freqtrade_origin/freqtrade/exchange/exchange_utils.py

"""
Exchange support utils
"""

import inspect
from datetime import datetime, timedelta, timezone
from math import ceil, floor
from typing import Any, Dict, List, Optional, Tuple

import ccxt
from ccxt import (
    DECIMAL_PLACES,
    ROUND,
    ROUND_DOWN,
    ROUND_UP,
    SIGNIFICANT_DIGITS,
    TICK_SIZE,
    TRUNCATE,
    decimal_to_precision,
)

from freqtrade.exchange.common import (
    BAD_EXCHANGES,
    EXCHANGE_HAS_OPTIONAL,
    EXCHANGE_HAS_REQUIRED,
    SUPPORTED_EXCHANGES,
)
from freqtrade.exchange.exchange_utils_timeframe import timeframe_to_minutes, timeframe_to_prev_date
from freqtrade.ft_types import ValidExchangesType
from freqtrade.util import FtPrecise


CcxtModuleType = Any


def is_exchange_known_ccxt(
    exchange_name: str, ccxt_module: Optional[CcxtModuleType] = None
) -> bool:
    return exchange_name in ccxt_exchanges(ccxt_module)


def ccxt_exchanges(ccxt_module: Optional[CcxtModuleType] = None) -> List[str]:
    """
    Return the list of all exchanges known to ccxt
    """
    return ccxt_module.exchanges if ccxt_module is not None else ccxt.exchanges


def available_exchanges(ccxt_module: Optional[CcxtModuleType] = None) -> List[str]:
    """
    Return exchanges available to the bot, i.e. non-bad exchanges in the ccxt list
    """
    exchanges = ccxt_exchanges(ccxt_module)
    return [x for x in exchanges if validate_exchange(x)[0]]


def validate_exchange(exchange: str) -> Tuple[bool, str, Optional[ccxt.Exchange]]:
    """
    returns: can_use, reason, exchange_object
        with Reason including both missing and missing_opt
    """
    try:
        ex_mod = getattr(ccxt.pro, exchange.lower())()
    except AttributeError:
        ex_mod = getattr(ccxt.async_support, exchange.lower())()

    if not ex_mod or not ex_mod.has:
        return False, "", None

    result = True
    reason = ""
    missing = [
        k
        for k, v in EXCHANGE_HAS_REQUIRED.items()
        if ex_mod.has.get(k) is not True and not (all(ex_mod.has.get(x) for x in v))
    ]
    if missing:
        result = False
        reason += f"missing: {', '.join(missing)}"

    missing_opt = [k for k in EXCHANGE_HAS_OPTIONAL if not ex_mod.has.get(k)]

    if exchange.lower() in BAD_EXCHANGES:
        result = False
        reason = BAD_EXCHANGES.get(exchange.lower(), "")

    if missing_opt:
        reason += f"{'. ' if reason else ''}missing opt: {', '.join(missing_opt)}. "

    return result, reason, ex_mod


def _build_exchange_list_entry(
    exchange_name: str, exchangeClasses: Dict[str, Any]
) -> ValidExchangesType:
    valid, comment, ex_mod = validate_exchange(exchange_name)
    result: ValidExchangesType = {
        "name": getattr(ex_mod, "name", exchange_name),
        "classname": exchange_name,
        "valid": valid,
        "supported": exchange_name.lower() in SUPPORTED_EXCHANGES,
        "comment": comment,
        "dex": getattr(ex_mod, "dex", False),
        "is_alias": getattr(ex_mod, "alias", False),
        "alias_for": inspect.getmro(ex_mod.__class__)[1]().id
        if getattr(ex_mod, "alias", False)
        else None,
        "trade_modes": [{"trading_mode": "spot", "margin_mode": ""}],
    }
    if resolved := exchangeClasses.get(exchange_name.lower()):
        supported_modes = [{"trading_mode": "spot", "margin_mode": ""}] + [
            {"trading_mode": tm.value, "margin_mode": mm.value}
            for tm, mm in resolved["class"]._supported_trading_mode_margin_pairs
        ]
        result.update(
            {
                "trade_modes": supported_modes,
            }
        )

    return result


def list_available_exchanges(all_exchanges: bool) -> List[ValidExchangesType]:
    """
    :return: List of tuples with exchangename, valid, reason.
    """
    exchanges = ccxt_exchanges() if all_exchanges else available_exchanges()
    from freqtrade.resolvers.exchange_resolver import ExchangeResolver

    subclassed = {e["name"].lower(): e for e in ExchangeResolver.search_all_objects({}, False)}

    exchanges_valid: List[ValidExchangesType] = [
        _build_exchange_list_entry(e, subclassed) for e in exchanges
    ]

    return exchanges_valid


def date_minus_candles(
    timeframe: str, candle_count: int, date: Optional[datetime] = None
) -> datetime:
    """
    subtract X candles from a date.
    :param timeframe: timeframe in string format (e.g. "5m")
    :param candle_count: Amount of candles to subtract.
    :param date: date to use. Defaults to now(utc)

    """
    if not date:
        date = datetime.now(timezone.utc)

    tf_min = timeframe_to_minutes(timeframe)
    new_date = timeframe_to_prev_date(timeframe, date) - timedelta(minutes=tf_min * candle_count)
    return new_date


def market_is_active(market: Dict) -> bool:
    """
    Return True if the market is active.
    """
    # "It's active, if the active flag isn't explicitly set to false. If it's missing or
    # true then it's true. If it's undefined, then it's most likely true, but not 100% )"
    # See https://github.com/ccxt/ccxt/issues/4874,
    # https://github.com/ccxt/ccxt/issues/4075#issuecomment-434760520
    return market.get("active", True) is not False


def amount_to_contracts(amount: float, contract_size: Optional[float]) -> float:
    """
    Convert amount to contracts.
    :param amount: amount to convert
    :param contract_size: contract size - taken from exchange.get_contract_size(pair)
    :return: num-contracts
    """
    if contract_size and contract_size != 1:
        return float(FtPrecise(amount) / FtPrecise(contract_size))
    else:
        return amount


def contracts_to_amount(num_contracts: float, contract_size: Optional[float]) -> float:
    """
    Takes num-contracts and converts it to contract size
    :param num_contracts: number of contracts
    :param contract_size: contract size - taken from exchange.get_contract_size(pair)
    :return: Amount
    """

    if contract_size and contract_size != 1:
        return float(FtPrecise(num_contracts) * FtPrecise(contract_size))
    else:
        return num_contracts


def amount_to_precision(
    amount: float, amount_precision: Optional[float], precisionMode: Optional[int]
) -> float:
    """
    Returns the amount to buy or sell to a precision the Exchange accepts
    Re-implementation of ccxt internal methods - ensuring we can test the result is correct
    based on our definitions.
    :param amount: amount to truncate
    :param amount_precision: amount precision to use.
                             should be retrieved from markets[pair]['precision']['amount']
    :param precisionMode: precision mode to use. Should be used from precisionMode
                          one of ccxt's DECIMAL_PLACES, SIGNIFICANT_DIGITS, or TICK_SIZE
    :return: truncated amount
    """
    if amount_precision is not None and precisionMode is not None:
        precision = int(amount_precision) if precisionMode != TICK_SIZE else amount_precision
        # precision must be an int for non-ticksize inputs.
        amount = float(
            decimal_to_precision(
                amount,
                rounding_mode=TRUNCATE,
                precision=precision,
                counting_mode=precisionMode,
            )
        )

    return amount


def amount_to_contract_precision(
    amount,
    amount_precision: Optional[float],
    precisionMode: Optional[int],
    contract_size: Optional[float],
) -> float:
    """
    Returns the amount to buy or sell to a precision the Exchange accepts
    including calculation to and from contracts.
    Re-implementation of ccxt internal methods - ensuring we can test the result is correct
    based on our definitions.
    :param amount: amount to truncate
    :param amount_precision: amount precision to use.
                             should be retrieved from markets[pair]['precision']['amount']
    :param precisionMode: precision mode to use. Should be used from precisionMode
                          one of ccxt's DECIMAL_PLACES, SIGNIFICANT_DIGITS, or TICK_SIZE
    :param contract_size: contract size - taken from exchange.get_contract_size(pair)
    :return: truncated amount
    """
    if amount_precision is not None and precisionMode is not None:
        contracts = amount_to_contracts(amount, contract_size)
        amount_p = amount_to_precision(contracts, amount_precision, precisionMode)
        return contracts_to_amount(amount_p, contract_size)
    return amount


def __price_to_precision_significant_digits(
    price: float,
    price_precision: float,
    *,
    rounding_mode: int = ROUND,
) -> float:
    """
    Implementation of ROUND_UP/Round_down for significant digits mode.
    """
    from decimal import ROUND_DOWN as dec_ROUND_DOWN
    from decimal import ROUND_UP as dec_ROUND_UP
    from decimal import Decimal

    dec = Decimal(str(price))
    string = f"{dec:f}"
    precision = round(price_precision)

    q = precision - dec.adjusted() - 1
    sigfig = Decimal("10") ** -q
    if q < 0:
        string_to_precision = string[:precision]
        # string_to_precision is '' when we have zero precision
        below = sigfig * Decimal(string_to_precision if string_to_precision else "0")
        above = below + sigfig
        res = above if rounding_mode == ROUND_UP else below
        precise = f"{res:f}"
    else:
        precise = "{:f}".format(
            dec.quantize(
                sigfig, rounding=dec_ROUND_DOWN if rounding_mode == ROUND_DOWN else dec_ROUND_UP
            )
        )
    return float(precise)


def price_to_precision(
    price: float,
    price_precision: Optional[float],
    precisionMode: Optional[int],
    *,
    rounding_mode: int = ROUND,
) -> float:
    """
    Returns the price rounded to the precision the Exchange accepts.
    Partial Re-implementation of ccxt internal method decimal_to_precision(),
    which does not support rounding up.
    For stoploss calculations, must use ROUND_UP for longs, and ROUND_DOWN for shorts.

    TODO: If ccxt supports ROUND_UP for decimal_to_precision(), we could remove this and
    align with amount_to_precision().
    :param price: price to convert
    :param price_precision: price precision to use. Used from markets[pair]['precision']['price']
    :param precisionMode: precision mode to use. Should be used from precisionMode
                          one of ccxt's DECIMAL_PLACES, SIGNIFICANT_DIGITS, or TICK_SIZE
    :param rounding_mode: rounding mode to use. Defaults to ROUND
    :return: price rounded up to the precision the Exchange accepts
    """
    if price_precision is not None and precisionMode is not None:
        if rounding_mode not in (ROUND_UP, ROUND_DOWN):
            # Use CCXT code where possible.
            return float(
                decimal_to_precision(
                    price,
                    rounding_mode=rounding_mode,
                    precision=price_precision,
                    counting_mode=precisionMode,
                )
            )

        if precisionMode == TICK_SIZE:
            precision = FtPrecise(price_precision)
            price_str = FtPrecise(price)
            missing = price_str % precision
            if not missing == FtPrecise("0"):
                if rounding_mode == ROUND_UP:
                    res = price_str - missing + precision
                elif rounding_mode == ROUND_DOWN:
                    res = price_str - missing
                return round(float(str(res)), 14)
            return price
        elif precisionMode == DECIMAL_PLACES:
            ndigits = round(price_precision)
            ticks = price * (10**ndigits)
            if rounding_mode == ROUND_UP:
                return ceil(ticks) / (10**ndigits)
            if rounding_mode == ROUND_DOWN:
                return floor(ticks) / (10**ndigits)

            raise ValueError(f"Unknown rounding_mode {rounding_mode}")
        elif precisionMode == SIGNIFICANT_DIGITS:
            if rounding_mode in (ROUND_UP, ROUND_DOWN):
                return __price_to_precision_significant_digits(
                    price, price_precision, rounding_mode=rounding_mode
                )

        raise ValueError(f"Unknown precisionMode {precisionMode}")
    return price