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Merge pull request #6590 from freqtrade/short_gateio

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Fix gateio fee handling for futures
This commit is contained in:
Matthias 2022-03-27 14:57:36 +02:00 committed by GitHub
commit 85bb2dcc8d
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6 changed files with 160 additions and 2 deletions
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26
freqtrade/exchange/exchange.py
View File

@ -75,6 +75,7 @@ class Exchange:
"mark_ohlcv_price": "mark",
"mark_ohlcv_timeframe": "8h",
"ccxt_futures_name": "swap",
"needs_trading_fees": False, # use fetch_trading_fees to cache fees
}
_ft_has: Dict = {}
_ft_has_futures: Dict = {}
@ -92,6 +93,7 @@ class Exchange:
self._api: ccxt.Exchange = None
self._api_async: ccxt_async.Exchange = None
self._markets: Dict = {}
self._trading_fees: Dict[str, Any] = {}
self._leverage_tiers: Dict[str, List[Dict]] = {}
self.loop = asyncio.new_event_loop()
asyncio.set_event_loop(self.loop)
@ -451,6 +453,9 @@ class Exchange:
self._markets = self._api.load_markets()
self._load_async_markets()
self._last_markets_refresh = arrow.utcnow().int_timestamp
if self._ft_has['needs_trading_fees']:
self._trading_fees = self.fetch_trading_fees()
except ccxt.BaseError:
logger.exception('Unable to initialize markets.')
@ -1299,6 +1304,27 @@ class Exchange:
except ccxt.BaseError as e:
raise OperationalException(e) from e
@retrier
def fetch_trading_fees(self) -> Dict[str, Any]:
"""
Fetch user account trading fees
Can be cached, should not update often.
"""
if (self._config['dry_run'] or self.trading_mode != TradingMode.FUTURES
or not self.exchange_has('fetchTradingFees')):
return {}
try:
trading_fees: Dict[str, Any] = self._api.fetch_trading_fees()
self._log_exchange_response('fetch_trading_fees', trading_fees)
return trading_fees
except ccxt.DDoSProtection as e:
raise DDosProtection(e) from e
except (ccxt.NetworkError, ccxt.ExchangeError) as e:
raise TemporaryError(
f'Could not fetch trading fees due to {e.__class__.__name__}. Message: {e}') from e
except ccxt.BaseError as e:
raise OperationalException(e) from e
@retrier
def fetch_bids_asks(self, symbols: List[str] = None, cached: bool = False) -> Dict:
"""

31
freqtrade/exchange/gateio.py
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@ -1,6 +1,7 @@
""" Gate.io exchange subclass """
import logging
from typing import Dict, List, Tuple
from datetime import datetime
from typing import Dict, List, Optional, Tuple
from freqtrade.enums import MarginMode, TradingMode
from freqtrade.exceptions import OperationalException
@ -27,6 +28,10 @@ class Gateio(Exchange):
"stoploss_on_exchange": True,
}
_ft_has_futures: Dict = {
"needs_trading_fees": True
}
_supported_trading_mode_margin_pairs: List[Tuple[TradingMode, MarginMode]] = [
# TradingMode.SPOT always supported and not required in this list
# (TradingMode.MARGIN, MarginMode.CROSS),
@ -42,6 +47,30 @@ class Gateio(Exchange):
raise OperationalException(
f'Exchange {self.name} does not support market orders.')
def get_trades_for_order(self, order_id: str, pair: str, since: datetime,
params: Optional[Dict] = None) -> List:
trades = super().get_trades_for_order(order_id, pair, since, params)
if self.trading_mode == TradingMode.FUTURES:
# Futures usually don't contain fees in the response.
# As such, futures orders on gateio will not contain a fee, which causes
# a repeated "update fee" cycle and wrong calculations.
# Therefore we patch the response with fees if it's not available.
# An alternative also contianing fees would be
# privateFuturesGetSettleAccountBook({"settle": "usdt"})
pair_fees = self._trading_fees.get(pair, {})
if pair_fees:
for idx, trade in enumerate(trades):
if trade.get('fee', {}).get('cost') is None:
takerOrMaker = trade.get('takerOrMaker', 'taker')
if pair_fees.get(takerOrMaker) is not None:
trades[idx]['fee'] = {
'currency': self.get_pair_quote_currency(pair),
'cost': trade['cost'] * pair_fees[takerOrMaker],
'rate': pair_fees[takerOrMaker],
}
return trades
def fetch_stoploss_order(self, order_id: str, pair: str, params={}) -> Dict:
return self.fetch_order(
order_id=order_id,

1
freqtrade/freqtradebot.py
View File

@ -1564,6 +1564,7 @@ class FreqtradeBot(LoggingMixin):
if not order_obj:
raise DependencyException(
f"Order_obj not found for {order_id}. This should not have happened.")
self.handle_order_fee(trade, order_obj, order)
trade.update_trade(order_obj)

2
tests/exchange/test_ccxt_compat.py
View File

@ -134,7 +134,7 @@ def exchange_futures(request, exchange_conf, class_mocker):
class_mocker.patch(
'freqtrade.exchange.binance.Binance.fill_leverage_tiers')
class_mocker.patch('freqtrade.exchange.exchange.Exchange.fetch_trading_fees')
exchange = ExchangeResolver.load_exchange(request.param, exchange_conf, validate=True)
yield exchange, request.param

56
tests/exchange/test_exchange.py
View File

@ -1624,6 +1624,62 @@ def test_fetch_positions(default_conf, mocker, exchange_name):
"fetch_positions", "fetch_positions")
def test_fetch_trading_fees(default_conf, mocker):
api_mock = MagicMock()
tick = {
'1INCH/USDT:USDT': {
'info': {'user_id': '',
'taker_fee': '0.0018',
'maker_fee': '0.0018',
'gt_discount': False,
'gt_taker_fee': '0',
'gt_maker_fee': '0',
'loan_fee': '0.18',
'point_type': '1',
'futures_taker_fee': '0.0005',
'futures_maker_fee': '0'},
'symbol': '1INCH/USDT:USDT',
'maker': 0.0,
'taker': 0.0005},
'ETH/USDT:USDT': {
'info': {'user_id': '',
'taker_fee': '0.0018',
'maker_fee': '0.0018',
'gt_discount': False,
'gt_taker_fee': '0',
'gt_maker_fee': '0',
'loan_fee': '0.18',
'point_type': '1',
'futures_taker_fee': '0.0005',
'futures_maker_fee': '0'},
'symbol': 'ETH/USDT:USDT',
'maker': 0.0,
'taker': 0.0005}
}
exchange_name = 'gateio'
default_conf['dry_run'] = False
default_conf['trading_mode'] = TradingMode.FUTURES
default_conf['margin_mode'] = MarginMode.ISOLATED
api_mock.fetch_trading_fees = MagicMock(return_value=tick)
mocker.patch('freqtrade.exchange.Exchange.exchange_has', return_value=True)
exchange = get_patched_exchange(mocker, default_conf, api_mock, id=exchange_name)
assert '1INCH/USDT:USDT' in exchange._trading_fees
assert 'ETH/USDT:USDT' in exchange._trading_fees
assert api_mock.fetch_trading_fees.call_count == 1
api_mock.fetch_trading_fees.reset_mock()
ccxt_exceptionhandlers(mocker, default_conf, api_mock, exchange_name,
"fetch_trading_fees", "fetch_trading_fees")
api_mock.fetch_trading_fees = MagicMock(return_value={})
exchange = get_patched_exchange(mocker, default_conf, api_mock, id=exchange_name)
exchange.fetch_trading_fees()
mocker.patch('freqtrade.exchange.Exchange.exchange_has', return_value=True)
assert exchange.fetch_trading_fees() == {}
def test_fetch_bids_asks(default_conf, mocker):
api_mock = MagicMock()
tick = {'ETH/BTC': {

46
tests/exchange/test_gateio.py
View File

@ -1,7 +1,9 @@
from datetime import datetime, timezone
from unittest.mock import MagicMock
import pytest
from freqtrade.enums import MarginMode, TradingMode
from freqtrade.exceptions import OperationalException
from freqtrade.exchange import Gateio
from freqtrade.resolvers.exchange_resolver import ExchangeResolver
@ -70,3 +72,47 @@ def test_stoploss_adjust_gateio(mocker, default_conf, sl1, sl2, sl3, side):
}
assert exchange.stoploss_adjust(sl1, order, side)
assert not exchange.stoploss_adjust(sl2, order, side)
@pytest.mark.parametrize('takerormaker,rate,cost', [
('taker', 0.0005, 0.0001554325),
('maker', 0.0, 0.0),
])
def test_fetch_my_trades_gateio(mocker, default_conf, takerormaker, rate, cost):
mocker.patch('freqtrade.exchange.Exchange.exchange_has', return_value=True)
tick = {'ETH/USDT:USDT': {
'info': {'user_id': '',
'taker_fee': '0.0018',
'maker_fee': '0.0018',
'gt_discount': False,
'gt_taker_fee': '0',
'gt_maker_fee': '0',
'loan_fee': '0.18',
'point_type': '1',
'futures_taker_fee': '0.0005',
'futures_maker_fee': '0'},
'symbol': 'ETH/USDT:USDT',
'maker': 0.0,
'taker': 0.0005}
}
default_conf['dry_run'] = False
default_conf['trading_mode'] = TradingMode.FUTURES
default_conf['margin_mode'] = MarginMode.ISOLATED
api_mock = MagicMock()
api_mock.fetch_my_trades = MagicMock(return_value=[{
'fee': {'cost': None},
'price': 3108.65,
'cost': 0.310865,
'order': '22255',
'takerOrMaker': takerormaker,
'amount': 1, # 1 contract
}])
exchange = get_patched_exchange(mocker, default_conf, api_mock=api_mock, id='gateio')
exchange._trading_fees = tick
trades = exchange.get_trades_for_order('22255', 'ETH/USDT:USDT', datetime.now(timezone.utc))
trade = trades[0]
assert trade['fee']
assert trade['fee']['rate'] == rate
assert trade['fee']['currency'] == 'USDT'
assert trade['fee']['cost'] == cost