# pragma pylint: disable=W0603 """ Cryptocurrency Exchanges support """ import logging import inspect from random import randint from typing import List, Dict, Tuple, Any, Optional from datetime import datetime from math import floor, ceil import arrow import asyncio import ccxt import ccxt.async_support as ccxt_async from pandas import DataFrame from freqtrade import constants, OperationalException, DependencyException, TemporaryError from freqtrade.data.converter import parse_ticker_dataframe logger = logging.getLogger(__name__) API_RETRY_COUNT = 4 # Urls to exchange markets, insert quote and base with .format() _EXCHANGE_URLS = { ccxt.bittrex.__name__: '/Market/Index?MarketName={quote}-{base}', ccxt.binance.__name__: '/tradeDetail.html?symbol={base}_{quote}' } def retrier_async(f): async def wrapper(*args, **kwargs): count = kwargs.pop('count', API_RETRY_COUNT) try: return await f(*args, **kwargs) except (TemporaryError, DependencyException) as ex: logger.warning('%s() returned exception: "%s"', f.__name__, ex) if count > 0: count -= 1 kwargs.update({'count': count}) logger.warning('retrying %s() still for %s times', f.__name__, count) return await wrapper(*args, **kwargs) else: logger.warning('Giving up retrying: %s()', f.__name__) raise ex return wrapper def retrier(f): def wrapper(*args, **kwargs): count = kwargs.pop('count', API_RETRY_COUNT) try: return f(*args, **kwargs) except (TemporaryError, DependencyException) as ex: logger.warning('%s() returned exception: "%s"', f.__name__, ex) if count > 0: count -= 1 kwargs.update({'count': count}) logger.warning('retrying %s() still for %s times', f.__name__, count) return wrapper(*args, **kwargs) else: logger.warning('Giving up retrying: %s()', f.__name__) raise ex return wrapper class Exchange(object): _conf: Dict = {} _params: Dict = {} def __init__(self, config: dict) -> None: """ Initializes this module with the given config, it does basic validation whether the specified exchange and pairs are valid. :return: None """ self._conf.update(config) self._cached_ticker: Dict[str, Any] = {} # Holds last candle refreshed time of each pair self._pairs_last_refresh_time: Dict[Tuple[str, str], int] = {} # Holds candles self._klines: Dict[Tuple[str, str], DataFrame] = {} # Holds all open sell orders for dry_run self._dry_run_open_orders: Dict[str, Any] = {} if config['dry_run']: logger.info('Instance is running with dry_run enabled') exchange_config = config['exchange'] self._api: ccxt.Exchange = self._init_ccxt( exchange_config, ccxt_kwargs=exchange_config.get('ccxt_config')) self._api_async: ccxt_async.Exchange = self._init_ccxt( exchange_config, ccxt_async, ccxt_kwargs=exchange_config.get('ccxt_async_config')) logger.info('Using Exchange "%s"', self.name) self.markets = self._load_markets() # Check if all pairs are available self.validate_pairs(config['exchange']['pair_whitelist']) self.validate_ordertypes(config.get('order_types', {})) self.validate_order_time_in_force(config.get('order_time_in_force', {})) if config.get('ticker_interval'): # Check if timeframe is available self.validate_timeframes(config['ticker_interval']) def __del__(self): """ Destructor - clean up async stuff """ logger.debug("Exchange object destroyed, closing async loop") if self._api_async and inspect.iscoroutinefunction(self._api_async.close): asyncio.get_event_loop().run_until_complete(self._api_async.close()) def _init_ccxt(self, exchange_config: dict, ccxt_module=ccxt, ccxt_kwargs: dict = None) -> ccxt.Exchange: """ Initialize ccxt with given config and return valid ccxt instance. """ # Find matching class for the given exchange name name = exchange_config['name'] if name not in ccxt_module.exchanges: raise OperationalException(f'Exchange {name} is not supported') ex_config = { 'apiKey': exchange_config.get('key'), 'secret': exchange_config.get('secret'), 'password': exchange_config.get('password'), 'uid': exchange_config.get('uid', ''), 'enableRateLimit': exchange_config.get('ccxt_rate_limit', True) } if ccxt_kwargs: logger.info('Applying additional ccxt config: %s', ccxt_kwargs) ex_config.update(ccxt_kwargs) try: api = getattr(ccxt_module, name.lower())(ex_config) except (KeyError, AttributeError): raise OperationalException(f'Exchange {name} is not supported') self.set_sandbox(api, exchange_config, name) return api @property def name(self) -> str: """exchange Name (from ccxt)""" return self._api.name @property def id(self) -> str: """exchange ccxt id""" return self._api.id def klines(self, pair_interval: Tuple[str, str], copy=True) -> DataFrame: if pair_interval in self._klines: return self._klines[pair_interval].copy() if copy else self._klines[pair_interval] else: return DataFrame() def set_sandbox(self, api, exchange_config: dict, name: str): if exchange_config.get('sandbox'): if api.urls.get('test'): api.urls['api'] = api.urls['test'] logger.info("Enabled Sandbox API on %s", name) else: logger.warning(name, "No Sandbox URL in CCXT, exiting. " "Please check your config.json") raise OperationalException(f'Exchange {name} does not provide a sandbox api') def _load_async_markets(self) -> None: try: if self._api_async: asyncio.get_event_loop().run_until_complete(self._api_async.load_markets()) except ccxt.BaseError as e: logger.warning('Could not load async markets. Reason: %s', e) return def _load_markets(self) -> Dict[str, Any]: """ Initialize markets both sync and async """ try: markets = self._api.load_markets() self._load_async_markets() return markets except ccxt.BaseError as e: logger.warning('Unable to initialize markets. Reason: %s', e) return {} def validate_pairs(self, pairs: List[str]) -> None: """ Checks if all given pairs are tradable on the current exchange. Raises OperationalException if one pair is not available. :param pairs: list of pairs :return: None """ if not self.markets: logger.warning('Unable to validate pairs (assuming they are correct).') # return stake_cur = self._conf['stake_currency'] for pair in pairs: # Note: ccxt has BaseCurrency/QuoteCurrency format for pairs # TODO: add a support for having coins in BTC/USDT format if not pair.endswith(stake_cur): raise OperationalException( f'Pair {pair} not compatible with stake_currency: {stake_cur}') if self.markets and pair not in self.markets: raise OperationalException( f'Pair {pair} is not available at {self.name}' f'Please remove {pair} from your whitelist.') def validate_timeframes(self, timeframe: List[str]) -> None: """ Checks if ticker interval from config is a supported timeframe on the exchange """ timeframes = self._api.timeframes if timeframe not in timeframes: raise OperationalException( f'Invalid ticker {timeframe}, this Exchange supports {timeframes}') def validate_ordertypes(self, order_types: Dict) -> None: """ Checks if order-types configured in strategy/config are supported """ if any(v == 'market' for k, v in order_types.items()): if not self.exchange_has('createMarketOrder'): raise OperationalException( f'Exchange {self.name} does not support market orders.') if order_types.get('stoploss_on_exchange'): if self.name != 'Binance': raise OperationalException( 'On exchange stoploss is not supported for %s.' % self.name ) def validate_order_time_in_force(self, order_time_in_force: Dict) -> None: """ Checks if order time in force configured in strategy/config are supported """ if any(v != 'gtc' for k, v in order_time_in_force.items()): if self.name != 'Binance': raise OperationalException( f'Time in force policies are not supporetd for {self.name} yet.') def exchange_has(self, endpoint: str) -> bool: """ Checks if exchange implements a specific API endpoint. Wrapper around ccxt 'has' attribute :param endpoint: Name of endpoint (e.g. 'fetchOHLCV', 'fetchTickers') :return: bool """ return endpoint in self._api.has and self._api.has[endpoint] def symbol_amount_prec(self, pair, amount: float): ''' Returns the amount to buy or sell to a precision the Exchange accepts Rounded down ''' if self._api.markets[pair]['precision']['amount']: symbol_prec = self._api.markets[pair]['precision']['amount'] big_amount = amount * pow(10, symbol_prec) amount = floor(big_amount) / pow(10, symbol_prec) return amount def symbol_price_prec(self, pair, price: float): ''' Returns the price buying or selling with to the precision the Exchange accepts Rounds up ''' if self._api.markets[pair]['precision']['price']: symbol_prec = self._api.markets[pair]['precision']['price'] big_price = price * pow(10, symbol_prec) price = ceil(big_price) / pow(10, symbol_prec) return price def buy(self, pair: str, ordertype: str, amount: float, rate: float, time_in_force) -> Dict: if self._conf['dry_run']: order_id = f'dry_run_buy_{randint(0, 10**6)}' self._dry_run_open_orders[order_id] = { 'pair': pair, 'price': rate, 'amount': amount, 'type': ordertype, 'side': 'buy', 'remaining': 0.0, 'datetime': arrow.utcnow().isoformat(), 'status': 'closed', 'fee': None } return {'id': order_id} try: # Set the precision for amount and price(rate) as accepted by the exchange amount = self.symbol_amount_prec(pair, amount) rate = self.symbol_price_prec(pair, rate) if ordertype != 'market' else None params = self._params.copy() if time_in_force != 'gtc': params.update({'timeInForce': time_in_force}) return self._api.create_order(pair, ordertype, 'buy', amount, rate, params) except ccxt.InsufficientFunds as e: raise DependencyException( f'Insufficient funds to create limit buy order on market {pair}.' f'Tried to buy amount {amount} at rate {rate} (total {rate*amount}).' f'Message: {e}') except ccxt.InvalidOrder as e: raise DependencyException( f'Could not create limit buy order on market {pair}.' f'Tried to buy amount {amount} at rate {rate} (total {rate*amount}).' f'Message: {e}') except (ccxt.NetworkError, ccxt.ExchangeError) as e: raise TemporaryError( f'Could not place buy order due to {e.__class__.__name__}. Message: {e}') except ccxt.BaseError as e: raise OperationalException(e) def sell(self, pair: str, ordertype: str, amount: float, rate: float, time_in_force='gtc') -> Dict: if self._conf['dry_run']: order_id = f'dry_run_sell_{randint(0, 10**6)}' self._dry_run_open_orders[order_id] = { 'pair': pair, 'price': rate, 'amount': amount, 'type': ordertype, 'side': 'sell', 'remaining': 0.0, 'datetime': arrow.utcnow().isoformat(), 'status': 'closed' } return {'id': order_id} try: # Set the precision for amount and price(rate) as accepted by the exchange amount = self.symbol_amount_prec(pair, amount) rate = self.symbol_price_prec(pair, rate) if ordertype != 'market' else None params = self._params.copy() if time_in_force != 'gtc': params.update({'timeInForce': time_in_force}) return self._api.create_order(pair, ordertype, 'sell', amount, rate, params) except ccxt.InsufficientFunds as e: raise DependencyException( f'Insufficient funds to create limit sell order on market {pair}.' f'Tried to sell amount {amount} at rate {rate} (total {rate*amount}).' f'Message: {e}') except ccxt.InvalidOrder as e: raise DependencyException( f'Could not create limit sell order on market {pair}.' f'Tried to sell amount {amount} at rate {rate} (total {rate*amount}).' f'Message: {e}') except (ccxt.NetworkError, ccxt.ExchangeError) as e: raise TemporaryError( f'Could not place sell order due to {e.__class__.__name__}. Message: {e}') except ccxt.BaseError as e: raise OperationalException(e) def stoploss_limit(self, pair: str, amount: float, stop_price: float, rate: float) -> Dict: """ creates a stoploss limit order. NOTICE: it is not supported by all exchanges. only binance is tested for now. """ # Set the precision for amount and price(rate) as accepted by the exchange amount = self.symbol_amount_prec(pair, amount) rate = self.symbol_price_prec(pair, rate) stop_price = self.symbol_price_prec(pair, stop_price) # Ensure rate is less than stop price if stop_price <= rate: raise OperationalException( 'In stoploss limit order, stop price should be more than limit price') if self._conf['dry_run']: order_id = f'dry_run_buy_{randint(0, 10**6)}' self._dry_run_open_orders[order_id] = { 'info': {}, 'id': order_id, 'pair': pair, 'price': stop_price, 'amount': amount, 'type': 'stop_loss_limit', 'side': 'sell', 'remaining': amount, 'datetime': arrow.utcnow().isoformat(), 'status': 'open', 'fee': None } return self._dry_run_open_orders[order_id] try: params = self._params.copy() params.update({'stopPrice': stop_price}) order = self._api.create_order(pair, 'stop_loss_limit', 'sell', amount, rate, params) logger.info('stoploss limit order added for %s. ' 'stop price: %s. limit: %s' % (pair, stop_price, rate)) return order except ccxt.InsufficientFunds as e: raise DependencyException( f'Insufficient funds to place stoploss limit order on market {pair}. ' f'Tried to put a stoploss amount {amount} with ' f'stop {stop_price} and limit {rate} (total {rate*amount}).' f'Message: {e}') except ccxt.InvalidOrder as e: raise DependencyException( f'Could not place stoploss limit order on market {pair}.' f'Tried to place stoploss amount {amount} with ' f'stop {stop_price} and limit {rate} (total {rate*amount}).' f'Message: {e}') except (ccxt.NetworkError, ccxt.ExchangeError) as e: raise TemporaryError( f'Could not place stoploss limit order due to {e.__class__.__name__}. Message: {e}') except ccxt.BaseError as e: raise OperationalException(e) @retrier def get_balance(self, currency: str) -> float: if self._conf['dry_run']: return 999.9 # ccxt exception is already handled by get_balances balances = self.get_balances() balance = balances.get(currency) if balance is None: raise TemporaryError( f'Could not get {currency} balance due to malformed exchange response: {balances}') return balance['free'] @retrier def get_balances(self) -> dict: if self._conf['dry_run']: return {} try: balances = self._api.fetch_balance() # Remove additional info from ccxt results balances.pop("info", None) balances.pop("free", None) balances.pop("total", None) balances.pop("used", None) return balances except (ccxt.NetworkError, ccxt.ExchangeError) as e: raise TemporaryError( f'Could not get balance due to {e.__class__.__name__}. Message: {e}') except ccxt.BaseError as e: raise OperationalException(e) @retrier def get_tickers(self) -> Dict: try: return self._api.fetch_tickers() except ccxt.NotSupported as e: raise OperationalException( f'Exchange {self._api.name} does not support fetching tickers in batch.' f'Message: {e}') except (ccxt.NetworkError, ccxt.ExchangeError) as e: raise TemporaryError( f'Could not load tickers due to {e.__class__.__name__}. Message: {e}') except ccxt.BaseError as e: raise OperationalException(e) @retrier def get_ticker(self, pair: str, refresh: Optional[bool] = True) -> dict: if refresh or pair not in self._cached_ticker.keys(): try: if pair not in self._api.markets: raise DependencyException(f"Pair {pair} not available") data = self._api.fetch_ticker(pair) try: self._cached_ticker[pair] = { 'bid': float(data['bid']), 'ask': float(data['ask']), } except KeyError: logger.debug("Could not cache ticker data for %s", pair) return data except (ccxt.NetworkError, ccxt.ExchangeError) as e: raise TemporaryError( f'Could not load ticker due to {e.__class__.__name__}. Message: {e}') except ccxt.BaseError as e: raise OperationalException(e) else: logger.info("returning cached ticker-data for %s", pair) return self._cached_ticker[pair] def get_history(self, pair: str, tick_interval: str, since_ms: int) -> List: """ Gets candle history using asyncio and returns the list of candles. Handles all async doing. """ return asyncio.get_event_loop().run_until_complete( self._async_get_history(pair=pair, tick_interval=tick_interval, since_ms=since_ms)) async def _async_get_history(self, pair: str, tick_interval: str, since_ms: int) -> List: # Assume exchange returns 500 candles _LIMIT = 500 one_call = constants.TICKER_INTERVAL_MINUTES[tick_interval] * 60 * _LIMIT * 1000 logger.debug("one_call: %s", one_call) input_coroutines = [self._async_get_candle_history( pair, tick_interval, since) for since in range(since_ms, arrow.utcnow().timestamp * 1000, one_call)] tickers = await asyncio.gather(*input_coroutines, return_exceptions=True) # Combine tickers data: List = [] for p, ticker_interval, ticker in tickers: if p == pair: data.extend(ticker) # Sort data again after extending the result - above calls return in "async order" data = sorted(data, key=lambda x: x[0]) logger.info("downloaded %s with length %s.", pair, len(data)) return data def refresh_latest_ohlcv(self, pair_list: List[Tuple[str, str]]) -> List[Tuple[str, List]]: """ Refresh in-memory ohlcv asyncronously and set `_klines` with the result """ logger.debug("Refreshing ohlcv data for %d pairs", len(pair_list)) input_coroutines = [] # Gather coroutines to run for pair, ticker_interval in set(pair_list): if (not ((pair, ticker_interval) in self._klines) or self._now_is_time_to_refresh(pair, ticker_interval)): input_coroutines.append(self._async_get_candle_history(pair, ticker_interval)) else: logger.debug("Using cached ohlcv data for %s, %s ...", pair, ticker_interval) tickers = asyncio.get_event_loop().run_until_complete( asyncio.gather(*input_coroutines, return_exceptions=True)) # handle caching for res in tickers: if isinstance(res, Exception): logger.warning("Async code raised an exception: %s", res.__class__.__name__) continue pair = res[0] tick_interval = res[1] ticks = res[2] # keeping last candle time as last refreshed time of the pair if ticks: self._pairs_last_refresh_time[(pair, tick_interval)] = ticks[-1][0] // 1000 # keeping parsed dataframe in cache self._klines[(pair, tick_interval)] = parse_ticker_dataframe( ticks, tick_interval, fill_missing=True) return tickers def _now_is_time_to_refresh(self, pair: str, ticker_interval: str) -> bool: # Calculating ticker interval in seconds interval_in_sec = constants.TICKER_INTERVAL_MINUTES[ticker_interval] * 60 return not ((self._pairs_last_refresh_time.get((pair, ticker_interval), 0) + interval_in_sec) >= arrow.utcnow().timestamp) @retrier_async async def _async_get_candle_history(self, pair: str, tick_interval: str, since_ms: Optional[int] = None) -> Tuple[str, str, List]: """ Asyncronously gets candle histories using fetch_ohlcv returns tuple: (pair, tick_interval, ohlcv_list) """ try: # fetch ohlcv asynchronously logger.debug("fetching %s, %s since %s ...", pair, tick_interval, since_ms) data = await self._api_async.fetch_ohlcv(pair, timeframe=tick_interval, since=since_ms) # Because some exchange sort Tickers ASC and other DESC. # Ex: Bittrex returns a list of tickers ASC (oldest first, newest last) # when GDAX returns a list of tickers DESC (newest first, oldest last) # Only sort if necessary to save computing time try: if data and data[0][0] > data[-1][0]: data = sorted(data, key=lambda x: x[0]) except IndexError: logger.exception("Error loading %s. Result was %s.", pair, data) return pair, tick_interval, [] logger.debug("done fetching %s, %s ...", pair, tick_interval) return pair, tick_interval, data except ccxt.NotSupported as e: raise OperationalException( f'Exchange {self._api.name} does not support fetching historical candlestick data.' f'Message: {e}') except (ccxt.NetworkError, ccxt.ExchangeError) as e: raise TemporaryError( f'Could not load ticker history due to {e.__class__.__name__}. Message: {e}') except ccxt.BaseError as e: raise OperationalException(f'Could not fetch ticker data. Msg: {e}') @retrier def cancel_order(self, order_id: str, pair: str) -> None: if self._conf['dry_run']: return try: return self._api.cancel_order(order_id, pair) except ccxt.InvalidOrder as e: raise DependencyException( f'Could not cancel order. Message: {e}') except (ccxt.NetworkError, ccxt.ExchangeError) as e: raise TemporaryError( f'Could not cancel order due to {e.__class__.__name__}. Message: {e}') except ccxt.BaseError as e: raise OperationalException(e) @retrier def get_order(self, order_id: str, pair: str) -> Dict: if self._conf['dry_run']: order = self._dry_run_open_orders[order_id] order.update({ 'id': order_id }) return order try: return self._api.fetch_order(order_id, pair) except ccxt.InvalidOrder as e: raise DependencyException( f'Could not get order. Message: {e}') except (ccxt.NetworkError, ccxt.ExchangeError) as e: raise TemporaryError( f'Could not get order due to {e.__class__.__name__}. Message: {e}') except ccxt.BaseError as e: raise OperationalException(e) @retrier def get_order_book(self, pair: str, limit: int = 100) -> dict: """ get order book level 2 from exchange Notes: 20180619: bittrex doesnt support limits -.- 20180619: binance support limits but only on specific range """ try: if self._api.name == 'Binance': limit_range = [5, 10, 20, 50, 100, 500, 1000] # get next-higher step in the limit_range list limit = min(list(filter(lambda x: limit <= x, limit_range))) # above script works like loop below (but with slightly better performance): # for limitx in limit_range: # if limit <= limitx: # limit = limitx # break return self._api.fetch_l2_order_book(pair, limit) except ccxt.NotSupported as e: raise OperationalException( f'Exchange {self._api.name} does not support fetching order book.' f'Message: {e}') except (ccxt.NetworkError, ccxt.ExchangeError) as e: raise TemporaryError( f'Could not get order book due to {e.__class__.__name__}. Message: {e}') except ccxt.BaseError as e: raise OperationalException(e) @retrier def get_trades_for_order(self, order_id: str, pair: str, since: datetime) -> List: if self._conf['dry_run']: return [] if not self.exchange_has('fetchMyTrades'): return [] try: # Allow 5s offset to catch slight time offsets (discovered in #1185) my_trades = self._api.fetch_my_trades(pair, since.timestamp() - 5) matched_trades = [trade for trade in my_trades if trade['order'] == order_id] return matched_trades except ccxt.NetworkError as e: raise TemporaryError( f'Could not get trades due to networking error. Message: {e}') except ccxt.BaseError as e: raise OperationalException(e) def get_pair_detail_url(self, pair: str) -> str: try: url_base = self._api.urls.get('www') base, quote = pair.split('/') return url_base + _EXCHANGE_URLS[self._api.id].format(base=base, quote=quote) except KeyError: logger.warning('Could not get exchange url for %s', self.name) return "" @retrier def get_markets(self) -> List[dict]: try: markets = self._api.fetch_markets() self.markets.update({m["symbol"]: m for m in markets}) return markets except (ccxt.NetworkError, ccxt.ExchangeError) as e: raise TemporaryError( f'Could not load markets due to {e.__class__.__name__}. Message: {e}') except ccxt.BaseError as e: raise OperationalException(e) @retrier def get_fee(self, symbol='ETH/BTC', type='', side='', amount=1, price=1, taker_or_maker='maker') -> float: try: # validate that markets are loaded before trying to get fee if self._api.markets is None or len(self._api.markets) == 0: self._api.load_markets() return self._api.calculate_fee(symbol=symbol, type=type, side=side, amount=amount, price=price, takerOrMaker=taker_or_maker)['rate'] except (ccxt.NetworkError, ccxt.ExchangeError) as e: raise TemporaryError( f'Could not get fee info due to {e.__class__.__name__}. Message: {e}') except ccxt.BaseError as e: raise OperationalException(e)