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Merge pull request #3210 from jpribyl/Cancel_open_orders_on_shutdown

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Cancel open orders during shutdown
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hroff-1902 2020-05-16 21:45:02 +03:00 committed by GitHub
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11 changed files with 156 additions and 67 deletions
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1
config.json.example
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@ -6,6 +6,7 @@
"fiat_display_currency": "USD",
"ticker_interval": "5m",
"dry_run": false,
"cancel_open_orders_on_exit": false,
"trailing_stop": false,
"unfilledtimeout": {
"buy": 10,

1
config_binance.json.example
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@ -6,6 +6,7 @@
"fiat_display_currency": "USD",
"ticker_interval": "5m",
"dry_run": true,
"cancel_open_orders_on_exit": false,
"trailing_stop": false,
"unfilledtimeout": {
"buy": 10,

1
config_full.json.example
View File

@ -8,6 +8,7 @@
"amend_last_stake_amount": false,
"last_stake_amount_min_ratio": 0.5,
"dry_run": false,
"cancel_open_orders_on_exit": false,
"ticker_interval": "5m",
"trailing_stop": false,
"trailing_stop_positive": 0.005,

1
config_kraken.json.example
View File

@ -6,6 +6,7 @@
"fiat_display_currency": "EUR",
"ticker_interval": "5m",
"dry_run": true,
"cancel_open_orders_on_exit": false,
"trailing_stop": false,
"unfilledtimeout": {
"buy": 10,

1
docs/configuration.md
View File

@ -51,6 +51,7 @@ Mandatory parameters are marked as **Required**, which means that they are requi
| `fiat_display_currency` | Fiat currency used to show your profits. [More information below](#what-values-can-be-used-for-fiat_display_currency). <br> **Datatype:** String
| `dry_run` | **Required.** Define if the bot must be in Dry Run or production mode. <br>*Defaults to `true`.* <br> **Datatype:** Boolean
| `dry_run_wallet` | Define the starting amount in stake currency for the simulated wallet used by the bot running in the Dry Run mode.<br>*Defaults to `1000`.* <br> **Datatype:** Float
| `cancel_open_orders_on_exit` | Cancel open orders when the `/stop` RPC command is issued, `Ctrl+C` is pressed or the bot dies unexpectedly. When set to `true`, this allows you to use `/stop` to cancel unfilled and partially filled orders in the event of a market crash. It does not impact open positions. <br>*Defaults to `false`.* <br> **Datatype:** Boolean
| `process_only_new_candles` | Enable processing of indicators only when new candles arrive. If false each loop populates the indicators, this will mean the same candle is processed many times creating system load but can be useful of your strategy depends on tick data not only candle. [Strategy Override](#parameters-in-the-strategy). <br>*Defaults to `false`.* <br> **Datatype:** Boolean
| `minimal_roi` | **Required.** Set the threshold in percent the bot will use to sell a trade. [More information below](#understand-minimal_roi). [Strategy Override](#parameters-in-the-strategy). <br> **Datatype:** Dict
| `stoploss` | **Required.** Value of the stoploss in percent used by the bot. More details in the [stoploss documentation](stoploss.md). [Strategy Override](#parameters-in-the-strategy). <br> **Datatype:** Float (as ratio)

8
freqtrade/constants.py
View File

@ -88,6 +88,7 @@ CONF_SCHEMA = {
'fiat_display_currency': {'type': 'string', 'enum': SUPPORTED_FIAT},
'dry_run': {'type': 'boolean'},
'dry_run_wallet': {'type': 'number', 'default': DRY_RUN_WALLET},
'cancel_open_orders_on_exit': {'type': 'boolean', 'default': False},
'process_only_new_candles': {'type': 'boolean'},
'minimal_roi': {
'type': 'object',
@ -321,3 +322,10 @@ SCHEMA_MINIMAL_REQUIRED = [
'dataformat_ohlcv',
'dataformat_trades',
]
CANCEL_REASON = {
"TIMEOUT": "cancelled due to timeout",
"PARTIALLY_FILLED": "partially filled - keeping order open",
"ALL_CANCELLED": "cancelled (all unfilled and partially filled open orders cancelled)",
"CANCELLED_ON_EXCHANGE": "cancelled on exchange",
}

110
freqtrade/freqtradebot.py
View File

@ -116,6 +116,9 @@ class FreqtradeBot:
"""
logger.info('Cleaning up modules ...')
if self.config['cancel_open_orders_on_exit']:
self.cancel_all_open_orders()
self.rpc.cleanup()
persistence.cleanup()
@ -165,6 +168,13 @@ class FreqtradeBot:
Trade.session.flush()
def process_stopped(self) -> None:
"""
Close all orders that were left open
"""
if self.config['cancel_open_orders_on_exit']:
self.cancel_all_open_orders()
def _refresh_whitelist(self, trades: List[Trade] = []) -> List[str]:
"""
Refresh whitelist from pairlist or edge and extend it with trades.
@ -878,11 +888,7 @@ class FreqtradeBot:
default_retval=False)(pair=trade.pair,
trade=trade,
order=order))):
self.handle_timedout_limit_buy(trade, order)
self.wallets.update()
order_type = self.strategy.order_types['buy']
self._notify_buy_cancel(trade, order_type)
self.handle_cancel_buy(trade, order, constants.CANCEL_REASON['TIMEOUT'])
elif (order['side'] == 'sell' and (
trade_state_update
@ -891,25 +897,43 @@ class FreqtradeBot:
default_retval=False)(pair=trade.pair,
trade=trade,
order=order))):
reason = self.handle_timedout_limit_sell(trade, order)
self.wallets.update()
order_type = self.strategy.order_types['sell']
self._notify_sell_cancel(trade, order_type, reason)
self.handle_cancel_sell(trade, order, constants.CANCEL_REASON['TIMEOUT'])
def handle_timedout_limit_buy(self, trade: Trade, order: Dict) -> bool:
def cancel_all_open_orders(self) -> None:
"""
Buy timeout - cancel order
Cancel all orders that are currently open
:return: None
"""
for trade in Trade.get_open_order_trades():
try:
order = self.exchange.get_order(trade.open_order_id, trade.pair)
except (DependencyException, InvalidOrderException):
logger.info('Cannot query order for %s due to %s', trade, traceback.format_exc())
continue
if order['side'] == 'buy':
self.handle_cancel_buy(trade, order, constants.CANCEL_REASON['ALL_CANCELLED'])
elif order['side'] == 'sell':
self.handle_cancel_sell(trade, order, constants.CANCEL_REASON['ALL_CANCELLED'])
def handle_cancel_buy(self, trade: Trade, order: Dict, reason: str) -> bool:
"""
Buy cancel - cancel order
:return: True if order was fully cancelled
"""
was_trade_fully_canceled = False
# Cancelled orders may have the status of 'canceled' or 'closed'
if order['status'] not in ('canceled', 'closed'):
reason = "cancelled due to timeout"
reason = constants.CANCEL_REASON['TIMEOUT']
corder = self.exchange.cancel_order_with_result(trade.open_order_id, trade.pair,
trade.amount)
else:
# Order was cancelled already, so we can reuse the existing dict
corder = order
reason = "cancelled on exchange"
reason = constants.CANCEL_REASON['CANCELLED_ON_EXCHANGE']
logger.info('Buy order %s for %s.', reason, trade)
@ -921,43 +945,45 @@ class FreqtradeBot:
# if trade is not partially completed, just delete the trade
Trade.session.delete(trade)
Trade.session.flush()
return True
was_trade_fully_canceled = True
else:
# if trade is partially complete, edit the stake details for the trade
# and close the order
# cancel_order may not contain the full order dict, so we need to fallback
# to the order dict aquired before cancelling.
# we need to fall back to the values from order if corder does not contain these keys.
trade.amount = filled_amount
trade.stake_amount = trade.amount * trade.open_rate
self.update_trade_state(trade, corder, trade.amount)
# if trade is partially complete, edit the stake details for the trade
# and close the order
# cancel_order may not contain the full order dict, so we need to fallback
# to the order dict aquired before cancelling.
# we need to fall back to the values from order if corder does not contain these keys.
trade.amount = filled_amount
trade.stake_amount = trade.amount * trade.open_rate
self.update_trade_state(trade, corder, trade.amount)
trade.open_order_id = None
logger.info('Partial buy order timeout for %s.', trade)
self.rpc.send_msg({
'type': RPCMessageType.STATUS_NOTIFICATION,
'status': f'Remaining buy order for {trade.pair} cancelled due to timeout'
})
trade.open_order_id = None
logger.info('Partial buy order timeout for %s.', trade)
self.rpc.send_msg({
'type': RPCMessageType.STATUS_NOTIFICATION,
'status': f'Remaining buy order for {trade.pair} cancelled due to timeout'
})
return False
self.wallets.update()
self._notify_buy_cancel(trade, order_type=self.strategy.order_types['buy'])
return was_trade_fully_canceled
def handle_timedout_limit_sell(self, trade: Trade, order: Dict) -> str:
def handle_cancel_sell(self, trade: Trade, order: Dict, reason: str) -> str:
"""
Sell timeout - cancel order and update trade
Sell cancel - cancel order and update trade
:return: Reason for cancel
"""
# if trade is not partially completed, just cancel the trade
# if trade is not partially completed, just cancel the order
if order['remaining'] == order['amount'] or order.get('filled') == 0.0:
if not self.exchange.check_order_canceled_empty(order):
reason = "cancelled due to timeout"
try:
# if trade is not partially completed, just delete the trade
# if trade is not partially completed, just delete the order
self.exchange.cancel_order(trade.open_order_id, trade.pair)
except InvalidOrderException:
logger.exception(f"Could not cancel sell order {trade.open_order_id}")
return 'error cancelling order'
logger.info('Sell order %s for %s.', reason, trade)
else:
reason = "cancelled on exchange"
reason = constants.CANCEL_REASON['CANCELLED_ON_EXCHANGE']
logger.info('Sell order %s for %s.', reason, trade)
trade.close_rate = None
@ -967,11 +993,17 @@ class FreqtradeBot:
trade.close_date = None
trade.is_open = True
trade.open_order_id = None
else:
# TODO: figure out how to handle partially complete sell orders
reason = constants.CANCEL_REASON['PARTIALLY_FILLED']
return reason
# TODO: figure out how to handle partially complete sell orders
return 'partially filled - keeping order open'
self.wallets.update()
self._notify_sell_cancel(
trade,
order_type=self.strategy.order_types['sell'],
reason=reason
)
return reason
def _safe_sell_amount(self, pair: str, amount: float) -> float:
"""

1
freqtrade/templates/base_config.json.j2
View File

@ -6,6 +6,7 @@
"fiat_display_currency": "{{ fiat_display_currency }}",
"ticker_interval": "{{ ticker_interval }}",
"dry_run": {{ dry_run | lower }},
"cancel_open_orders_on_exit": false,
"unfilledtimeout": {
"buy": 10,
"sell": 30

3
freqtrade/worker.py
View File

@ -131,8 +131,7 @@ class Worker:
return result
def _process_stopped(self) -> None:
# Maybe do here something in the future...
pass
self.freqtrade.process_stopped()
def _process_running(self) -> None:
try:

1
tests/conftest.py
View File

@ -249,6 +249,7 @@ def default_conf(testdatadir):
"fiat_display_currency": "USD",
"ticker_interval": '5m',
"dry_run": True,
"cancel_open_orders_on_exit": False,
"minimal_roi": {
"40": 0.0,
"30": 0.01,

95
tests/test_freqtradebot.py
View File

@ -11,7 +11,7 @@ import arrow
import pytest
import requests
from freqtrade.constants import MATH_CLOSE_PREC, UNLIMITED_STAKE_AMOUNT
from freqtrade.constants import MATH_CLOSE_PREC, UNLIMITED_STAKE_AMOUNT, CANCEL_REASON
from freqtrade.exceptions import (DependencyException, InvalidOrderException,
OperationalException, TemporaryError)
from freqtrade.freqtradebot import FreqtradeBot
@ -22,7 +22,7 @@ from freqtrade.strategy.interface import SellCheckTuple, SellType
from freqtrade.worker import Worker
from tests.conftest import (get_patched_freqtradebot, get_patched_worker,
log_has, log_has_re, patch_edge, patch_exchange,
patch_get_signal, patch_wallet, patch_whitelist)
patch_get_signal, patch_wallet, patch_whitelist, create_mock_trades)
def patch_RPCManager(mocker) -> MagicMock:
@ -48,13 +48,31 @@ def test_freqtradebot_state(mocker, default_conf, markets) -> None:
assert freqtrade.state is State.STOPPED
def test_cleanup(mocker, default_conf, caplog) -> None:
mock_cleanup = MagicMock()
mocker.patch('freqtrade.persistence.cleanup', mock_cleanup)
def test_process_stopped(mocker, default_conf) -> None:
freqtrade = get_patched_freqtradebot(mocker, default_conf)
coo_mock = mocker.patch('freqtrade.freqtradebot.FreqtradeBot.cancel_all_open_orders')
freqtrade.process_stopped()
assert coo_mock.call_count == 0
default_conf['cancel_open_orders_on_exit'] = True
freqtrade = get_patched_freqtradebot(mocker, default_conf)
freqtrade.process_stopped()
assert coo_mock.call_count == 1
def test_bot_cleanup(mocker, default_conf, caplog) -> None:
mock_cleanup = mocker.patch('freqtrade.persistence.cleanup')
coo_mock = mocker.patch('freqtrade.freqtradebot.FreqtradeBot.cancel_all_open_orders')
freqtrade = get_patched_freqtradebot(mocker, default_conf)
freqtrade.cleanup()
assert log_has('Cleaning up modules ...', caplog)
assert mock_cleanup.call_count == 1
assert coo_mock.call_count == 0
freqtrade.config['cancel_open_orders_on_exit'] = True
freqtrade.cleanup()
assert coo_mock.call_count == 1
def test_order_dict_dry_run(default_conf, mocker, caplog) -> None:
@ -2284,8 +2302,8 @@ def test_check_handle_timedout_exception(default_conf, ticker, open_trade, mocke
mocker.patch.multiple(
'freqtrade.freqtradebot.FreqtradeBot',
handle_timedout_limit_buy=MagicMock(),
handle_timedout_limit_sell=MagicMock(),
handle_cancel_buy=MagicMock(),
handle_cancel_sell=MagicMock(),
)
mocker.patch.multiple(
'freqtrade.exchange.Exchange',
@ -2305,50 +2323,54 @@ def test_check_handle_timedout_exception(default_conf, ticker, open_trade, mocke
caplog)
def test_handle_timedout_limit_buy(mocker, caplog, default_conf, limit_buy_order) -> None:
def test_handle_cancel_buy(mocker, caplog, default_conf, limit_buy_order) -> None:
patch_RPCManager(mocker)
patch_exchange(mocker)
cancel_order_mock = MagicMock(return_value=limit_buy_order)
mocker.patch('freqtrade.exchange.Exchange.cancel_order_with_result', cancel_order_mock)
freqtrade = FreqtradeBot(default_conf)
freqtrade._notify_buy_cancel = MagicMock()
Trade.session = MagicMock()
trade = MagicMock()
trade.pair = 'LTC/ETH'
limit_buy_order['filled'] = 0.0
limit_buy_order['status'] = 'open'
assert freqtrade.handle_timedout_limit_buy(trade, limit_buy_order)
reason = CANCEL_REASON['TIMEOUT']
assert freqtrade.handle_cancel_buy(trade, limit_buy_order, reason)
assert cancel_order_mock.call_count == 1
cancel_order_mock.reset_mock()
limit_buy_order['filled'] = 2
assert not freqtrade.handle_timedout_limit_buy(trade, limit_buy_order)
assert not freqtrade.handle_cancel_buy(trade, limit_buy_order, reason)
assert cancel_order_mock.call_count == 1
limit_buy_order['filled'] = 2
mocker.patch('freqtrade.exchange.Exchange.cancel_order', side_effect=InvalidOrderException)
assert not freqtrade.handle_timedout_limit_buy(trade, limit_buy_order)
assert not freqtrade.handle_cancel_buy(trade, limit_buy_order, reason)
@pytest.mark.parametrize("limit_buy_order_canceled_empty", ['binance', 'ftx', 'kraken', 'bittrex'],
indirect=['limit_buy_order_canceled_empty'])
def test_handle_timedout_limit_buy_exchanges(mocker, caplog, default_conf,
limit_buy_order_canceled_empty) -> None:
def test_handle_cancel_buy_exchanges(mocker, caplog, default_conf,
limit_buy_order_canceled_empty) -> None:
patch_RPCManager(mocker)
patch_exchange(mocker)
cancel_order_mock = mocker.patch(
'freqtrade.exchange.Exchange.cancel_order_with_result',
return_value=limit_buy_order_canceled_empty)
nofiy_mock = mocker.patch('freqtrade.freqtradebot.FreqtradeBot._notify_buy_cancel')
freqtrade = FreqtradeBot(default_conf)
Trade.session = MagicMock()
reason = CANCEL_REASON['TIMEOUT']
trade = MagicMock()
trade.pair = 'LTC/ETH'
assert freqtrade.handle_timedout_limit_buy(trade, limit_buy_order_canceled_empty)
assert freqtrade.handle_cancel_buy(trade, limit_buy_order_canceled_empty, reason)
assert cancel_order_mock.call_count == 0
assert log_has_re(r'Buy order fully cancelled. Removing .* from database\.', caplog)
assert nofiy_mock.call_count == 1
@pytest.mark.parametrize('cancelorder', [
@ -2357,8 +2379,8 @@ def test_handle_timedout_limit_buy_exchanges(mocker, caplog, default_conf,
'String Return value',
123
])
def test_handle_timedout_limit_buy_corder_empty(mocker, default_conf, limit_buy_order,
cancelorder) -> None:
def test_handle_cancel_buy_corder_empty(mocker, default_conf, limit_buy_order,
cancelorder) -> None:
patch_RPCManager(mocker)
patch_exchange(mocker)
cancel_order_mock = MagicMock(return_value=cancelorder)
@ -2368,23 +2390,24 @@ def test_handle_timedout_limit_buy_corder_empty(mocker, default_conf, limit_buy_
)
freqtrade = FreqtradeBot(default_conf)
freqtrade._notify_buy_cancel = MagicMock()
Trade.session = MagicMock()
trade = MagicMock()
trade.pair = 'LTC/ETH'
limit_buy_order['filled'] = 0.0
limit_buy_order['status'] = 'open'
assert freqtrade.handle_timedout_limit_buy(trade, limit_buy_order)
reason = CANCEL_REASON['TIMEOUT']
assert freqtrade.handle_cancel_buy(trade, limit_buy_order, reason)
assert cancel_order_mock.call_count == 1
cancel_order_mock.reset_mock()
limit_buy_order['filled'] = 1.0
assert not freqtrade.handle_timedout_limit_buy(trade, limit_buy_order)
assert not freqtrade.handle_cancel_buy(trade, limit_buy_order, reason)
assert cancel_order_mock.call_count == 1
def test_handle_timedout_limit_sell(mocker, default_conf) -> None:
def test_handle_cancel_sell_limit(mocker, default_conf) -> None:
patch_RPCManager(mocker)
patch_exchange(mocker)
cancel_order_mock = MagicMock()
@ -2394,21 +2417,23 @@ def test_handle_timedout_limit_sell(mocker, default_conf) -> None:
)
freqtrade = FreqtradeBot(default_conf)
freqtrade._notify_sell_cancel = MagicMock()
trade = MagicMock()
order = {'remaining': 1,
'amount': 1,
'status': "open"}
assert freqtrade.handle_timedout_limit_sell(trade, order)
reason = CANCEL_REASON['TIMEOUT']
assert freqtrade.handle_cancel_sell(trade, order, reason)
assert cancel_order_mock.call_count == 1
order['amount'] = 2
assert (freqtrade.handle_timedout_limit_sell(trade, order)
== 'partially filled - keeping order open')
assert (freqtrade.handle_cancel_sell(trade, order, reason)
== CANCEL_REASON['PARTIALLY_FILLED'])
# Assert cancel_order was not called (callcount remains unchanged)
assert cancel_order_mock.call_count == 1
def test_handle_timedout_limit_sell_cancel_exception(mocker, default_conf) -> None:
def test_handle_cancel_sell_cancel_exception(mocker, default_conf) -> None:
patch_RPCManager(mocker)
patch_exchange(mocker)
mocker.patch(
@ -2417,10 +2442,11 @@ def test_handle_timedout_limit_sell_cancel_exception(mocker, default_conf) -> No
freqtrade = FreqtradeBot(default_conf)
trade = MagicMock()
reason = CANCEL_REASON['TIMEOUT']
order = {'remaining': 1,
'amount': 1,
'status': "open"}
assert freqtrade.handle_timedout_limit_sell(trade, order) == 'error cancelling order'
assert freqtrade.handle_cancel_sell(trade, order, reason) == 'error cancelling order'
def test_execute_sell_up(default_conf, ticker, fee, ticker_sell_up, mocker) -> None:
@ -3919,3 +3945,20 @@ def test_sync_wallet_dry_run(mocker, default_conf, ticker, fee, limit_buy_order,
assert log_has_re(r"Unable to create trade for XRP/BTC: "
r"Available balance \(0.0 BTC\) is lower than stake amount \(0.001 BTC\)",
caplog)
@pytest.mark.usefixtures("init_persistence")
def test_cancel_all_open_orders(mocker, default_conf, fee, limit_buy_order, limit_sell_order):
default_conf['cancel_open_orders_on_exit'] = True
mocker.patch('freqtrade.exchange.Exchange.get_order',
side_effect=[DependencyException(), limit_sell_order, limit_buy_order])
buy_mock = mocker.patch('freqtrade.freqtradebot.FreqtradeBot.handle_cancel_buy')
sell_mock = mocker.patch('freqtrade.freqtradebot.FreqtradeBot.handle_cancel_sell')
freqtrade = get_patched_freqtradebot(mocker, default_conf)
create_mock_trades(fee)
trades = Trade.query.all()
assert len(trades) == 3
freqtrade.cancel_all_open_orders()
assert buy_mock.call_count == 1
assert sell_mock.call_count == 1