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Merge pull request #2206 from freqtrade/sloe_handling

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Improve stoploss on exchange handling
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hroff-1902 2019-09-04 10:00:53 +03:00 committed by GitHub
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9 changed files with 133 additions and 72 deletions
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1
config_full.json.example
View File

@ -38,6 +38,7 @@
"order_types": {
"buy": "limit",
"sell": "limit",
"emergencysell": "market",
"stoploss": "market",
"stoploss_on_exchange": false,
"stoploss_on_exchange_interval": 60

35
docs/configuration.md
View File

@ -192,19 +192,20 @@ end up paying more then would probably have been necessary.
### Understand order_types
The `order_types` configuration parameter contains a dict mapping order-types to
market-types as well as stoploss on or off exchange type and stoploss on exchange
update interval in seconds. This allows to buy using limit orders, sell using
limit-orders, and create stoploss orders using market. It also allows to set the
stoploss "on exchange" which means stoploss order would be placed immediately once
the buy order is fulfilled. In case stoploss on exchange and `trailing_stop` are
both set, then the bot will use `stoploss_on_exchange_interval` to check it periodically
and update it if necessary (e.x. in case of trailing stoploss).
This can be set in the configuration file or in the strategy.
Values set in the configuration file overwrites values set in the strategy.
The `order_types` configuration parameter maps actions (`buy`, `sell`, `stoploss`) to order-types (`market`, `limit`, ...) as well as configures stoploss to be on the exchange and defines stoploss on exchange update interval in seconds.
If this is configured, all 4 values (`buy`, `sell`, `stoploss` and
`stoploss_on_exchange`) need to be present, otherwise the bot will warn about it and fail to start.
This allows to buy using limit orders, sell using
limit-orders, and create stoplosses using using market orders. It also allows to set the
stoploss "on exchange" which means stoploss order would be placed immediately once
the buy order is fulfilled.
If `stoploss_on_exchange` and `trailing_stop` are both set, then the bot will use `stoploss_on_exchange_interval` to check and update the stoploss on exchange periodically.
`order_types` can be set in the configuration file or in the strategy.
`order_types` set in the configuration file overwrites values set in the strategy as a whole, so you need to configure the whole `order_types` dictionary in one place.
If this is configured, the following 4 values (`buy`, `sell`, `stoploss` and
`stoploss_on_exchange`) need to be present, otherwise the bot will fail to start.
`emergencysell` is an optional value, which defaults to `market` and is used when creating stoploss on exchange orders fails.
The below is the default which is used if this is not configured in either strategy or configuration file.
Syntax for Strategy:
@ -213,6 +214,7 @@ Syntax for Strategy:
order_types = {
"buy": "limit",
"sell": "limit",
"emergencysell": "market",
"stoploss": "market",
"stoploss_on_exchange": False,
"stoploss_on_exchange_interval": 60
@ -225,6 +227,7 @@ Configuration:
"order_types": {
"buy": "limit",
"sell": "limit",
"emergencysell": "market",
"stoploss": "market",
"stoploss_on_exchange": false,
"stoploss_on_exchange_interval": 60
@ -239,11 +242,13 @@ Configuration:
!!! Note
Stoploss on exchange interval is not mandatory. Do not change its value if you are
unsure of what you are doing. For more information about how stoploss works please
read [the stoploss documentation](stoploss.md).
refer to [the stoploss documentation](stoploss.md).
!!! Note
In case of stoploss on exchange if the stoploss is cancelled manually then
the bot would recreate one.
If `stoploss_on_exchange` is enabled and the stoploss is cancelled manually on the exchange, then the bot will create a new order.
!!! Warning stoploss_on_exchange failures
If stoploss on exchange creation fails for some reason, then an "emergency sell" is initiated. By default, this will sell the asset using a market order. The order-type for the emergency-sell can be changed by setting the `emergencysell` value in the `order_types` dictionary - however this is not advised.
### Understand order_time_in_force

2
docs/strategy-customization.md
View File

@ -224,7 +224,7 @@ This would signify a stoploss of -10%.
For the full documentation on stoploss features, look at the dedicated [stoploss page](stoploss.md).
If your exchange supports it, it's recommended to also set `"stoploss_on_exchange"` in the order dict, so your stoploss is on the exchange and cannot be missed for network-problems (or other problems).
If your exchange supports it, it's recommended to also set `"stoploss_on_exchange"` in the order_types dictionary, so your stoploss is on the exchange and cannot be missed due to network problems, high load or other reasons.
For more information on order_types please look [here](configuration.md#understand-order_types).

1
freqtrade/constants.py
View File

@ -121,6 +121,7 @@ CONF_SCHEMA = {
'properties': {
'buy': {'type': 'string', 'enum': ORDERTYPE_POSSIBILITIES},
'sell': {'type': 'string', 'enum': ORDERTYPE_POSSIBILITIES},
'emergencysell': {'type': 'string', 'enum': ORDERTYPE_POSSIBILITIES},
'stoploss': {'type': 'string', 'enum': ORDERTYPE_POSSIBILITIES},
'stoploss_on_exchange': {'type': 'boolean'},
'stoploss_on_exchange_interval': {'type': 'number'}

11
freqtrade/exchange/binance.py
View File

@ -4,7 +4,8 @@ from typing import Dict
import ccxt
from freqtrade import DependencyException, OperationalException, TemporaryError
from freqtrade import (DependencyException, InvalidOrderException,
OperationalException, TemporaryError)
from freqtrade.exchange import Exchange
logger = logging.getLogger(__name__)
@ -66,12 +67,14 @@ class Binance(Exchange):
except ccxt.InsufficientFunds as e:
raise DependencyException(
f'Insufficient funds to create {ordertype} sell order on market {pair}.'
f'Tried to sell amount {amount} at rate {rate}.'
f'Tried to sell amount {amount} at rate {rate}. '
f'Message: {e}') from e
except ccxt.InvalidOrder as e:
raise DependencyException(
# Errors:
# `binance Order would trigger immediately.`
raise InvalidOrderException(
f'Could not create {ordertype} sell order on market {pair}. '
f'Tried to sell amount {amount} at rate {rate}.'
f'Tried to sell amount {amount} at rate {rate}. '
f'Message: {e}') from e
except (ccxt.NetworkError, ccxt.ExchangeError) as e:
raise TemporaryError(

100
freqtrade/freqtradebot.py
View File

@ -611,6 +611,33 @@ class FreqtradeBot(object):
logger.debug('Found no sell signal for %s.', trade)
return False
def create_stoploss_order(self, trade: Trade, stop_price: float, rate: float) -> bool:
"""
Abstracts creating stoploss orders from the logic.
Handles errors and updates the trade database object.
Force-sells the pair (using EmergencySell reason) in case of Problems creating the order.
:return: True if the order succeeded, and False in case of problems.
"""
# Limit price threshold: As limit price should always be below price
LIMIT_PRICE_PCT = 0.99
try:
stoploss_order = self.exchange.stoploss_limit(pair=trade.pair, amount=trade.amount,
stop_price=stop_price,
rate=rate * LIMIT_PRICE_PCT)
trade.stoploss_order_id = str(stoploss_order['id'])
return True
except InvalidOrderException as e:
trade.stoploss_order_id = None
logger.error(f'Unable to place a stoploss order on exchange. {e}')
logger.warning('Selling the trade forcefully')
self.execute_sell(trade, trade.stop_loss, sell_reason=SellType.EMERGENCY_SELL)
except DependencyException:
trade.stoploss_order_id = None
logger.exception('Unable to place a stoploss order on exchange.')
return False
def handle_stoploss_on_exchange(self, trade: Trade) -> bool:
"""
Check if trade is fulfilled in which case the stoploss
@ -629,49 +656,25 @@ class FreqtradeBot(object):
except InvalidOrderException as exception:
logger.warning('Unable to fetch stoploss order: %s', exception)
# If trade open order id does not exist: buy order is fulfilled
buy_order_fulfilled = not trade.open_order_id
# Limit price threshold: As limit price should always be below price
limit_price_pct = 0.99
# If buy order is fulfilled but there is no stoploss, we add a stoploss on exchange
if (buy_order_fulfilled and not stoploss_order):
if self.edge:
stoploss = self.edge.stoploss(pair=trade.pair)
else:
stoploss = self.strategy.stoploss
if (not trade.open_order_id and not stoploss_order):
stoploss = self.edge.stoploss(pair=trade.pair) if self.edge else self.strategy.stoploss
stop_price = trade.open_rate * (1 + stoploss)
# limit price should be less than stop price.
limit_price = stop_price * limit_price_pct
try:
stoploss_order_id = self.exchange.stoploss_limit(
pair=trade.pair, amount=trade.amount, stop_price=stop_price, rate=limit_price
)['id']
trade.stoploss_order_id = str(stoploss_order_id)
if self.create_stoploss_order(trade=trade, stop_price=stop_price, rate=stop_price):
trade.stoploss_last_update = datetime.now()
return False
except DependencyException as exception:
trade.stoploss_order_id = None
logger.warning('Unable to place a stoploss order on exchange: %s', exception)
# If stoploss order is canceled for some reason we add it
if stoploss_order and stoploss_order['status'] == 'canceled':
try:
stoploss_order_id = self.exchange.stoploss_limit(
pair=trade.pair, amount=trade.amount,
stop_price=trade.stop_loss, rate=trade.stop_loss * limit_price_pct
)['id']
trade.stoploss_order_id = str(stoploss_order_id)
if self.create_stoploss_order(trade=trade, stop_price=trade.stop_loss,
rate=trade.stop_loss):
return False
except DependencyException as exception:
else:
trade.stoploss_order_id = None
logger.warning('Stoploss order was cancelled, '
'but unable to recreate one: %s', exception)
logger.warning('Stoploss order was cancelled, but unable to recreate one.')
# We check if stoploss order is fulfilled
if stoploss_order and stoploss_order['status'] == 'closed':
@ -680,7 +683,7 @@ class FreqtradeBot(object):
# Lock pair for one candle to prevent immediate rebuys
self.strategy.lock_pair(trade.pair,
timeframe_to_next_date(self.config['ticker_interval']))
self._notify_sell(trade)
self._notify_sell(trade, "stoploss")
return True
# Finally we check if stoploss on exchange should be moved up because of trailing.
@ -714,17 +717,13 @@ class FreqtradeBot(object):
logger.exception(f"Could not cancel stoploss order {order['id']} "
f"for pair {trade.pair}")
try:
# creating the new one
stoploss_order_id = self.exchange.stoploss_limit(
pair=trade.pair, amount=trade.amount,
stop_price=trade.stop_loss, rate=trade.stop_loss * 0.99
)['id']
trade.stoploss_order_id = str(stoploss_order_id)
except DependencyException:
trade.stoploss_order_id = None
logger.exception(f"Could not create trailing stoploss order "
f"for pair {trade.pair}.")
# Create new stoploss order
if self.create_stoploss_order(trade=trade, stop_price=trade.stop_loss,
rate=trade.stop_loss):
return False
else:
logger.warning(f"Could not create trailing stoploss order "
f"for pair {trade.pair}.")
def _check_and_execute_sell(self, trade: Trade, sell_rate: float,
buy: bool, sell: bool) -> bool:
@ -877,9 +876,14 @@ class FreqtradeBot(object):
except InvalidOrderException:
logger.exception(f"Could not cancel stoploss order {trade.stoploss_order_id}")
ordertype = self.strategy.order_types[sell_type]
if sell_reason == SellType.EMERGENCY_SELL:
# Emergencysells (default to market!)
ordertype = self.strategy.order_types.get("emergencysell", "market")
# Execute sell and update trade record
order = self.exchange.sell(pair=str(trade.pair),
ordertype=self.strategy.order_types[sell_type],
ordertype=ordertype,
amount=trade.amount, rate=limit,
time_in_force=self.strategy.order_time_in_force['sell']
)
@ -895,9 +899,9 @@ class FreqtradeBot(object):
# Lock pair for one candle to prevent immediate rebuys
self.strategy.lock_pair(trade.pair, timeframe_to_next_date(self.config['ticker_interval']))
self._notify_sell(trade)
self._notify_sell(trade, ordertype)
def _notify_sell(self, trade: Trade):
def _notify_sell(self, trade: Trade, order_type: str):
"""
Sends rpc notification when a sell occured.
"""
@ -914,7 +918,7 @@ class FreqtradeBot(object):
'pair': trade.pair,
'gain': gain,
'limit': trade.close_rate_requested,
'order_type': self.strategy.order_types['sell'],
'order_type': order_type,
'amount': trade.amount,
'open_rate': trade.open_rate,
'current_rate': current_rate,

1
freqtrade/strategy/interface.py
View File

@ -39,6 +39,7 @@ class SellType(Enum):
TRAILING_STOP_LOSS = "trailing_stop_loss"
SELL_SIGNAL = "sell_signal"
FORCE_SELL = "force_sell"
EMERGENCY_SELL = "emergency_sell"
NONE = ""

8
freqtrade/tests/exchange/test_binance.py
View File

@ -4,7 +4,8 @@ from unittest.mock import MagicMock
import ccxt
import pytest
from freqtrade import DependencyException, OperationalException, TemporaryError
from freqtrade import (DependencyException, InvalidOrderException,
OperationalException, TemporaryError)
from freqtrade.tests.conftest import get_patched_exchange
@ -49,8 +50,9 @@ def test_stoploss_limit_order(default_conf, mocker):
exchange = get_patched_exchange(mocker, default_conf, api_mock, 'binance')
exchange.stoploss_limit(pair='ETH/BTC', amount=1, stop_price=220, rate=200)
with pytest.raises(DependencyException):
api_mock.create_order = MagicMock(side_effect=ccxt.InvalidOrder("Order not found"))
with pytest.raises(InvalidOrderException):
api_mock.create_order = MagicMock(
side_effect=ccxt.InvalidOrder("binance Order would trigger immediately."))
exchange = get_patched_exchange(mocker, default_conf, api_mock, 'binance')
exchange.stoploss_limit(pair='ETH/BTC', amount=1, stop_price=220, rate=200)

46
freqtrade/tests/test_freqtradebot.py
View File

@ -1152,7 +1152,7 @@ def test_handle_stoploss_on_exchange(mocker, default_conf, fee, caplog,
side_effect=DependencyException()
)
freqtrade.handle_stoploss_on_exchange(trade)
assert log_has('Unable to place a stoploss order on exchange: ', caplog)
assert log_has('Unable to place a stoploss order on exchange.', caplog)
assert trade.stoploss_order_id is None
# Fifth case: get_order returns InvalidOrder
@ -1200,6 +1200,50 @@ def test_handle_sle_cancel_cant_recreate(mocker, default_conf, fee, caplog,
assert trade.is_open is True
def test_create_stoploss_order_invalid_order(mocker, default_conf, caplog, fee,
markets, limit_buy_order, limit_sell_order):
rpc_mock = patch_RPCManager(mocker)
patch_exchange(mocker)
sell_mock = MagicMock(return_value={'id': limit_sell_order['id']})
mocker.patch.multiple(
'freqtrade.exchange.Exchange',
get_ticker=MagicMock(return_value={
'bid': 0.00001172,
'ask': 0.00001173,
'last': 0.00001172
}),
buy=MagicMock(return_value={'id': limit_buy_order['id']}),
sell=sell_mock,
get_fee=fee,
markets=PropertyMock(return_value=markets),
get_order=MagicMock(return_value={'status': 'canceled'}),
stoploss_limit=MagicMock(side_effect=InvalidOrderException()),
)
freqtrade = FreqtradeBot(default_conf)
patch_get_signal(freqtrade)
freqtrade.strategy.order_types['stoploss_on_exchange'] = True
freqtrade.create_trades()
trade = Trade.query.first()
caplog.clear()
freqtrade.create_stoploss_order(trade, 200, 199)
assert trade.stoploss_order_id is None
assert trade.sell_reason == SellType.EMERGENCY_SELL.value
assert log_has("Unable to place a stoploss order on exchange. ", caplog)
assert log_has("Selling the trade forcefully", caplog)
# Should call a market sell
assert sell_mock.call_count == 1
assert sell_mock.call_args[1]['ordertype'] == 'market'
assert sell_mock.call_args[1]['pair'] == trade.pair
assert sell_mock.call_args[1]['amount'] == trade.amount
# Rpc is sending first buy, then sell
assert rpc_mock.call_count == 2
assert rpc_mock.call_args_list[1][0][0]['sell_reason'] == SellType.EMERGENCY_SELL.value
assert rpc_mock.call_args_list[1][0][0]['order_type'] == 'market'
def test_handle_stoploss_on_exchange_trailing(mocker, default_conf, fee, caplog,
markets, limit_buy_order, limit_sell_order) -> None:
# When trailing stoploss is set