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Merge pull request #3112 from freqtrade/trade_state_updates

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Trade state updates
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hroff-1902 2020-04-16 12:05:19 +03:00 committed by GitHub
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8 changed files with 85 additions and 50 deletions
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8
freqtrade/exchange/exchange.py
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@ -913,6 +913,14 @@ class Exchange:
self._async_get_trade_history(pair=pair, since=since, self._async_get_trade_history(pair=pair, since=since,
until=until, from_id=from_id)) until=until, from_id=from_id))
def check_order_canceled_empty(self, order: Dict) -> bool:
"""
Verify if an order has been cancelled without being partially filled
:param order: Order dict as returned from get_order()
:return: True if order has been cancelled without being filled, False otherwise.
"""
return order.get('status') in ('closed', 'canceled') and order.get('filled') == 0.0
@retrier @retrier
def cancel_order(self, order_id: str, pair: str) -> None: def cancel_order(self, order_id: str, pair: str) -> None:
if self._config['dry_run']: if self._config['dry_run']:

76
freqtrade/freqtradebot.py
View File

@ -143,6 +143,10 @@ class FreqtradeBot:
self.dataprovider.refresh(self._create_pair_whitelist(self.active_pair_whitelist), self.dataprovider.refresh(self._create_pair_whitelist(self.active_pair_whitelist),
self.strategy.informative_pairs()) self.strategy.informative_pairs())
with self._sell_lock:
# Check and handle any timed out open orders
self.check_handle_timedout()
# Protect from collisions with forcesell. # Protect from collisions with forcesell.
# Without this, freqtrade my try to recreate stoploss_on_exchange orders # Without this, freqtrade my try to recreate stoploss_on_exchange orders
# while selling is in process, since telegram messages arrive in an different thread. # while selling is in process, since telegram messages arrive in an different thread.
@ -154,8 +158,6 @@ class FreqtradeBot:
if self.get_free_open_trades(): if self.get_free_open_trades():
self.enter_positions() self.enter_positions()
# Check and handle any timed out open orders
self.check_handle_timedout()
Trade.session.flush() Trade.session.flush()
def _refresh_whitelist(self, trades: List[Trade] = []) -> List[str]: def _refresh_whitelist(self, trades: List[Trade] = []) -> List[str]:
@ -600,7 +602,6 @@ class FreqtradeBot:
trades_closed = 0 trades_closed = 0
for trade in trades: for trade in trades:
try: try:
self.update_trade_state(trade)
if (self.strategy.order_types.get('stoploss_on_exchange') and if (self.strategy.order_types.get('stoploss_on_exchange') and
self.handle_stoploss_on_exchange(trade)): self.handle_stoploss_on_exchange(trade)):
@ -860,30 +861,26 @@ class FreqtradeBot:
continue continue
order = self.exchange.get_order(trade.open_order_id, trade.pair) order = self.exchange.get_order(trade.open_order_id, trade.pair)
except (RequestException, DependencyException, InvalidOrderException): except (RequestException, DependencyException, InvalidOrderException):
logger.info( logger.info('Cannot query order for %s due to %s', trade, traceback.format_exc())
'Cannot query order for %s due to %s',
trade,
traceback.format_exc())
continue continue
# Check if trade is still actually open trade_state_update = self.update_trade_state(trade, order)
if float(order.get('remaining', 0.0)) == 0.0:
self.wallets.update()
continue
if ((order['side'] == 'buy' and order['status'] == 'canceled') if (order['side'] == 'buy' and (
or (self._check_timed_out('buy', order))): trade_state_update
or self._check_timed_out('buy', order))):
self.handle_timedout_limit_buy(trade, order) self.handle_timedout_limit_buy(trade, order)
self.wallets.update() self.wallets.update()
order_type = self.strategy.order_types['buy'] order_type = self.strategy.order_types['buy']
self._notify_buy_cancel(trade, order_type) self._notify_buy_cancel(trade, order_type)
elif ((order['side'] == 'sell' and order['status'] == 'canceled') elif (order['side'] == 'sell' and (
or (self._check_timed_out('sell', order))): trade_state_update
self.handle_timedout_limit_sell(trade, order) or self._check_timed_out('sell', order))):
reason = self.handle_timedout_limit_sell(trade, order)
self.wallets.update() self.wallets.update()
order_type = self.strategy.order_types['sell'] order_type = self.strategy.order_types['sell']
self._notify_sell_cancel(trade, order_type) self._notify_sell_cancel(trade, order_type, reason)
def handle_timedout_limit_buy(self, trade: Trade, order: Dict) -> bool: def handle_timedout_limit_buy(self, trade: Trade, order: Dict) -> bool:
""" """
@ -916,17 +913,7 @@ class FreqtradeBot:
# we need to fall back to the values from order if corder does not contain these keys. # we need to fall back to the values from order if corder does not contain these keys.
trade.amount = order['amount'] - corder.get('remaining', order['remaining']) trade.amount = order['amount'] - corder.get('remaining', order['remaining'])
trade.stake_amount = trade.amount * trade.open_rate trade.stake_amount = trade.amount * trade.open_rate
# verify if fees were taken from amount to avoid problems during selling self.update_trade_state(trade, corder if 'fee' in corder else order, trade.amount)
try:
new_amount = self.get_real_amount(trade, corder if 'fee' in corder else order,
trade.amount)
if not isclose(order['amount'], new_amount, abs_tol=constants.MATH_CLOSE_PREC):
trade.amount = new_amount
# Fee was applied, so set to 0
trade.fee_open = 0
trade.recalc_open_trade_price()
except DependencyException as e:
logger.warning("Could not update trade amount: %s", e)
trade.open_order_id = None trade.open_order_id = None
logger.info('Partial buy order timeout for %s.', trade) logger.info('Partial buy order timeout for %s.', trade)
@ -936,14 +923,14 @@ class FreqtradeBot:
}) })
return False return False
def handle_timedout_limit_sell(self, trade: Trade, order: Dict) -> bool: def handle_timedout_limit_sell(self, trade: Trade, order: Dict) -> str:
""" """
Sell timeout - cancel order and update trade Sell timeout - cancel order and update trade
:return: True if order was fully cancelled :return: Reason for cancel
""" """
# if trade is not partially completed, just cancel the trade # if trade is not partially completed, just cancel the trade
if order['remaining'] == order['amount']: if order['remaining'] == order['amount'] or order.get('filled') == 0.0:
if order["status"] != "canceled": if not self.exchange.check_order_canceled_empty(order):
reason = "cancelled due to timeout" reason = "cancelled due to timeout"
# if trade is not partially completed, just delete the trade # if trade is not partially completed, just delete the trade
self.exchange.cancel_order(trade.open_order_id, trade.pair) self.exchange.cancel_order(trade.open_order_id, trade.pair)
@ -953,16 +940,17 @@ class FreqtradeBot:
logger.info('Sell order %s for %s.', reason, trade) logger.info('Sell order %s for %s.', reason, trade)
trade.close_rate = None trade.close_rate = None
trade.close_rate_requested = None
trade.close_profit = None trade.close_profit = None
trade.close_profit_abs = None trade.close_profit_abs = None
trade.close_date = None trade.close_date = None
trade.is_open = True trade.is_open = True
trade.open_order_id = None trade.open_order_id = None
return True return reason
# TODO: figure out how to handle partially complete sell orders # TODO: figure out how to handle partially complete sell orders
return False return 'partially filled - keeping order open'
def _safe_sell_amount(self, pair: str, amount: float) -> float: def _safe_sell_amount(self, pair: str, amount: float) -> float:
""" """
@ -1081,7 +1069,7 @@ class FreqtradeBot:
# Send the message # Send the message
self.rpc.send_msg(msg) self.rpc.send_msg(msg)
def _notify_sell_cancel(self, trade: Trade, order_type: str) -> None: def _notify_sell_cancel(self, trade: Trade, order_type: str, reason: str) -> None:
""" """
Sends rpc notification when a sell cancel occured. Sends rpc notification when a sell cancel occured.
""" """
@ -1108,6 +1096,7 @@ class FreqtradeBot:
'close_date': trade.close_date, 'close_date': trade.close_date,
'stake_currency': self.config['stake_currency'], 'stake_currency': self.config['stake_currency'],
'fiat_currency': self.config.get('fiat_display_currency', None), 'fiat_currency': self.config.get('fiat_display_currency', None),
'reason': reason,
} }
if 'fiat_display_currency' in self.config: if 'fiat_display_currency' in self.config:
@ -1122,9 +1111,12 @@ class FreqtradeBot:
# Common update trade state methods # Common update trade state methods
# #
def update_trade_state(self, trade: Trade, action_order: dict = None) -> None: def update_trade_state(self, trade: Trade, action_order: dict = None,
order_amount: float = None) -> bool:
""" """
Checks trades with open orders and updates the amount if necessary Checks trades with open orders and updates the amount if necessary
Handles closing both buy and sell orders.
:return: True if order has been cancelled without being filled partially, False otherwise
""" """
# Get order details for actual price per unit # Get order details for actual price per unit
if trade.open_order_id: if trade.open_order_id:
@ -1134,25 +1126,31 @@ class FreqtradeBot:
order = action_order or self.exchange.get_order(trade.open_order_id, trade.pair) order = action_order or self.exchange.get_order(trade.open_order_id, trade.pair)
except InvalidOrderException as exception: except InvalidOrderException as exception:
logger.warning('Unable to fetch order %s: %s', trade.open_order_id, exception) logger.warning('Unable to fetch order %s: %s', trade.open_order_id, exception)
return return False
# Try update amount (binance-fix) # Try update amount (binance-fix)
try: try:
new_amount = self.get_real_amount(trade, order) new_amount = self.get_real_amount(trade, order, order_amount)
if not isclose(order['amount'], new_amount, abs_tol=constants.MATH_CLOSE_PREC): if not isclose(order['amount'], new_amount, abs_tol=constants.MATH_CLOSE_PREC):
order['amount'] = new_amount order['amount'] = new_amount
del order['filled']
# Fee was applied, so set to 0 # Fee was applied, so set to 0
trade.fee_open = 0 trade.fee_open = 0
trade.recalc_open_trade_price() trade.recalc_open_trade_price()
except DependencyException as exception: except DependencyException as exception:
logger.warning("Could not update trade amount: %s", exception) logger.warning("Could not update trade amount: %s", exception)
if self.exchange.check_order_canceled_empty(order):
# Trade has been cancelled on exchange
# Handling of this will happen in check_handle_timeout.
return True
trade.update(order) trade.update(order)
# Updating wallets when order is closed # Updating wallets when order is closed
if not trade.is_open: if not trade.is_open:
self.wallets.update() self.wallets.update()
return False
def get_real_amount(self, trade: Trade, order: Dict, order_amount: float = None) -> float: def get_real_amount(self, trade: Trade, order: Dict, order_amount: float = None) -> float:
""" """
Get real amount for the trade Get real amount for the trade

2
freqtrade/persistence.py
View File

@ -328,7 +328,7 @@ class Trade(_DECL_BASE):
if order_type in ('market', 'limit') and order['side'] == 'buy': if order_type in ('market', 'limit') and order['side'] == 'buy':
# Update open rate and actual amount # Update open rate and actual amount
self.open_rate = Decimal(order['price']) self.open_rate = Decimal(order['price'])
self.amount = Decimal(order['amount']) self.amount = Decimal(order.get('filled', order['amount']))
self.recalc_open_trade_price() self.recalc_open_trade_price()
logger.info('%s_BUY has been fulfilled for %s.', order_type.upper(), self) logger.info('%s_BUY has been fulfilled for %s.', order_type.upper(), self)
self.open_order_id = None self.open_order_id = None

3
freqtrade/rpc/telegram.py
View File

@ -172,7 +172,8 @@ class Telegram(RPC):
' / {profit_fiat:.3f} {fiat_currency})`').format(**msg) ' / {profit_fiat:.3f} {fiat_currency})`').format(**msg)
elif msg['type'] == RPCMessageType.SELL_CANCEL_NOTIFICATION: elif msg['type'] == RPCMessageType.SELL_CANCEL_NOTIFICATION:
message = "*{exchange}:* Cancelling Open Sell Order for {pair}".format(**msg) message = ("*{exchange}:* Cancelling Open Sell Order "
"for {pair}. Reason: {reason}").format(**msg)
elif msg['type'] == RPCMessageType.STATUS_NOTIFICATION: elif msg['type'] == RPCMessageType.STATUS_NOTIFICATION:
message = '*Status:* `{status}`'.format(**msg) message = '*Status:* `{status}`'.format(**msg)

7
tests/conftest.py
View File

@ -758,6 +758,7 @@ def limit_buy_order():
'datetime': arrow.utcnow().isoformat(), 'datetime': arrow.utcnow().isoformat(),
'price': 0.00001099, 'price': 0.00001099,
'amount': 90.99181073, 'amount': 90.99181073,
'filled': 90.99181073,
'remaining': 0.0, 'remaining': 0.0,
'status': 'closed' 'status': 'closed'
} }
@ -773,6 +774,7 @@ def market_buy_order():
'datetime': arrow.utcnow().isoformat(), 'datetime': arrow.utcnow().isoformat(),
'price': 0.00004099, 'price': 0.00004099,
'amount': 91.99181073, 'amount': 91.99181073,
'filled': 91.99181073,
'remaining': 0.0, 'remaining': 0.0,
'status': 'closed' 'status': 'closed'
} }
@ -788,6 +790,7 @@ def market_sell_order():
'datetime': arrow.utcnow().isoformat(), 'datetime': arrow.utcnow().isoformat(),
'price': 0.00004173, 'price': 0.00004173,
'amount': 91.99181073, 'amount': 91.99181073,
'filled': 91.99181073,
'remaining': 0.0, 'remaining': 0.0,
'status': 'closed' 'status': 'closed'
} }
@ -803,6 +806,7 @@ def limit_buy_order_old():
'datetime': str(arrow.utcnow().shift(minutes=-601).datetime), 'datetime': str(arrow.utcnow().shift(minutes=-601).datetime),
'price': 0.00001099, 'price': 0.00001099,
'amount': 90.99181073, 'amount': 90.99181073,
'filled': 0.0,
'remaining': 90.99181073, 'remaining': 90.99181073,
'status': 'open' 'status': 'open'
} }
@ -818,6 +822,7 @@ def limit_sell_order_old():
'datetime': arrow.utcnow().shift(minutes=-601).isoformat(), 'datetime': arrow.utcnow().shift(minutes=-601).isoformat(),
'price': 0.00001099, 'price': 0.00001099,
'amount': 90.99181073, 'amount': 90.99181073,
'filled': 0.0,
'remaining': 90.99181073, 'remaining': 90.99181073,
'status': 'open' 'status': 'open'
} }
@ -833,6 +838,7 @@ def limit_buy_order_old_partial():
'datetime': arrow.utcnow().shift(minutes=-601).isoformat(), 'datetime': arrow.utcnow().shift(minutes=-601).isoformat(),
'price': 0.00001099, 'price': 0.00001099,
'amount': 90.99181073, 'amount': 90.99181073,
'filled': 23.0,
'remaining': 67.99181073, 'remaining': 67.99181073,
'status': 'open' 'status': 'open'
} }
@ -856,6 +862,7 @@ def limit_sell_order():
'datetime': arrow.utcnow().isoformat(), 'datetime': arrow.utcnow().isoformat(),
'price': 0.00001173, 'price': 0.00001173,
'amount': 90.99181073, 'amount': 90.99181073,
'filled': 90.99181073,
'remaining': 0.0, 'remaining': 0.0,
'status': 'closed' 'status': 'closed'
} }

14
tests/exchange/test_exchange.py
View File

@ -1731,6 +1731,20 @@ def test_cancel_order_dry_run(default_conf, mocker, exchange_name):
assert exchange.cancel_order(order_id='123', pair='TKN/BTC') is None assert exchange.cancel_order(order_id='123', pair='TKN/BTC') is None
@pytest.mark.parametrize("exchange_name", EXCHANGES)
@pytest.mark.parametrize("order,result", [
({'status': 'closed', 'filled': 10}, False),
({'status': 'closed', 'filled': 0.0}, True),
({'status': 'canceled', 'filled': 0.0}, True),
({'status': 'canceled', 'filled': 10.0}, False),
({'status': 'unknown', 'filled': 10.0}, False),
({'result': 'testest123'}, False),
])
def test_check_order_canceled_empty(mocker, default_conf, exchange_name, order, result):
exchange = get_patched_exchange(mocker, default_conf, id=exchange_name)
assert exchange.check_order_canceled_empty(order) == result
# Ensure that if not dry_run, we should call API # Ensure that if not dry_run, we should call API
@pytest.mark.parametrize("exchange_name", EXCHANGES) @pytest.mark.parametrize("exchange_name", EXCHANGES)
def test_cancel_order(default_conf, mocker, exchange_name): def test_cancel_order(default_conf, mocker, exchange_name):

6
tests/rpc/test_rpc_telegram.py
View File

@ -1316,18 +1316,20 @@ def test_send_msg_sell_cancel_notification(default_conf, mocker) -> None:
'type': RPCMessageType.SELL_CANCEL_NOTIFICATION, 'type': RPCMessageType.SELL_CANCEL_NOTIFICATION,
'exchange': 'Binance', 'exchange': 'Binance',
'pair': 'KEY/ETH', 'pair': 'KEY/ETH',
'reason': 'Cancelled on exchange'
}) })
assert msg_mock.call_args[0][0] \ assert msg_mock.call_args[0][0] \
== ('*Binance:* Cancelling Open Sell Order for KEY/ETH') == ('*Binance:* Cancelling Open Sell Order for KEY/ETH. Reason: Cancelled on exchange')
msg_mock.reset_mock() msg_mock.reset_mock()
telegram.send_msg({ telegram.send_msg({
'type': RPCMessageType.SELL_CANCEL_NOTIFICATION, 'type': RPCMessageType.SELL_CANCEL_NOTIFICATION,
'exchange': 'Binance', 'exchange': 'Binance',
'pair': 'KEY/ETH', 'pair': 'KEY/ETH',
'reason': 'timeout'
}) })
assert msg_mock.call_args[0][0] \ assert msg_mock.call_args[0][0] \
== ('*Binance:* Cancelling Open Sell Order for KEY/ETH') == ('*Binance:* Cancelling Open Sell Order for KEY/ETH. Reason: timeout')
# Reset singleton function to avoid random breaks # Reset singleton function to avoid random breaks
telegram._fiat_converter.convert_amount = old_convamount telegram._fiat_converter.convert_amount = old_convamount

19
tests/test_freqtradebot.py
View File

@ -1592,13 +1592,13 @@ def test_exit_positions_exception(mocker, default_conf, limit_buy_order, caplog)
mocker.patch('freqtrade.exchange.Exchange.get_order', return_value=limit_buy_order) mocker.patch('freqtrade.exchange.Exchange.get_order', return_value=limit_buy_order)
trade = MagicMock() trade = MagicMock()
trade.open_order_id = '123' trade.open_order_id = None
trade.open_fee = 0.001 trade.open_fee = 0.001
trades = [trade] trades = [trade]
# Test raise of DependencyException exception # Test raise of DependencyException exception
mocker.patch( mocker.patch(
'freqtrade.freqtradebot.FreqtradeBot.update_trade_state', 'freqtrade.freqtradebot.FreqtradeBot.handle_trade',
side_effect=DependencyException() side_effect=DependencyException()
) )
n = freqtrade.exit_positions(trades) n = freqtrade.exit_positions(trades)
@ -1970,7 +1970,7 @@ def test_check_handle_cancelled_buy(default_conf, ticker, limit_buy_order_old, o
rpc_mock = patch_RPCManager(mocker) rpc_mock = patch_RPCManager(mocker)
cancel_order_mock = MagicMock() cancel_order_mock = MagicMock()
patch_exchange(mocker) patch_exchange(mocker)
limit_buy_order_old.update({"status": "canceled"}) limit_buy_order_old.update({"status": "canceled", 'filled': 0.0})
mocker.patch.multiple( mocker.patch.multiple(
'freqtrade.exchange.Exchange', 'freqtrade.exchange.Exchange',
fetch_ticker=ticker, fetch_ticker=ticker,
@ -2049,7 +2049,7 @@ def test_check_handle_cancelled_sell(default_conf, ticker, limit_sell_order_old,
""" Handle sell order cancelled on exchange""" """ Handle sell order cancelled on exchange"""
rpc_mock = patch_RPCManager(mocker) rpc_mock = patch_RPCManager(mocker)
cancel_order_mock = MagicMock() cancel_order_mock = MagicMock()
limit_sell_order_old.update({"status": "canceled"}) limit_sell_order_old.update({"status": "canceled", 'filled': 0.0})
patch_exchange(mocker) patch_exchange(mocker)
mocker.patch.multiple( mocker.patch.multiple(
'freqtrade.exchange.Exchange', 'freqtrade.exchange.Exchange',
@ -2129,7 +2129,7 @@ def test_check_handle_timedout_partial_fee(default_conf, ticker, open_trade, cap
assert rpc_mock.call_count == 2 assert rpc_mock.call_count == 2
trades = Trade.query.filter(Trade.open_order_id.is_(open_trade.open_order_id)).all() trades = Trade.query.filter(Trade.open_order_id.is_(open_trade.open_order_id)).all()
assert len(trades) == 1 assert len(trades) == 1
# Verify that tradehas been updated # Verify that trade has been updated
assert trades[0].amount == (limit_buy_order_old_partial['amount'] - assert trades[0].amount == (limit_buy_order_old_partial['amount'] -
limit_buy_order_old_partial['remaining']) - 0.0001 limit_buy_order_old_partial['remaining']) - 0.0001
assert trades[0].open_order_id is None assert trades[0].open_order_id is None
@ -2168,7 +2168,7 @@ def test_check_handle_timedout_partial_except(default_conf, ticker, open_trade,
assert rpc_mock.call_count == 2 assert rpc_mock.call_count == 2
trades = Trade.query.filter(Trade.open_order_id.is_(open_trade.open_order_id)).all() trades = Trade.query.filter(Trade.open_order_id.is_(open_trade.open_order_id)).all()
assert len(trades) == 1 assert len(trades) == 1
# Verify that tradehas been updated # Verify that trade has been updated
assert trades[0].amount == (limit_buy_order_old_partial['amount'] - assert trades[0].amount == (limit_buy_order_old_partial['amount'] -
limit_buy_order_old_partial['remaining']) limit_buy_order_old_partial['remaining'])
@ -2276,7 +2276,8 @@ def test_handle_timedout_limit_sell(mocker, default_conf) -> None:
assert freqtrade.handle_timedout_limit_sell(trade, order) assert freqtrade.handle_timedout_limit_sell(trade, order)
assert cancel_order_mock.call_count == 1 assert cancel_order_mock.call_count == 1
order['amount'] = 2 order['amount'] = 2
assert not freqtrade.handle_timedout_limit_sell(trade, order) assert (freqtrade.handle_timedout_limit_sell(trade, order)
== 'partially filled - keeping order open')
# Assert cancel_order was not called (callcount remains unchanged) # Assert cancel_order was not called (callcount remains unchanged)
assert cancel_order_mock.call_count == 1 assert cancel_order_mock.call_count == 1
@ -2499,6 +2500,7 @@ def test_execute_sell_with_stoploss_on_exchange(default_conf, ticker, fee, ticke
assert trade assert trade
trades = [trade] trades = [trade]
freqtrade.check_handle_timedout()
freqtrade.exit_positions(trades) freqtrade.exit_positions(trades)
# Increase the price and sell it # Increase the price and sell it
@ -2544,8 +2546,11 @@ def test_may_execute_sell_after_stoploss_on_exchange_hit(default_conf, ticker, f
# Create some test data # Create some test data
freqtrade.enter_positions() freqtrade.enter_positions()
freqtrade.check_handle_timedout()
trade = Trade.query.first() trade = Trade.query.first()
trades = [trade] trades = [trade]
assert trade.stoploss_order_id is None
freqtrade.exit_positions(trades) freqtrade.exit_positions(trades)
assert trade assert trade
assert trade.stoploss_order_id == '123' assert trade.stoploss_order_id == '123'