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https://github.com/freqtrade/freqtrade.git
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Merge pull request #2954 from freqtrade/rate_caching
Improve and fix buy / sell Rate caching
This commit is contained in:
hroff-1902
GitHub
commit
c9b6bb1229
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@ -66,8 +66,6 @@ class Exchange:
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self._config.update(config)
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self._cached_ticker: Dict[str, Any] = {}
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# Holds last candle refreshed time of each pair
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self._pairs_last_refresh_time: Dict[Tuple[str, str], int] = {}
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# Timestamp of last markets refresh
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@ -591,28 +589,17 @@ class Exchange:
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raise OperationalException(e) from e
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@retrier
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def fetch_ticker(self, pair: str, refresh: Optional[bool] = True) -> dict:
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if refresh or pair not in self._cached_ticker.keys():
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try:
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if pair not in self._api.markets or not self._api.markets[pair].get('active'):
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raise DependencyException(f"Pair {pair} not available")
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data = self._api.fetch_ticker(pair)
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try:
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self._cached_ticker[pair] = {
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'bid': float(data['bid']),
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'ask': float(data['ask']),
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}
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except KeyError:
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logger.debug("Could not cache ticker data for %s", pair)
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return data
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except (ccxt.NetworkError, ccxt.ExchangeError) as e:
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raise TemporaryError(
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f'Could not load ticker 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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else:
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logger.info("returning cached ticker-data for %s", pair)
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return self._cached_ticker[pair]
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def fetch_ticker(self, pair: str) -> dict:
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try:
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if pair not in self._api.markets or not self._api.markets[pair].get('active'):
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raise DependencyException(f"Pair {pair} not available")
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data = self._api.fetch_ticker(pair)
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return data
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except (ccxt.NetworkError, ccxt.ExchangeError) as e:
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raise TemporaryError(
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f'Could not load ticker 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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def get_historic_ohlcv(self, pair: str, timeframe: str,
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since_ms: int) -> List:
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@ -10,6 +10,7 @@ from threading import Lock
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from typing import Any, Dict, List, Optional, Tuple
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import arrow
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from cachetools import TTLCache
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from requests.exceptions import RequestException
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from freqtrade import __version__, constants, persistence
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@ -51,6 +52,9 @@ class FreqtradeBot:
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# Init objects
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self.config = config
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self._sell_rate_cache = TTLCache(maxsize=100, ttl=5)
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self._buy_rate_cache = TTLCache(maxsize=100, ttl=5)
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self.strategy: IStrategy = StrategyResolver.load_strategy(self.config)
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# Check config consistency here since strategies can set certain options
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@ -224,11 +228,20 @@ class FreqtradeBot:
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return trades_created
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def get_buy_rate(self, pair: str, refresh: bool, tick: Dict = None) -> float:
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def get_buy_rate(self, pair: str, refresh: bool) -> float:
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"""
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Calculates bid target between current ask price and last price
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:param pair: Pair to get rate for
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:param refresh: allow cached data
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:return: float: Price
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"""
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if not refresh:
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rate = self._buy_rate_cache.get(pair)
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# Check if cache has been invalidated
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if rate:
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logger.info(f"Using cached buy rate for {pair}.")
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return rate
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config_bid_strategy = self.config.get('bid_strategy', {})
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if 'use_order_book' in config_bid_strategy and\
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config_bid_strategy.get('use_order_book', False):
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@ -241,11 +254,8 @@ class FreqtradeBot:
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logger.info('...top %s order book buy rate %0.8f', order_book_top, order_book_rate)
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used_rate = order_book_rate
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else:
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if not tick:
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logger.info('Using Last Ask / Last Price')
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ticker = self.exchange.fetch_ticker(pair, refresh)
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else:
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ticker = tick
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logger.info('Using Last Ask / Last Price')
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ticker = self.exchange.fetch_ticker(pair)
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if ticker['ask'] < ticker['last']:
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ticker_rate = ticker['ask']
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else:
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@ -253,6 +263,8 @@ class FreqtradeBot:
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ticker_rate = ticker['ask'] + balance * (ticker['last'] - ticker['ask'])
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used_rate = ticker_rate
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self._buy_rate_cache[pair] = used_rate
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return used_rate
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def get_trade_stake_amount(self, pair: str) -> float:
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@ -556,7 +568,7 @@ class FreqtradeBot:
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"""
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Sends rpc notification when a buy cancel occured.
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"""
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current_rate = self.get_buy_rate(trade.pair, True)
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current_rate = self.get_buy_rate(trade.pair, False)
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msg = {
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'type': RPCMessageType.BUY_CANCEL_NOTIFICATION,
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@ -611,8 +623,17 @@ class FreqtradeBot:
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The orderbook portion is only used for rpc messaging, which would otherwise fail
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for BitMex (has no bid/ask in fetch_ticker)
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or remain static in any other case since it's not updating.
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:param pair: Pair to get rate for
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:param refresh: allow cached data
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:return: Bid rate
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"""
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if not refresh:
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rate = self._sell_rate_cache.get(pair)
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# Check if cache has been invalidated
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if rate:
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logger.info(f"Using cached sell rate for {pair}.")
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return rate
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config_ask_strategy = self.config.get('ask_strategy', {})
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if config_ask_strategy.get('use_order_book', False):
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logger.debug('Using order book to get sell rate')
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@ -621,7 +642,8 @@ class FreqtradeBot:
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rate = order_book['bids'][0][0]
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else:
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rate = self.exchange.fetch_ticker(pair, refresh)['bid']
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rate = self.exchange.fetch_ticker(pair)['bid']
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self._sell_rate_cache[pair] = rate
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return rate
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def handle_trade(self, trade: Trade) -> bool:
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@ -1048,7 +1070,7 @@ class FreqtradeBot:
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"""
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profit_rate = trade.close_rate if trade.close_rate else trade.close_rate_requested
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profit_trade = trade.calc_profit(rate=profit_rate)
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current_rate = self.get_sell_rate(trade.pair, True)
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current_rate = self.get_sell_rate(trade.pair, False)
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profit_percent = trade.calc_profit_ratio(profit_rate)
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gain = "profit" if profit_percent > 0 else "loss"
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@ -1121,25 +1121,16 @@ def test_fetch_ticker(default_conf, mocker, exchange_name):
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assert ticker['bid'] == 0.5
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assert ticker['ask'] == 1
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assert 'ETH/BTC' in exchange._cached_ticker
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assert exchange._cached_ticker['ETH/BTC']['bid'] == 0.5
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assert exchange._cached_ticker['ETH/BTC']['ask'] == 1
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# Test caching
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api_mock.fetch_ticker = MagicMock()
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exchange.fetch_ticker(pair='ETH/BTC', refresh=False)
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assert api_mock.fetch_ticker.call_count == 0
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ccxt_exceptionhandlers(mocker, default_conf, api_mock, exchange_name,
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"fetch_ticker", "fetch_ticker",
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pair='ETH/BTC', refresh=True)
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pair='ETH/BTC')
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api_mock.fetch_ticker = MagicMock(return_value={})
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exchange = get_patched_exchange(mocker, default_conf, api_mock, id=exchange_name)
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exchange.fetch_ticker(pair='ETH/BTC', refresh=True)
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exchange.fetch_ticker(pair='ETH/BTC')
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with pytest.raises(DependencyException, match=r'Pair XRP/ETH not available'):
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exchange.fetch_ticker(pair='XRP/ETH', refresh=True)
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exchange.fetch_ticker(pair='XRP/ETH')
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@pytest.mark.parametrize("exchange_name", EXCHANGES)
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@ -65,10 +65,8 @@ def test_rpc_trade_status(default_conf, ticker, fee, mocker) -> None:
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'open_order': '(limit buy rem=0.00000000)'
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} == results[0]
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mocker.patch('freqtrade.exchange.Exchange.fetch_ticker',
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mocker.patch('freqtrade.freqtradebot.FreqtradeBot.get_sell_rate',
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MagicMock(side_effect=DependencyException(f"Pair 'ETH/BTC' not available")))
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# invalidate ticker cache
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rpc._freqtrade.exchange._cached_ticker = {}
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results = rpc._rpc_trade_status()
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assert isnan(results[0]['current_profit'])
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assert isnan(results[0]['current_rate'])
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@ -134,10 +132,8 @@ def test_rpc_status_table(default_conf, ticker, fee, mocker) -> None:
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assert 'ETH/BTC' in result[0][1]
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assert '-0.59% (-0.09)' == result[0][3]
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mocker.patch('freqtrade.exchange.Exchange.fetch_ticker',
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mocker.patch('freqtrade.freqtradebot.FreqtradeBot.get_sell_rate',
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MagicMock(side_effect=DependencyException(f"Pair 'ETH/BTC' not available")))
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# invalidate ticker cache
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rpc._freqtrade.exchange._cached_ticker = {}
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result, headers = rpc._rpc_status_table(default_conf['stake_currency'], 'USD')
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assert 'instantly' == result[0][2]
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assert 'ETH/BTC' in result[0][1]
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@ -260,10 +256,8 @@ def test_rpc_trade_statistics(default_conf, ticker, ticker_sell_up, fee,
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assert prec_satoshi(stats['best_rate'], 6.2)
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# Test non-available pair
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mocker.patch('freqtrade.exchange.Exchange.fetch_ticker',
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mocker.patch('freqtrade.freqtradebot.FreqtradeBot.get_sell_rate',
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MagicMock(side_effect=DependencyException(f"Pair 'ETH/BTC' not available")))
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# invalidate ticker cache
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rpc._freqtrade.exchange._cached_ticker = {}
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stats = rpc._rpc_trade_statistics(stake_currency, fiat_display_currency)
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assert stats['trade_count'] == 2
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assert stats['first_trade_date'] == 'just now'
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@ -915,13 +915,21 @@ def test_process_informative_pairs_added(default_conf, ticker, mocker) -> None:
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(5, 10, 1.0, 5), # last bigger than ask
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(5, 10, 0.5, 5), # last bigger than ask
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])
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def test_get_buy_rate(mocker, default_conf, ask, last, last_ab, expected) -> None:
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def test_get_buy_rate(mocker, default_conf, caplog, ask, last, last_ab, expected) -> None:
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default_conf['bid_strategy']['ask_last_balance'] = last_ab
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freqtrade = get_patched_freqtradebot(mocker, default_conf)
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mocker.patch('freqtrade.exchange.Exchange.fetch_ticker',
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MagicMock(return_value={'ask': ask, 'last': last}))
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assert freqtrade.get_buy_rate('ETH/BTC', True) == expected
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assert not log_has("Using cached buy rate for ETH/BTC.", caplog)
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assert freqtrade.get_buy_rate('ETH/BTC', False) == expected
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assert log_has("Using cached buy rate for ETH/BTC.", caplog)
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# Running a 2nd time with Refresh on!
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caplog.clear()
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assert freqtrade.get_buy_rate('ETH/BTC', True) == expected
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assert not log_has("Using cached buy rate for ETH/BTC.", caplog)
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def test_execute_buy(mocker, default_conf, fee, limit_buy_order) -> None:
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@ -3614,7 +3622,7 @@ def test_order_book_ask_strategy(default_conf, limit_buy_order, limit_sell_order
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assert freqtrade.handle_trade(trade) is True
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def test_get_sell_rate(default_conf, mocker, ticker, order_book_l2) -> None:
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def test_get_sell_rate(default_conf, mocker, caplog, ticker, order_book_l2) -> None:
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mocker.patch.multiple(
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'freqtrade.exchange.Exchange',
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@ -3626,8 +3634,15 @@ def test_get_sell_rate(default_conf, mocker, ticker, order_book_l2) -> None:
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# Test regular mode
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ft = get_patched_freqtradebot(mocker, default_conf)
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rate = ft.get_sell_rate(pair, True)
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assert not log_has("Using cached sell rate for ETH/BTC.", caplog)
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assert isinstance(rate, float)
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assert rate == 0.00001098
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# Use caching
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rate = ft.get_sell_rate(pair, False)
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assert rate == 0.00001098
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assert log_has("Using cached sell rate for ETH/BTC.", caplog)
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caplog.clear()
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# Test orderbook mode
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default_conf['ask_strategy']['use_order_book'] = True
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@ -3635,8 +3650,12 @@ def test_get_sell_rate(default_conf, mocker, ticker, order_book_l2) -> None:
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default_conf['ask_strategy']['order_book_max'] = 2
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ft = get_patched_freqtradebot(mocker, default_conf)
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rate = ft.get_sell_rate(pair, True)
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assert not log_has("Using cached sell rate for ETH/BTC.", caplog)
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assert isinstance(rate, float)
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assert rate == 0.043936
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rate = ft.get_sell_rate(pair, False)
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assert rate == 0.043936
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assert log_has("Using cached sell rate for ETH/BTC.", caplog)
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def test_startup_state(default_conf, mocker):
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