mirror of
https://github.com/freqtrade/freqtrade.git
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Merge pull request #2178 from freqtrade/refactor/stoploss_on_e_to_binance
[refactor] Move stoploss on exchange implementation to binance
This commit is contained in:
Matthias
GitHub
commit
626b9bbf64
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@ -11,7 +11,7 @@ class DependencyException(Exception):
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class OperationalException(Exception):
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"""
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Requires manual intervention.
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Requires manual intervention and will usually stop the bot.
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This happens when an exchange returns an unexpected error during runtime
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or given configuration is invalid.
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"""
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@ -2,6 +2,9 @@
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import logging
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from typing import Dict
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import ccxt
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from freqtrade import DependencyException, OperationalException, TemporaryError
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from freqtrade.exchange import Exchange
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logger = logging.getLogger(__name__)
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@ -25,3 +28,53 @@ class Binance(Exchange):
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limit = min(list(filter(lambda x: limit <= x, limit_range)))
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return super().get_order_book(pair, limit)
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def stoploss_limit(self, pair: str, amount: float, stop_price: float, rate: float) -> Dict:
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"""
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creates a stoploss limit order.
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this stoploss-limit is binance-specific.
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It may work with a limited number of other exchanges, but this has not been tested yet.
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"""
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ordertype = "stop_loss_limit"
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stop_price = self.symbol_price_prec(pair, stop_price)
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# Ensure rate is less than stop price
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if stop_price <= rate:
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raise OperationalException(
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'In stoploss limit order, stop price should be more than limit price')
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if self._config['dry_run']:
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dry_order = self.dry_run_order(
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pair, ordertype, "sell", amount, stop_price)
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return dry_order
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try:
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params = self._params.copy()
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params.update({'stopPrice': stop_price})
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amount = self.symbol_amount_prec(pair, amount)
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rate = self.symbol_price_prec(pair, rate)
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order = self._api.create_order(pair, ordertype, 'sell',
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amount, rate, params)
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logger.info('stoploss limit order added for %s. '
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'stop price: %s. limit: %s', pair, stop_price, rate)
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return order
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except ccxt.InsufficientFunds as e:
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raise DependencyException(
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f'Insufficient funds to create {ordertype} sell order on market {pair}.'
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f'Tried to sell amount {amount} at rate {rate}.'
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f'Message: {e}') from e
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except ccxt.InvalidOrder as e:
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raise DependencyException(
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f'Could not create {ordertype} sell order on market {pair}. '
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f'Tried to sell amount {amount} at rate {rate}.'
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f'Message: {e}') from e
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except (ccxt.NetworkError, ccxt.ExchangeError) as e:
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raise TemporaryError(
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f'Could not place sell order due to {e.__class__.__name__}. Message: {e}') from e
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except ccxt.BaseError as e:
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raise OperationalException(e) from e
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@ -320,7 +320,7 @@ class Exchange(object):
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if (order_types.get("stoploss_on_exchange")
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and not self._ft_has.get("stoploss_on_exchange", False)):
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raise OperationalException(
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'On exchange stoploss is not supported for %s.' % self.name
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f'On exchange stoploss is not supported for {self.name}.'
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)
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def validate_order_time_in_force(self, order_time_in_force: Dict) -> None:
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@ -450,30 +450,14 @@ class Exchange(object):
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def stoploss_limit(self, pair: str, amount: float, stop_price: float, rate: float) -> Dict:
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"""
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creates a stoploss limit order.
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NOTICE: it is not supported by all exchanges. only binance is tested for now.
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TODO: implementation maybe needs to be moved to the binance subclass
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Since ccxt does not unify stoploss-limit orders yet, this needs to be implemented in each
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exchange's subclass.
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The exception below should never raise, since we disallow
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starting the bot in validate_ordertypes()
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Note: Changes to this interface need to be applied to all sub-classes too.
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"""
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ordertype = "stop_loss_limit"
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stop_price = self.symbol_price_prec(pair, stop_price)
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# Ensure rate is less than stop price
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if stop_price <= rate:
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raise OperationalException(
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'In stoploss limit order, stop price should be more than limit price')
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if self._config['dry_run']:
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dry_order = self.dry_run_order(
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pair, ordertype, "sell", amount, stop_price)
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return dry_order
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params = self._params.copy()
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params.update({'stopPrice': stop_price})
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order = self.create_order(pair, ordertype, 'sell', amount, rate, params)
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logger.info('stoploss limit order added for %s. '
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'stop price: %s. limit: %s', pair, stop_price, rate)
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return order
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raise OperationalException(f"stoploss_limit is not implemented for {self.name}.")
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@retrier
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def get_balance(self, currency: str) -> float:
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90
freqtrade/tests/exchange/test_binance.py
Normal file
90
freqtrade/tests/exchange/test_binance.py
Normal file
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@ -0,0 +1,90 @@
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from random import randint
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from unittest.mock import MagicMock
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import ccxt
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import pytest
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from freqtrade import DependencyException, OperationalException, TemporaryError
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from freqtrade.tests.conftest import get_patched_exchange
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def test_stoploss_limit_order(default_conf, mocker):
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api_mock = MagicMock()
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order_id = 'test_prod_buy_{}'.format(randint(0, 10 ** 6))
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order_type = 'stop_loss_limit'
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api_mock.create_order = MagicMock(return_value={
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'id': order_id,
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'info': {
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'foo': 'bar'
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}
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})
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default_conf['dry_run'] = False
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mocker.patch('freqtrade.exchange.Exchange.symbol_amount_prec', lambda s, x, y: y)
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mocker.patch('freqtrade.exchange.Exchange.symbol_price_prec', lambda s, x, y: y)
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exchange = get_patched_exchange(mocker, default_conf, api_mock, 'binance')
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with pytest.raises(OperationalException):
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order = exchange.stoploss_limit(pair='ETH/BTC', amount=1, stop_price=190, rate=200)
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api_mock.create_order.reset_mock()
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order = exchange.stoploss_limit(pair='ETH/BTC', amount=1, stop_price=220, rate=200)
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assert 'id' in order
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assert 'info' in order
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assert order['id'] == order_id
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assert api_mock.create_order.call_args[0][0] == 'ETH/BTC'
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assert api_mock.create_order.call_args[0][1] == order_type
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assert api_mock.create_order.call_args[0][2] == 'sell'
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assert api_mock.create_order.call_args[0][3] == 1
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assert api_mock.create_order.call_args[0][4] == 200
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assert api_mock.create_order.call_args[0][5] == {'stopPrice': 220}
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# test exception handling
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with pytest.raises(DependencyException):
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api_mock.create_order = MagicMock(side_effect=ccxt.InsufficientFunds("0 balance"))
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exchange = get_patched_exchange(mocker, default_conf, api_mock, 'binance')
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exchange.stoploss_limit(pair='ETH/BTC', amount=1, stop_price=220, rate=200)
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with pytest.raises(DependencyException):
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api_mock.create_order = MagicMock(side_effect=ccxt.InvalidOrder("Order not found"))
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exchange = get_patched_exchange(mocker, default_conf, api_mock, 'binance')
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exchange.stoploss_limit(pair='ETH/BTC', amount=1, stop_price=220, rate=200)
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with pytest.raises(TemporaryError):
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api_mock.create_order = MagicMock(side_effect=ccxt.NetworkError("No connection"))
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exchange = get_patched_exchange(mocker, default_conf, api_mock, 'binance')
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exchange.stoploss_limit(pair='ETH/BTC', amount=1, stop_price=220, rate=200)
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with pytest.raises(OperationalException, match=r".*DeadBeef.*"):
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api_mock.create_order = MagicMock(side_effect=ccxt.BaseError("DeadBeef"))
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exchange = get_patched_exchange(mocker, default_conf, api_mock, 'binance')
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exchange.stoploss_limit(pair='ETH/BTC', amount=1, stop_price=220, rate=200)
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def test_stoploss_limit_order_dry_run(default_conf, mocker):
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api_mock = MagicMock()
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order_type = 'stop_loss_limit'
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default_conf['dry_run'] = True
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mocker.patch('freqtrade.exchange.Exchange.symbol_amount_prec', lambda s, x, y: y)
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mocker.patch('freqtrade.exchange.Exchange.symbol_price_prec', lambda s, x, y: y)
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exchange = get_patched_exchange(mocker, default_conf, api_mock, 'binance')
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with pytest.raises(OperationalException):
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order = exchange.stoploss_limit(pair='ETH/BTC', amount=1, stop_price=190, rate=200)
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api_mock.create_order.reset_mock()
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order = exchange.stoploss_limit(pair='ETH/BTC', amount=1, stop_price=220, rate=200)
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assert 'id' in order
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assert 'info' in order
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assert 'type' in order
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assert order['type'] == order_type
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assert order['price'] == 220
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assert order['amount'] == 1
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@ -101,18 +101,21 @@ def test_destroy(default_conf, mocker, caplog):
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def test_init_exception(default_conf, mocker):
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default_conf['exchange']['name'] = 'wrong_exchange_name'
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with pytest.raises(
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OperationalException,
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match='Exchange {} is not supported'.format(default_conf['exchange']['name'])):
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with pytest.raises(OperationalException,
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match=f"Exchange {default_conf['exchange']['name']} is not supported"):
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Exchange(default_conf)
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default_conf['exchange']['name'] = 'binance'
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with pytest.raises(
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OperationalException,
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match='Exchange {} is not supported'.format(default_conf['exchange']['name'])):
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with pytest.raises(OperationalException,
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match=f"Exchange {default_conf['exchange']['name']} is not supported"):
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mocker.patch("ccxt.binance", MagicMock(side_effect=AttributeError))
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Exchange(default_conf)
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with pytest.raises(OperationalException,
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match=r"Initialization of ccxt failed. Reason: DeadBeef"):
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mocker.patch("ccxt.binance", MagicMock(side_effect=ccxt.BaseError("DeadBeef")))
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Exchange(default_conf)
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def test_exchange_resolver(default_conf, mocker, caplog):
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mocker.patch('freqtrade.exchange.Exchange._init_ccxt', MagicMock(return_value=MagicMock()))
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@ -1436,87 +1439,11 @@ def test_get_fee(default_conf, mocker, exchange_name):
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'get_fee', 'calculate_fee')
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def test_stoploss_limit_order(default_conf, mocker):
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api_mock = MagicMock()
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order_id = 'test_prod_buy_{}'.format(randint(0, 10 ** 6))
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order_type = 'stop_loss_limit'
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api_mock.create_order = MagicMock(return_value={
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'id': order_id,
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'info': {
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'foo': 'bar'
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}
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})
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default_conf['dry_run'] = False
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mocker.patch('freqtrade.exchange.Exchange.symbol_amount_prec', lambda s, x, y: y)
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mocker.patch('freqtrade.exchange.Exchange.symbol_price_prec', lambda s, x, y: y)
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exchange = get_patched_exchange(mocker, default_conf, api_mock, 'binance')
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with pytest.raises(OperationalException):
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order = exchange.stoploss_limit(pair='ETH/BTC', amount=1, stop_price=190, rate=200)
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api_mock.create_order.reset_mock()
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order = exchange.stoploss_limit(pair='ETH/BTC', amount=1, stop_price=220, rate=200)
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assert 'id' in order
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assert 'info' in order
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assert order['id'] == order_id
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assert api_mock.create_order.call_args[0][0] == 'ETH/BTC'
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assert api_mock.create_order.call_args[0][1] == order_type
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assert api_mock.create_order.call_args[0][2] == 'sell'
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assert api_mock.create_order.call_args[0][3] == 1
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assert api_mock.create_order.call_args[0][4] == 200
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assert api_mock.create_order.call_args[0][5] == {'stopPrice': 220}
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# test exception handling
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with pytest.raises(DependencyException):
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api_mock.create_order = MagicMock(side_effect=ccxt.InsufficientFunds("0 balance"))
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exchange = get_patched_exchange(mocker, default_conf, api_mock)
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def test_stoploss_limit_order_unsupported_exchange(default_conf, mocker):
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exchange = get_patched_exchange(mocker, default_conf, 'bittrex')
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with pytest.raises(OperationalException, match=r"stoploss_limit is not implemented .*"):
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exchange.stoploss_limit(pair='ETH/BTC', amount=1, stop_price=220, rate=200)
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with pytest.raises(DependencyException):
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api_mock.create_order = MagicMock(side_effect=ccxt.InvalidOrder("Order not found"))
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exchange = get_patched_exchange(mocker, default_conf, api_mock)
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exchange.stoploss_limit(pair='ETH/BTC', amount=1, stop_price=220, rate=200)
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with pytest.raises(TemporaryError):
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api_mock.create_order = MagicMock(side_effect=ccxt.NetworkError("No connection"))
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exchange = get_patched_exchange(mocker, default_conf, api_mock)
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exchange.stoploss_limit(pair='ETH/BTC', amount=1, stop_price=220, rate=200)
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with pytest.raises(OperationalException):
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api_mock.create_order = MagicMock(side_effect=ccxt.BaseError("DeadBeef"))
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exchange = get_patched_exchange(mocker, default_conf, api_mock)
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exchange.stoploss_limit(pair='ETH/BTC', amount=1, stop_price=220, rate=200)
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def test_stoploss_limit_order_dry_run(default_conf, mocker):
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api_mock = MagicMock()
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order_type = 'stop_loss_limit'
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default_conf['dry_run'] = True
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mocker.patch('freqtrade.exchange.Exchange.symbol_amount_prec', lambda s, x, y: y)
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mocker.patch('freqtrade.exchange.Exchange.symbol_price_prec', lambda s, x, y: y)
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exchange = get_patched_exchange(mocker, default_conf, api_mock, 'binance')
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with pytest.raises(OperationalException):
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order = exchange.stoploss_limit(pair='ETH/BTC', amount=1, stop_price=190, rate=200)
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api_mock.create_order.reset_mock()
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order = exchange.stoploss_limit(pair='ETH/BTC', amount=1, stop_price=220, rate=200)
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assert 'id' in order
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assert 'info' in order
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assert 'type' in order
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assert order['type'] == order_type
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assert order['price'] == 220
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assert order['amount'] == 1
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def test_merge_ft_has_dict(default_conf, mocker):
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mocker.patch.multiple('freqtrade.exchange.Exchange',
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@ -2414,7 +2414,7 @@ def test_may_execute_sell_after_stoploss_on_exchange_hit(default_conf,
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mocker.patch('freqtrade.exchange.Exchange.symbol_amount_prec', lambda s, x, y: y)
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mocker.patch('freqtrade.exchange.Exchange.symbol_price_prec', lambda s, x, y: y)
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mocker.patch('freqtrade.exchange.Exchange.stoploss_limit', stoploss_limit)
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mocker.patch('freqtrade.exchange.Binance.stoploss_limit', stoploss_limit)
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freqtrade = FreqtradeBot(default_conf)
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freqtrade.strategy.order_types['stoploss_on_exchange'] = True
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@ -2454,7 +2454,6 @@ def test_may_execute_sell_after_stoploss_on_exchange_hit(default_conf,
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freqtrade.process_maybe_execute_sell(trade)
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assert trade.stoploss_order_id is None
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assert trade.is_open is False
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print(trade.sell_reason)
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assert trade.sell_reason == SellType.STOPLOSS_ON_EXCHANGE.value
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assert rpc_mock.call_count == 2
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