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Merge pull request #5082 from freqtrade/dry_run_order

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Dry run order filling
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Matthias 2021-06-25 18:26:01 +02:00 committed by GitHub
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8 changed files with 217 additions and 29 deletions
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3
docs/configuration.md
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@ -503,7 +503,8 @@ Once you will be happy with your bot performance running in the Dry-run mode, yo
* API-keys may or may not be provided. Only Read-Only operations (i.e. operations that do not alter account state) on the exchange are performed in dry-run mode.
* Wallets (`/balance`) are simulated based on `dry_run_wallet`.
* Orders are simulated, and will not be posted to the exchange.
* Orders are assumed to fill immediately, and will never time out.
* Market orders fill based on orderbook volume the moment the order is placed.
* Limit orders fill once price reaches the defined level - or time out based on `unfilledtimeout` settings.
* In combination with `stoploss_on_exchange`, the stop_loss price is assumed to be filled.
* Open orders (not trades, which are stored in the database) are reset on bot restart.

105
freqtrade/exchange/exchange.py
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@ -567,7 +567,7 @@ class Exchange:
rate: float, params: Dict = {}) -> Dict[str, Any]:
order_id = f'dry_run_{side}_{datetime.now().timestamp()}'
_amount = self.amount_to_precision(pair, amount)
dry_order = {
dry_order: Dict[str, Any] = {
'id': order_id,
'symbol': pair,
'price': rate,
@ -583,26 +583,94 @@ class Exchange:
'fee': None,
'info': {}
}
self._store_dry_order(dry_order, pair)
if dry_order["type"] in ["stop_loss_limit", "stop-loss-limit"]:
dry_order["info"] = {"stopPrice": dry_order["price"]}
if dry_order["type"] == "market":
# Update market order pricing
average = self.get_dry_market_fill_price(pair, side, amount, rate)
dry_order.update({
'average': average,
'cost': dry_order['amount'] * average,
})
dry_order = self.add_dry_order_fee(pair, dry_order)
dry_order = self.check_dry_limit_order_filled(dry_order)
self._dry_run_open_orders[dry_order["id"]] = dry_order
# Copy order and close it - so the returned order is open unless it's a market order
return dry_order
def _store_dry_order(self, dry_order: Dict, pair: str) -> None:
closed_order = dry_order.copy()
if closed_order['type'] in ["market", "limit"]:
closed_order.update({
'status': 'closed',
'filled': closed_order['amount'],
'remaining': 0,
'fee': {
'currency': self.get_pair_quote_currency(pair),
'cost': dry_order['cost'] * self.get_fee(pair),
'rate': self.get_fee(pair)
}
})
if closed_order["type"] in ["stop_loss_limit", "stop-loss-limit"]:
closed_order["info"].update({"stopPrice": closed_order["price"]})
self._dry_run_open_orders[closed_order["id"]] = closed_order
def add_dry_order_fee(self, pair: str, dry_order: Dict[str, Any]) -> Dict[str, Any]:
dry_order.update({
'fee': {
'currency': self.get_pair_quote_currency(pair),
'cost': dry_order['cost'] * self.get_fee(pair),
'rate': self.get_fee(pair)
}
})
return dry_order
def get_dry_market_fill_price(self, pair: str, side: str, amount: float, rate: float) -> float:
"""
Get the market order fill price based on orderbook interpolation
"""
if self.exchange_has('fetchL2OrderBook'):
ob = self.fetch_l2_order_book(pair, 20)
ob_type = 'asks' if side == 'buy' else 'bids'
remaining_amount = amount
filled_amount = 0
for book_entry in ob[ob_type]:
book_entry_price = book_entry[0]
book_entry_coin_volume = book_entry[1]
if remaining_amount > 0:
if remaining_amount < book_entry_coin_volume:
filled_amount += remaining_amount * book_entry_price
else:
filled_amount += book_entry_coin_volume * book_entry_price
remaining_amount -= book_entry_coin_volume
else:
break
else:
# If remaining_amount wasn't consumed completely (break was not called)
filled_amount += remaining_amount * book_entry_price
forecast_avg_filled_price = filled_amount / amount
return self.price_to_precision(pair, forecast_avg_filled_price)
return rate
def _is_dry_limit_order_filled(self, pair: str, side: str, limit: float) -> bool:
if not self.exchange_has('fetchL2OrderBook'):
return True
ob = self.fetch_l2_order_book(pair, 1)
if side == 'buy':
price = ob['asks'][0][0]
logger.debug(f"{pair} checking dry buy-order: price={price}, limit={limit}")
if limit >= price:
return True
else:
price = ob['bids'][0][0]
logger.debug(f"{pair} checking dry sell-order: price={price}, limit={limit}")
if limit <= price:
return True
return False
def check_dry_limit_order_filled(self, order: Dict[str, Any]) -> Dict[str, Any]:
"""
Check dry-run limit order fill and update fee (if it filled).
"""
if order['status'] != "closed" and order['type'] in ["limit"]:
pair = order['symbol']
if self._is_dry_limit_order_filled(pair, order['side'], order['price']):
order.update({
'status': 'closed',
'filled': order['amount'],
'remaining': 0,
})
self.add_dry_order_fee(pair, order)
return order
def fetch_dry_run_order(self, order_id) -> Dict[str, Any]:
"""
@ -611,6 +679,7 @@ class Exchange:
"""
try:
order = self._dry_run_open_orders[order_id]
order = self.check_dry_limit_order_filled(order)
return order
except KeyError as e:
# Gracefully handle errors with dry-run orders.

34
tests/conftest.py
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@ -1088,6 +1088,40 @@ def order_book_l2():
})
@pytest.fixture
def order_book_l2_usd():
return MagicMock(return_value={
'symbol': 'LTC/USDT',
'bids': [
[25.563, 49.269],
[25.562, 83.0],
[25.56, 106.0],
[25.559, 15.381],
[25.558, 29.299],
[25.557, 34.624],
[25.556, 10.0],
[25.555, 14.684],
[25.554, 45.91],
[25.553, 50.0]
],
'asks': [
[25.566, 14.27],
[25.567, 48.484],
[25.568, 92.349],
[25.572, 31.48],
[25.573, 23.0],
[25.574, 20.0],
[25.575, 89.606],
[25.576, 262.016],
[25.577, 178.557],
[25.578, 78.614]
],
'timestamp': None,
'datetime': None,
'nonce': 2372149736
})
@pytest.fixture
def ohlcv_history_list():
return [

67
tests/exchange/test_exchange.py
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@ -947,6 +947,72 @@ def test_create_dry_run_order(default_conf, mocker, side, exchange_name):
assert order["symbol"] == "ETH/BTC"
@pytest.mark.parametrize("side,startprice,endprice", [
("buy", 25.563, 25.566),
("sell", 25.566, 25.563)
])
@pytest.mark.parametrize("exchange_name", EXCHANGES)
def test_create_dry_run_order_limit_fill(default_conf, mocker, side, startprice, endprice,
exchange_name, order_book_l2_usd):
default_conf['dry_run'] = True
exchange = get_patched_exchange(mocker, default_conf, id=exchange_name)
mocker.patch.multiple('freqtrade.exchange.Exchange',
exchange_has=MagicMock(return_value=True),
fetch_l2_order_book=order_book_l2_usd,
)
order = exchange.create_dry_run_order(
pair='LTC/USDT', ordertype='limit', side=side, amount=1, rate=startprice)
assert order_book_l2_usd.call_count == 1
assert 'id' in order
assert f'dry_run_{side}_' in order["id"]
assert order["side"] == side
assert order["type"] == "limit"
assert order["symbol"] == "LTC/USDT"
order_book_l2_usd.reset_mock()
order_closed = exchange.fetch_dry_run_order(order['id'])
assert order_book_l2_usd.call_count == 1
assert order_closed['status'] == 'open'
assert not order['fee']
order_book_l2_usd.reset_mock()
order_closed['price'] = endprice
order_closed = exchange.fetch_dry_run_order(order['id'])
assert order_closed['status'] == 'closed'
assert order['fee']
@pytest.mark.parametrize("side,amount,endprice", [
("buy", 1, 25.566),
("buy", 100, 25.5672), # Requires interpolation
("buy", 1000, 25.575), # More than orderbook return
("sell", 1, 25.563),
("sell", 100, 25.5625), # Requires interpolation
("sell", 1000, 25.5555), # More than orderbook return
])
@pytest.mark.parametrize("exchange_name", EXCHANGES)
def test_create_dry_run_order_market_fill(default_conf, mocker, side, amount, endprice,
exchange_name, order_book_l2_usd):
default_conf['dry_run'] = True
exchange = get_patched_exchange(mocker, default_conf, id=exchange_name)
mocker.patch.multiple('freqtrade.exchange.Exchange',
exchange_has=MagicMock(return_value=True),
fetch_l2_order_book=order_book_l2_usd,
)
order = exchange.create_dry_run_order(
pair='LTC/USDT', ordertype='market', side=side, amount=amount, rate=25.5)
assert 'id' in order
assert f'dry_run_{side}_' in order["id"]
assert order["side"] == side
assert order["type"] == "market"
assert order["symbol"] == "LTC/USDT"
assert order['status'] == 'closed'
assert round(order["average"], 4) == round(endprice, 4)
@pytest.mark.parametrize("side", [
("buy"),
("sell")
@ -2117,6 +2183,7 @@ def test_get_historic_trades_notsupported(default_conf, mocker, caplog, exchange
def test_cancel_order_dry_run(default_conf, mocker, exchange_name):
default_conf['dry_run'] = True
exchange = get_patched_exchange(mocker, default_conf, id=exchange_name)
mocker.patch('freqtrade.exchange.Exchange._is_dry_limit_order_filled', return_value=True)
assert exchange.cancel_order(order_id='123', pair='TKN/BTC') == {}
assert exchange.cancel_stoploss_order(order_id='123', pair='TKN/BTC') == {}

15
tests/rpc/test_rpc.py
View File

@ -679,6 +679,7 @@ def test_rpc_forcesell(default_conf, ticker, fee, mocker) -> None:
'filled': 0.0,
}
),
_is_dry_limit_order_filled=MagicMock(return_value=True),
get_fee=fee,
)
mocker.patch('freqtrade.wallets.Wallets.get_free', return_value=1000)
@ -703,8 +704,8 @@ def test_rpc_forcesell(default_conf, ticker, fee, mocker) -> None:
assert msg == {'result': 'Created sell orders for all open trades.'}
freqtradebot.enter_positions()
msg = rpc._rpc_forcesell('1')
assert msg == {'result': 'Created sell order for trade 1.'}
msg = rpc._rpc_forcesell('2')
assert msg == {'result': 'Created sell order for trade 2.'}
freqtradebot.state = State.STOPPED
with pytest.raises(RPCException, match=r'.*trader is not running*'):
@ -715,9 +716,11 @@ def test_rpc_forcesell(default_conf, ticker, fee, mocker) -> None:
freqtradebot.state = State.RUNNING
assert cancel_order_mock.call_count == 0
mocker.patch(
'freqtrade.exchange.Exchange._is_dry_limit_order_filled', MagicMock(return_value=False))
freqtradebot.enter_positions()
# make an limit-buy open trade
trade = Trade.query.filter(Trade.id == '1').first()
trade = Trade.query.filter(Trade.id == '3').first()
filled_amount = trade.amount / 2
# Fetch order - it's open first, and closed after cancel_order is called.
mocker.patch(
@ -738,7 +741,7 @@ def test_rpc_forcesell(default_conf, ticker, fee, mocker) -> None:
)
# check that the trade is called, which is done by ensuring exchange.cancel_order is called
# and trade amount is updated
rpc._rpc_forcesell('1')
rpc._rpc_forcesell('3')
assert cancel_order_mock.call_count == 1
assert trade.amount == filled_amount
@ -766,8 +769,8 @@ def test_rpc_forcesell(default_conf, ticker, fee, mocker) -> None:
}
)
# check that the trade is called, which is done by ensuring exchange.cancel_order is called
msg = rpc._rpc_forcesell('2')
assert msg == {'result': 'Created sell order for trade 2.'}
msg = rpc._rpc_forcesell('4')
assert msg == {'result': 'Created sell order for trade 4.'}
assert cancel_order_mock.call_count == 2
assert trade.amount == amount

3
tests/rpc/test_rpc_apiserver.py
View File

@ -996,7 +996,8 @@ def test_api_forcesell(botclient, mocker, ticker, fee, markets):
get_balances=MagicMock(return_value=ticker),
fetch_ticker=ticker,
get_fee=fee,
markets=PropertyMock(return_value=markets)
markets=PropertyMock(return_value=markets),
_is_dry_limit_order_filled=MagicMock(return_value=False),
)
patch_get_signal(ftbot, (True, False))

10
tests/rpc/test_rpc_telegram.py
View File

@ -218,6 +218,7 @@ def test_status_handle(default_conf, update, ticker, fee, mocker) -> None:
'freqtrade.exchange.Exchange',
fetch_ticker=ticker,
get_fee=fee,
_is_dry_limit_order_filled=MagicMock(return_value=True),
)
status_table = MagicMock()
mocker.patch.multiple(
@ -666,6 +667,7 @@ def test_telegram_forcesell_handle(default_conf, update, ticker, fee,
'freqtrade.exchange.Exchange',
fetch_ticker=ticker,
get_fee=fee,
_is_dry_limit_order_filled=MagicMock(return_value=True),
)
freqtradebot = FreqtradeBot(default_conf)
@ -724,6 +726,7 @@ def test_telegram_forcesell_down_handle(default_conf, update, ticker, fee,
'freqtrade.exchange.Exchange',
fetch_ticker=ticker,
get_fee=fee,
_is_dry_limit_order_filled=MagicMock(return_value=True),
)
freqtradebot = FreqtradeBot(default_conf)
@ -784,6 +787,7 @@ def test_forcesell_all_handle(default_conf, update, ticker, fee, mocker) -> None
'freqtrade.exchange.Exchange',
fetch_ticker=ticker,
get_fee=fee,
_is_dry_limit_order_filled=MagicMock(return_value=True),
)
default_conf['max_open_trades'] = 4
freqtradebot = FreqtradeBot(default_conf)
@ -800,9 +804,9 @@ def test_forcesell_all_handle(default_conf, update, ticker, fee, mocker) -> None
context.args = ["all"]
telegram._forcesell(update=update, context=context)
# Called for each trade 4 times
assert msg_mock.call_count == 12
msg = msg_mock.call_args_list[2][0][0]
# Called for each trade 2 times
assert msg_mock.call_count == 8
msg = msg_mock.call_args_list[1][0][0]
assert {
'type': RPCMessageType.SELL,
'trade_id': 1,

9
tests/test_freqtradebot.py
View File

@ -304,6 +304,7 @@ def test_total_open_trades_stakes(mocker, default_conf, ticker, fee) -> None:
'freqtrade.exchange.Exchange',
fetch_ticker=ticker,
get_fee=fee,
_is_dry_limit_order_filled=MagicMock(return_value=False),
)
freqtrade = FreqtradeBot(default_conf)
patch_get_signal(freqtrade)
@ -333,6 +334,7 @@ def test_create_trade(default_conf, ticker, limit_buy_order, fee, mocker) -> Non
'freqtrade.exchange.Exchange',
fetch_ticker=ticker,
get_fee=fee,
_is_dry_limit_order_filled=MagicMock(return_value=False),
)
# Save state of current whitelist
@ -2532,6 +2534,7 @@ def test_execute_sell_up(default_conf, ticker, fee, ticker_sell_up, mocker) -> N
'freqtrade.exchange.Exchange',
fetch_ticker=ticker,
get_fee=fee,
_is_dry_limit_order_filled=MagicMock(return_value=False),
)
patch_whitelist(mocker, default_conf)
freqtrade = FreqtradeBot(default_conf)
@ -2595,6 +2598,7 @@ def test_execute_sell_down(default_conf, ticker, fee, ticker_sell_down, mocker)
'freqtrade.exchange.Exchange',
fetch_ticker=ticker,
get_fee=fee,
_is_dry_limit_order_filled=MagicMock(return_value=False),
)
patch_whitelist(mocker, default_conf)
freqtrade = FreqtradeBot(default_conf)
@ -2647,6 +2651,7 @@ def test_execute_sell_down_stoploss_on_exchange_dry_run(default_conf, ticker, fe
'freqtrade.exchange.Exchange',
fetch_ticker=ticker,
get_fee=fee,
_is_dry_limit_order_filled=MagicMock(return_value=False),
)
patch_whitelist(mocker, default_conf)
freqtrade = FreqtradeBot(default_conf)
@ -2749,6 +2754,7 @@ def test_execute_sell_with_stoploss_on_exchange(default_conf, ticker, fee, ticke
price_to_precision=lambda s, x, y: y,
stoploss=stoploss,
cancel_stoploss_order=cancel_order,
_is_dry_limit_order_filled=MagicMock(side_effect=[True, False]),
)
freqtrade = FreqtradeBot(default_conf)
@ -2791,6 +2797,7 @@ def test_may_execute_sell_after_stoploss_on_exchange_hit(default_conf, ticker, f
get_fee=fee,
amount_to_precision=lambda s, x, y: y,
price_to_precision=lambda s, x, y: y,
_is_dry_limit_order_filled=MagicMock(side_effect=[False, True]),
)
stoploss = MagicMock(return_value={
@ -2859,6 +2866,7 @@ def test_execute_sell_market_order(default_conf, ticker, fee,
'freqtrade.exchange.Exchange',
fetch_ticker=ticker,
get_fee=fee,
_is_dry_limit_order_filled=MagicMock(return_value=False),
)
patch_whitelist(mocker, default_conf)
freqtrade = FreqtradeBot(default_conf)
@ -3464,6 +3472,7 @@ def test_disable_ignore_roi_if_buy_signal(default_conf, limit_buy_order, limit_b
}),
buy=MagicMock(return_value=limit_buy_order_open),
get_fee=fee,
_is_dry_limit_order_filled=MagicMock(return_value=False),
)
default_conf['ask_strategy'] = {
'ignore_roi_if_buy_signal': False