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updated get_max_leverage to use new ccxt unified property

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This commit is contained in:
Sam Germain 2021-10-17 07:06:55 -06:00
parent 3fffc315ac
commit 0329da1a57
8 changed files with 45 additions and 133 deletions
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8
freqtrade/exchange/binance.py
View File

@ -2,7 +2,7 @@
import json
import logging
from pathlib import Path
from typing import Dict, List, Optional, Tuple
from typing import Any, Dict, List, Optional, Tuple
import arrow
import ccxt
@ -38,6 +38,12 @@ class Binance(Exchange):
# (TradingMode.FUTURES, Collateral.ISOLATED) # TODO-lev: Uncomment once supported
]
def __init__(self, config: Dict[str, Any], validate: bool = True) -> None:
super().__init__(config, validate)
self._leverage_brackets: Dict = {}
if self.trading_mode != TradingMode.SPOT:
self.fill_leverage_brackets()
@property
def _ccxt_config(self) -> Dict:
# Parameters to add directly to ccxt sync/async initialization.

14
freqtrade/exchange/exchange.py
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@ -89,7 +89,6 @@ class Exchange:
self._api: ccxt.Exchange = None
self._api_async: ccxt_async.Exchange = None
self._markets: Dict = {}
self._leverage_brackets: Dict = {}
self._config.update(config)
@ -158,9 +157,6 @@ class Exchange:
self._api_async = self._init_ccxt(
exchange_config, ccxt_async, ccxt_kwargs=ccxt_async_config)
if self.trading_mode != TradingMode.SPOT:
self.fill_leverage_brackets()
logger.info('Using Exchange "%s"', self.name)
if validate:
@ -1637,9 +1633,9 @@ class Exchange:
def fill_leverage_brackets(self):
"""
# TODO-lev: Should maybe be renamed, leverage_brackets might not be accurate for kraken
Assigns property _leverage_brackets to a dictionary of information about the leverage
allowed on each pair
Not used by most exchanges, only used by Binance at time of writing
"""
return
@ -1649,6 +1645,14 @@ class Exchange:
:param pair: The base/quote currency pair being traded
:nominal_value: The total value of the trade in quote currency (collateral + debt)
"""
market = self.markets[pair]
if (
'limits' in market and
'leverage' in market['limits'] and
'max' in market['limits']['leverage']
):
return market['limits']['leverage']['max']
else:
return 1.0
@retrier

17
freqtrade/exchange/ftx.py
View File

@ -1,6 +1,6 @@
""" FTX exchange subclass """
import logging
from typing import Any, Dict, List, Optional, Tuple
from typing import Any, Dict, List, Tuple
import ccxt
@ -168,18 +168,3 @@ class Ftx(Exchange):
if order['type'] == 'stop':
return safe_value_fallback2(order, order, 'id_stop', 'id')
return order['id']
def fill_leverage_brackets(self):
"""
FTX leverage is static across the account, and doesn't change from pair to pair,
so _leverage_brackets doesn't need to be set
"""
return
def get_max_leverage(self, pair: Optional[str], nominal_value: Optional[float]) -> float:
"""
Returns the maximum leverage that a pair can be traded at, which is always 20 on ftx
:param pair: Here for super method, not used on FTX
:nominal_value: Here for super method, not used on FTX
"""
return 20.0

34
freqtrade/exchange/kraken.py
View File

@ -139,40 +139,6 @@ class Kraken(Exchange):
except ccxt.BaseError as e:
raise OperationalException(e) from e
def fill_leverage_brackets(self):
"""
Assigns property _leverage_brackets to a dictionary of information about the leverage
allowed on each pair
"""
leverages = {}
for pair, market in self.markets.items():
leverages[pair] = [1]
info = market['info']
leverage_buy = info.get('leverage_buy', [])
leverage_sell = info.get('leverage_sell', [])
if len(leverage_buy) > 0 or len(leverage_sell) > 0:
if leverage_buy != leverage_sell:
logger.warning(
f"The buy({leverage_buy}) and sell({leverage_sell}) leverage are not equal"
"for {pair}. Please notify freqtrade because this has never happened before"
)
if max(leverage_buy) <= max(leverage_sell):
leverages[pair] += [int(lev) for lev in leverage_buy]
else:
leverages[pair] += [int(lev) for lev in leverage_sell]
else:
leverages[pair] += [int(lev) for lev in leverage_buy]
self._leverage_brackets = leverages
def get_max_leverage(self, pair: Optional[str], nominal_value: Optional[float]) -> float:
"""
Returns the maximum leverage that a pair can be traded at
:param pair: The base/quote currency pair being traded
:nominal_value: Here for super class, not needed on Kraken
"""
return float(max(self._leverage_brackets[pair]))
def _set_leverage(
self,
leverage: float,

32
tests/conftest.py
View File

@ -590,10 +590,10 @@ def get_markets():
'min': 0.0001,
'max': 500000,
},
},
'info': {
'leverage_buy': ['2'],
'leverage_sell': ['2'],
'leverage': {
'min': 1.0,
'max': 2.0
}
},
},
'TKN/BTC': {
@ -619,10 +619,10 @@ def get_markets():
'min': 0.0001,
'max': 500000,
},
},
'info': {
'leverage_buy': ['2', '3', '4', '5'],
'leverage_sell': ['2', '3', '4', '5'],
'leverage': {
'min': 1.0,
'max': 5.0
}
},
},
'BLK/BTC': {
@ -647,10 +647,10 @@ def get_markets():
'min': 0.0001,
'max': 500000,
},
'leverage': {
'min': 1.0,
'max': 3.0
},
'info': {
'leverage_buy': ['2', '3'],
'leverage_sell': ['2', '3'],
},
},
'LTC/BTC': {
@ -676,10 +676,7 @@ def get_markets():
'max': 500000,
},
},
'info': {
'leverage_buy': [],
'leverage_sell': [],
},
'info': {},
},
'XRP/BTC': {
'id': 'xrpbtc',
@ -757,10 +754,7 @@ def get_markets():
'max': None
}
},
'info': {
'leverage_buy': [],
'leverage_sell': [],
},
'info': {},
},
'ETH/USDT': {
'id': 'USDT-ETH',

13
tests/exchange/test_exchange.py
View File

@ -3267,3 +3267,16 @@ def test__ccxt_config(
default_conf['collateral'] = 'isolated'
exchange = get_patched_exchange(mocker, default_conf, id=exchange_name)
assert exchange._ccxt_config == ccxt_config
@pytest.mark.parametrize('pair,nominal_value,max_lev', [
("ETH/BTC", 0.0, 2.0),
("TKN/BTC", 100.0, 5.0),
("BLK/BTC", 173.31, 3.0),
("LTC/BTC", 0.0, 1.0),
("TKN/USDT", 210.30, 1.0),
])
def test_get_max_leverage(default_conf, mocker, pair, nominal_value, max_lev):
# Binance has a different method of getting the max leverage
exchange = get_patched_exchange(mocker, default_conf, id="kraken")
assert exchange.get_max_leverage(pair, nominal_value) == max_lev

17
tests/exchange/test_ftx.py
View File

@ -250,20 +250,3 @@ def test_get_order_id(mocker, default_conf):
}
}
assert exchange.get_order_id_conditional(order) == '1111'
@pytest.mark.parametrize('pair,nominal_value,max_lev', [
("ADA/BTC", 0.0, 20.0),
("BTC/EUR", 100.0, 20.0),
("ZEC/USD", 173.31, 20.0),
])
def test_get_max_leverage_ftx(default_conf, mocker, pair, nominal_value, max_lev):
exchange = get_patched_exchange(mocker, default_conf, id="ftx")
assert exchange.get_max_leverage(pair, nominal_value) == max_lev
def test_fill_leverage_brackets_ftx(default_conf, mocker):
# FTX only has one account wide leverage, so there's no leverage brackets
exchange = get_patched_exchange(mocker, default_conf, id="ftx")
exchange.fill_leverage_brackets()
assert exchange._leverage_brackets == {}

39
tests/exchange/test_kraken.py
View File

@ -295,42 +295,3 @@ def test_stoploss_adjust_kraken(mocker, default_conf, sl1, sl2, sl3, side):
# Test with invalid order case ...
order['type'] = 'stop_loss_limit'
assert not exchange.stoploss_adjust(sl3, order, side=side)
@pytest.mark.parametrize('pair,nominal_value,max_lev', [
("ADA/BTC", 0.0, 3.0),
("BTC/EUR", 100.0, 5.0),
("ZEC/USD", 173.31, 2.0),
])
def test_get_max_leverage_kraken(default_conf, mocker, pair, nominal_value, max_lev):
exchange = get_patched_exchange(mocker, default_conf, id="kraken")
exchange._leverage_brackets = {
'ADA/BTC': ['2', '3'],
'BTC/EUR': ['2', '3', '4', '5'],
'ZEC/USD': ['2']
}
assert exchange.get_max_leverage(pair, nominal_value) == max_lev
def test_fill_leverage_brackets_kraken(default_conf, mocker):
api_mock = MagicMock()
exchange = get_patched_exchange(mocker, default_conf, api_mock, id="kraken")
exchange.fill_leverage_brackets()
assert exchange._leverage_brackets == {
'BLK/BTC': [1, 2, 3],
'TKN/BTC': [1, 2, 3, 4, 5],
'ETH/BTC': [1, 2],
'LTC/BTC': [1],
'XRP/BTC': [1],
'NEO/BTC': [1],
'BTT/BTC': [1],
'ETH/USDT': [1],
'LTC/USDT': [1],
'LTC/USD': [1],
'XLTCUSDT': [1],
'LTC/ETH': [1],
'NEO/USDT': [1],
'TKN/USDT': [1],
'XRP/USDT': [1]
}