# 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 asyncio import ccxt import ccxt.async_support as ccxt_async import arrow from freqtrade import constants, OperationalException, DependencyException, TemporaryError 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): # Current selected exchange _api: ccxt.Exchange = None _api_async: ccxt_async.Exchange = None _conf: Dict = {} # Holds all open sell orders for dry_run _dry_run_open_orders: Dict[str, Any] = {} 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[str, int] = {} # Holds candles self.klines: Dict[str, Any] = {} if config['dry_run']: logger.info('Instance is running with dry_run enabled') exchange_config = config['exchange'] self._api = self._init_ccxt(exchange_config, ccxt_kwargs=exchange_config.get('ccxt_config')) self._api_async = 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', {})) 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 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}') 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.') 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) -> 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 return self._api.create_order(pair, ordertype, 'buy', amount, rate) 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) -> 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 return self._api.create_order(pair, ordertype, 'sell', amount, rate) 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] return self._api.create_order(pair, 'stop_loss', 'sell', amount, rate, {'stopPrice': stop_price}) @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 tick in tickers: if tick[0] == pair: data.extend(tick[1]) # Sort data again after extending the result - above calls return in "async order" order data = sorted(data, key=lambda x: x[0]) logger.info("downloaded %s with length %s.", pair, len(data)) return data def refresh_tickers(self, pair_list: List[str], ticker_interval: str) -> None: """ Refresh tickers asyncronously and return the result. """ logger.debug("Refreshing klines for %d pairs", len(pair_list)) asyncio.get_event_loop().run_until_complete( self.async_get_candles_history(pair_list, ticker_interval)) async def async_get_candles_history(self, pairs: List[str], tick_interval: str) -> List[Tuple[str, List]]: """Download ohlcv history for pair-list asyncronously """ input_coroutines = [self._async_get_candle_history( symbol, tick_interval) for symbol in pairs] tickers = await asyncio.gather(*input_coroutines, return_exceptions=True) return tickers @retrier_async async def _async_get_candle_history(self, pair: str, tick_interval: str, since_ms: Optional[int] = None) -> Tuple[str, List]: try: # fetch ohlcv asynchronously logger.debug("fetching %s since %s ...", pair, since_ms) # Calculating ticker interval in second interval_in_sec = constants.TICKER_INTERVAL_MINUTES[tick_interval] * 60 # If (last update time) + (interval in second) is greater or equal than now # that means we don't have to hit the API as there is no new candle # so we fetch it from local cache if (not since_ms and self._pairs_last_refresh_time.get(pair, 0) + interval_in_sec >= arrow.utcnow().timestamp): data = self.klines[pair] logger.debug("Using cached klines data for %s ...", pair) else: 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) data = sorted(data, key=lambda x: x[0]) # keeping last candle time as last refreshed time of the pair if data: self._pairs_last_refresh_time[pair] = data[-1][0] // 1000 # keeping candles in cache self.klines[pair] = data logger.debug("done fetching %s ...", pair) return pair, 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 get_candle_history(self, pair: str, tick_interval: str, since_ms: Optional[int] = None) -> List[Dict]: try: # last item should be in the time interval [now - tick_interval, now] till_time_ms = arrow.utcnow().shift( minutes=-constants.TICKER_INTERVAL_MINUTES[tick_interval] ).timestamp * 1000 # it looks as if some exchanges return cached data # and they update it one in several minute, so 10 mins interval # is necessary to skeep downloading of an empty array when all # chached data was already downloaded till_time_ms = min(till_time_ms, arrow.utcnow().shift(minutes=-10).timestamp * 1000) data: List[Dict[Any, Any]] = [] while not since_ms or since_ms < till_time_ms: data_part = self._api.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) data_part = sorted(data_part, key=lambda x: x[0]) if not data_part: break logger.debug('Downloaded data for %s time range [%s, %s]', pair, arrow.get(data_part[0][0] / 1000).format(), arrow.get(data_part[-1][0] / 1000).format()) data.extend(data_part) since_ms = data[-1][0] + 1 return 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: return self._api.fetch_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)