pair': pair_s,
'market_url': pair_url,
'limit': buy_limit,
'stake_amount': stake_amount,
'stake_currency': stake_currency,
'fiat_currency': fiat_currency
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})
# Fee is applied twice because we make a LIMIT_BUY and LIMIT_SELL
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fee = self.exchange.get_fee(symbol=pair, taker_or_maker='maker')
trade = Trade(
pair=pair,
stake_amount=stake_amount,
amount=amount,
fee_open=fee,
fee_close=fee,
open_rate=buy_limit,
open_rate_requested=buy_limit,
open_date=datetime.utcnow(),
exchange=self.exchange.id,
open_order_id=order_id,
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strategy=self.strategy.get_strategy_name(),
ticker_interval=constants.TICKER_INTERVAL_MINUTES[self.config['ticker_interval']]
)
Trade.session.add(trade)
Trade.session.flush()
return True
def process_maybe_execute_buy(self) -> bool:
"""
Tries to execute a buy trade in a safe way
:return: True if executed
"""
try:
# Create entity and execute trade
if self.create_trade():
return True
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logger.info('Found no buy signals for whitelisted currencies. Trying again..')
return False
except DependencyException as exception:
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logger.warning('Unable to create trade: %s', exception)
return False
def process_maybe_execute_sell(self, trade: Trade) -> bool:
"""
Tries to execute a sell trade
:return: True if executed
"""
try:
# Get order details for actual price per unit
if trade.open_order_id:
# Update trade with order values
logger.info('Found open order for %s', trade)
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order = self.exchange.get_order(trade.open_order_id, trade.pair)
# Try update amount (binance-fix)
try:
new_amount = self.get_real_amount(trade, order)
if order['amount'] != new_amount:
order['amount'] = new_amount
# Fee was applied, so set to 0
trade.fee_open = 0
except OperationalException as exception:
logger.warning("could not update trade amount: %s", exception)
trade.update(order)
if trade.is_open and trade.open_order_id is None:
# Check if we can sell our current pair
return self.handle_trade(trade)
except DependencyException as exception:
logger.warning('Unable to sell trade: %s', exception)
return False
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def get_real_amount(self, trade: Trade, order: Dict) -> float:
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"""
Get real amount for the trade
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Necessary for self.exchanges which charge fees in base currency (e.g. binance)
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"""
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order_amount = order['amount']
# Only run for closed orders
if trade.fee_open == 0 or order['status'] == 'open':
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return order_amount
# use fee from order-dict if possible
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if 'fee' in order and order['fee'] and (order['fee'].keys() >= {'currency', 'cost'}):
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if trade.pair.startswith(order['fee']['currency']):
new_amount = order_amount - order['fee']['cost']
logger.info("Applying fee on amount for %s (from %s to %s) from Order",
trade, order['amount'], new_amount)
return new_amount
# Fallback to Trades
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trades = self.exchange.get_trades_for_order(trade.open_order_id, trade.pair,
trade.open_date)
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if len(trades) == 0:
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logger.info("Applying fee on amount for %s failed: myTrade-Dict empty found", trade)
return order_amount
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amount = 0
fee_abs = 0
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for exectrade in trades:
amount += exectrade['amount']
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if "fee" in exectrade and (exectrade['fee'].keys() >= {'currency', 'cost'}):
# only applies if fee is in quote currency!
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if trade.pair.startswith(exectrade['fee']['currency']):
fee_abs += exectrade['fee']['cost']
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if amount != order_amount:
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logger.warning(f"amount {amount} does not match amount {trade.amount}")
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raise OperationalException("Half bought? Amounts don't match")
real_amount = amount - fee_abs
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if fee_abs != 0:
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logger.info(f"""Applying fee on amount for {trade} \
(from {order_amount} to {real_amount}) from Trades""")
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return real_amount
def handle_trade(self, trade: Trade) -> bool:
"""
Sells the current pair if the threshold is reached and updates the trade record.
:return: True if trade has been sold, False otherwise
"""
if not trade.is_open:
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raise ValueError(f'attempt to handle closed trade: {trade}')
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logger.debug('Handling %s ...', trade)
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sell_rate = self.exchange.get_ticker(trade.pair)['bid']
(buy, sell) = (False, False)
experimental = self.config.get('experimental', {})
if experimental.get('use_sell_signal') or experimental.get('ignore_roi_if_buy_signal'):
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ticker = self.exchange.get_ticker_history(trade.pair, self.strategy.ticker_interval)
(buy, sell) = self.strategy.get_signal(trade.pair, self.strategy.ticker_interval,
ticker)
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experimental_ask_strategy = self.config.get('experimental', {}).get('ask_strategy', {})
if 'use_order_book' in experimental_ask_strategy and\
experimental_ask_strategy.get('use_order_book', False):
logger.info('Using order book for selling...')
# logger.debug('Order book %s',orderBook)
order_book_min = experimental_ask_strategy.get('order_book_min', 1)
order_book_max = experimental_ask_strategy.get('order_book_max', 1)
order_book = self.exchange.get_order_book(trade.pair, order_book_max)
for i in range(order_book_min, order_book_max + 1):
order_book_rate = order_book['asks'][i - 1][0]
# if orderbook has higher rate (high profit),
# use orderbook, otherwise just use bids rate
logger.info(' order book asks top %s: %0.8f', i, order_book_rate)
if sell_rate < order_book_rate:
sell_rate = order_book_rate
if self.check_sell(trade, sell_rate, buy, sell):
return True
break
else:
logger.info('checking sell')
if self.check_sell(trade, sell_rate, buy, sell):
return True
logger.info('Found no sell signals for whitelisted currencies. Trying again..')
return False
def check_sell(self, trade: Trade, sell_rate: float, buy: bool, sell: bool) -> bool:
should_sell = self.strategy.should_sell(trade, sell_rate, datetime.utcnow(), buy, sell)
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if should_sell.sell_flag:
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self.execute_sell(trade, sell_rate, should_sell.sell_type)
logger.info('excuted sell')
return True
return False
def check_handle_timedout(self) -> None:
"""
Check if any orders are timed out and cancel if neccessary
:param timeoutvalue: Number of minutes until order is considered timed out
:return: None
"""
buy_timeout = self.config['unfilledtimeout']['buy']
sell_timeout = self.config['unfilledtimeout']['sell']
buy_timeoutthreashold = arrow.utcnow().shift(minutes=-buy_timeout).datetime
sell_timeoutthreashold = arrow.utcnow().shift(minutes=-sell_timeout).datetime
for trade in Trade.query.filter(Trade.open_order_id.isnot(None)).all():
try:
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# FIXME: Somehow the query above returns results
# where the open_order_id is in fact None.
# This is probably because the record got
# updated via /forcesell in a different thread.
if not trade.open_order_id:
continue
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order = self.exchange.get_order(trade.open_order_id, trade.pair)
except requests.exceptions.RequestException:
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logger.info(
'Cannot query order for %s due to %s',
trade,
traceback.format_exc())
continue
ordertime = arrow.get(order['datetime']).datetime
# Check if trade is still actually open
if int(order['remaining']) == 0:
continue
# Check if trade is still actually open
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if order['status'] == 'open':
if order['side'] == 'buy' and ordertime < buy_timeoutthreashold:
self.handle_timedout_limit_buy(trade, order)
elif order['side'] == 'sell' and ordertime < sell_timeoutthreashold:
self.handle_timedout_limit_sell(trade, order)
# FIX: 20180110, why is cancel.order unconditionally here, whereas
# it is conditionally called in the
# handle_timedout_limit_sell()?
def handle_timedout_limit_buy(self, trade: Trade, order: Dict) -> bool:
"""Buy timeout - cancel order
:return: True if order was fully cancelled
"""
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pair_s = trade.pair.replace('_', '/')
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self.exchange.cancel_order(trade.open_order_id, trade.pair)
if order['remaining'] == order['amount']:
# if trade is not partially completed, just delete the trade
Trade.session.delete(trade)
Trade.session.flush()
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logger.info('Buy order timeout for %s.', trade)
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self.rpc.send_msg({
'type': RPCMessageType.STATUS_NOTIFICATION,
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'status': f'Unfilled buy order for {pair_s} cancelled due to timeout'
})
return True
# if trade is partially complete, edit the stake details for the trade
# and close the order
trade.amount = order['amount'] - order['remaining']
trade.stake_amount = trade.amount * trade.open_rate
trade.open_order_id = None
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logger.info('Partial buy order timeout for %s.', trade)
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self.rpc.send_msg({
'type': RPCMessageType.STATUS_NOTIFICATION,
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'status': f'Remaining buy order for {pair_s} cancelled due to timeout'
})
return False
# FIX: 20180110, should cancel_order() be cond. or unconditionally called?
def handle_timedout_limit_sell(self, trade: Trade, order: Dict) -> bool:
"""
Sell timeout - cancel order and update trade
:return: True if order was fully cancelled
"""
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pair_s = trade.pair.replace('_', '/')
if order['remaining'] == order['amount']:
# if trade is not partially completed, just cancel the trade
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self.exchange.cancel_order(trade.open_order_id, trade.pair)
trade.close_rate = None
trade.close_profit = None
trade.close_date = None
trade.is_open = True
trade.open_order_id = None
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self.rpc.send_msg({
'type': RPCMessageType.STATUS_NOTIFICATION,
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'status': f'Unfilled sell order for {pair_s} cancelled due to timeout'
})
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logger.info('Sell order timeout for %s.', trade)
return True
# TODO: figure out how to handle partially complete sell orders
return False
def execute_sell(self, trade: Trade, limit: float, sell_reason: SellType) -> None:
"""
Executes a limit sell for the given trade and limit
:param trade: Trade instance
:param limit: limit rate for the sell order
:param sellreason: Reason the sell was triggered
:return: None
"""
# Execute sell and update trade record
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order_id = self.exchange.sell(str(trade.pair), limit, trade.amount)['id']
trade.open_order_id = order_id
trade.close_rate_requested = limit
trade.sell_reason = sell_reason.value
profit_trade = trade.calc_profit(rate=limit)
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current_rate = self.exchange.get_ticker(trade.pair)['bid']
profit_percent = trade.calc_profit_percent(limit)
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pair_url = self.exchange.get_pair_detail_url(trade.pair)
gain = "profit" if profit_percent > 0 else "loss"
msg = {
'type': RPCMessageType.SELL_NOTIFICATION,
'exchange': trade.exchange.capitalize(),
'pair': trade.pair,
'gain': gain,
'market_url': pair_url,
'limit': limit,
'amount': trade.amount,
'open_rate': trade.open_rate,
'current_rate': current_rate,
'profit_amount': profit_trade,
'profit_percent': profit_percent,
}
# For regular case, when the configuration exists
if 'stake_currency' in self.config and 'fiat_display_currency' in self.config:
stake_currency = self.config['stake_currency']
fiat_currency = self.config['fiat_display_currency']
msg.update({
'stake_currency': stake_currency,
'fiat_currency': fiat_currency,
})
# Send the message
self.rpc.send_msg(msg)
Trade.session.flush()