mirror of
https://github.com/freqtrade/freqtrade.git
synced 2024-11-10 10:21:59 +00:00
Move exchange utilities into separate module
This commit is contained in:
Matthias
parent
801e91c39e
commit
c23a9475e6
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@ -9,14 +9,15 @@ from freqtrade.exchange.bitpanda import Bitpanda
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from freqtrade.exchange.bittrex import Bittrex
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from freqtrade.exchange.bybit import Bybit
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from freqtrade.exchange.coinbasepro import Coinbasepro
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from freqtrade.exchange.exchange import (amount_to_contract_precision, amount_to_contracts,
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amount_to_precision, available_exchanges, ccxt_exchanges,
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contracts_to_amount, date_minus_candles,
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is_exchange_known_ccxt, market_is_active,
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price_to_precision, timeframe_to_minutes,
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timeframe_to_msecs, timeframe_to_next_date,
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timeframe_to_prev_date, timeframe_to_seconds,
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validate_exchange, validate_exchanges)
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from freqtrade.exchange.exchange_utils import (amount_to_contract_precision, amount_to_contracts,
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amount_to_precision, available_exchanges,
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ccxt_exchanges, contracts_to_amount,
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date_minus_candles, is_exchange_known_ccxt,
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market_is_active, price_to_precision,
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timeframe_to_minutes, timeframe_to_msecs,
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timeframe_to_next_date, timeframe_to_prev_date,
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timeframe_to_seconds, validate_exchange,
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validate_exchanges)
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from freqtrade.exchange.ftx import Ftx
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from freqtrade.exchange.gateio import Gateio
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from freqtrade.exchange.hitbtc import Hitbtc
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@ -8,7 +8,6 @@ import inspect
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import logging
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from copy import deepcopy
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from datetime import datetime, timedelta, timezone
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from math import ceil
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from threading import Lock
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from typing import Any, Coroutine, Dict, List, Literal, Optional, Tuple, Union
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@ -16,7 +15,7 @@ import arrow
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import ccxt
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import ccxt.async_support as ccxt_async
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from cachetools import TTLCache
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from ccxt import ROUND_DOWN, ROUND_UP, TICK_SIZE, TRUNCATE, decimal_to_precision
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from ccxt import TICK_SIZE
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from dateutil import parser
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from pandas import DataFrame, concat
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@ -28,17 +27,19 @@ from freqtrade.enums import OPTIMIZE_MODES, CandleType, MarginMode, TradingMode
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from freqtrade.exceptions import (DDosProtection, ExchangeError, InsufficientFundsError,
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InvalidOrderException, OperationalException, PricingError,
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RetryableOrderError, TemporaryError)
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from freqtrade.exchange.common import (API_FETCH_ORDER_RETRY_COUNT, BAD_EXCHANGES,
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EXCHANGE_HAS_OPTIONAL, EXCHANGE_HAS_REQUIRED,
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remove_credentials, retrier, retrier_async)
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from freqtrade.exchange.common import (API_FETCH_ORDER_RETRY_COUNT, remove_credentials, retrier,
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retrier_async)
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from freqtrade.exchange.exchange_utils import (CcxtModuleType, amount_to_contract_precision,
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amount_to_contracts, amount_to_precision,
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contracts_to_amount, date_minus_candles,
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is_exchange_known_ccxt, market_is_active,
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price_to_precision, timeframe_to_minutes,
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timeframe_to_msecs, timeframe_to_next_date,
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timeframe_to_prev_date, timeframe_to_seconds)
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from freqtrade.exchange.types import Ticker, Tickers
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from freqtrade.misc import (chunks, deep_merge_dicts, file_dump_json, file_load_json,
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safe_value_fallback2)
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from freqtrade.plugins.pairlist.pairlist_helpers import expand_pairlist
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from freqtrade.util import FtPrecise
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CcxtModuleType = Any
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logger = logging.getLogger(__name__)
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@ -2810,240 +2811,3 @@ class Exchange:
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# describes the min amt for a tier, and the lowest tier will always go down to 0
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else:
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raise OperationalException(f"Cannot get maintenance ratio using {self.name}")
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def is_exchange_known_ccxt(exchange_name: str, ccxt_module: CcxtModuleType = None) -> bool:
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return exchange_name in ccxt_exchanges(ccxt_module)
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def ccxt_exchanges(ccxt_module: CcxtModuleType = None) -> List[str]:
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"""
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Return the list of all exchanges known to ccxt
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"""
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return ccxt_module.exchanges if ccxt_module is not None else ccxt.exchanges
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def available_exchanges(ccxt_module: CcxtModuleType = None) -> List[str]:
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"""
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Return exchanges available to the bot, i.e. non-bad exchanges in the ccxt list
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"""
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exchanges = ccxt_exchanges(ccxt_module)
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return [x for x in exchanges if validate_exchange(x)[0]]
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def validate_exchange(exchange: str) -> Tuple[bool, str]:
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ex_mod = getattr(ccxt, exchange.lower())()
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if not ex_mod or not ex_mod.has:
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return False, ''
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missing = [k for k in EXCHANGE_HAS_REQUIRED if ex_mod.has.get(k) is not True]
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if missing:
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return False, f"missing: {', '.join(missing)}"
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missing_opt = [k for k in EXCHANGE_HAS_OPTIONAL if not ex_mod.has.get(k)]
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if exchange.lower() in BAD_EXCHANGES:
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return False, BAD_EXCHANGES.get(exchange.lower(), '')
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if missing_opt:
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return True, f"missing opt: {', '.join(missing_opt)}"
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return True, ''
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def validate_exchanges(all_exchanges: bool) -> List[Tuple[str, bool, str]]:
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"""
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:return: List of tuples with exchangename, valid, reason.
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"""
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exchanges = ccxt_exchanges() if all_exchanges else available_exchanges()
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exchanges_valid = [
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(e, *validate_exchange(e)) for e in exchanges
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]
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return exchanges_valid
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def timeframe_to_seconds(timeframe: str) -> int:
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"""
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Translates the timeframe interval value written in the human readable
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form ('1m', '5m', '1h', '1d', '1w', etc.) to the number
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of seconds for one timeframe interval.
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"""
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return ccxt.Exchange.parse_timeframe(timeframe)
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def timeframe_to_minutes(timeframe: str) -> int:
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"""
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Same as timeframe_to_seconds, but returns minutes.
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"""
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return ccxt.Exchange.parse_timeframe(timeframe) // 60
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def timeframe_to_msecs(timeframe: str) -> int:
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"""
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Same as timeframe_to_seconds, but returns milliseconds.
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"""
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return ccxt.Exchange.parse_timeframe(timeframe) * 1000
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def timeframe_to_prev_date(timeframe: str, date: datetime = None) -> datetime:
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"""
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Use Timeframe and determine the candle start date for this date.
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Does not round when given a candle start date.
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:param timeframe: timeframe in string format (e.g. "5m")
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:param date: date to use. Defaults to now(utc)
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:returns: date of previous candle (with utc timezone)
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"""
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if not date:
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date = datetime.now(timezone.utc)
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new_timestamp = ccxt.Exchange.round_timeframe(timeframe, date.timestamp() * 1000,
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ROUND_DOWN) // 1000
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return datetime.fromtimestamp(new_timestamp, tz=timezone.utc)
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def timeframe_to_next_date(timeframe: str, date: datetime = None) -> datetime:
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"""
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Use Timeframe and determine next candle.
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:param timeframe: timeframe in string format (e.g. "5m")
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:param date: date to use. Defaults to now(utc)
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:returns: date of next candle (with utc timezone)
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"""
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if not date:
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date = datetime.now(timezone.utc)
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new_timestamp = ccxt.Exchange.round_timeframe(timeframe, date.timestamp() * 1000,
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ROUND_UP) // 1000
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return datetime.fromtimestamp(new_timestamp, tz=timezone.utc)
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def date_minus_candles(
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timeframe: str, candle_count: int, date: Optional[datetime] = None) -> datetime:
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"""
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subtract X candles from a date.
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:param timeframe: timeframe in string format (e.g. "5m")
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:param candle_count: Amount of candles to subtract.
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:param date: date to use. Defaults to now(utc)
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"""
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if not date:
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date = datetime.now(timezone.utc)
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tf_min = timeframe_to_minutes(timeframe)
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new_date = timeframe_to_prev_date(timeframe, date) - timedelta(minutes=tf_min * candle_count)
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return new_date
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def market_is_active(market: Dict) -> bool:
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"""
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Return True if the market is active.
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"""
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# "It's active, if the active flag isn't explicitly set to false. If it's missing or
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# true then it's true. If it's undefined, then it's most likely true, but not 100% )"
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# See https://github.com/ccxt/ccxt/issues/4874,
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# https://github.com/ccxt/ccxt/issues/4075#issuecomment-434760520
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return market.get('active', True) is not False
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def amount_to_contracts(amount: float, contract_size: Optional[float]) -> float:
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"""
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Convert amount to contracts.
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:param amount: amount to convert
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:param contract_size: contract size - taken from exchange.get_contract_size(pair)
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:return: num-contracts
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"""
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if contract_size and contract_size != 1:
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return float(FtPrecise(amount) / FtPrecise(contract_size))
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else:
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return amount
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def contracts_to_amount(num_contracts: float, contract_size: Optional[float]) -> float:
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"""
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Takes num-contracts and converts it to contract size
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:param num_contracts: number of contracts
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:param contract_size: contract size - taken from exchange.get_contract_size(pair)
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:return: Amount
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"""
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if contract_size and contract_size != 1:
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return float(FtPrecise(num_contracts) * FtPrecise(contract_size))
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else:
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return num_contracts
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def amount_to_precision(amount: float, amount_precision: Optional[float],
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precisionMode: Optional[int]) -> float:
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"""
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Returns the amount to buy or sell to a precision the Exchange accepts
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Re-implementation of ccxt internal methods - ensuring we can test the result is correct
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based on our definitions.
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:param amount: amount to truncate
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:param amount_precision: amount precision to use.
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should be retrieved from markets[pair]['precision']['amount']
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:param precisionMode: precision mode to use. Should be used from precisionMode
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one of ccxt's DECIMAL_PLACES, SIGNIFICANT_DIGITS, or TICK_SIZE
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:return: truncated amount
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"""
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if amount_precision is not None and precisionMode is not None:
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precision = int(amount_precision) if precisionMode != TICK_SIZE else amount_precision
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# precision must be an int for non-ticksize inputs.
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amount = float(decimal_to_precision(amount, rounding_mode=TRUNCATE,
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precision=precision,
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counting_mode=precisionMode,
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))
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return amount
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def amount_to_contract_precision(
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amount, amount_precision: Optional[float], precisionMode: Optional[int],
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contract_size: Optional[float]) -> float:
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"""
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Returns the amount to buy or sell to a precision the Exchange accepts
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including calculation to and from contracts.
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Re-implementation of ccxt internal methods - ensuring we can test the result is correct
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based on our definitions.
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:param amount: amount to truncate
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:param amount_precision: amount precision to use.
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should be retrieved from markets[pair]['precision']['amount']
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:param precisionMode: precision mode to use. Should be used from precisionMode
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one of ccxt's DECIMAL_PLACES, SIGNIFICANT_DIGITS, or TICK_SIZE
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:param contract_size: contract size - taken from exchange.get_contract_size(pair)
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:return: truncated amount
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"""
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if amount_precision is not None and precisionMode is not None:
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contracts = amount_to_contracts(amount, contract_size)
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amount_p = amount_to_precision(contracts, amount_precision, precisionMode)
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return contracts_to_amount(amount_p, contract_size)
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return amount
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def price_to_precision(price: float, price_precision: Optional[float],
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precisionMode: Optional[int]) -> float:
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"""
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Returns the price rounded up to the precision the Exchange accepts.
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Partial Re-implementation of ccxt internal method decimal_to_precision(),
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which does not support rounding up
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TODO: If ccxt supports ROUND_UP for decimal_to_precision(), we could remove this and
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align with amount_to_precision().
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!!! Rounds up
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:param price: price to convert
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:param price_precision: price precision to use. Used from markets[pair]['precision']['price']
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:param precisionMode: precision mode to use. Should be used from precisionMode
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one of ccxt's DECIMAL_PLACES, SIGNIFICANT_DIGITS, or TICK_SIZE
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:return: price rounded up to the precision the Exchange accepts
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"""
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if price_precision is not None and precisionMode is not None:
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# price = float(decimal_to_precision(price, rounding_mode=ROUND,
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# precision=price_precision,
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# counting_mode=self.precisionMode,
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# ))
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if precisionMode == TICK_SIZE:
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precision = FtPrecise(price_precision)
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price_str = FtPrecise(price)
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missing = price_str % precision
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if not missing == FtPrecise("0"):
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price = round(float(str(price_str - missing + precision)), 14)
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else:
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symbol_prec = price_precision
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big_price = price * pow(10, symbol_prec)
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price = ceil(big_price) / pow(10, symbol_prec)
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return price
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252
freqtrade/exchange/exchange_utils.py
Normal file
252
freqtrade/exchange/exchange_utils.py
Normal file
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@ -0,0 +1,252 @@
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"""
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Exchange support utils
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"""
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from datetime import datetime, timedelta, timezone
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from math import ceil
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from typing import Any, Dict, List, Optional, Tuple
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import ccxt
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from ccxt import ROUND_DOWN, ROUND_UP, TICK_SIZE, TRUNCATE, decimal_to_precision
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from freqtrade.exchange.common import BAD_EXCHANGES, EXCHANGE_HAS_OPTIONAL, EXCHANGE_HAS_REQUIRED
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from freqtrade.util import FtPrecise
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CcxtModuleType = Any
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def is_exchange_known_ccxt(exchange_name: str, ccxt_module: CcxtModuleType = None) -> bool:
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return exchange_name in ccxt_exchanges(ccxt_module)
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def ccxt_exchanges(ccxt_module: CcxtModuleType = None) -> List[str]:
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"""
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Return the list of all exchanges known to ccxt
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"""
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return ccxt_module.exchanges if ccxt_module is not None else ccxt.exchanges
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def available_exchanges(ccxt_module: CcxtModuleType = None) -> List[str]:
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"""
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Return exchanges available to the bot, i.e. non-bad exchanges in the ccxt list
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"""
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exchanges = ccxt_exchanges(ccxt_module)
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return [x for x in exchanges if validate_exchange(x)[0]]
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def validate_exchange(exchange: str) -> Tuple[bool, str]:
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ex_mod = getattr(ccxt, exchange.lower())()
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if not ex_mod or not ex_mod.has:
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return False, ''
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missing = [k for k in EXCHANGE_HAS_REQUIRED if ex_mod.has.get(k) is not True]
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if missing:
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return False, f"missing: {', '.join(missing)}"
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missing_opt = [k for k in EXCHANGE_HAS_OPTIONAL if not ex_mod.has.get(k)]
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if exchange.lower() in BAD_EXCHANGES:
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return False, BAD_EXCHANGES.get(exchange.lower(), '')
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if missing_opt:
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return True, f"missing opt: {', '.join(missing_opt)}"
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return True, ''
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def validate_exchanges(all_exchanges: bool) -> List[Tuple[str, bool, str]]:
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"""
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:return: List of tuples with exchangename, valid, reason.
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"""
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exchanges = ccxt_exchanges() if all_exchanges else available_exchanges()
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exchanges_valid = [
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(e, *validate_exchange(e)) for e in exchanges
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]
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return exchanges_valid
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def timeframe_to_seconds(timeframe: str) -> int:
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"""
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Translates the timeframe interval value written in the human readable
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form ('1m', '5m', '1h', '1d', '1w', etc.) to the number
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of seconds for one timeframe interval.
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"""
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return ccxt.Exchange.parse_timeframe(timeframe)
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def timeframe_to_minutes(timeframe: str) -> int:
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"""
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Same as timeframe_to_seconds, but returns minutes.
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"""
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return ccxt.Exchange.parse_timeframe(timeframe) // 60
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def timeframe_to_msecs(timeframe: str) -> int:
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"""
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Same as timeframe_to_seconds, but returns milliseconds.
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"""
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return ccxt.Exchange.parse_timeframe(timeframe) * 1000
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def timeframe_to_prev_date(timeframe: str, date: datetime = None) -> datetime:
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"""
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Use Timeframe and determine the candle start date for this date.
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Does not round when given a candle start date.
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:param timeframe: timeframe in string format (e.g. "5m")
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:param date: date to use. Defaults to now(utc)
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:returns: date of previous candle (with utc timezone)
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"""
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if not date:
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date = datetime.now(timezone.utc)
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new_timestamp = ccxt.Exchange.round_timeframe(timeframe, date.timestamp() * 1000,
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ROUND_DOWN) // 1000
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return datetime.fromtimestamp(new_timestamp, tz=timezone.utc)
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def timeframe_to_next_date(timeframe: str, date: datetime = None) -> datetime:
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"""
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Use Timeframe and determine next candle.
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:param timeframe: timeframe in string format (e.g. "5m")
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:param date: date to use. Defaults to now(utc)
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:returns: date of next candle (with utc timezone)
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"""
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if not date:
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date = datetime.now(timezone.utc)
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new_timestamp = ccxt.Exchange.round_timeframe(timeframe, date.timestamp() * 1000,
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ROUND_UP) // 1000
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return datetime.fromtimestamp(new_timestamp, tz=timezone.utc)
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def date_minus_candles(
|
||||
timeframe: str, candle_count: int, date: Optional[datetime] = None) -> datetime:
|
||||
"""
|
||||
subtract X candles from a date.
|
||||
:param timeframe: timeframe in string format (e.g. "5m")
|
||||
:param candle_count: Amount of candles to subtract.
|
||||
:param date: date to use. Defaults to now(utc)
|
||||
|
||||
"""
|
||||
if not date:
|
||||
date = datetime.now(timezone.utc)
|
||||
|
||||
tf_min = timeframe_to_minutes(timeframe)
|
||||
new_date = timeframe_to_prev_date(timeframe, date) - timedelta(minutes=tf_min * candle_count)
|
||||
return new_date
|
||||
|
||||
|
||||
def market_is_active(market: Dict) -> bool:
|
||||
"""
|
||||
Return True if the market is active.
|
||||
"""
|
||||
# "It's active, if the active flag isn't explicitly set to false. If it's missing or
|
||||
# true then it's true. If it's undefined, then it's most likely true, but not 100% )"
|
||||
# See https://github.com/ccxt/ccxt/issues/4874,
|
||||
# https://github.com/ccxt/ccxt/issues/4075#issuecomment-434760520
|
||||
return market.get('active', True) is not False
|
||||
|
||||
|
||||
def amount_to_contracts(amount: float, contract_size: Optional[float]) -> float:
|
||||
"""
|
||||
Convert amount to contracts.
|
||||
:param amount: amount to convert
|
||||
:param contract_size: contract size - taken from exchange.get_contract_size(pair)
|
||||
:return: num-contracts
|
||||
"""
|
||||
if contract_size and contract_size != 1:
|
||||
return float(FtPrecise(amount) / FtPrecise(contract_size))
|
||||
else:
|
||||
return amount
|
||||
|
||||
|
||||
def contracts_to_amount(num_contracts: float, contract_size: Optional[float]) -> float:
|
||||
"""
|
||||
Takes num-contracts and converts it to contract size
|
||||
:param num_contracts: number of contracts
|
||||
:param contract_size: contract size - taken from exchange.get_contract_size(pair)
|
||||
:return: Amount
|
||||
"""
|
||||
|
||||
if contract_size and contract_size != 1:
|
||||
return float(FtPrecise(num_contracts) * FtPrecise(contract_size))
|
||||
else:
|
||||
return num_contracts
|
||||
|
||||
|
||||
def amount_to_precision(amount: float, amount_precision: Optional[float],
|
||||
precisionMode: Optional[int]) -> float:
|
||||
"""
|
||||
Returns the amount to buy or sell to a precision the Exchange accepts
|
||||
Re-implementation of ccxt internal methods - ensuring we can test the result is correct
|
||||
based on our definitions.
|
||||
:param amount: amount to truncate
|
||||
:param amount_precision: amount precision to use.
|
||||
should be retrieved from markets[pair]['precision']['amount']
|
||||
:param precisionMode: precision mode to use. Should be used from precisionMode
|
||||
one of ccxt's DECIMAL_PLACES, SIGNIFICANT_DIGITS, or TICK_SIZE
|
||||
:return: truncated amount
|
||||
"""
|
||||
if amount_precision is not None and precisionMode is not None:
|
||||
precision = int(amount_precision) if precisionMode != TICK_SIZE else amount_precision
|
||||
# precision must be an int for non-ticksize inputs.
|
||||
amount = float(decimal_to_precision(amount, rounding_mode=TRUNCATE,
|
||||
precision=precision,
|
||||
counting_mode=precisionMode,
|
||||
))
|
||||
|
||||
return amount
|
||||
|
||||
|
||||
def amount_to_contract_precision(
|
||||
amount, amount_precision: Optional[float], precisionMode: Optional[int],
|
||||
contract_size: Optional[float]) -> float:
|
||||
"""
|
||||
Returns the amount to buy or sell to a precision the Exchange accepts
|
||||
including calculation to and from contracts.
|
||||
Re-implementation of ccxt internal methods - ensuring we can test the result is correct
|
||||
based on our definitions.
|
||||
:param amount: amount to truncate
|
||||
:param amount_precision: amount precision to use.
|
||||
should be retrieved from markets[pair]['precision']['amount']
|
||||
:param precisionMode: precision mode to use. Should be used from precisionMode
|
||||
one of ccxt's DECIMAL_PLACES, SIGNIFICANT_DIGITS, or TICK_SIZE
|
||||
:param contract_size: contract size - taken from exchange.get_contract_size(pair)
|
||||
:return: truncated amount
|
||||
"""
|
||||
if amount_precision is not None and precisionMode is not None:
|
||||
contracts = amount_to_contracts(amount, contract_size)
|
||||
amount_p = amount_to_precision(contracts, amount_precision, precisionMode)
|
||||
return contracts_to_amount(amount_p, contract_size)
|
||||
return amount
|
||||
|
||||
|
||||
def price_to_precision(price: float, price_precision: Optional[float],
|
||||
precisionMode: Optional[int]) -> float:
|
||||
"""
|
||||
Returns the price rounded up to the precision the Exchange accepts.
|
||||
Partial Re-implementation of ccxt internal method decimal_to_precision(),
|
||||
which does not support rounding up
|
||||
TODO: If ccxt supports ROUND_UP for decimal_to_precision(), we could remove this and
|
||||
align with amount_to_precision().
|
||||
!!! Rounds up
|
||||
:param price: price to convert
|
||||
:param price_precision: price precision to use. Used from markets[pair]['precision']['price']
|
||||
:param precisionMode: precision mode to use. Should be used from precisionMode
|
||||
one of ccxt's DECIMAL_PLACES, SIGNIFICANT_DIGITS, or TICK_SIZE
|
||||
:return: price rounded up to the precision the Exchange accepts
|
||||
|
||||
"""
|
||||
if price_precision is not None and precisionMode is not None:
|
||||
# price = float(decimal_to_precision(price, rounding_mode=ROUND,
|
||||
# precision=price_precision,
|
||||
# counting_mode=self.precisionMode,
|
||||
# ))
|
||||
if precisionMode == TICK_SIZE:
|
||||
precision = FtPrecise(price_precision)
|
||||
price_str = FtPrecise(price)
|
||||
missing = price_str % precision
|
||||
if not missing == FtPrecise("0"):
|
||||
price = round(float(str(price_str - missing + precision)), 14)
|
||||
else:
|
||||
symbol_prec = price_precision
|
||||
big_price = price * pow(10, symbol_prec)
|
||||
price = ceil(big_price) / pow(10, symbol_prec)
|
||||
return price
|
||||
Loading…
Reference in New Issue
Block a user